Bootstrapping the Box–Pierce Q test: A robust test of uncorrelatedness

This paper describes a test of the null hypothesis that the first K autocorrelations of a covariance stationary time series are zero in the presence of statistical dependence. The test is based on the Box–Pierce Q statistic with bootstrap-based P-values. The bootstrap is implemented using a double blocks-of-blocks procedure with prewhitening. The finite sample performance of the bootstrap Q   test is investigated by simulation. In our experiments, the performance is satisfactory for samples of n=500$n=500$. At this sample size, the differences between the empirical and nominal rejection probabilities are essentially eliminated.     

Testing the CAPM revisited

This paper re-examines the tests of the Sharpe–Lintner Capital Asset Pricing Model (CAPM). The null that the CAPM intercepts are zero is tested for ten size-based stock portfolios and for twenty five book-to-market sorted portfolios using five-year, ten-year and longer sub-periods during 1965–2004. The paper shows that the evidence for rejecting the CAPM on statistical grounds is weaker than the consensus view suggests, and highlights the pitfalls of testing multiple hypotheses with the conventional heteroskedasticity and autocorrelation robust (HAR) test with asymptotic P-values. The conventional test rejects the null for almost all sub-periods, which is consistent with the evidence in the literature. By contrast, the null is not rejected for most of the sub-periods by the new HAR tests developed by Kiefer et al. (2000), Kiefer and Vogelsang (2005), and Sun et al. (2008).     

Financial Exposure and the International Transmission of Financial Shocks

This paper analyzes the transmission mechanism of banking sector shocks in an international real business cycle model with heterogeneous bank sizes. We examine to what extent the financial exposure of the banking sector affects the transmission of foreign banking sector shocks. In our model, the more exposed domestic banks are to the foreign economy via lending to foreign firms, the greater are the spillovers from foreign financial shocks to the home economy. The model highlights the role of openness to trade and the dynamics of the terms of trade in the international transmission mechanism of banking sector shocks: spillovers from foreign banking sector shocks are greater the more open the home economy is to trade and the less the terms of trade respond to foreign shocks.     

京郊"玉米迷宫"旅游农业开发的SWOT分析与对策研究

"玉米迷宫"在融合农业产业的科学本质和旅游观光的经营本质的同时,构建出一个集玉米迷宫、植物配置、农事体验、休闲娱乐于一体的农业旅游模式,既具备农园的产品生产功能,又具备旅游区的艺术和休闲观赏功能,真正实现了经济、生态、社会效益三者统一.文章介绍了京郊密云的"中国版图玉米迷宫"和顺义的"奥运京印玉米迷宫",对京郊开发"玉米迷宫"旅游农业进行了SWOT(优势、劣势、机遇和竞争状况)分析,为发展北京都市型现代农业提出了相应建议.     

Testing the autoregressive parameter with the t statistic

This paper considers a Gaussian first-order autoregressive process with unknown intercept where the initial value of the variable is a known constant. Monte Carlo simulations are used to investigate the sampling distribution of the t statistic for the autoregressive parameter when its value is in the neighborhood of unity. A small sigma asymptotic result is exploited in the construction of exact non-similar tests. The powers of non-similar tests of the random walk and other hypotheses are estimated for sample sizes typical in economic applications.     

中国传统企业实现电子商务的路径分析

中国传统企业要架构电子商务系统，其基本路径应为：根据供应链管理(SCM)理论，推行企业流程再造(BPR)，引入企业资源计划管理(ERP)系统，最终实现电子商务。     

Learning and communication in sender‐receiver games: an econometric investigation

This paper compares stimulus response (SR) and belief‐based learning (BBL) using data from experiments with sender–receiver games. The environment, extensive form games played in a population setting, is novel in the empirical literature on learning in games. Both the SR and BBL models fit the data reasonably well in games where the preferences of senders and receivers are perfectly aligned and where the population history of the senders is known. The test results accept SR and reject BBL in games without population history and in all but one of the games where senders and receivers have different preferences over equilibria. Estimation is challenging since the likelihood function is not globally concave and the data become uninformative about learning once equilibrium is achieved. Copyright © 2002 John Wiley & Sons, Ltd.     

Bank Restructuring in Slovenia: Questions and Answers

MOCT-MOST: Economic Policy in Transitional Economies -     

On optimal regimes of knowledge exchange: a model of recombinant growth and firm networks

Journal of Economic Interaction and Coordination - The literature has documented two patterns of knowledge exchange: free sharing of knowledge and barter exchange. The former has been coined as...