COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY

This paper extends the notions of common cycles and common seasonal features to time series having deterministic and stochastic seasonality at different frequencies. The conditions under which quarterly time series with these characteristics have common features are investigated, various representations are presented and statistical inference is discussed. Finally, the analysis is applied to study comovements between different components of consumption and income using UK data.     

BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL

The concept of fractional cointegration, whereby deviations from an equilibrium relationship follow a fractionally integrated process, has attracted some attention of late. The extended concept allows cointegration to be associated with mean reversion in the error, rather than requiring the more stringent condition of stationarity. This paper presents a Bayesian method for conducting inference about fractional cointegration. The method is based on an approximation of the exact likelihood, with a Jeffreys prior being used to offset identification problems. Numerical results are produced via a combination of Markov chain Monte Carlo algorithms. The procedure is applied to several purchasing power parity relations, with substantial evidence found in favor of parity reversion.     

A MODIFIED AVERAGE DERIVATIVES ESTIMATOR

We extend the average derivatives estimator to the case of functionally dependent regressors. We show that the proposed estimator is consistent and has a limiting normal distribution. A consistent covariance matrix estimator for the proposed estimator is provided.     

SEASONAL INTEGRATION FOR DAILY DATA

This paper has two purposes: it introduces the econometric methods used to analyze time series data with general frequency and presents a framework for analyzing economic variables that are measured daily; this special case is then applied to the trading volume of stock markets.     

Analysis of one-way layout of count data in the presence of over or under dispersion

This article develops test statistics for the homogeneity of the means of several treatment groups of count data in the presence of over-dispersion or under-dispersion when there is no likelihood available. The C(α)$C(\alpha )$ or score type tests based on the models that are specified by only the first two moments of the counts are obtained using quasi-likelihood, extended quasi-likelihood, and double extended quasi-likelihood. Monte Carlo simulations are then used to study the comparative behavior of these C(α)$C(\alpha )$ statistics compared to the C(α)$C(\alpha )$ statistic based on a parametric model, namely, the negative binomial model, in terms of the following: size; power; robustness for departures from the data distribution as well as dispersion homogeneity. These simulations demonstrate that the C(α)$C(\alpha )$ statistic based on the double extended quasi-likelihood holds the nominal size at the 5% level well in all data situations, and it shows some edge in power over the other statistics, and, in particular, it performs much better than the commonly used statistic based on the quasi-likelihood. This C(α)$C(\alpha )$ statistic also shows robustness for moderate heterogeneity due to dispersion. Finally, applications to ecological, toxicological and biological data are given.     

Housing and the business cycle in South Africa

This paper examines the housing-output growth nexus in South Africa by accounting for the time variation in the causal link with a bootstrapped rolling Granger non-causality test. We use quarterly data on real gross domestic product, real house prices, real gross fixed capital formation and number of building plans passed. Our data span 1971Q2–2012Q2. Using full sample bootstrap Granger causality tests, we find a uni-directional causality from output to number of building plans passed; a uni-directional causality from real house price to output and a bi-directional causal link between residential investment and output. However, using parameter stability tests, we show that estimated VARs are unstable, thus full-sample Granger causality inference may be invalid. Hence, we use a bootstrap rolling window estimation to evaluate Granger causality between the housing variables and the growth rate. In general, we find that the causality from housing to output and, vice versa, differ across different sample periods due to structural changes. Specifically speaking, house price is found to have the strongest causal relationship with output compared to residential investment and number of building plans passed, with real house price showing predictive ability in all but one downward phase of the business cycle during this period.     

社会学的想象与想象的社会学:帕森斯、米尔斯社会学研究进路比较论要

帕森斯的社会理论和米尔斯的社会研究是“二战”后美国社会学的两条重要且独特的研究路径。帕森斯倡导社会科学中的一般理论研究,核心在于理论和经验的互惠发展的动力学,意在促进社会科学的积累性发展,但确立统一的社会科学无异于建立一种不可能实现的“学术巴别塔”。米尔斯强调的基于社会学想象的社会研究纲领,实质上是一种政治导向的社会研究,最终难免落入学术和政治的双重“想象”困境。研究范式的差异,导致他们对其身处的美国社会作出了判然有别的研究论断。进而言之,这种差异的背后隐含着研究者对现代性问题的不同态度以及政治立场上的深刻分歧。     

以“匠人精神”,写“社会学的诗”:米尔斯的社会学遗产之重估

在米尔斯诞辰百年之际,本文试图重估其社会学遗产。本文指出,米尔斯作为“智识匠人”的志业,即是从内外两个面向揭示美国文明自19世纪末以来的转型及其危机。就内部面向而言,本文聚焦于米尔斯及其同时代的批评者关于美国社会的不同判断及其分歧的实质;就外部面向而言,本文则以米尔斯关于古巴革命的晚期著述为核心,考察米尔斯对古巴问题的讨论在何种意义上构成了对美国民主的外部批评。但是,对米尔斯的社会学遗产的重估,并不止步于此。米尔斯关于社会学写作的文体和“风格”的想象,即其关于“社会学的诗”的论述,构成了其学术遗产的另一个重要部分。本文指出,“社会学的诗”所倡导的审美与人格意蕴,实则是对社会学写作的人文传统的回归。最后,本文讨论了在中文学界的语境下,米尔斯的社会学研究所具有的启发意义。     

Efficiency of financial market intermediation in Kenya: A comparative analysis

Wide interest margins as witnessed in Kenya are a sign of a repressed and inefficient financial sector. This paper carries out a cross-country analysis of the determinants of financial market efficiency using panel cointegration with a view to recommending policy options for improving the efficiency of the financial sector intermediation process in Kenya. The study finds that the major contributors to the differences in financial sector inefficiency in Kenya compared to the other countries in the study are high bank operating costs, default risk and financial market structure. The study recommends, among other measures, that the government through the Central Bank need to collaborate with the commercial banks and establish a working credit reference bureau to enable easy identification of credit worthy customers in order to reduce default risk; there is also need by the central bank to license more new banks to increase competition and reduce bank concentration. The study also recommends increased use of technology including phone-banking and e-banking to reduce operation costs of the banks. The paper concludes that contrary to the findings from other cross-country analysis, the factors that lead to financial market in/efficiency varies from one country to the other.     

C语言课程设计教学新模式的构建与实现

课程设计是计算机专业培养方案的重要组成部分,是计算机专业实践教学体系的核心内容之一。针对C语言课程设计没有达到它原本培养学生解决实际问题能力为目标的现状,本文在分析C语言课程设计教学中存在的问题基础上,提出了一种行之有效的教学新模式。本模式按照模块化实训、案例剖析、实战开发的教学步骤,逐步提高学生的动手能力和独立地获取知识的能力,激发学生对课程设计的兴趣,加强学生的软件工程思维模式的培养。