Testing for cointegration at any frequency using spectral methods

Summary In this paper a new simple test for cointegration at any frequency is presented. This method can thus be applied to test for cointegration both at the zero and at the seasonal frequencies. It requires the estimation of the coherency spectrum of weakly stationary processes, therefore only standard spectral theory is involved. The testing procedure is similar to the one suggested by Phillips and Ouliaris (1988) and recently generalized by Joyeux (1992) to frequencies different from zero, but it does not suffer of some problems connected with the use of principal components methods in the frequency domain. Invited paper at the Conference held in Bologna, Italy, 27–28 May 1993, on ?Statistical Tests: Methodology and Econometric Applications?.     

两种革命的错位——论赵树理小说创作的时代意识

赵树理既是时代的积极追求者,又是一个落伍者。赵树理小说叙事中的民本主义思想、现实主义精神以及农民式的经验历史观与主流话语的革命浪漫化、史诗化的叙事要求矛盾,由此导致赵树理在言说革命时与政治权威话语的错位。     

Empirical assessment of present value relations

This paper summarizes the literature on estimation and testing of present value relations. Twenty-four test statistics are illustrated and compared in a simulation experiment utilizing six different data generation models. The test statistics are calculated for actual Standard and Poor's 500 annual stock price and dividend data, and the results are interpreted in light of the Monte Carlo experiments.     

为了寻根与告别的还乡——试论“游子还乡”主题对中国现代漂泊母题叙事文学的丰富

"游子还乡"是中国现代漂泊母题叙事文学创作的重要主题之一。与传统文学不同的是,"还乡"的内涵已完全改变,主人公有关家乡的幻梦已经破灭,还乡之旅充斥着哀怜、讽刺、厌恶、仇恨等负面情绪。游子们的"还乡"是源于"寻根"的需要,但"还乡"又坚定了游子离家漂泊的路。"游子还乡"主题也因此丰富了中国现代漂泊母题叙事文学的创作内容和形式,为中国现代文学展示了另一道风景。     

Unit Roots: Bayesian Significance Test

The unit root problem plays a central role in empirical applications in the time series econometric literature. However, significance tests developed under the frequentist tradition present various conceptual problems that jeopardize the power of these tests, especially for small samples. Bayesian alternatives, although having interesting interpretations and being precisely defined, experience problems due to the fact that that the hypothesis of interest in this case is sharp or precise. The Bayesian significance test used in this article, for the unit root hypothesis, is based solely on the posterior density function, without the need of imposing positive probabilities to sets of zero Lebesgue measure. Furthermore, it is conducted under strict observance of the likelihood principle. It was designed mainly for testing sharp null hypotheses and it is called FBST for Full Bayesian Significance Test.     

Some Applications of Order Statistics to Multivariate Analysis II

ABSTRACT

Harter (1979) summarized applications of order statistics to multivariate analysis up through 1949. The present paper covers the period 1950–1959. References in the two papers were selected from the first and second volumes, respectively, of the author's chronological annotated bibliography on order statistics [Harter (1978, 1983)]. Tintner (1950a) established formal relations between four special types of multivariate analysis: (1) canonical correlation, (2) principal components, (3) weighted regression, and (4) discriminant analysis, all of which depend on ordered roots of determinantal equations. During the decade 1950–1959, numerous authors contributed to distribution theory and/or computational methods for ordered roots and their applications to multivariate analysis. Test criteria for (i) multivariate analysis of variance, (ii) comparison of variance–covariance matrices, and (iii) multiple independence of groups of variates when the parent population is multivariate normal were usually derived from the likelihood ratio principle until S. N. Roy (1953) formulated the union–intersection principles on which Roy & Bose (1953) based their simultaneous test and confidence procedure. Roy & Bargmann (1958) used an alternative procedure, called the step–down procedure, in deriving a test for problem (iii), and J. Roy (1958) applied the step–down procedure to problem (i) and (ii), Various authors developed and applied distribution theory for several multivariate distributions. Advances were also made on multivariate tolerance regions [Fraser & Wormleighton (1951), Fraser (1951, 1953), Fraser & Guttman (1956), Kemperman (1956), and Somerville (1958)], a criterion for rejection of multivariate outliers [Kudô (1957)], and linear estimators, from censored samples, of parameters of multivariate normal populations [Watterson (1958, 1959)]. Textbooks on multivariate analysis were published by Kendall (1957) and Anderson (1958), as well as a monograph by Roy (1957) and a book of tables by Pillai (1957).     

Confidence Intervals for Univariate Impulse Responses With a Near Unit Root

This article proposes a method for constructing confidence intervals for the impulse response function of a univariate time series with a near unit root. These confidence intervals control coverage, whereas the existing techniques can all have coverage far below the nominal level. I apply the proposed method to several measures of U.S. aggregate output.     

Multiple roots of estimating functions

Estimating functions can have multiple roots. In such cases, the statistician must choose among the roots to estimate the parameter. Standard asymptotic theory shows that in a wide variety of cases, there exists a unique consistent root, and that this root will lie asymptotically close to other consistent (possibly inefficient) estimators for the parameter. For this reason, attention has largely focused on the problem of selecting this root and determining its approximate asymptotic distribution. In this paper, however, we concentrate on the exact distribution of the roots as a random set. In particular, we propose the use of higher-order root intensity functions as a tool for examining the properties of the roots and determining their most problematic features. The use of root intensity functions of first and second order is illustrated by application to the score function for the Cauchy location model.     

字母d的根表意及其在英语构词中的应用

字母d=c（弯曲身子的人）＋l（直立的人）,其字面上的词义大致为：B在A面前弯曲身子,即B在A面前卑躬屈膝/俯首称臣/鞠躬。由此可以推论字母d的第1个根表意大致为：某人被征服/奴役/统治/约束,等等。在先民时代,A之所以能让B在其面前俯首称臣,是因为A用武力战胜了B,即B被撂倒/打倒/死亡,等等。这是字母d的第2个根表意。基于字母d的这2个根表意,破译了前缀de-/di-/dia-/dis-,词根dom/fid/cede/mand/mod/dem（o）/dic/vade/duce/clude/scend/lude等的图画特征。     

文化寻根小说的生态审美视野

寻根文学是我国20世纪80年代中期产生的一个颇具特殊意义的文学事件。对寻根文学的解读,学术界多从文艺学或文化学的视角出发。然而,如果抛开既定的文学成见,通过细读文本,我们发现,其特殊的文化意义背后蕴涵了丰厚的生态审美内容。这对我们重新审视这一特定历史时期的文化现象提供了一种新的学术契机。