On a Bivariate Distribution with Exponential Marginals

A new bivariate distribution with exponential marginals has been introduced by Singpurwalla & Youngren (1993). This distribution is absolutely continuous and has a single parameter. It was originally motivated as the failure model for a two-component system experiencing damage described by a shot–noise process. The purpose of this paper is two-fold. The first is to articulate on several aspects of this distribution, in particular, its genesis, the nature of its dependence, its correlation structure, and its generalized version as a two-parameter bivariate distribution with exponential marginals. The second purpose of this paper is more general. Prompted by the need to explain certain features of the bivariate distribution, it is found useful to introduce a new notion in reliability and survival analysis. This notion is called the hazard potential, of an item susceptible to failure. The hazard potential is viewed as a kind of hidden parameter of failure models that delineates a cause and effect relationship in reliability.     

The relation between unemployment and interest rate:

In bierens (1987) a granger casual relation was found between unemployment and the interest rate for the netherlands. In the present paper we will investigate whether there exists a similar granger casual relation between unemployment and interest rate for a number of other countries. It appears that, with our ARMAX modeling approach, this relationship is not confined to the netherlands, but also holds for the USA, Canada, Japan, Germany, the UK and France. For these countries the interest rate is the main explanatory variable, together with industrial production (the latter with one exception), whereas for most countries the wage rate is of minor or no importance as a determinant of unemployment. A number of economic theories can explain these phenomena of which the revenue maximization theory of baumol (1959) augmented with a flexible labor effort rate seems quite realistic     

河北三次产业运行的实证研究

主要立足于宏观经济系统四个变量之间是否存在格兰杰因果关系的分析,了解这些变量间的制约或促进关系.基于系统的向量自回归(VAR)上的格兰杰因果关系分析,同时结合经济学理论,提出相应的政策建议.     

中国货币政策非中性--货币-产出的因果关系和影响关系检验

货币—产出之间的影响关系涉及到货币政策的有效性和需求管理政策的可行性。我们对货币—产出之间影响关系的一些典型化事实进行了理论分析和统计检验 ,发现一些具有代表性的典型化事实在我国经济运行当中并不成立。这说明在目前实行稳健性货币政策的过程当中 ,我国货币政策的非中性原因和政策传导机制具有与政策工具和市场条件相关的特性。     

我国经济增长与人口出生率的计量分析

目前我国经济快速增长是否对家庭生育意愿产生影响,是当前较少触及的问题。国内大多数学者研究经济发展与人口增长之间的关系,而采用人均GDP与人口出生率指标分析经济增长对人口生育产生影响的研究却较为少见。研究得出,我国经济增长对家庭生育意愿确实产生了负作用;G ranger因果检验分析结果显示,经济快速增长的确是我国人口出生率下降的原因;并对二者进行协整检验,也显示出二者之间具有长期稳定的负均衡关系。     

旅游景区经营权转让系统模型中因果关系的探讨

旅游景区经营权转让系统由科学评估、制度法律、监督管理和生态保护等4个主子系统构成,在景区经营权转让前、转让中和转让后三个阶段,该系统存在8条主要因果反馈回路和5个政策关键杠杆作用点,政府和企业若在关键杠杆作用点上都能够适度作为,将十分有利于旅游景区经营权转让系统的良好运行。     

The effect of spillover on the Granger causality test

In this paper, we investigate the properties of the Granger causality test in stationary and stable vector autoregressive models under the presence of spillover effects, that is, causality in variance. The Wald test and the WW test (the Wald test with White's proposed heteroskedasticity-consistent covariance matrix estimator imposed) are analyzed. The investigation is undertaken by using Monte Carlo simulation in which two different sample sizes and six different kinds of data-generating processes are used. The results show that the Wald test over-rejects the null hypothesis both with and without the spillover effect, and that the over-rejection in the latter case is more severe in larger samples. The size properties of the WW test are satisfactory when there is spillover between the variables. Only when there is feedback in the variance is the size of the WW test slightly affected. The Wald test is shown to have higher power than the WW test when the errors follow a GARCH(1,1) process without a spillover effect. When there is a spillover, the power of both tests deteriorates, which implies that the spillover has a negative effect on the causality tests.     

能源消费与经济增长协整分析：基于宏观数据的比较分析

在综合比较分析关于中国GDP和能源消费的各种宏观统计数据的基础上,选定以Maddison估算的以1987年不变价格衡量的GDP和以IEA估算的能源消费为分析的基础数据,通过单位根检验、协整检验、格兰杰因果分析等分析技术发现：中国GDP和能源消费数据是一阶单整的,存在协整关系,并表现为从经济增长到能源消费的单向因果关系。而进一步的误差修正模型分析结果显示：经济增长和能源消费存在长期的均衡关系,GDP每增加1个百分点,能源消费将提高0．811个百分点;相反,能源消费增加一个百分点,GDP将提高0．194个百分点。这表明中国经济增长与能源消费之间存在密切的关系,能源消费并不是经济增长的一个强外生变量。     

沪深A、B股市场信息传递路径实证分析

运用计量经济学中的ARCH-LM检验、GARCH模型、Granger引导关系检验等分析方法，实证分析了B股市场对境内投资者开放前后沪深两市A指收益率序列与B指收益率序列和非预期收益率序列的Granger引导关系，给出沪深A、B股市场信息传递路径，并且指出从信息流动角度来说，A、B股市场整合的方式是从A股市场向B股市场的内幕消息的传递和从B股市场向A股市场的投资理念的趋同。