Contemporaneous threshold autoregressive models: Estimation,testing and forecasting

This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Teräsvirta [1998. Modelling economic relationships with smooth transition regressions. In: Ullah, A., Giles, D.E.A. (Eds.), Handbook of Applied Economic Statistics. Marcel Dekker, New York, pp. 507–552.], in which the regime weights depend on the ex ante probability that a latent regime-specific variable will exceed a threshold value. We argue that the contemporaneous model is well suited to rational expectations applications (and pricing exercises), in that it does not require the initial regimes to be predetermined. We investigate the properties of the model and evaluate its finite-sample maximum likelihood performance. We also propose a method to determine the number of regimes based on a modified Hansen [1992. The likelihood ratio test under nonstandard conditions: testing the Markov switching model of GNP. Journal of Applied Econometrics 7, S61–S82.] procedure. Furthermore, we construct multiple-step ahead forecasts and evaluate the forecasting performance of the model. Finally, an empirical application of the short term interest rate yield is presented and discussed.     

Revealed preferences of individual players in sequential games

This paper studies rational choice behavior of a player in sequential games of perfect and complete information without an assumption that the other players who join the same games are rational. The model of individually rational choice is defined through a decomposition of the behavioral norm assumed in the subgame perfect equilibria, and we propose a set of axioms on collective choice behavior that characterize the individual rationality obtained as such. As the choice of subgame perfect equilibrium paths is a special case where all players involved in the choice environment are each individually rational, the paper offers testable characterizations of both individual rationality and collective rationality in sequential games.     

Managerial Conservatismand Rational Information Acquisition

Managerial behavior that is rational and profit-maximizing sometimes will seem to be overly conservative. If the valuation of innovations contains white noise and the status quo would be preferred to random innovation, then any innovation that does not appear substantially better than the status quo should be rejected, for reasons arising from regression toward the mean. The more successful the firm, the higher is the optimal acceptance threshold and conservative bias. Other things equal, more successful firms will spend less on research, adopt fewer innovations, and be less likely to advance the industry's best practice.     

城市理性增长研究综述

总结回顾西方国家的城市理性增长在起源、内涵界定、模型分析以及实现方法途径等方面的实践和研究成果,对未来城市的理性增长趋势形成比较清晰的认识.指出研究的发展趋势主要有以下三个方面:从综合角度界定城市理性增长;将实现理想增长的方法途径引入城市理性增长模型;针对不同地区设计不同的城市理性增长管理工具.     

Estimation in threshold autoregressive models with a stationary and a unit root regime

This paper treats estimation in a class of new nonlinear threshold autoregressive models with both a stationary and a unit root regime. Existing literature on nonstationary threshold models has basically focused on models where the nonstationarity can be removed by differencing and/or where the threshold variable is stationary. This is not the case for the process we consider, and nonstandard estimation problems are the result.     

浅谈当前我国人力资源发展存在的问题及对策

人力资源在我国所有资源中占有极为重要的地位,它是一切经济资源的核心内容,要想保持人力资源的最大利用,我们就应该优先选择可持续发展之路,本文简述了我国人力资源存在的问题并提出教育开发、优化配置、合理使用等对策。     

Learning in linear models with expectational leads

Models with expectational leads typically admit multiple rational expectations solutions. Based on the ordinary least-squares algorithm, this paper provides an adaptive learning scheme which allows a forecasting agent to select a particular solution on economic grounds. Conditions are given under which this scheme converges to rational expectations solutions globally for all initial conditions. We strengthen convergence results in relaxing standard assumptions and in providing conditions ensuring algorithm convergence which are easier to verify and to interpret than those previously known.     

Absorptive Capacity and Productivity Spillovers from FDI: A Threshold Regression Analysis*

This paper explores whether the effect of foreign direct investment (FDI) on productivity growth is dependent on absorptive capacity using recently developed threshold regression techniques. In manufacturing sectors where technology‐exploiting multinationals are prevalent, the results point to the presence of nonlinear threshold effects: the productivity benefit from FDI increases with absorptive capacity until some threshold level beyond which it becomes less pronounced. But there is also a minimum absorptive capacity threshold level below which productivity spillovers from FDI are negligible or even negative. On the contrary, no evidence of productivity spillovers is found in sectors where FDI appears to be motivated by technology‐sourcing considerations.     

数学形态学方法在舌象分割中的应用

文章针对在舌图像预处理中阈值分离方法解决舌体分割问题的不足,提出了利用数学形态学法来进行二次处理的新方法,详细阐述了阈值分离方法分割舌体的过程,用数学形态学方法二次处理的原理、实现和实验结果。我们将数学形态学方法应用于舌图像中舌体分割,克服了阈值分离方法的缺陷,取了满意的效果。     

The role of beliefs in inference for rational expectations models

This paper discusses inference for rational expectations models estimated via minimum distance methods by characterizing the probability beliefs regarding the data generating process (DGP) that are compatible with given moment conditions. The null hypothesis is taken to be rational expectations and the alternative hypothesis to be distorted beliefs. This distorted beliefs alternative is analyzed from the perspective of a hypothetical semiparametric Bayesian who believes the model and uses it to learn about the DGP. This interpretation provides a different perspective on estimates, test statistics, and confidence regions in large samples, particularly regarding the economic significance of rejections in rational expectations models. A suggestive application to the equity premium puzzle is examined.     

