COMPONENTS OF VARIANCE MODELS WITH TRANSFORMATIONS

Power transformations are a popular way to improve the agreement between the observations and the assumptions in a statistical model. In this paper it is assumed that the data, after appropriate power transformation Λ, satisfies a variance components model, with independent Gaussian components. The focus is on inference for quantities which have an interpretation regardless of the choice of Λ (Carroll & Ruppert, 1981) – in particular the intraclass correlation coefficient ρ, the predicted probability of a new observation being less than a specified value and the predicted quantile. It is shown that, in the case Λ= 0, the asymptotic variance of ρ is the same, whether or not one treats Δ as estimated or as known. This supports an empirical conjecture of Solomon (1985). For predicted probabilities and predicted quantiles the variance when A is estimated is shown to be only slightly greater than the variance assuming Δ is known, except in the tails of the distribution where there can be substantial difference between the two variances.     

通胀与通缩的交替换位及政策选择

世界各个国家在经济运行中通胀与通缩及其交替换位既有必然性又有偶然性。中国目前处在已完成了由通胀到通缩的转换但尚未实现由通缩到通胀转换的阶段。中国应在避免通胀与通缩频繁交替换位的前提下 ,采取有效政策实现由通缩到可容忍的通胀即温和通胀转换 ,实现经济的低通胀高增长。     

Growth and Inflation Disparities in Corridor V

The paper offers a brief discussion about the role of transport infrastructure in the current growth strategy followed by the European Union. As a corridor is the locus where transport infrastructure and growth should interact more effectively, the central part of the Corridor V is considered as an interesting case study. A growth scenario for eight countries is provided to show that wide growth disparities are to be expected during the next decade. The final part of the paper speculates about inflation differentials that are likely to emerge when growth differentials tend to persist inside a monetary union. As the Euro zone will be enlarged to host fast-growers in Corridor V such as Slovenia (maybe as soon as 2007), Hungary, and the Slovak Republic, growth differentials and the single monetary policy could make it difficult to deliver a common monetary environment.     

孔祥熙和抗战时期的通货膨胀

抗日战争时期,孔祥熙处理通货膨胀的立场、观点和方式充满了矛盾性:一方面,他迫于某些客观原因不得不采用通货膨胀政策来支持国民政府的抗战需要,但又出于某种考虑竭力否认通货膨胀的存在;另一方面,他有时又承认通货膨胀的存在,并尽力抑制其发展.这种矛盾性归根结底是由通货膨胀问题本身的复杂性决定的,所以,它不仅不会成为我们简单批评和否定孔祥熙的理由,相反,它倒提醒我们,应当实事求是地分析、评价孔祥熙其人以及抗战时期国民政府的财政政策.只有这样,才能纠正某些传统学术观点和舆论认识的误区.     

通胀对高管的股权激励和工作努力策略的影响

股权激励能够使得公司与高管的共同利益最大化,并且解决由于信息不对称所产生的委托代理问题。高管不可观测的工作控制着公司股票价格。由于高管的真实财富受到市场通胀不确定性的影响,本文研究了通胀环境下,以风险厌恶和工作努力效率为特质的高管,在银行无风险资产账户、市场投资组合和公司股票间寻求最优配置以达到个人终端真实财富预期效用最大化。首先利用伊藤公式得到了高管的真实财富过程;其次利用动态规划原理构建了满足最优工作努力策略和股权激励问题的哈密尔顿-雅可比-贝尔曼(HJB)方程,并找到了解析解;最后对结果进行了数值模拟,并从经济学的角度分析了通胀风险对高管的股权激励和工作努力策略的影响。本文研究表明:由于通胀不确定性影响着高管财富的实际价值,当高管财富效用服从对数函数时,公司股票占高管个人财富的最优比例不受通胀风险影响,但是高管在市场投资组合的投资比例随通胀波动率的增加而下降,进而影响到高管对市场投资组合账户和银行无风险资产账户的投资比例。高管的财富效用服从幂函数时,对于长期契约,股权激励代表的长远共同利益引导着高管看好公司的发展前景,激励着高管付出更高水平的努力,此时通胀带来的货币贬值风险对高管...     

