Testing for Unit Roots and the Impact of Quadratic Trends,with an Application to Relative Primary Commodity Prices

In practice a degree of uncertainty will always exist concerning what specification to adopt for the deterministic trend function when running unit root tests. While most macroeconomic time series appear to display an underlying trend, it is often far from clear whether this component is best modeled as a simple linear trend (so that long-run growth rates are constant) or by a more complicated nonlinear trend function which may, for instance, allow the deterministic trend component to evolve gradually over time. In this article, we consider the effects on unit root testing of allowing for a local quadratic trend, a simple yet very flexible example of the latter. Where a local quadratic trend is present but not modeled, we show that the quasi-differenced detrended Dickey–Fuller-type test of Elliott et al. (1996 Elliott , G. , Rothenberg , T. J. , Stock , J. H. ( 1996 ). Efficient tests for an autoregressive unit root . Econometrica 64 : 813 – 836 .[Crossref], [Web of Science ®] , [Google Scholar]) has both size and power which tend to zero asymptotically. An extension of the Elliott et al. (1996 Elliott , G. , Rothenberg , T. J. , Stock , J. H. ( 1996 ). Efficient tests for an autoregressive unit root . Econometrica 64 : 813 – 836 .[Crossref], [Web of Science ®] , [Google Scholar]) approach to allow for a quadratic trend resolves this problem but is shown to result in large power losses relative to the standard detrended test when no quadratic trend is present. We consequently propose a simple and practical approach to dealing with this form of uncertainty based on a union of rejections-based decision rule whereby the unit root is rejected whenever either of the detrended or quadratic detrended unit root tests rejects. A modification of this basic strategy is also suggested which further improves on the properties of the procedure. An application to relative primary commodity price data highlights the empirical relevance of the methods outlined in this article. A by-product of our analysis is the development of a test for the presence of a quadratic trend which is robust to whether the data admit a unit root.     

单位根过程联合检验的Bootstrap研究

 本文以Ferretti和Romo的Bootstrap方法为基础进行拓展完成三种联合检验,并从理论证明了Bootstrap方法的有效性;使用蒙特卡洛模拟技术比较了Bootstrap检验与临界值检验的效果。模拟表明,在误判率上,Bootstrap方法下三个检验量的误判率分别为2.22%、3.70%、0.00%,而临界值的误判率分别高达22.22%、11.11%、15.56%;在精确程度上,Bootstrap方法的精度分别是临界值方法的11.25倍、26倍和6.5倍。模拟表明了本文构造的Bootstrap检验方法可以替代临界值方法,特别在小样本下,Bootstrap方法的优势表现更为明显。     

有限样本平稳序列与单位根序列的不可区分性

本文应用依分布收敛相关理论,给出在有限样本下,平稳序列与单位根序列不可精确区分这一结论的新证明;结合蒙特卡洛模拟实验,解释了有限样本下单位根检验出现水平扭曲或功效偏低现象的合理性;本文还在相同的理论框架下证明,根据有限序列所得的参数估计值、相应统计量及样本外一期预测值的依分布收敛性,从而说明针对有限样本的单位根检验尽管不完美,但仍是有意义的。     

论单位累犯的增设及其构成条件

单位累犯是新刑法把单位确立为犯罪主体以来刑法理论上研究的热点问题之一,在分析各种观点以后得出新刑法没有规定单位累犯,进而主张增设单位累犯,并对单位累犯的构成要件及相关问题作了进一步的讨论,这对于研究我国单位犯罪及现行累犯制度的发展完善具有积极意义。     

自创无形资产计价和核算的探讨

随着知识经济的不断发展 ,无形资产的核算越来越重要。但是在现行无形资产核算制度中 ,还存在一些不合理的方面 ,如自创无形资产不能全额计价 ,自创商誉不能确认为无形资产等等。因此 ,有必要进行研究和探讨 ,使无形资产的核算达到公平合理     

"单位人"的伦理选择--由宗法文化的特质谈起

主要阐述了中国宗法文化传统对"单位人"伦理选择的影响.由于单位组织资源的不可流动性,个人对单位、单位对国家的依附成为改革以前社会关系中的普遍状态.单位在对其成员家长式的权威、高度强调集体利益以及其所承担的全面责任等等方面与传统的家族企业相比,体现着一定的相似性.这种形式上的多样性揭示出宗法文化对不同组织成员伦理选择上的某种根性等级均衡造就的平均主义、集权主义传统造就的依附与顺从以及以家庭为中心的交往传统造就的特殊主义交往模式.     

超越维度视域下的哲学教科书体系扬弃理路刍议

盾构刀具磨损检测一直是盾构施工过程中的一个难题。在盾构机掘进过程中,无法直接测量刀具的磨损量,这就给刀具的视情换刀带来了巨大的困难。针对盾构施工时的刀具磨损检测,设计了盾构滚刀磨损在线检测系统。其中,下位机采用电涡流传感器对盾构滚刀的磨损进行检测,将电涡流传感器采集到的电信号转换为数字信号后通过串行通信方式与上位机通信;上位机利用C#编程语言开发了盾构滚刀磨损检测软件系统,将下位机采集到的信号进行处理与计算并显示出刀具的磨损量。通过对盾构滚刀磨损的实时测量,从而及时准确地掌握滚刀的磨损状态,为“视情换刀”提供技术支持。     

论社会转型期城市社区福利的模式变迂

计划经济时代中国城市建立了与单位制相适应的传统社区福利模式,该模式以单位福利制为主体、民政福利和社区福利服务为补充,满足了当时城市居民的基本生活需求。随着中国进入体制转轨和社会转型期,传统社区福利模式面临着严峻的挑战。中国将要建立的社区福利模式是一个社会化、开放型的福利体系,它以社会化福利机构和项目为主体、以经过改造的国家福利和职业福利为补充。     

Tests for Unit Roots and the Initial Condition

The paper analyzes the impact of the initial condition on the problem of testing for unit roots. To this end, we derive a family of optimal tests that maximize a weighted average power criterion with respect to the initial condition. We then investigate the relationship of this optimal family to popular tests. We find that many unit root tests are closely related to specific members of the optimal family, but the corresponding members employ very different weightings for the initial condition. The popular Dickey‐Fuller tests, for instance, put a large weight on extreme deviations of the initial observation from the deterministic component, whereas other popular tests put more weight on moderate deviations. Since the power of unit root tests varies dramatically with the initial condition, this paper explains the results of comparative power studies of unit root tests. The results allow a much deeper understanding of the merits of particular tests in specific circumstances, and a guide to choosing which statistics to use in practice.