The extent of the market in the liquor industry: An empirical test of localized brand rivalry, 1970–1988

The objectives of this study are to determine the extent of the market in a differentiated-product industry and to evaluate a technique developed by Schmalensee (1985) that tests for generalized rivalry. A market is defined as a product spectrum along which generalized rivalry exists. The industry chosen for study is the liquor industry. Results of this study indicate that the liquor industry consists of three markets and that Schmalensee's technique has several limitations that must be acknowledged when interpreting results.I would like to thank Jon P. Nelson, Mark Roberts, Ed Sexton, and Dave Ribar for their helpful comments. I would also like to thank Heidi Applegate, Timothy Hylan, Joyce Mlakar, and my parents for their support and encouragement.     

A POISSON PROCESS APPROXIMATION FOR GENERALIZED K–S CONFIDENCE REG

One–sided confidence regions for continuous cumulative distribution functions are constructed using empirical cumulative distribution functions and the generalized Kolmogorov–Smimov distance. The band width of such regions becomes narrower in the right or left tail of the distribution. To avoid tedious computation of confidence levels and critical values, an approximation based on the Poisson process is introduced. This approximation provides a conservative confidence region; moreover, the approximation error decreases monotonically to 0 as sample size increases. Critical values necessary for implementation are given. Applications are made to the areas of risk analysis, investment modelling, and analysis of fault–tolerant systems.     

基于赫斯特指数的股票风险研究

本文以Matlab计算的个股的赫斯特指数为基础,通过个股对数收益率以及其峰度和赫斯特指数三者同大盘相应的数据作为对比,并设计了用符号函数将数据简单化来构建风险评级模型。本文应用此模型对沪市的15家上市公司的股票进行了风险评级。     

非平稳条件下的市场可预测性问题研究

本文研究了非平稳对线性、非线性可预测性检验的影响,从非平稳角度解释了"非线性可预测性难题"。在此基础上对传统的Box-Pierce-Ljung线性检验法和广义谱密度非线性检验法进行了修正,并运用严格的理论证明和蒙特卡罗模拟证实了它们在大样本和有限样本情况下的非平稳稳健性。最后,运用修正的检验方法对我国第一只股指期货标的沪深300统一指数的可预测性进行了分析。本文结论对于我国金融市场实证研究具有重要的指导意义,也反映了我国新兴金融市场的独有特性以及成熟统计方法在我国的实用性。     

一种增强型指数追踪模型设计及应用

研究目标：构建了可以调节追踪误差和超额收益的增强型指数追踪模型,并给出了广义最小角度回归算法（GLARS）,用以计算调节参数作用下模型解的折中路径。研究方法：通过模拟数据和五组世界主要股票市场指数的历史数据,对本文提出的模型和算法与同类模型和算法进行了性能比较;同时追踪上证50指数构建若干稀疏且稳定的资产组合模型,通过信息比率等指标对投资组合进行评价。研究发现：本文构建的模型可用以构造权衡追踪效果和超额收益,且稀疏的资产组合,GLARS算法相对传统预设参数的算法具有良好的求解能力和计算速度。研究创新：引入调节参数平衡追踪效果和超额收益,并针对中国股票市场的特点,在增强型指数追踪模型施加非负约束;GLARS算法可遍历所有折中意义下的最优解。研究价值：本文提出的增强型指数追踪模型在国内具有较强适用性,在保证资产稀疏性的前提下可以得到超额收益,同时丰富了目前投资组合中的方法论研究。     

Statistical inference of partially linear varying coefficient spatial autoregressive models

This paper proposes a semiparametric partially linear varying coefficient spatial autoregressive model, which is a generalization of standard spatial autoregressive model and partially linear spatial autoregressive model. To estimate the unknown spatial lag parameter, constant coefficients and coefficient functions, a profile quasi-maximum likelihood approach based on the local-linear method is introduced. To test the existence of the spatial effects, a generalized likelihood ratio test statistic is proposed, and a residual-based bootstrap procedure is used to derive the p-value of the test. Some simulations are conducted to examine the performance of our proposed procedures and the results are satisfactory. Furthermore, a real-world example is given to demonstrate the application of the proposed procedures.     

我国产出缺口与通胀菲利普斯曲线形态的研究——基于LSTVAR模型的实证分析

菲利普斯曲线通过把通货膨胀与经济增长结合起来而成为了宏观经济研究的基石。考虑到两者之间的关系可能存在非线性以及经济系统的反馈性,本文基于季度数据首次建立了我国1995-2009年间两者之间的平滑转换向量自回归模型,结果表明两者之间具有显著的非线性,并且非线性转换由逻辑函数刻画,转换变量为滞后二期通胀率。广义脉冲响应分析表明样本期内我国经济系统的冲击主要来自总需求方面,且现阶段的菲利普斯曲线是凹的。     

中国旅游产业发展的不均衡性及其影响因素分解

利用广义熵指数、变异系数、基尼系数对中国旅游业发展的不均衡性进行测度与分解:中国不同省份旅游业发展的不均衡性较大且有进一步扩大趋势,这种不均衡性主要来自于中国旅游业发展的地区之间的差距,而地区内部差距的影响相对较小且在不断下降;入境旅游与国内旅游对旅游产业发展的非均衡性影响分别呈现出递减与递增的变化规律;旅游购物、娱乐、通讯金融服务等收入对中国旅游产业发展的非均衡性的影响十分大,且呈现出大幅度上升趋势,传统的旅游住宿、景点门票与游览、交通收入的影响正好相反。文章为不同省份旅游产业定位与可持续、均衡发展的政策制定提供了理论与实证依据。     

Cross-entropy estimation in technical efficiency analysis

Technical efficiency analysis is a fundamental tool to measure the performance of production activity. Recently, an increasing interest in the state-contingent approach has emerged in the literature although such interest has not yet been accompanied by an increase of empirical applications. This is largely due to the fact that empirical models with state-contingent production frontiers are usually ill-posed. In this work, a discussion on the role of the generalized cross-entropy estimator within the state-contingent production framework is presented. To the best of the authors’ knowledge, the example provided in this work is the first real-world empirical application on technical efficiency analysis with the state-contingent approach using the generalized cross-entropy estimator.