A Non‐parametric Test of Exchangeability for Extreme‐Value and Left‐Tail Decreasing Bivariate Copulas

Abstract. A non‐parametric rank‐based test of exchangeability for bivariate extreme‐value copulas is first proposed. The two key ingredients of the suggested approach are the non‐parametric rank‐based estimators of the Pickands dependence function recently studied by Genest and Segers, and a multiplier technique for obtaining approximate p‐values for the derived statistics. The proposed approach is then extended to left‐tail decreasing dependence structures that are not necessarily extreme‐value copulas. Large‐scale Monte Carlo experiments are used to investigate the level and power of the various versions of the test and show that the proposed procedure can be substantially more powerful than tests of exchangeability derived directly from the empirical copula. The approach is illustrated on well‐known financial data.     

现代物流业的发展对经济结构优化的作用机理与实证研究——以山东省为例

目前山东省已进入经济结构转型的关键时期,发展现代物流业对于带动山东产业升级,促进经济结构转型具有重要作用。本文运用相关理论阐述了现代物流业优化三次产业的机理,利用山东省相关统计数据,运用产业乘数方法对山东省1990-2010年现代物流业优化经济结构的情况进行实证分析,进而提出了相关的结论和建议。     

Small sample performance of large sample tests for tobit versus p -tobit

Large sample tests for the standard To bit model versus the ^p -Tobit model by Deaton and Irish (1984) are studied. The normalized one-tailed score test by Deaton and Irish (1984) is shown to be a version of Neyman's C(α) test that is valid for the non-standard problem of the null hypothesis lying on the boundary of the parameter space. Then, this paper reports the results of Monte Carlo experiments designed to study the small sample performance of large sample tests for the standard Tobit specification versus the ^p -Tobit specification.     

Estimation and testing stationarity for double-autoregressive models

Summary.  The paper considers the double-autoregressive model y _t  =  φ y _{t −1}+ ɛ _t with ɛ _t  =     . Consistency and asymptotic normality of the estimated parameters are proved under the condition E  ln | φ  +√ α η _t |<0, which includes the cases with | φ |=1 or | φ |>1 as well as     . It is well known that all kinds of estimators of φ in these cases are not normal when ɛ _t are independent and identically distributed. Our result is novel and surprising. Two tests are proposed for testing stationarity of the model and their asymptotic distributions are shown to be a function of bivariate Brownian motions. Critical values of the tests are tabulated and some simulation results are reported. An application to the US 90-day treasury bill rate series is given.     

ON OPTIMIZING MULTI-LEVEL DESIGNS: POWER UNDER BUDGET CONSTRAINTS

This paper derives a procedure for efficiently allocating the number of units in multi‐level designs given prespecified power levels. The derivation of the procedure is based on a constrained optimization problem that maximizes a general form of a ratio of expected mean squares subject to a budget constraint. The procedure makes use of variance component estimates to optimize designs during the budget formulating stages. The method provides more general closed form solutions than other currently available formulae. As such, the proposed procedure allows for the determination of the optimal numbers of units for studies that involve more complex designs. A method is also described for optimizing designs when variance component estimates are not available. Case studies are provided to demonstrate the method.     

A Model for Water Pricing

This note describes a situation in which a simple mathematical model helped solve an important practical problem: how to price water fairly. It is intended as an example, rather than as a mathematical contribution to control theory.     

Real and Spurious Long-Memory Properties of Stock-Market Data

We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure of Lobato and Robinson. Spurious results can be produced by nonstationarity and aggregation. We address these problems by analyzing subperiods of returns and using individual stocks. The test results show no evidence of long memory in the returns. By contrast, there is strong evidence in the squared returns.     

期刊影响因子的影响因素分析

期刊的影响因子是期刊学术影响力的一个重要评价指标,但单纯依靠该指标对期刊进行学术评价有失偏颇。文章从影响因子的定义出发,对影响期刊影响因子的主客观因素进行了分析。结果表明,客观因素中,学科间差异和统计时段的影响无规律可循;综述类期刊和综述性文章比重大的期刊影响因子普遍高于其他期刊;期刊的刊文数量和作者数量越多,影响因子越大;统计样本越多,期刊的影响因子越大。主观因素导致的期刊影响因子增大不能体现期刊的学术影响力。在对期刊的学术水平进行评价时,如果以“他引影响因子”作为评价指标,或将影响因子作为目标函数,他引率和扩散因子作为约束条件,从而优化出评价指标应该更为客观与公正。     

电子货币的货币乘数效应：基于中国的实证分析

 摘　　要:本文选取我国1990—2004年电子货币的样本数据，以及电子货币与货币乘数相关的变量，建立计量经济模型，对电子货币与货币乘数的相关性进行了统计检验。实证结果表明，电子货币对货币乘数具有放大效应，增强了货币乘数的内生性，加大了中央银行控制货币供给的难度，从而降低了货币政策的有效性。