Detecting parameter shift in garch models

This paper applies recent theories of testing for parameter constancy to the conditional variance in a GARCH model. The supremum Lagrange multiplier test for conditional Gaussian GARCH models and its robustified variants are discussed. The asymptotic null distribution of the test statistics are derived from the weak convergence of the scores, and the critical values from the hitting probability of squared Bessel process.

Monte Carlo studies on the finite sample size and power performance of the supremum LM tests are conducted. Applications of these tests to S&P 500 indicate that the hypothesis of stable conditional variance parameters can be rejected.     

Pathways between education and health: a causal modelling approach

Summary.  The association of poor education and poor health has been consistently observed in many studies and in various countries. Thus far, studies examining the mechanisms underlying this association have looked at only a limited set of potential pathways. This study simultaneously examines six distinctive pathways, which have been hypothesized to link education and health and found support from previous studies. A causal analysis of education and health was performed using structural equation models. Data were used from six phases of the National Child Development Study, which is based on following up an initial sample of 17416 children who were born in 1958. The association between education and health appears to be explained by a combination of mechanisms: adolescent health and adult health behaviours for men and women, adult social class among men and parental social class among women. We conclude that improvements in population educational attainment may not automatically lead to improvements in population health, and that health policies for improving health and reducing health inequalities need to target specific causal pathways.     

转型期中国农村区域消费水平与结构的实证分析

农村消费市场低迷是制约我国经济发展的主要因素。运用主成分聚类方法及Panel Data数据模型,结合1994—2003年的时序截面数据,对我国农村区域消费水平与结构的差异进行静态与动态分析。     

基于用户技术接受模型的政府数据开放平台研究 ——以深圳政府数据开放平台为例

从用户使用视角出发,基于用户技术接受模型,以深圳市政府数据开放平台为例,设计14个观察指标,研究政府开放数据的有用性和易用性。深圳市政府数据开放平台具有开放有序、回应及时和激励正向三大特色,同时存在创设数据场景不丰富、获取数据资源途径单一、利用成果数量少及质量不高、平台用户评价不积极及参与度低等不足。据此,提出以用户需求为导向、提升用户数字素养、构建政府部门的激励约束机制和跨部门跨层级的协同机制等政策建议。     

投资者信心和中国宏观经济波动——基于MIDAS混频模型

将投资者信心指数引入MIDAS混频模型之中,可以考察新冠疫情背景下投资者信心对于中国宏观经济波动的影响。基于投资者信心指数和“三驾马车”对我国季度GDP增长率进行预测,通过实证发现:引入投资者信心指数的MIDAS混频模型在预测精准度方面和基准模型进行比较,预测精准度高于未加入投资者信心的模型,均方根残差比值更小;在多元MIDAS混频模型之中,加入投资者信心指数的回归模型对我国GDP的实时预报和短期预测结果更加稳定,可为决策者提供更加精确的参考区间;宏观经济的波动对投资者信心指数变化反应,和投资、消费和进出口相比是最灵敏的。这为定量追踪宏观经济波动提供了一个新的视角。     

要素禀赋、农户分化与农业价值链技术选择偏向

基于551份猕猴桃种植户调研数据,通过聚类分析方法将猕猴桃种植户分成发展型、规模种植型、劳动力富裕型三类,实证检验种植户类型对有机肥施用、新品种采纳、猕猴桃网络销售三个价值链技术活动选择的异质偏向性,分析农机补贴、产业组织检测、技术培训三个组织支持变量的调节效应。结果发现：发展型对于三个价值链技术活动及其联合采纳的选择偏向性高于其他类型,劳动力富裕型种植户对价值链技术活动的选择偏向性低于其他两个类型种植户。三个组织支持变量对同一类型种植户参与不同价值链技术活动以及不同类型种植户参与同一价值链技术活动的影响具有异质性。因此,针对不同类型价值链技术活动参与特征以及组织支持调节作用提出相应的政策建议。     

品牌延伸:资产价值转移与理论模型创建

本文通过对品牌延伸(Brand Extension)的研究综述和实证研究,提出决定品牌延伸的三大因子,并在此基础上构成品牌资产价值(Brand Asset Value),进而研究其在品牌延伸过程中的价值转移,从而构成了评估品牌延伸成败的标准,最终将各种因子和评估标准进行整合,提出了品牌延伸的理论模型。     

The impact of supply chain management practices on competitive advantage and organizational performance

Effective supply chain management (SCM) has become a potentially valuable way of securing competitive advantage and improving organizational performance since competition is no longer between organizations, but among supply chains. This research conceptualizes and develops five dimensions of SCM practice (strategic supplier partnership, customer relationship, level of information sharing, quality of information sharing, and postponement) and tests the relationships between SCM practices, competitive advantage, and organizational performance. Data for the study were collected from 196 organizations and the relationships proposed in the framework were tested using structural equation modeling. The results indicate that higher levels of SCM practice can lead to enhanced competitive advantage and improved organizational performance. Also, competitive advantage can have a direct, positive impact on organizational performance.     

一种基于期权的供应商能力预订模型

在供应链中,合作企业实现风险共担,利益共享是供应链管理的基本目标。本文通过引入期权机制,提出了制造商预订上游供应商的生产能力的数学模型,使之能以较低的风险获取外部资源,以保证经营目标的实现。同时,也能使供应商通过期权降低自身的经营风险,增强收益的能力,最终实现供应链利益的整体协调。     

冲突视角下运输订单商业竞争战略研究

运用图模型理论研究冲突视角下中欧班列运营过程中运输订单商业竞争战略,构建“渝新欧”班列运营商、“苏满欧”班列运营商和昆山IT企业之间的商业竞争冲突模型。利用TOPSIS法评估班列的运输效率,确定决策者偏好,通过计算均衡解获得符合各决策者利益的理性对策。借助灵敏度分析研究决策者偏好改变对模型冲突结果的影响。研究表明:在竞争中,运输效率较低的一方可以通过降低价格弥补自身劣势而获得订单;运输效率较高的一方只有通过降价才能获得订单。该研究为班列运营商提供利益冲突中的商业竞争战略,能为顾客企业选择高效合理的运输线路提供有效的战略决策,同时亦能为宏观调控者规范市场、提高市场运输效率提供有效的政策启示。