检验式设定错误对时间序列单位根检验小样本性质的影响

首先对单位根检验的两类常见的数据生成系统进行比较，然后利用蒙特卡洛实验研究了时间序列单位根检验式的设定问题。研究发现在利用DF检验和DF-GLS检验进行时间序列的单位根检验时，检验式设定错误直接影响着检验结果，尤其在推断时间序列是趋势平稳过程还是有时间趋势项的随机游走过程或有二阶时间趋势多项式的随机游走过程时，检验式的错误设定很容易将趋势平稳过程误判为非平稳过程。     

Combining Robust and Traditional Least Squares Methods: A Critical Evaluation

The combination of robust and least squares procedures has frequently been recommended as a useful strategy for constructing models. The application of this strategy to a real-world data set resulted in a model with an incorrect functional form. Additional in-depth investigations into the nature of the application, combined with data-error corrections, made possible the construction of a satisfactory model. The results of the modeling activity were evaluated in terms of model face-validity, the predictive performance on a holdout data set, and the ability to meet user requirements. The findings of this study demonstrate the danger of model-form misspecification when one mistakenly assumes that the combination of robust and least squares procedures compensates for a lack of knowledge about the processes underlying the generation of the data.     

Jump Regressions

We develop econometric tools for studying jump dependence of two processes from high‐frequency observations on a fixed time interval. In this context, only segments of data around a few outlying observations are informative for the inference. We derive an asymptotically valid test for stability of a linear jump relation over regions of the jump size domain. The test has power against general forms of nonlinearity in the jump dependence as well as temporal instabilities. We further propose an efficient estimator for the linear jump regression model that is formed by optimally weighting the detected jumps with weights based on the diffusive volatility around the jump times. We derive the asymptotic limit of the estimator, a semiparametric lower efficiency bound for the linear jump regression, and show that our estimator attains the latter. The analysis covers both deterministic and random jump arrivals. In an empirical application, we use the developed inference techniques to test the temporal stability of market jump betas.     

Robust Bayesian bonus-malus premiums under the conditional specification model

The conditional specification technique introduced by Arnold et al. (Conditional specification of statistical models. Springer series in statistics. Springer, New York, 1999) was used in Sarabia et al. (Astin Bull 34(1):85–98, 2004) to obtain bonus-malus premiums. The Poisson distribution for which the parameter is a function of the classical structure parameter was used and a new class of prior distributions appeared in a natural way. This model contains, as a particular case, the classical compound Poisson model. In the present paper, the Bayesian robustness of this new model is examined and found to be much more robust than in the classical model in Gómez et al. (Insur Math Econ 31:105–113, 2002). For the present study, the moment conditions on the prior distribution are required. Examples, with real data, are given to illustrate our ideas under the net and exponential premium principles.     

A generalization of the beta–binomial distribution

Summary.  The paper describes a distribution generated by the Gaussian hypergeometric function that may be seen as a generalization of the beta–binomial distribution. It is expressed as a generalized beta mixture of a binomial distribution. This new mixing distribution allows the existence of a mode and an antimode, which is very useful for fitting some data sets. Two examples illustrate the greater versatility of the new distribution compared with the beta–binomial distribution.     

新型受贿犯罪的司法适用——《关于办理受贿刑事案件适用法律若干问题的意见》评析

"两高"联合发布的《关于办理受贿刑事案件适用法律若干问题的意见》对十种新型受贿形式提出了处理意见。《意见》规定的十种新型受贿形式都是当前受贿案件办理中经常遇到和存在异议的问题,通过《意见》的明确规定,为我国惩治新型受贿犯罪提供了法律依据。但由于受贿案件的特殊性和复杂性,《意见》对相关问题的规定仍过于概括和模糊。     

基于鞅转化的利率模型漂移函数的设定检验

基于切米雷泽(Khmaladze)鞅转化技术,利用标记的参数经验过程构造两种对利率模型漂移函数参数形式的设定检验方法,并给出该检验方法在原假设条件下的渐近性质与检验统计量的计算方法.所提出的利率模型漂移函数设定检验方法不依赖于利率模型的波动函数形式,即使对于复合假设检验问题也具有渐近分布无关性.蒙特卡洛模拟结果表明这些检验方法具有合理的检验水平(size)和检验功效(power).利用这些检验方法对我国的短期利率动态特征进行实证分析也能得到较好的检验效果.     

信息化条件下修订《会计基础工作规范》的思考

财政部1996年颁发的《会计基础工作规范》中,部分条款已严重滞后于信息化条件下会计基础工作实务的现状。文章从六个方面分析信息化条件下会计基础工作的主要变化,包括:财务集约化管理的要求;前端业务部门的职责;会计凭证与账簿数量大幅增加情况下的打印问题;一键式会计报表对关联交易处理的要求;会计监督的范围和方式;会计电子档案的管理等,并根据这些变化提出了修订《会计基础工作规范》的政策性建议。     

会展专业的特色创建与品牌塑造

当会展业面临着良好发展机遇的同时,会展专业人才的培养已成为眼下高等院校的当务之急。要树立会展专业自己的品牌,关键在于突破传统教育的模式,开发新的有特色的教学形式。本文提倡在教学中组建会展教学载体和平台,将理论与实践相结合,培养学生的会展素质,提倡学生学习的主动性、个性化,最终创立会展前沿操作模式,走产学研一体化的道路,塑造有特色的会展专业品牌。