不同模型在财务预警实证中的比较研究

研究当前国内外公司财务困境预测问题的现状,寻找一套适合于我国企业的财务状况识别指标体系;然后依据该指标体系采用不同方法建立财务状况预测模型;最后,利用样本公司实际指标数据对各个模型的短期及中期预测效果进行了比较分析与实证研究。     

交易额、A 股比例、势效应和三因子模型

利用回归和构造动态投资组合方法,对中国股票市场1995 年7 月到2000 年12 月股票 月收益率、交易额、总市值及其财务数据进行分析,发现中国股票市场具有显著的交易额效应、 A 股比例效应、市值效应、账面市值比效应等. 这些效应有密切的相互关系,但不能用市场beta 值来解释. 市场beta 值、市值因子、账面市值比因子一起,也就是Fama2French 三因子模型,可以 很好地解释这些效应     

资本下乡：进入模式选择及其影响因素

进入模式是经济组织配置资源的重要手段。以工商资本对农户经营活动的控制权程度为依据,将工商资本投资农业的进入模式划分为“松散型”、“半紧密型”、“紧密型”三种类型。利用对广东、湖北、江苏以及云南四省151个投资主体的调查数据,采用有序逻辑回归模型分析生产因素、市场因素、制度因素以及生产技术传递能力对工商资本投资农业的进入模式选择的影响。结果表明：耕地资源优势越弱,工商资本投资农业选择紧密型进入模式的可能性越高;市场潜力越大,越倾向于选择紧密型进入模式;非正式制度越不利,选择紧密型进入模式的可能性越低;生产技术的传递能力越弱,越倾向于选择紧密型进入模式。     

农村老年人日常生活家庭照料与社会照料关系研究——基于多层回归模型的分析

文章利用中国健康与养老追踪调查 2011—2012 年的基线调查数据,运用多层回归模型,通过分析社会照料对农村老年人家庭照料获得的影响,探讨家庭照料与社会照料的关系。 回归估计结果显示,个人层次上的年龄、居住状况、失能情况和社区层次上的老龄补贴、经济状况对农村老年人获得家庭照料有不同程度的影响,而代表社会照料的变量在统计上均不显著。 回归估计结果说明,社会照料并不能对缺位的家庭照料起到补充作用,更不会起到替代作用,两者呈现一种非此即彼的“无关系”。 文章的政策启示是,打破家庭照料与社会照料的壁垒,构建一个“流动”的老年照料体系。     

Testing Inference in Inflated Beta Regressions under Model Misspecification

We consider testing inference in inflated beta regressions subject to model misspecification. In particular, quasi-z tests based on sandwich covariance matrix estimators are described and their finite sample behavior is investigated via Monte Carlo simulations. The numerical evidence shows that quasi-z testing inference can be considerably more accurate than inference made through the usual z tests, especially when there is model misspecification. Interval estimation is also considered. We also present an empirical application that uses real (not simulated) data.     

On Combining Wavelets Expansion and Sparse Linear Models for Regression on Metabolomic Data and Biomarker Selection

Wavelet thresholding of spectra has to be handled with care when the spectra are the predictors of a regression problem. Indeed, a blind thresholding of the signal followed by a regression method often leads to deteriorated predictions. The scope of this article is to show that sparse regression methods, applied in the wavelet domain, perform an automatic thresholding: the most relevant wavelet coefficients are selected to optimize the prediction of a given target of interest. This approach can be seen as a joint thresholding designed for a predictive purpose. The method is illustrated on a real world problem where metabolomic data are linked to poison ingestion. This example proves the usefulness of wavelet expansion and the good behavior of sparse and regularized methods. A comparison study is performed between the two-steps approach (wavelet thresholding and regression) and the one-step approach (selection of wavelet coefficients with a sparse regression). The comparison includes two types of wavelet bases, various thresholding methods, and various regression methods and is evaluated by calculating prediction performances. Information about the location of the most important features on the spectra was also obtained and used to identify the most relevant metabolites involved in the mice poisoning.     

A new approach to statistical efficiency of weighted least squares fitting algorithms for reparameterization of nonlinear regression models

We study nonlinear least-squares problem that can be transformed to linear problem by change of variables. We derive a general formula for the statistically optimal weights and prove that the resulting linear regression gives an optimal estimate (which satisfies an analogue of the Rao-Cramer lower bound) in the limit of small noise.     

Generalised Rank Regression Estimator with Standard Error Adjusted Lasso

One of the standard variable selection procedures in multiple linear regression is to use a penalisation technique in least‐squares (LS) analysis. In this setting, many different types of penalties have been introduced to achieve variable selection. It is well known that LS analysis is sensitive to outliers, and consequently outliers can present serious problems for the classical variable selection procedures. Since rank‐based procedures have desirable robustness properties compared to LS procedures, we propose a rank‐based adaptive lasso‐type penalised regression estimator and a corresponding variable selection procedure for linear regression models. The proposed estimator and variable selection procedure are robust against outliers in both response and predictor space. Furthermore, since rank regression can yield unstable estimators in the presence of multicollinearity, in order to provide inference that is robust against multicollinearity, we adjust the penalty term in the adaptive lasso function by incorporating the standard errors of the rank estimator. The theoretical properties of the proposed procedures are established and their performances are investigated by means of simulations. Finally, the estimator and variable selection procedure are applied to the Plasma Beta‐Carotene Level data set.     

Local composite quantile regression estimation of time-varying parameter vector for multidimensional time-inhomogeneous diffusion models

This paper is dedicated to the study of the composite quantile regression (CQR) estimations of time-varying parameter vectors for multidimensional diffusion models. Based on the local linear fitting for parameter vectors, we propose the local linear CQR estimations of the drift parameter vectors, and verify their asymptotic biases, asymptotic variances and asymptotic normality. Moreover, we discuss the asymptotic relative efficiency (ARE) of the local linear CQR estimations with respect to the local linear least-squares estimations. We obtain that the local estimations that we proposed are much more efficient than the local linear least-squares estimations. Simulation studies are constructed to show the performance of the estimations proposed.     

水平井分段多簇压裂缝间干扰研究

水平井分段多簇压裂在现场得到了广泛运用，其压裂过程中普遍存在缝间干扰现象。缝间干扰有助于形成复 杂裂缝网络以提高储层导流能力，但是也会导致起裂困难，甚至形成砂堵。因此有必要对分段多簇压裂的缝间干扰问 题进行研究。对此，基于弹性力学建立了分析多簇裂缝诱导应力的数学模型，从起裂压力、裂缝宽度、簇间距等多方面 研究了缝间干扰对水平井分段多簇压裂施工的影响。模拟结果显示，诱导应力会导致起裂压力升高、裂缝变窄，严重 时将造成压裂施工失败。通过进行分析，给出了起裂过程及延伸过程中缝间干扰的影响关系。分析认为，利用缝间干 扰提高改造体积时应当控制簇间距防止对压裂施工造成负面影响。研究结论对优化水平井分段多簇压裂设计具有指 导意义。