Comment on “modeling asset returns with alternative stable distributions”

This paper considers a modified CUSUM test, suggested by Dufour (1982) for parameter instability and structural change with an unknown change point in a linear model with serially correlated disturbances, in which a preliminary estimate of the autoregressive coefficient for the error process is obtained, and used to transform the data. Then the standard CUSUM statistic is calculated on the transformed data. This paper derives the asymptotic distribution of the modified CUSUM test. We show that the modified CUSUM test retains its asymptotic significance level, i.e., the modified CUSUM test has the same asymptotic distribution as the CUSUM test with serially uncorrelated errors.     

英语应用能力考试（A级）对听力教学的反拨作用研究

语言测试对教学工作有着不可忽视的反拨作用。介绍了反拨作用的分类,高职英语听力教学的特点,并从正反两个方面分析了高等学校英语应用能力考试对高职英语听力教学的反拨作用。     

论普通话水平测试中AABB式形容词读音的判定标准

普通话水平测试中AABB式形容词的读音判定问题由来已久,测试员标准掌握不一会影响受试者的成绩,文章分析了这个问题存在的原因,并在进行语言现状和语言态度有关调查的基础上建议了新的判定标准,即为了有利于普通话推广工作,在普通话水平测试中AABB式形容词的读音可依据柔性原则执行,即不按照字音扣分,而在语调测试项里视程度扣分.     

《普通话水平测试实施纲要》指瑕

普通话水平测试国家指导用书《普通话水平测试实施纲要》中有许多读音等有误或值得商榷的地方。文章列举了其中几个部分的40种情况,与专家学者共同探讨。希望对《普通话水平测试实施纲要》予以重新审订,确保其规范性和实用性。     

Testing equality of two normal means using combined samples of paired and unpaired data

A test for equality of two normal means when the data consist of both paired and unpaired observations is proposed. The proposed test is compared with two other standard methods known in the literature with respect to the type I error rate and power using simulation results.     

The Cucconi Test for Location-scale Alternatives in Application to Asymmetric Hydrological Variables

To identify location-scale trends, which environmental data often exhibit, location-scale tests have to be addressed. The aim of this article was to estimate size and power of the Cucconi rank-based test when applied to various skewed distributions, typical in hydrology. Results of the Monte Carlo simulation revealed great power for series with low coefficient of variation, time of change close to the middle, not very heavy tail, and with length of at least 60. Comparison to the Lepage test discovered larger usefulness of the Cucconi test for short series and change close to the middle. Several practical applications were presented.     

Generalized hazard-based goodness-of-fit tests for a repairable system

This paper examines the problem of goodness-of-fit concerning the distribution of the initial failure times of a repairable system. In particular, the class of intensity-based smooth goodness-of-fit tests studied in Pen ¨ a (1998a,b) and Agustin and Pen ¨ a (2000, 2001) is considered. Specific members of the family are derived and are shown to be generalizations of existing tests for independent and identically distributed observations. The results of a Monte Carlo simulation study are presented to illustrate the potential of these tests as powerful directional and omnibus tests.     

Empirical assessment of the applicability of shrinkage predictors in regression when past and future data differ

Jones and Copas (1986) present theoretical and simulation results on the relative merits of a Stein predictor (Copas, 1983) and the ordinary least squares predictor in the usual linear multiple regression model, when certain distributional properties of the regressor variables arising in the past differ from those for which predictions are to be made. Here, extension is made to the practical situation where the true regression parameters are unknown. A hypothesis testing procedure is developed to help determine which of shrinkage and least squares is preferable in any given instance. This approach is applied to explain some empirical evidence on the comparative merits of the two procedures, recently given by Berk (1984).     

Testing for mean and variance differences with samples from distributions that may be non-normal with unequal variances

The problem of comparing several samples to decide whether the means and/or variances are significantly different is considered. It is shown that with very non-normal distributions even a very robust test to compare the means has poor properties when the distributions have different variances, and therefore a new testing scheme is proposed. This starts by using an exact randomization test for any significant difference (in means or variances) between the samples. If a non-significant result is obtained then testing stops. Otherwise, an approximate randomization test for mean differences (but allowing for variance differences) is carried out, together with a bootstrap procedure to assess whether this test is reliable. A randomization version of Levene's test is also carried out for differences in variation between samples. The five possible conclusions are then that (i) there is no evidence of any differences, (ii) evidence for mean differences only, (iii) evidence for variance differences only, (iv) evidence for mean and variance differences, or (v) evidence for some indeterminate differences. A simulation experiment to assess the properties of the proposed scheme is described. From this it is concluded that the scheme is useful as a robust, conservative method for comparing samples in cases where they may be from very non-normal distributions.     

不良贷款率对银行业影响的统计关系检验

在5%的显著性水平下,不良贷款率对资本利润率、净利差、资本充足率有单向格兰杰因果关系;而存贷比、流动性比率对不良贷款率有单向格兰杰因果关系;拨备覆盖率与不良贷款率在不同滞后期格兰杰因果关系不同。当不良贷款率上升时,商业银行不应通过承担更高的风险选择高贷款利率的贷款项目以实现其经营绩效;在系统性风险可控的前提下,监管部门和中央银行实施逆周期调整,可适当有选择性地提高容忍度,允许部分商业银行或业务条线调整对资本的计提标准,降低其顺周期性;商业银行应注重盈利性、流动性、安全性之间的平衡,理性对待不良贷款率上升。