An empirical study on the threshold cointegration of Chinese A and H cross-listed shares

We investigate the dynamic relationship between the prices of Chinese A and H market cross-listed shares using the Enders–Siklos threshold cointegration approach. Our data are the daily closing prices of the Hang Seng China AH (A) index and the Hang Seng China AH (H) index from 4 January 2006 to 1 November 2013. We find a threshold cointegration between these two indices, instead of the linear cointegration well established in the literature. The short-term adjustment to the equilibrium shows an asymmetric effect according to the price deviation from the equilibrium. Moreover, using a Granger causality test, we find a bi-directional causality between these two markets, indicating a close relationship between them. A pairs trading rule, based on the estimated threshold cointegration model, demonstrates the usefulness of our results as it generates a significantly higher return than a naive buy-and-hold trading rule.     

More powerful Engle–Granger cointegration tests

The residual-based cointegration test suggested by Engle and Granger ([Co-integration and error correction: representation, estimation, and testing. Econometrica. 1987;55(2):251–276]; EG) have been used widely in the literature. This pioneering EG test is quite intuitive and easy to implement. However, despite popularity, the power property of the EG test has been be an issue. In particular, the EG test imposes implicitly the so-called common factor restriction, which can lead to significant loss of power when the signal-to-noise ratio increases. In this paper, we consider a simple modification procedure. The proposed modification is shown to improve drastically the power properties of the EG test. In contrast to the conventional EG test, the power in the modified test improves (rather than decreases) significantly as the signal-to-noise ratio increases.     

Imputation for statistical inference with coarse data

Coarse data is a general type of incomplete data that includes grouped data, censored data, and missing data. The likelihood‐based estimation approach with coarse data is challenging because the likelihood function is in integral form. The Monte Carlo EM algorithm of Wei & Tanner [Wei & Tanner (1990). Journal of the American Statistical Association, 85, 699–704] is adapted to compute the maximum likelihood estimator in the presence of coarse data. Stochastic coarse data is also covered and the computation can be implemented using the parametric fractional imputation method proposed by Kim [Kim (2011). Biometrika, 98, 119–132]. Results from a limited simulation study are presented. The proposed method is also applied to the Korean Longitudinal Study of Aging (KLoSA). The Canadian Journal of Statistics 40: 604–618; 2012 © 2012 Statistical Society of Canada     

A cointegration analysis of crime,economic activity,and police performance in São Paulo city

The main objective of this paper is to investigate possible causes for the significant reduction observed in crime rates in São Paulo city. By applying a cointegration analysis, we observed long-run relationships between crime, economic activity, and police performance. The results indicate that the lethal crime rate is positively related to unemployment and negatively related to real wages and to the results of law-enforcement activities, specifically arrests and seizure of firearms. Moreover, the hypothesis that the Disarmament Statute led to a reduction in the lethal crime rate is not rejected.     

非正常波动统计数据修匀方法研究——以福建省消费数据为例

统计数据经常会受到定期或不定期的非正常波动因素的影响，因此而扭曲的时间序列短期的基本变动，使得我们难以深入研究和正确解释经济规律。如果利用科学的方法将这些非正常波动因素从经济时间序列中测定、分离、抵消和调整，对这些非正常波动统计数据进行修匀，则能更好地反映其基本的发展趋势。以福建省社会消费零售总额指标和相对指标为例，对其进行了修匀处理和并进行修匀前后的对比分析，发现修匀后的曲线较平滑，修匀效果比较合理。进行外推预测和模拟，得到模型的动态模拟结果以及静态预测结果，得到的环比CPI的动态模拟结果较好地反映了CPI的走势，静态预测较好地显示出短期波动情况。     

NONPARAMETRIC ESTIMATION OF CONDITIONAL CUMULATIVE HAZARDS FOR MISSING POPULATION MARKS

A new function for the competing risks model, the conditional cumulative hazard function, is introduced, from which the conditional distribution of failure times of individuals failing due to cause  j  can be studied. The standard Nelson–Aalen estimator is not appropriate in this setting, as population membership (mark) information may be missing for some individuals owing to random right-censoring. We propose the use of imputed population marks for the censored individuals through fractional risk sets. Some asymptotic properties, including uniform strong consistency, are established. We study the practical performance of this estimator through simulation studies and apply it to a real data set for illustration.     

Experimental design for product improvement

Fractional factorial designs have been used successfullyin industry and elsewhere todetect and estimate sparse factor effects , The effectsusually evisioned measure changes in location associated with the experimental factors . Here we consider the possibility of detecting and estimating sparse dispersion effects measuring changes in variance associated with the factors .

( 2 ) In industrial experimentation it is frequently true thata large proportion of process v ariation is associated with a smallproportion of the process variables . In such circum stancs of“effect sparsity”unreplicated fractional designs have frequently been effectivein islolating preponderant factors.A very useful graphical analysis for such experiments

due to Cuthbert Daniel(1959)employs normal probability plotting.A more formal analysis is presented here which might be used to supplement such plots.     

会展产业发展策略的实证研究——以大连会展产业为例

会展产业能够体现一座城市社会资源的综合配套能力，对城市经济和社会发展有着巨大的促进作用。以大连会展中心为研究对象，根据大连会展产业1996—2009年的数据，运用相关分析与协整检验的方法分析其现状及影响因素，发现会展贸易额与参展国家数量和展会数量有着密切的联系。据此建立模型，为大连会展产业发展提出相应对策。     

Catalogue of small runs nonregular designs from hadamard matrices with generalized minimum aberration

Fries and Hunter ( 1980 ) proposed the Minimum Aberration criterion (MA) for selecting regular designs. The regular designs with MA are msot commonly used because they are considered as the best designs. How ever, as pointed out by Chen, Sun and Wu ( 1993 ), there are situations that other designs may better meet the design need. Therefore, they catalogued some two-level and three-level fractional factorial regular designs with small (16,27,32,64) runs. For nonregular designs, such as the ones taken from Hadamard matrices, the MA criterion is not appUcable. Deng and Tang ( 1999 ) introduced Generalized Minimum Aberration Criterion (GMA) as a natural extension to the MA criterion. Similar to the case in the regular designs, other designs may better meet practical need, In this paper, we use the GMA criterion to give a catalogue of nonregular designs with smaU (16,20,24) runs.     

城乡消费差异的模型解释——城乡消费差异函数的建立及应用

以消费函数为基础,构建了一个同时包括收入差距与收入绝对水平的消费差异函数,并对该函数的基本形式及扩展形式进行了理论分析。最后选择适当的函数形式,基于东三省1983年至2010年有关数据,利用面板协整分析方法,实证研究了城乡消费差异与收入差距及收入水平之间的关系。结果表明,收入差距的缩小及收入水平的提高均有助于缩小城乡消费差异。在实证研究结果的基础上,给出了相应的政策建议。