Analyzing multiple vector autoregressions through matrix-variate normal distribution with two covariance matrices

Abstract

This article proposes a new approach to analyze multiple vector autoregressive (VAR) models that render us a newly constructed matrix autoregressive (MtAR) model based on a matrix-variate normal distribution with two covariance matrices. The MtAR is a generalization of VAR models where the two covariance matrices allow the extension of MtAR to a structural MtAR analysis. The proposed MtAR can also incorporate different lag orders across VAR systems that provide more flexibility to the model. The estimation results from a simulation study and an empirical study on macroeconomic application show favorable performance of our proposed models and method.     

Reducing sample size needed for cox-proportional hazards model analysis using more efficient sampling method

Abstract

In general, survival data are time-to-event data, such as time to death, time to appearance of a tumor, or time to recurrence of a disease. Models for survival data have frequently been based on the proportional hazards model, proposed by Cox. The Cox model has intensive application in the field of social, medical, behavioral and public health sciences. In this paper we propose a more efficient sampling method of recruiting subjects for survival analysis. We propose using a Moving Extreme Ranked Set Sampling (MERSS) scheme with ranking based on an easy-to-evaluate baseline auxiliary variable known to be associated with survival time. This paper demonstrates that this approach provides a more powerful testing procedure as well as a more efficient estimate of hazard ratio than that based on simple random sampling (SRS). Theoretical derivation and simulation studies are provided. The Iowa 65+ Rural study data are used to illustrate the methods developed in this paper.     

The quantile-based flattened logistic distribution: Some properties and applications

In this paper, the quantile-based flattened logistic distribution has been studied. Some classical and quantile-based properties of the distribution have been obtained. Closed form expressions of L-moments, L-moment ratios and expectation of order statistics of the distribution have been obtained. A quantile-based analysis concerning the method of matching L-moments estimation is employed to estimate the parameters of the proposed model. We further derive the asymptotic variance–covariance matrix of the matching L-Moments estimators of the proposed model. Finally, we apply the proposed model to simulated as well as two real life datasets and compare the fit with the logistic distribution.     

Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp-optimization

The conditional tail expectation (CTE) is an indicator of tail behavior that takes into account both the frequency and magnitude of a tail event. However, the asymptotic normality of its empirical estimator requires that the underlying distribution possess a finite variance; this can be a strong restriction in actuarial and financial applications. A valuable alternative is the median shortfall (MS), although it only gives information about the frequency of a tail event. We construct a class of tail L^p-medians encompassing the MS and CTE. For p in (1,2), a tail L^p-median depends on both the frequency and magnitude of tail events, and its empirical estimator is, within the range of the data, asymptotically normal under a condition weaker than a finite variance. We extrapolate this estimator and another technique to extreme levels using the heavy-tailed framework. The estimators are showcased on a simulation study and on real fire insurance data.     

政府减排目标、产业结构与污染减排

政府是污染减排的重要主体,了解其行为对污染减排的作用对提升污染减排效果及实现中国绿色发展具有重要意义。创造性地将政府减排目标纳入研究框架,构建面板门槛模型,从工业污染排放总量的角度分析政府减排目标、产业结构、经济规模等因素对地方污染减排的影响,并用工业污染物强度进行稳健性检验。结果显示,政府减排目标对污染减排的作用存在阶段性不同:经济发展初级阶段,政府减排目标对污染排放总量的作用方向为正; 经济发展水平较高时,作用方向为负; 两者之间存在适应性调整阶段,作用方向具有不确定性,但总体由正向作用向负向作用转变。产业结构对工业污染排放总量的作用方向因污染物种类而异,经济规模对工业污染排放总量作用方向为正。     

通货紧缩的经济社会效应分析

通货紧缩作为经济运行中的一种常态现象 ,必然对经济、社会产生多方面影响。其效应表现为 :通过一般物价水平的下降以及对现存市场供求关系的破坏 ,对生产产生促退效应 ,导致失业率上升 ;总体上降低居民的消费能力 ;造成分配不公 ,导致社会财富由债务人向债权人、由国家向公众、由企业向消费者、由低收入者向高收入者的转移。针对通货紧缩的负效应 ,政府要采取措施 ,抑制分配不公 ,适当地向收入较低的普通百姓倾斜 ;企业要抓住机遇 ,尽快清理库存 ,同时狠抓技术创新、质量提高和内部管理 ,为新一轮发展作准备 ;居民要调整“买涨不买落”的传统心态 ,树立消费新观念。     

人力资本投资与个人收入能力

讨论了人力资本的经济价值，通过建立教育投资模型，训练投资模型及流动投资模型，指出了正规教育投资，在职培训投资，迁移与流动投资对人力资本收入能力的影响。经分析表明，个人的人力资本现时存量与个人的未来收入能力之间存在正相关。     

试析我国房地产投资运作模式及其发展

随着我国房地产市场由卖方市场逐渐过渡到买方市场,房地产投资运作模式由作坊生产式投资模式逐渐向社会化大生产式投资模式椎进。     

客户生命周期模式研究

客户关系具有周期性,可划分为考察期、形成期、稳定期和退化期四个阶段.交易额和客户利润被选作特征变量来描述客户关系水平,理论分析表明:两者均随生命周期阶段的发展而不断提升,考察期最小,形成期次小,稳定期最大.实证研究检验了该结论的正确性.根据客户关系退出时所处的阶段,客户生命周期模式被分成早期流产型、中途夭折型、提前退出型、长久保持型四种基本类型,每种类型均有不同的成因.