Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series

In this article three unit root tests that allow for a break in both the seasonal mean and linear trend of the data are proposed. The tests, which can be seen as small-sample corrected versions of already known asymptotic tests, are shown to perform very well in simulations, and much better than their asymptotic counterparts.     

Unit Root Tests in the Presence of Multi-Variance Break and Level Shifts That Have Power Against the Piecewise Stationary Alternative

Structural breaks in the level as well as in the volatility have often been exhibited in economic time series. In this paper, we propose new unit root tests when a time series has multiple shifts in its level and the corresponding volatility. The proposed tests are Lagrangian multiplier type tests based on the residual's marginal likelihood which is free from the nuisance mean parameters. The limiting null distributions of the proposed tests are the χ²distributions, and are affected not by the size and the location of breaks but only by the number of breaks.

We set the structural breaks under both the null and the alternative hypotheses to relieve a possible vagueness in interpreting test results in empirical work. The null hypothesis implies a unit root process with level shifts and the alternative connotes a stationary process with level shifts. The Monte Carlo simulation shows that our tests are locally more powerful than the OLSE-based tests, and that the powers of our tests, in a fixed time span, remain stable regardless the number of breaks. In our application, we employ the data which are analyzed by Perron (1990), and some results differ from those of Perron's (1990).     

The Impact of Competitive Strategy and Supply Chain Strategy on Business Performance: The Role of Environmental Uncertainty*

This article investigates the relationships among competitive strategy, supply chain strategy, and business performance while examining the moderating effect of environmental uncertainty. A total of 604 questionnaires were collected from three cities in China, and the statistical results show significant moderating effects of external environment on the relationships among competitive strategy, supply chain strategy, and business performance. Firms that primarily focus on a differentiation strategy emphasize an agile supply chain strategy. Cost leaders are inclined to implement both lean and agile supply chain strategies, but their emphasis on agile strategy is significantly greater in a volatile environment than in a stable environment. The choice of supply chain strategy does not appear to be an “either‐or” decision and firms could adopt either a lean or an agile strategy, or both, depending on the environment. This article provides significant managerial implications for supply chain practitioners to co‐align supply chain strategy and competitive strategy with the environment to improve performance.     

基于结构方程的内工大普研教育满意度研究

随着我国高等教育的普及,研究生教育日益重要,对在读研究生的满意度进行研究也就具有实际意义。本文以顾客满意度作为出发点,结合结构方程模型的工具,对高校普研教育满意度设立模型,通过不断修正,最终形成五个潜变量和十五个测量变量的理论模型,并对模型进行实证分析,通过模型的拟合度检验了模型与数据的合理性,以期为我校改善普研教育机制提供理论依据。     

北京郊区农民城镇化意愿影响因素的实证分析

城镇化是一项系统工程,涉及农民意愿,内容涵盖农民城镇生活、农村迁建、土地流转和就业意愿等。农民意愿受个人、家庭和制度等因素的影响,因区域的差异而迥异。文章以北京郊区户籍农民调查数据为基础,运用计划行为(TPB)理论构建结构方程模型(SEM)分析其影响因素。结果证明,运用计划行为理论分析意愿的影响因素是适用的,农民的城镇化行为态度已经处于追求经济理性和价值理性阶段,感知行为控制中的非经济理性、迁居成本和个人特征对意愿有较强影响,农民在做决策时会更多参考亲戚、家人和邻里的意见。     

证券市场监管结构分析

证券市场的监管体系通常是由证券法律规制、行政监管、自律监管、媒体监督共同构成的一个结构化整体。在证券市场监管总体中 ,各个组成部分各有其独特的功能和作用 ,它们相互补充又相互制约 ,共同形成证券市场监管结构均衡     

Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies

This paper extends the class of asset-based style factor models with multiple structural breaks to the multivariate setting. We propose a model that allows for the presence of common breaks in a system of factor models for individual hedge fund investment strategies, which share common investment characteristics. We develop a Bayesian approach to inference for the unknown number and positions of the structural breaks, based on a set of filtering recursions similar to those of the forward–backward algorithm. Furthermore, we identify relevant risk factors, common among the series of hedge funds, using a Bayesian model comparison approach. We apply our method to a set of correlated hedge fund strategies, which are mainly characterized by equity related bets. Multiple common breaks are identified, consistent with well-known market events, which reveal evidence for structural changes in the risk exposures as well as in the correlation structure of the analysed series.     

True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison

A common feature of financial time series is their strong persistence. Yet, long memory may just be the spurious effect of either structural breaks or slow switching regimes. We explore the effects of spurious long memory on the elasticity of the stock market price with respect to volatility and show how cross-sectional aggregation may generate spurious persistence in the data. We undertake an extensive Monte Carlo study to compare the performance of five tests, constructed under the null of true long memory versus the alternative of spurious long memory due to level shifts or breaks.     

济阳拗陷深层隐蔽构造及其勘探意义

基于构造本身的复杂性， 提出了隐蔽构造的概念， 认为隐蔽构造是指那些受勘探技术限制以及构造自身的复杂性而不能明确其特征、 性质和演化历史的构造。对于隐蔽构造的研究应以界面和变形标志的识别为基础， 地层结构的分析为核心， 以先进的构造思维和技术手段为保证。济阳拗陷深层发育有大型走滑断裂带、 反转构造、 构造转换带或过渡带、 底辟构造带、 潜山内幕构造、 复杂的断裂带、 隐伏断裂等隐蔽构造样式。对于潜山构造的勘探， 可以顺走滑断裂带进行勘探。隐蔽构造样式的识别对拓展深层油气勘探新领域，优选与评价有利油气富集区带， 以及进一步的油气地质综合研究等， 均具有一定意义。     

A cross-validation of a structural equation model of accidents: organizational and psychological variables as predictors of work safety

A study to establish a structural equation model of accidents is presented. The eight variables included in the model were those associated with accidents in previous research. The reliability of questionnaires to measure those variables and a structural equation model relating them are provided. The model explaining the occurrence of accidents was cross-validated through three Spanish samples (n=123; 182; 124).The model presented a good fit to data in two samples, while a third had unclear fit indices. Therefore, most relationships among variables did not vary among these three samples. The role of the safety variables in the model is discussed. The discussion is also focused on risk measurement difficulties commonly reported in the literature. Finally, some suggestions for future safety research with structural equation modelling techniques are provided.