货币政策非对称性与惰性区域的识别和检验

在对货币当局政策偏好分析的基础上,构建更为一般的货币政策反应模型,用于识别名义利率对通胀缺口和产出缺口的非线性和非对称调整特征以及货币政策对通货膨胀和产出变化的惰性属性。采用7天期银行间同业拆借加权平均利率作为名义利率的代理变量,对上述货币政策反应模型进行广义矩估计,并对参数进行约束检验。研究结果表明,中国货币政策对通货膨胀的调整存在明显的惰性区域,即当通货膨胀率在目标通货膨胀率的较小范围内波动时,利率并未针对通货膨胀与目标通货膨胀率的偏离做出调整,而当通货膨胀率与目标通货膨胀率的偏离(即通胀缺口)超过惰性区域时,货币当局开始针对通胀缺口调整利率,并且随着通胀缺口的增大,利率对通货膨胀的反应越来越强烈,存在明显的非线性调整特征。     

A new multicollinearity diagnostic for generalized linear models

We propose a new collinearity diagnostic tool for generalized linear models. The new diagnostic tool is termed the weighted variance inflation factor (WVIF) behaving exactly the same as the traditional variance inflation factor in the context of regression diagnostic, given data matrix normalized. Compared to the use of condition number (CN), WVIF shows more reliable information on how severe the situation is, when data collinearity does exist. An alternative estimator, a by-product of the new diagnostic, outperforms the ridge estimator in the presence of data collinearity in both aspects of WVIF and CN. Evidences are given through analyzing various real-world numerical examples.     

基于通货膨胀和风险偏好视角的资产配置研究

不确定条件下的资产配置问题无论对于学术研究还是投资行为都具有重大的理论和实际意义。本文选取广义范围上的现金、股票、债券作为投资者进行资产配置的产品,在CRRA(Constant Relative Risk Aversion)和HARA(Hyperbolic Absolute Risk Aversion)两种偏好假设下,分别求出了投资者效用最大化时的最优财富以及最优资产组合中各资产的权重,并比较分析了两种偏好假设下通货膨胀、风险偏好、投资期限三种因素对资产配置的影响。研究结论表明:通货膨胀会影响股票和债券的风险溢价,进而影响最优资产组合中各资产的权重;股票的权重不会受投资期限的影响,在通货膨胀率和风险偏好不变时,其值始终为一常数,但债券和现金的权重则由投资期限、通货膨胀和风险偏好共同决定;此外,在CRRA和HARA偏好假设下,以上三种因素对资产配置的影响存在较大差异,特别是在HARA框架下存在买空行为。     

Analyzing propensity matched zero-inflated count outcomes in observational studies

Determining the effectiveness of different treatments from observational data, which are characterized by imbalance between groups due to lack of randomization, is challenging. Propensity matching is often used to rectify imbalances among prognostic variables. However, there are no guidelines on how appropriately to analyze group matched data when the outcome is a zero-inflated count. In addition, there is debate over whether to account for correlation of responses induced by matching and/or whether to adjust for variables used in generating the propensity score in the final analysis. The aim of this research is to compare covariate unadjusted and adjusted zero-inflated Poisson models that do and do not account for the correlation. A simulation study is conducted, demonstrating that it is necessary to adjust for potential residual confounding, but that accounting for correlation is less important. The methods are applied to a biomedical research data set.     

Bayesian zero-inflated generalized Poisson regression model: estimation and case influence diagnostics

Count data with excess zeros arises in many contexts. Here our concern is to develop a Bayesian analysis for the zero-inflated generalized Poisson (ZIGP) regression model to address this problem. This model provides a useful generalization of zero-inflated Poisson model since the generalized Poisson distribution is overdispersed/underdispersed relative to Poisson. Due to the complexity of the ZIGP model, Markov chain Monte Carlo methods are used to develop a Bayesian procedure for the considered model. Additionally, some discussions on the model selection criteria are presented and a Bayesian case deletion influence diagnostics is investigated for the joint posterior distribution based on the Kullback–Leibler divergence. Finally, a simulation study and a psychological example are given to illustrate our methodology.