Cointegrated systems II

The three invited papers in this special issue of Econometric Reviews on "Cointegrated Systems II" complement the previous special issue of the journal. The paper by Eric Zivot and Peter Phillips provides a comprehensive Bayesian analysis of trend determination in economic time series. Two interesting comments on some aspects of current research involving cointegration and the modelling of dynamic economic relationships are provided by Clive Granger and Denzil Fiebig.     

Regenerative Markov Chain Monte Carlo for Any Distribution

While Markov chain Monte Carlo (MCMC) methods are frequently used for difficult calculations in a wide range of scientific disciplines, they suffer from a serious limitation: their samples are not independent and identically distributed. Consequently, estimates of expectations are biased if the initial value of the chain is not drawn from the target distribution. Regenerative simulation provides an elegant solution to this problem. In this article, we propose a simple regenerative MCMC algorithm to generate variates for any distribution.     

Long memory stochastic volatility : A bayesian approach

We propose a simulation-based Bayesian approach to the analysis of long memory stochastic volatility models, stationary and nonstationary. The main tool used to reduce the likelihood function to a tractable form is an approximate state-space representation of the model, A data set of stock market returns is analyzed with the proposed method. The approach taken here allows a quantitative assessment of the empirical evidence in favor of the stationarity, or nonstationarity, of the instantaneous volatility of the data.     

Bayesian,MLE, and GMM Estimation of a Spot Rate Model

ABSTRACT

We develop Markov chain Monte Carlo algorithms for estimating the parameters of the short-term interest rate model. Using Monte Carlo experiments we compare the Bayes estimators with the maximum likelihood and generalized method of moments estimators. We estimate the model using the Japanese overnight call rate data.     

Clear Effects in the 2 n−p Combined Design

The technique of semifolding is used to develop the 2 ^n?p designs. Based on the initial analysis, some factors may be more important than others. In other words, the results from analyzing the original experiment may suggest a specific set of effects to be de-aliased. On the other hand, some previously acquired information might be available for specific factors. In these cases, one may desire to isolate the main effects of these factors and each of their two-factor interactions in the experiments. Four rules that are presented in this article can systematically isolate effects of potential interest, which should serve well for researchers in all disciplines. The combined design, by semifolding, provides estimates of the interactions that involve specific factors so that the alias chains of the two-factor interactions can be broken.     

Workload Process,Waiting Times,and Sojourn Times in a Discrete Time MMAP[K]/SM[K]/1/FCFS Queue

Abstract

In this paper, we study the total workload process and waiting times in a queueing system with multiple types of customers and a first-come-first-served service discipline. An M/G/1 type Markov chain, which is closely related to the total workload in the queueing system, is constructed. A method is developed for computing the steady state distribution of that Markov chain. Using that steady state distribution, the distributions of total workload, batch waiting times, and waiting times of individual types of customers are obtained. Compared to the GI/M/1 and QBD approaches for waiting times and sojourn times in discrete time queues, the dimension of the matrix blocks involved in the M/G/1 approach can be significantly smaller.     

农业对外投资布局对母国参与全球价值链的影响——基于社会网络分析视角

参与全球农业价值链,是保障国家粮食安全、提高农业产业竞争力和影响力的重要举措。基于TiVA数据库和UN COMTRADE数据库测算64个国家全球农业价值链的参与程度与分工地位,采用社会网络分析方法构建全球农业对外投资网络,实证分析农业对外投资布局对一国参与全球农业价值链的影响。结果表明,当前全球农业对外投资网络由发达国家主导;网络中心性和网络异质性对全球价值链地位有显著正向影响,即一国越处于网络中心且投资金额越分散,其价值链地位越高;网络规模有负向影响,盲目拓展投资网络的规模化优势难以抵消农业对外投资的高风险。基于研究结果,从分环节优化农业对外投资布局、深耕既有农业对外投资网络、逐步嵌入发达国家主导的农业对外投资网络等方面提出促进中国价值链地位攀升的建议。     

提升供应链韧性和安全水平推动经济高质量发展的路径

在百年未有之大变局和中国进入高质量发展阶段的背景下,明确中国供应链安全面临的挑战与优势,提升中国供应链韧性和安全水平,是构建新发展格局、实现制造业高质量发展、维护国家经济安全的必然要求。中国供应链安全面临着关键核心技术“卡脖子”、供应链“断链”与产业跨境转移等风险,同时也具备产业体系优势、市场规模优势、举国体制优势和数字基建优势。为增强供应链韧性和安全水平,要以新型举国体制推动关键核心技术突破,推动数字化转型和数智供应链建设,优化制造业产业链高中低端产业布局,发挥超大规模内需市场的稳定作用,推进高水平对外开放,进而推动中国经济高质量发展。     

中国产业链供应链现代化水平的区域差异及收敛性研究

提升产业链供应链现代化水平是推动经济体系优化升级的重点任务。论文首先界定了产业链供应链现代化的内涵,并根据其内涵构建综合评价指标体系。然后,研究2011—2020年产业链供应链现代化水平的分布动态、区域差异与空间收敛性。结果表明：我国产业链供应链现代化水平在空间上呈现出“东高、中西低”的阶梯状空间分布特征;区域产业链供应链现代化水平差异主要来源于区域间差异,而区域间差异主要来源于东部-中部和东部-西部的地区差异;全国及各区域产业链供应链现代化水平在空间上无明显σ收敛特征,全国及各区域存在显著的绝对β收敛和条件β收敛,表明各区域朝着自身稳定状态发展。最后根据研究结果,提出关于产业链供应链现代化水平提升的对策建议。