购买力平价与汇率背离原因研究

本文通过建立面板门限模型拓展了基于“宾效应”的PPP方法,并实证研究了富裕程度、经济自由程度、贸易成本及经济增长速度等因素对PPP与汇率背离的影响。研究表明：（1）富裕程度与贸易成本是解释背离之谜的关键因素。（2）PPP与汇率背离程度随人均GDP的增长存在显著的门限效应。（3）将“宾效应”描述为倾斜的“微笑曲线”能更好地刻画价格水平指数（PLI）与人均GDP关系的阶段性特征。（4）人民币汇率在2005年及以后的低估程度平均约为18%。     

Reason, Bounded Rationality, and the Lebenswelth

A bstract Herbert Stmon introduced the concept of bounded rationality to provide a socially sensitive perspective on decision making But he was not entrrely successful in this endeavor Specifically, he has not abandoned the as sumption of perfect rationality All he has done is to recognize that perons rational manner In this paper, and thus are incapable of acting in perfectly rational manner In this paper, the attempt is made to illustrate how Simon's position can be deepened due to the work of a host of modern writers Decistion making, in ohter words, can be made socially sensitive by understanding facts and reason to originate from the I ebensu'elt     

电力工程造价控制之设计阶段分析

建设工程投资的合理确定和有效控制是工程建设管理的一个重要组成部分,本文主要是从优化设计对建设投资控制决定性影响,优化设计与投资控制之间存在的主要问题,以及如何实现工程投资控制目标,三个方面对工程造价合理确定与控制工程造价进行分析。     

Governance of the Entrepreneurial Threshold Firm: A Knowledge-based Perspective

ABSTRACT By building on a knowledge‐based view of the firm, this paper addresses a relatively unexplored area of roles and dynamics of corporate governance in younger, threshold firms that are undergoing a transition from the emergence to the professional management stage. Our analysis is focused on the process of capability development, exploring the effect of the asymmetry in knowledge that often exists between directors and senior managers on the governance of threshold firms. We examine the key sources of this asymmetry, explore ways directors and senior executives learn, and then discuss the implications of this learning on the evolution of governance systems in the threshold firm.     

Testing for intertemporal nonseparability

This paper presents a nonparametric analysis of a common class of intertemporal models of consumer choice that relax consumption independence. Within this class and in the absence of any functional form restrictions on instantaneous preferences, we compare the revealed preference conditions for rational habit formation and rational anticipation. We show that these models are observationally equivalent in the presence of finite data sets composed of prices, interest rates, and consumption choices.     

Solving generalized multivariate linear rational expectations models

We generalize the linear rational expectations solution method of Whiteman (1983) to the multivariate case. This facilitates the use of a generic exogenous driving process that must only satisfy covariance stationarity. Multivariate cross-equation restrictions linking the Wold representation of the exogenous process to the endogenous variables of the rational expectations model are obtained. We argue that this approach offers important insights into rational expectations models. We give two examples in the paper—an asset pricing model with incomplete information and a monetary model with observationally equivalent monetary-fiscal policy interactions. We relate our solution methodology to other popular approaches to solving multivariate linear rational expectations models, and provide user-friendly code that executes our approach.     

论房价波动下抵押贷款理性违约风险管理策略

当前的房价波动触发了住房抵押贷款理性违约行为发生率的明显增加。本文在分析住宅抵押贷款理性违约行为发生机理的基础上,分别从微观(商业银行)及宏观(相关制度和政策)两个层面提出了住宅抵押贷款理性违约风险管理策略。     

FDI对减贫效应的实证研究

以金融发展为门槛变量，采用我国31个省区市2001—2015年的省级面板数据，运用静态面板数据门槛模型，研究外商直接投资（FDI）与减贫之间的非线性关系。研究结果表明：（1）在不同金融发展水平下，FDI对减贫效应的影响是不一样的，存在双重门槛效应，当金融发展水平较低时，FDI与减贫呈现正相关关系；当金融发展水平较高时，FDI与减贫呈现负相关关系。（2）这种非线性关系在不同区域表现形式也不同，东部门槛值高于中部，西部不存在门槛效应；西部FDI对减贫的作用高于东部和中部。     

Adaptive consistent unit-root tests based on autoregressive threshold model

This paper proposes SupWald tests from a threshold autoregressive model computed with an adaptive set of thresholds. Simple examples of adaptive threshold sets are given. A second contribution of the paper is a general asymptotic null limit theory when the threshold variable is a level variable. We obtain a pivotal null limiting distribution under some simple conditions for bounded or asymptotically unbounded thresholds. Our general approach is flexible enough to allow a choice of the auxiliary threshold model or of the threshold set involved in the test specifically designed for nonlinear stationary alternatives relevant for macroeconomic and financial topics involving arbitrage in presence of transaction costs. A Monte-Carlo study and an application to the interest rates spread for French, German, New-Zealander and US post-1980 monthly data illustrate the ability of the adaptive SupWald tests to reject unit-root when the ADF does not.