Testing for a Unit Root in ARIMA Processes

A unit root has important long-run implications for many time series in economics and finance. This paper develops a unit-root test of an ARIMA(p-1, 1, q) with drift null process against a trend-stationary ARMA(p, q) alternative process, where the order of the time series is assumed known through previous statistical testing or relevant theory. This test uses a point-optimal test statistic, but it estimates the null and alternative variance-covariance matrices that are used in the test statistic. Consequently, this test approximates a point-optimal test. Simulations show that its small-sample size is close to the nominal test level for a variety of unit-root processes, that it has a robust power curve against a variety of stationary alternatives, that its combined small-sample size and power properties are highly competitive with previous unit-root tests, and that it is robust to conditional heteroskedasticity. An application to post-Second World War real per capita gross domestic product is provided.     

A bayesian analysis of trend determination in economic time series

In this paper we provide a comprehensive Bayesian posterior analysis of trend determination in general autoregressive models. Multiple lag autoregressive models with fitted drifts and time trends as well as models that allow for certain types of structural change in the deterministic components are considered. We utilize a modified information matrix-based prior that accommodates stochastic nonstationarity, takes into account the interactions between long-run and short-run dynamics and controls the degree of stochastic nonstationarity permitted. We derive analytic posterior densities for all of the trend determining parameters via the Laplace approximation to multivariate integrals. We also address the sampling properties of our posteriors under alternative data generating processes by simulation methods. We apply our Bayesian techniques to the Nelson-Plosser macroeconomic data and various stock price and dividend data. Contrary to DeJong and Whiteman (1989a,b,c), we do not find that the data overwhelmingly favor the existence of deterministic trends over stochastic trends. In addition, we find evidence supporting Perron's (1989) view that some of the Nelson and Plosser data are best construed as trend stationary with a change in the trend function occurring at 1929.     

Constructing case vignettes for evaluating clinical judgment: An empirical model

Studies of clinical judgment are frequently based on analogue research, which uses experimenter-controlled stimuli to elicit judgments. The stimuli may be live models, audio- or video-taped models, or written case vignettes describing a clinical encounter. A major challenge of analogue research is to construct stimuli that maintain a balance between experimental rigor and clinical reality. An ideal set of case vignettes, for example, will contain summaries that resemble actual case histories and that are varied only on the specific clinical factors being studied. The model presented here demonstrates the empirical development of written case analogues in which several variables are studied simultaneously. The model can be adapted to any setting in which professionals are required to make judgments or decisions about individuals. The vignettes described here have been used in a variety of clinical settings to assess the reliability of clinicians'judgments and to aid in evaluation and program planning.     

论单位一的特殊性

单位一是量钢一的量（无量纲量）的SI单位,也是计数量的SI单位,它在某些方面与SI中的其他单位具有不同之处。     

村民自治单元下沉的价值与困境——黑龙江省方正县试点调查研究

村民自治是我国基层民主政治的基础,其实践形式具有多样性。村民自治单元下沉的实质是对行政村自治功能的剥离和重心的下移,有助于强化村民自治的主体地位,提高村民自治的有效性,并巩固村民自治的社会资本。然而,村民自治单元下沉也面临组织运行缺乏经费保障、自治活动缺乏人才支撑,以及村民理事会"再行政化"等困境。充分发挥村民自治单元下沉的价值,需要掌握合适的"度",综合衡量村庄"软硬"环境,还要着力增强村庄治理资源,发展壮大村集体经济。     

Searching for a Break in GNP

It has been suggested that existing estimates of the long-run impact of a surprise move in income may have a substantial upward bias due to the presence of a trend break in postwar U.S. gross national product data. This article shows that the statistical evidence does not warrant abandoning the no-trend-break null hypothesis. A key part of the argument is that conventionally computed p values overstate the likelihood of the trend-break alternative hypothesis. This is because they do not take into account that, in practice, the date is chosen based on pretest examination of the data.     

Evaluation of robinson's (1994) Tests in finite samples

Finite-sample critical values of Robinson's (1994) tests are evaluated in this article by means of Monte-Carlo simulations. The finite-sample behaviour of the tests, based on these finite-sample critical values is compared with those based on asymptotic results and with a number of leading unit root tests. The Monte-Carlo results indicate that the tests perform better when the finite-sample critical values are used and thus, they should be employed rather than the asymptotic ones, especially when working with small samples. An empirical application is also carried out, at the end of the article, comparing the results in both cases.     

Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence

The panel variant of the KPSS tests developed by Hadri [Hadri, K., 2000, Testing for stationarity in heterogeneous panels. Econometrics Journal, 3, 148–161] for the null of stationarity suffers from size distortions in the presence of cross-section dependence. However, applying the bootstrap methodology, we find that these tests are approximately correctly sized.     

Aliternative methods for estimating long-run responses with applications to australian import demand

This paper compares and contrasts a number of single-equation and systems estimators of long-run responses with application to a three-variable import demand model. Two variants of Box and Tiao's (1977) canonical estimator are developed and associated tests for the number of cointegrating vectors are introduced. A simulation study indicates that, while both Box-Tiao estimators have empirical distributions with fatter tails than the normal, there is evidence that the incidence of extreme values is even greater with Johansen's (1988) ML procedure.     

论社会转型期城市社区福利的模式变迁

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。