矩约束模型的最优矩条件选取方法

大量经济、金融以及企业管理等领域研究对象的行为特征可以通过矩约束模型来刻画。然而,该模型中参数的估计对矩条件的选取非常敏感。如何选取最优的矩条件,进而得到更准确的参数估计和更精确的统计推断,是实证研究面临的重要问题。本文从估计量均方误差（MSE）最小的角度,研究了一般矩约束模型两步有效广义矩（GMM）估计的最优矩条件选取方法。首先,利用迭代的方法,推导出两步有效GMM估计的高阶MSE,然后通过Nagar分解,求出了两步有效GMM估计量的近似MSE。接着,基于近似MSE表达式,给出了两步有效GMM估计矩条件选取准则的一般理论,即定义了最优的矩条件,提出了两步有效GMM估计的最优矩条件选取准则,并证明了选取准则的渐近有效性。模拟结果表明,本文提出的矩条件选取方法能够很好地改善两步有效GMM估计量的有限样本表现,降低估计量的有效样本偏差。本研究为实证研究中面临的矩条件选择问题提供了理论依据。     

Testing Hypotheses About the Number of Factors in Large Factor Models

In this paper we study high‐dimensional time series that have the generalized dynamic factor structure. We develop a test of the null of k₀ factors against the alternative that the number of factors is larger than k₀ but no larger than k₁>k₀. Our test statistic equals max_{k0<k k1}(γ_k−γ_k+1)(γ_k+1−γ_k+2), where γ_i is the ith largest eigenvalue of the smoothed periodogram estimate of the spectral density matrix of data at a prespecified frequency. We describe the asymptotic distribution of the statistic, as the dimensionality and the number of observations rise, as a function of the Tracy–Widom distribution and tabulate the critical values of the test. As an application, we test different hypotheses about the number of dynamic factors in macroeconomic time series and about the number of dynamic factors driving excess stock returns.     

基于SSM的湖南省入境旅游客源市场结构分析

以2000-2009年湖南省主要入境客源国(地区)入境旅游人次为样本,运用偏离—份额分析法(shift-share method)对湖南省入境旅游客源市场结构进行了分析得出结论:湖南省入境旅游客源市场结构较为合理,市场竞争力强,未来发展前景广阔,但是客源结构也呈现出过度集中化的趋势。对此,应根据各客源市场的不同情况,采取有针对性的措施,以进一步优化湖南省入境旅游客源市场结构。     

The Burr XII System of densities: properties,regression model and applications

We introduce a new class of distributions called the Burr XII system of densities with two extra positive parameters. We provide a comprehensive treatment of some of its mathematical properties. We estimate the model parameters by maximum likelihood. We assess the performance of the maximum likelihood estimators in terms of biases and mean squared errors by means of a simulation study. We also introduce a new family of regression models based on this system of densities. The usefulness of the proposed models is illustrated by means of three real data sets.     

产学研合作创新网络知识溢出的发生机制与影响因素研究

知识溢出是产学研合作创新网络形成与演进的重要动力机制。文章基于无标度网络和社会资本理论对产学研合作创新网络的特征进行了概括,并对其知识溢出进行了界定和分类,然后从研发合作、技术协作与转化、人才流动和企业衍生4个方面研究阐释了产学研合作创新网络知识溢出的发生机制,进而从区域环境、创新网络、网络主体、溢出知识4个维度分析论述了产学研合作创新网络知识溢出的影响因素,最后提出了后续研究的展望。     

二元方程组求解的一种区域剖分法

本文提出了一种用于求解二元方程组的区域剖分法,这种方法通过确定包含方程组解的一个初始区域,再不断剖分这个区域来缩小搜寻的范围,从而获得方程组的满足一定精度的一个近似解.这种方法应用条件宽松,计算过程相对简单,计算量也相对较小.     

Statistical inference for start-up demonstration tests with rejection of units upon observing d failures

In this paper, we consider the statistical inference for the success probability in the case of start-up demonstration tests in which rejection of units is possible when a pre-fixed number of failures is observed before the required number of consecutive successes are achieved for acceptance of the unit. Since the expected value of the stopping time is not a monotone function of the unknown parameter, the method of moments is not useful in this situation. Therefore, we discuss two estimation methods for the success probability: (1) the maximum likelihood estimation (MLE) via the expectation-maximization (EM) algorithm and (2) Bayesian estimation with a beta prior. We examine the small-sample properties of the MLE and Bayesian estimator. Finally, we present an example to illustrate the method of inference discussed here.     

试论中国古典园林意境的生成

中国古典园林是在自然山水诗画审美理想指导下形成的实用与审美完美结合的典范,体现着与诗画同源的意境追求审美取向。本文试从人、建筑物与自然山水各自所代表的情景因素及虚实关系,来探讨园林意境生成的特征。     

一类仓库/零售商供应链运输问题的数学模型与算法研究

本文主要研究一类二级供应链中的运输问题,这里是指由若干仓库和零售商组成的供应链,物品从仓库运出,到达客户,以满足客户的需求.分单仓库、多仓库和多产品三种情形分别建立数学模型,设计相应的近似算法,并通过实例讨论了算法的有效性.