Augmented inverse probability weighted fractional imputation in quantile regression

By employing all the observed information and the optimal augmentation term, we propose an augmented inverse probability weighted fractional imputation method (AFI) to handle covariates missing at random in quantile regression. Compared with the existing completely case analysis, inverse probability weighting, multiple imputation and fractional imputation based on quantile regression model with missing covarites, we carry out simulation study to investigate its performance in estimation accuracy and efficiency, computational efficiency and estimation robustness. We also talk about the influence of imputation replicates in our AFI. Finally, we apply our methodology to part of the National Health and Nutrition Examination Survey data.     

Lower Risk Bounds and Properties of Confidence Sets for Ill‐Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation,Unit Roots,and Estimation of Long Memory Parameters

Important estimation problems in econometrics like estimating the value of a spectral density at frequency zero, which appears in the econometrics literature in the guises of heteroskedasticity and autocorrelation consistent variance estimation and long run variance estimation, are shown to be “ill‐posed” estimation problems. A prototypical result obtained in the paper is that the minimax risk for estimating the value of the spectral density at frequency zero is infinite regardless of sample size, and that confidence sets are close to being uninformative. In this result the maximum risk is over commonly used specifications for the set of feasible data generating processes. The consequences for inference on unit roots and cointegration are discussed. Similar results for persistence estimation and estimation of the long memory parameter are given. All these results are obtained as special cases of a more general theory developed for abstract estimation problems, which readily also allows for the treatment of other ill‐posed estimation problems such as, e.g., nonparametric regression or density estimation.     

河南省农村人口年龄结构对消费影响的实证分析

本文利用1987～2008年年度资料对河南省农村人口年龄结构影响农村居民消费的情况进行分析,发现少儿抚养系数、老年抚养系数与消费存在长期协整关系,并且少儿抚养系数对农村居民消费有显著的正影响,老年抚养系数对消费的影响不显著。因此,提出通过加大农村教育投入、完善农村养老保障、细分市场来应对人口年龄结构变化对消费的影响。     

外商直接投资与我国进出口关系的实证分析

运用协整分析和建立误差修正模型,对外商直接投资与我国进出口的关系进行经验分析的结果表明:我国出口与外商直接投资之间存在着长期稳定的均衡关系;外商直接投资与出口之间存在单方向的因果关系;进口与外商直接投资之间不存在明显的协整关系。     

人力资本与区域经济增长——基于河南的协整分析

以人力资本存量为主要参数,选取C-D函数构建经济增长模型,对收集的1978-2007年河南省的GDP、固定资产投资和人力资本投入数据,运用单位根、Granger因果检验、协整、误差修正模型进行实证研究。协整结果表明:河南人力资本对经济增长的贡献低于固定资产投资;人力资本投资促进经济增长的潜力较大,但短期效果不明显。     

棉花产业链各环节相关性分析

棉花产业链横跨种植业与纺织业,具有主体多、各环节利益诉求不同、上下游模式不同等特点。文章利用协整检验、Granger因果分析等方法对棉花产业链上的国内外棉花价格、国内化学纤维产量、纱产量、布产量、服装出口量、棉花进口量和汽油价格之间的动态关系进行了实证研究。结果显示,国际棉花价格是国内棉花价格、化学纤维、纱、布产量的单向Granger原因;国内棉花价格、国外棉花价格、汽油价格、服装出口量对棉花产业链产生的一个标准差冲击分别需要在第24、24、28、25个月之后才能达到新的均衡;对来自棉花产业链某个变量或者变量的替代品的冲击,该变量上下游环节长期平均贡献度较大。     

科技创新投入与产业结构适应性分析——基于上海、安徽、全国样本研究

基于R＆D投入与经济发展相适应性分析,文章提出R＆D边际效益周期假设,不同时期R＆D边际效益不同,R＆D投入策略也存在差异。文章分别选取全国、安徽、上海作为不同阶段样本代表,运用协整检验、格兰杰因果检验、VAR脉冲响应方法,实证研究样本R＆D投入与产业结构适应性。     

The local fractional bootstrap

We introduce a bootstrap procedure for high‐frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an estimator based on a ratio of realized power variations. Our new resampling method, the local fractional bootstrap, relies on simulating an auxiliary fractional Brownian motion that mimics the fine properties of high‐frequency differences of the Brownian semistationary process under the null hypothesis. We prove the first‐order validity of the bootstrap method, and in simulations, we observe that the bootstrap‐based hypothesis test provides considerable finite‐sample improvements over an existing test that is based on a central limit theorem. This is important when studying the roughness properties of time series data. We illustrate this by applying the bootstrap method to two empirical data sets: We assess the roughness of a time series of high‐frequency asset prices and we test the validity of Kolmogorov's scaling law in atmospheric turbulence data.     

A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1)

In this work, we study the existence and uniqueness of the solution to a fractional version of the Cox–Ingersoll–Ross (fCIR) stochastic differential equation. The strong convergence of this equation is analyzed and according to it’s framework, we obtain the price of the double barrier option under transaction cost. Finally, we verify the effect of the parameters of the model on the value of the option.     

我国出口与经济增长关系分析

采用协整检验和 Ｇｒａｎｇｅｒ－ｃａｕｓａｌｉｔｙ检验方法,对中国改革开放以来（１９７８—１９９８）的出口与经济增长关系进行了实证分析。结果表明,初级产品出口与 ＧＤＰ之间存在唯一的协整关系,而总体出口与 ＧＤＰ、工业制成品出口与ＧＤＰ之间不协整;总体出口增长和初级产品出口增长与经济增长之问存在单向的Ｇｒａｎｇｅｒ因果关系,而工业制成品出口增长与经济增长之间没有 Ｇｒａｎｇｅｒ因果关系。