Global and multiple test procedures using ordered p-values—a review

This paper reviews global and multiple tests for the combination ofn hypotheses using the orderedp-values of then individual tests. In 1987, Röhmel and Streitberg presented a general method to construct global level α tests based on orderedp-values when there exists no prior knowledge regarding the joint distribution of the corresponding test statistics. In the case of independent test statistics, construction of global tests is available by means of recursive formulae presented by Bicher (1989), Kornatz (1994) and Finner and Roters (1994). Multiple test procedures can be developed by applying the closed test principle using these global tests as building blocks. Liu (1996) proposed representing closed tests by means of “critical matrices” which contain the critical values of the global tests. Within the framework of these theoretical concepts, well-known global tests and multiple test procedures are classified and the relationships between the different tests are characterised.     

An operative extension of the likelihood ratio test from fuzzy data

In the present paper we are going to extend the likelihood ratio test to the case in which the available experimental information involves fuzzy imprecision (more precisely, the observable events associated with the random experiment concerning the test may be characterized as fuzzy subsets of the sample space, as intended by Zadeh, 1965). In addition, we will approximate the immediate intractable extension, which is based on Zadeh’s probabilistic definition, by using the minimum inaccuracy principle of estimation from fuzzy data, that has been introduced in previous papers as an operative extension of the maximum likelihood method.     

Copula函数选择对投资组合压力测试的影响分析

将在刻画变量之间相关性方面具有优势的Copula函数与能够准确评估市场极端情况的压力测试两种方法相结合,通过度量市场危机发生的期望等待时间,实证检验不同Dopula函数对投资组合压力测试结果的影响.在实证过程中,首先选择上证A股、深成A股两个市场指数作为研究样本,构造能反映单变量极值的广义帕累托边际分布,然后采用不同形式的Copula函数刻画变量之间的相关性结构,利用压力测试的方法考察Copula函数的选择对刻画投资组合风险的影响.实证检验表明,在度量两个市场同时出现危机情况的等待时间时,拟合效果较好与拟合效果较差的两种Copula函数对风险的估计存在显著的差别.这一结论表明,在压力测试的应用中引入Copula函数为组合投资风险管理指出了一个新的方向,但仍需要在描述相关性过程中慎重考虑Copula函数的选择.     

中国股票市场一体化的时变特征分析

基于B股对境内投资者开放这一标志性事件,采用VECM-DCC-MVGARCH模型,分别从长期和短期考察中国股票市场一体化的时变特征.研究结果表明:B股对境内投资者开放后,市场在长期意义上从完全分割走向部分整合;且A股市场处在信息传递的主导地位,信息的短期传递和吸收日益迅速.     

基于面板数据模型的能耗与固定资产投资关系的实证研究

首先,对我国固定资产投资与能源消费之间的关系进行了机理分析,认为大规模的固定资产投资活动是造成能耗快速增长的主要原因,并且固定资产投资与能源消费之间存在一种循环关系.然后,采用面板数据模型对我国8个主要行业的固定资产投资与能源消费关系进行了实证研究.研究结果表明,固定资产投资是我国能耗增长的格兰杰原因,固定资产投资与能耗增长之间存在显著的正相关性.最后,对遏制我国能耗高速增长给出了相应的政策建议.     

Testing Hypotheses About the Number of Factors in Large Factor Models

In this paper we study high‐dimensional time series that have the generalized dynamic factor structure. We develop a test of the null of k₀ factors against the alternative that the number of factors is larger than k₀ but no larger than k₁>k₀. Our test statistic equals max_{k0<k k1}(γ_k−γ_k+1)(γ_k+1−γ_k+2), where γ_i is the ith largest eigenvalue of the smoothed periodogram estimate of the spectral density matrix of data at a prespecified frequency. We describe the asymptotic distribution of the statistic, as the dimensionality and the number of observations rise, as a function of the Tracy–Widom distribution and tabulate the critical values of the test. As an application, we test different hypotheses about the number of dynamic factors in macroeconomic time series and about the number of dynamic factors driving excess stock returns.     

债券流动性与违约风险相关性溢价及实证研究

债券的流动性与违约风险都是影响债券溢价的重要因素,然而以往在违约风险最为突出的公司债券定价中却很少考虑两种风险相关性关系的影响,这与发达市场实证经验不符.在已有研究的基础上同时引入两种风险相关性,通过对Copula函数刻画的不同相关性结构情况下公司债券的收益率和风险变化分析,以及对中国短、中、长期公司债券市场数据的实证检验均发现,流动性与违约风险的相关性之间存在显著的正相关性,且对债券利差具有显著的影响和交互作用.     

努力在教学过程中培养学生创新能力

创新能力的培养是高校教育的一项重要任务 ,结合专业课程的教学特点 ,探讨如何在教学实践中培养学生的创新能力     

金融资本结构中证券比重与GDP增长之间的相互关系分析

采用Granger非因果检验的方法 ,分析得出金融资产中证券比重与GDP增长之间的相互关系     

农村劳动力转移和经济增长之间的协整分析

运用时间序列经济计量方法对1979--2005年我国农村劳动力转移在实际经济增长中的作用进行实证分析，结果证明农村劳动力转移与实际经济增长之间互为格兰杰因果关系，并在长期内稳定地存在着协同互动的均衡关系．实证结果肯定了农村劳动力转移在我国实际经济增长中的贡献，并检验了国外劳动力转移理论．