Near-integration and deterministic trends

In this paper we seek to analyze the implications for estimation and inference within the Dickey-Fuller class of models when time series contain a root local to unity. We extend the results previously obtained in the literature to models with maintained deterministic components and especially the ability of conducting inference on the deterministic elements is focused. The approach undertaken also helps bridging the discontinuity in limiting distributions that usually apply when roots lie exactly on the unit circle, as opposed to roots strictly less than unity. The paper is completed by simulating some of the distributions suggested by the asymptotic theory to see how well these approximate the actual finite sample distributions.     

The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors

In this paper we compare Bartlett-corrected, bootstrap, and fast double bootstrap tests on maximum likelihood estimates of cointegration parameters. The key result is that both the bootstrap and the Bartlett-corrected tests must be based on the unrestricted estimates of the cointegrating vectors: procedures based on the restricted estimates have almost no power. The small sample size bias of the asymptotic test appears so severe as to advise strongly against its use with the sample sizes commonly available; the fast double bootstrap test minimizes size bias, while the Bartlett-corrected test is somehow more powerful.     

王力《古代汉语》注释补正

王力主编的《古代汉语》教材虽经两次修订,仍然存在一些缺点和不足。本文仅就其若干注释提出商榷。     

Exactly optimal sampling designs for processes with a product covariance structure

The author considers the problem of finding exactly optimal sampling designs for estimating a second‐order, centered random process on the basis of finitely many observations. The value of the process at an unsampled point is estimated by the best linear unbiased estimator. A weighted integrated mean squared error or the maximum mean squared error is used to measure the performance of the estimator. The author presents a set of necessary and sufficient conditions for a design to be exactly optimal for processes with a product covariance structure. Expansions of these conditions lead to conditions for asymptotic optimality.     

A new strategy for speeding Markov chain Monte Carlo algorithms

Markov chain Monte Carlo (MCMC) methods have become popular as a basis for drawing inference from complex statistical models. Two common difficulties with MCMC algorithms are slow mixing and long run-times, which are frequently closely related. Mixing over the entire state space can often be aided by careful tuning of the chain's transition kernel. In order to preserve the algorithm's stationary distribution, however, care must be taken when updating a chain's transition kernel based on that same chain's history. In this paper we introduce a technique that allows the transition kernel of the Gibbs sampler to be updated at user specified intervals, while preserving the chain's stationary distribution. This technique seems to be beneficial both in increasing efficiency of the resulting estimates (via Rao-Blackwellization) and in reducing the run-time. A reinterpretation of the modified Gibbs sampling scheme introduced in terms of auxiliary samples allows its extension to the more general Metropolis-Hastings framework. The strategies we develop are particularly helpful when calculation of the full conditional (for a Gibbs algorithm) or of the proposal distribution (for a Metropolis-Hastings algorithm) is computationally expensive. Partial financial support from FAR 2002-3, University of Insubria is gratefully acknowledged.     

不完美英雄:格式塔理论解读人物形象的建构过程

E·H·冈布里奇关于艺术创作的格式塔理论解答了艺术形象再现的建构机制以及观者在此过程中担任的角色,试图通过利用该理论中提出的重要概念,即"图式与修正"和"制作与匹配",对18世纪小说《弃儿汤姆·琼斯的历史》中的主人公汤姆·琼斯的人物形象进行解读.在该小说的释读中,读者不再是被动地参与,而是经历了一个心理建构的历程:由图式阶段形成的汤姆的天真、善良、热心,逐渐通过"制作与匹配"的途径,发现了汤姆自身存在的生活不检点、道德立场不强等劣根性,与之前印象比较形成反差,逐步与作家菲尔丁的创作意图靠近,通过这样一个"修正"的过程逐渐形成了与作家意图一致的人物形象,即汤姆·琼斯呈现出一个不完美英雄的形象:一个热心、正义却也不乏各种缺点的圆形人物,进而也使该人物形象更为真实、更贴近生活、贴近读者,让读者产生一种意犹未尽之感.     

我国国债期货与现货价格动态关系研究

目前,我国国债期货市场正处于起步阶段,国债期货市场的价格发现、风险规避和套期保值等功能是否充分发挥其作用尚不明确,因此有必要对此进行研究。国债期货的再次推出,不仅是对我国金融市场的完善,更是为现货市场的发展保驾护航。为探究国债期货与现货价格之间的动态关系,选取国债期货交易真实数据并构建VAR模型和ECM模型进行研究,发现我国国债期货市场与现货市场价格都较多依赖旧的自身信息,而对同期的新信息反应比较弱,两种价格之间联系并不紧密,各自对对方信息变化反应强烈程度与反应缓慢程度不同,期货价格对现货价格的影响缓慢表现出来且影响较小。因此从长期来看,扩大国债规模、增加国债现货交易和加强期货交易制度的建设,才能使国债期货与现货市场紧密联系,互相引导。     

胡耀邦新时期党内民主思想初探

近年来,随着我国经济快速发展,钢材产量和消费量逐年递增,钢材流通业也随之发展壮大.然而,我国钢材流通整体上仍然处于比较落后的水平,存在组织化、标准化和专业化程度低,交易市场和加工配送中心布局不合理等问题.因此,需要对我国钢材流通体系进行有效的调整、改造和提升,以打造布局合理、富有效率的现代化钢材市场流通体系.     

我国零售市场发展与国民经济增长关系的数量分析

本文采用计量经济学的协整理论对我国改革开放以来社会消费品零售总额(CON)和国内生产总值(GOP)之间的关系进行了实证研究。旨在通过对有关经济数据的分析建立二者之间长期的协整关系方程和短期变动方程。并进一步论证,零售市场的发展对我国宏观经济持续高速发展有着不可忽视的作用。