Threshold models for trended time series

This paper presents the theoretical development of a new threshold autoregressive model based on trended time series. The theoretical arguments underlying the model are outlined and a nonlinear economic model is used to derive the specification of the empirical econometric model. Estimation and testing issues are considered and analysed. Additionally we apply the model to the empirical investigation of U.S. GDP.This paper is the result of work carried out for the author's Ph.D. thesis. I would like to thank Hashem Pesaran for his help, encouragement and insights during the preparation of this paper. I also thank Gary Koop and Sean Holly for helpful comments. Financial assistance from the Economic and Social Research Council is gratefully acknowledged.     

Asymmetric ACD models: Introducing price information in ACD models

This paper proposes an asymmetric autoregressive conditional duration (ACD) model, which extends the ACD model of Engle and Russell (1998). The asymmetry consists of letting the duration process depend on the state of the price process. If the price has increased, the parameters of the ACD model can differ from what they are if the price has decreased. The model is applied to the bid-ask quotes of two stocks traded on the NYSE and the evidence in favour of asymmetry is strong. Information effects (Easley and O'Hara 1992) are also empirically relevant. As the model is a transition model for the price process, it delivers `market forecasts' of where prices are heading. A trading strategy based on the model is implemented using tick-by-tick data.While remaining responsible for any error in this paper, the authors would like to thank R. Anderson, G. Le Fol, C. Gouriéroux, J. Jasiak, W. Pohlmeier, A. Roell, O. Scaillet, S. Wei and three anonymous referees for useful remarks and suggestions on previous versions. The authors would also like to thank A. Ruttiens from KBC-CBC for useful discussions on practical issues related to trading. Support of the European Commission Human Capital and Mobility Program through the network `Econometric inference using simulation methods' is gratefully acknowledged. This paper presents research results of the Belgian Program on Interuniversity Poles of Attraction initiated by the Belgian State, Prime Minister's Office, Science Policy Programming. The scientific responsibility is assumed by the authors.     

Noisy chaotic dynamics in commodity markets

The nonlinear testing and modeling of economic and financial time series has increased substantially in recent years, enabling us to better understand market and price behavior, risk and the formation of expectations. Such tests have also been applied to commodity market behavior, providing evidence of heteroskedasticity, chaos, long memory, cyclicity, etc. The present evaluation of futures price behavior confirms that the resulting price movements can be random, suggesting noisy chaotic behavior. Prices could thus follow a mean process that is dynamic chaotic, coupled with a variance that follows a GARCH process. Our conclusion is that models of this type could be constructed to assist in forecasting prices in the short run but not over long run time periods.First version received: June 2001/Final version received: March 2003     

鄂苏浙粤鲁省域中小企业群比较

以省域中小企业群为样本,通过湖北与东部省份的比较研究,中部经济总量与东部经济总量产生巨大差距的一个重要原因是中小企业群体数量偏少和成长能力不强。中部中小企业发展不充分的原因在于微观成长机制不强和中观环境支持不够。最后提出促进中部地区中小企业发展的政策建议。     

基于灰色理论的中国人口空间分布模式预测

运用灰色理论对我国各个省市未来人口总量进行预测,并应用GIS的空间自相关理论和方法对未来人口空间分布模式做出预测。研究认为,从2005年到2020年中:北京、天津、江苏、上海、浙江等省市始终保持与周围省市人口密度的高高关联关系,围绕这些省市的省份区域形成了相对人口聚集区域,西部许多省份及东北几省与周围的省份人口密度是维持着低低关联模式。广东省始终保持与周围省市人口密度的高高关联关系,即本省只是单独形成了一个聚集点。2014年是我国人口空间分布格局变动较大的时期。     

我国省际边界区域的研究进展及展望

省际边界区域既是省级经济政策的交汇区,又是区域摩擦的集中地,空间协调难度较大,统筹发展难点较多,是和谐社会建设所面临的重大问题之一。我国省际边界区域研究内容主要包括边界区域的理论内涵、影响因素、产业发展、空间组织结构模型、空间管治以及发展战略和对策等。这些研究多以现状的描述为主,并没有形成完整的理论体系。在全球化、网络化和信息化以及科学发展观的背景下,省际边界区域已成为我国区域统筹发展的重点,在今后的研究中要重视探讨以“边界效应”理论为基础的边界区域经济学,深入分析省际边界区域的产业分工与合作,深化研究省际边界区域空间结构演化及优化路径,加快构建省际边界区域协调发展的定量系统模型,科学完善省际边界区域协调发展理论体系。     

The future of hydrogen fueling systems for transportation: An application of perspective-based scenario analysis using the analytic hierarchy process

This paper integrates the analytic hierarchy process (AHP) with scenario analysis techniques to explore the commercialization of future hydrogen fuel processor technologies. AHP is a multi-attribute decision analysis tool useful for evaluating decisions with multiple criteria and alternatives. In this paper, AHP is extended using a technique called perspective-based scenario analysis (PBSA). In PBSA, scenario analysis is conducted based on potential future decision-maker perspectives that are integrated into the AHP framework. This paper discusses this method and applies it to the evaluation of hydrogen fuel processor technologies 15–20 years hence. The results provide an added layer of insight into the opportunities and barriers for the commercialization of these technologies as well as the methodological opportunities for using AHP and PBSA as a futures tool.     

实施旅游产品创新战略的研究

本文主要研究在我国旅游业快速发展，国内旅游需求日益增强的情况下，旅游产品创新对改善我国旅游环境，引导旅游者消费，促进旅游业可持续发展等方面所产生的重要影响；提出了旅游经营者在知识经济时代进行旅游产品创新时应该坚持的战略，积极开发时涉及的领域，并对保证旅游产品创新顺利实施的支持系统进行了探讨。     

1980年代以来江苏省区域经济研究回顾与前瞻

从经济区划、区域差异、发展模式、产业结构、战略组织、外商投资、区域文化等10个方面对1980年代以来江苏省区域经济发展研究进行回顾和总结,瞻望21世纪前期区域经济发展与研究的前沿:国际制造业基地建设、经济一体化研究、统筹区域发展与区域性机构建设、新产业区、区域空间秩序、区域环境创新、区域经济新格局、江苏与中西部经济的联动发展等。     

生态工业园建设在日本的实践及其启示

本文主要是考察了日本两个生态工业园即荏原生态工业园和小久保生态工业园的建设。这两个生态工业园的建设各有特点。通过对这两个工业园的考察，得出如下结论：（1）企业自发的参与对生态工业园的建设起着重要作用；（2）政府应建立相关制度促进生态工业园的建立；（3）建立生态工业园，合作是必不可少的要素；（4）生态工程技术是生态工业园成功的关键。