Break Point Estimation and Spurious Rejections With Endogenous Unit Root Tests

This paper examines the accuracy of break point estimation using the endogenous break unit root tests of Zivot and Andrews (1992) and Perron (1997). We find that these tests tend to identify the break point incorrectly at one-period behind ( T_B -1) the true break point ( T_B ), where bias in estimating the persistence parameter and spurious rejections are the greatest. In addition, this outcome occurs under the null and alternative hypotheses, and more so as the magnitude of the break increases. Consequences of utilizing these endogenous break tests are similar to (incorrectly) omitting the break term B_t in Perron's (1989) exogenous test.     

A topological approach to Wilson’s impossibility theorem

We will present a topological approach to Wilson’s impossibility theorem [Wilson, R.B., 1972. Social choice theory without the Pareto principle. Journal of Economic Theory 5, 478–486] that there exists no non-null binary social choice rule which satisfies transitivity, independence of irrelevant alternatives, non-imposition and has no dictator nor inverse dictator. Our research is in line with the studies of topological approaches to discrete social choice problems initiated by [Baryshnikov, Y., 1993. Unifying impossibility theorems: a topological approach. Advances in Applied Mathematics 14, 404–415]. This paper extends the result about the Arrow impossibility theorem shown in [Tanaka, Y., 2006. A topological approach to the Arrow impossibility theorem when individual preferences are weak orders. Applied Mathematics and Computation 174, 961–981] to Wilson’s theorem.     

The Dynamic Production Axioms and System Dynamics Behaviors: The Foundation for Future Integration

Realistically, organizational and/or system performance is dynamic and non-linear. However, in the efficiency literature, system performance is frequently evaluated considering linear combinations of the input/output variables and without explicitly taking into account the causes of efficiency behavior nor the dynamic behavior of systems. Policy decisions based on these results may be sub-optimized because the non-linear relationships among variables, causal relationships, and feedback mechanisms are ignored.This research takes the initial step of evaluating system performance in a dynamic environment, by relating the factors that effect system performance to the policies that govern it. To accomplish this, this paper extends the concepts of the static production axioms into a dynamic realm, where inputs are not instantaneously converted into outputs. The relationships of these new dynamic production axioms to the basic behaviors associated with system dynamics structures are explored.     

Equilibrium with coordination

The obvious equilibrium concepts in the simplest institutions for transferring ownership of commodities—bilateral exchange—are neither Nash equilibria nor cooperative equilibria. To study such equilibria as special cases of equilibria of a social system it is necessary to introduce coordination. Two or more agents coordinate their actions, if, when they consider an alternative to a state, they take as given—for agents with whom they coordinate—the alternative state. If there is no coordination we obtain Nash equilibrium as a special case. If there is complete coordination we obtain optimality as a special case. The main result is an existence theorem for a social system with coordination. This theorem is then applied to prove existence of exchange equilibria in an economy with bilateral exchange.     

The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors

We consider the normalized least squares estimator of the parameter in a nearly integrated first-order autoregressive model with dependent errors. In a first step we consider its asymptotic distribution as well as asymptotic expansion up to order O_p(T⁻¹). We derive a limiting moment generating function which enables us to calculate various distributional quantities by numerical integration. A simulation study is performed to assess the adequacy of the asymptotic distribution when the errors are correlated. We focus our attention on two leading cases: MA(1) errors and AR(1) errors. The asymptotic approximations are shown to be inadequate as the MA root gets close to −1 and as the AR root approaches either −1 or 1. Our theoretical analysis helps to explain and understand the simulation results of Schwert (1989) and DeJong, Nankervis, Savin, and Whiteman (1992) concerning the size and power of Phillips and Perron's (1988) unit root test. A companion paper, Nabeya and Perron (1994), presents alternative asymptotic frameworks in the cases where the usual asymptotic distribution fails to provide an adequate approximation to the finite-sample distribution.     

Theoretical tests of the rational expectations hypothesis in economic dynamical models

This paper examines different theoretical stability tests of infinite-horizon rational expectations equilibria. These ‘tests’ have different status: two of them express that the considered equilibrium is ‘isolated’ [neither (non-sunspot) equilibria (test 1) nor (well-behaved) sunspot equilibria exist in a neighbourhood (test 2)] and two of them are learning criteria [either standard ‘evolutive learning’ (test 3) or game-theoretical ‘eductive’ learning (test 4)]. Surprisingly, these four tests select the same steady state equilibria in the class of one-dimensional one-step-forward looking economic models. The extension of this equivalence theorem to n-dimensional and then more complex systems is discussed.     

基于BP神经网络的西安市宏观经济预测

宏观经济系统是一个复杂的非线性系统,对宏观经济进行预测应采用非线性的工具进行建模。采用BP神经网络对西安市宏观经济指标进行预测,此预测模型只需少量训练样本就可以确定网络的权值和阈值。实验表明模型预测精度高,能够对西安市宏观经济系统中的非线性关系进行描述,使建立的非线性模型与实际系统更加接近。     

EMPIRICAL ESTIMATION OF NON-LINEAR INPUT–OUTPUT MODELS: AN ENTROPY ECONOMETRICS APPROACH

Despite theoretical advances, non-linear input–output models have been empirically applied only to a limited extent. This is mainly due to the fact that the number of parameters to be estimated is much higher than the number of available data points. Taking advantage of the recent proliferation of input–output databases and by applying an estimation strategy that relies on entropy econometrics, this paper suggests a way to estimate the parameters that characterize non-linear relationships between inputs and output. This non-linear modelling allows for considering time-specific input coefficients, instead of fixed ones. Several types of multipliers can be derived from this non-linear model, and the proposed generalized maximum entropy (GME) estimator allows estimating them from time series or cross-sectional datasets of input–output tables. The proposed GME technique is illustrated by means of an empirical application that estimates the parameters that characterize a non-linear input–output model for the Spanish economy over the period 1995–2011.     

Forecasting the exchange rate using nonlinear Taylor rule based models

This research utilises a non-linear Smooth Transition Regression (STR) approach to modelling and forecasting the exchange rate, based on the Taylor rule model of exchange rate determination. The separate literatures on exchange rate models and the Taylor rule have already shown that the non-linear specification can outperform the equivalent linear one. In addition the Taylor rule based exchange rate model used here has been augmented with a wealth effect to reflect the increasing importance of the asset markets in monetary policy. Using STR models, the results offer evidence of non-linearity in the variables used and that the interest rate differential is the most appropriate transition variable. We conduct the conventional out-of-sample forecasting performance test, which indicates that the non-linear models outperform their linear equivalents as well as the non-linear UIP model and random walk.     

Economic Impact of the Structural Changes of Production Technology: A Robust Approach

In this article, edge theorem and boundary theorem, one of the most important results obtained recently in the field of robust control theory, is applied to analyze the economic impact of structural change of production technology in one economic sector, by means of the famous dynamic Leontief input–output model. Two theorems, parallel to edge theorem and boundary theorem, are given in terms of economics in this paper. It is argued that in a sense the complex analysis about the economic impact of production technological changes is equivalent to a one-dimensional computation problem, which is easy to solve. A case study is given in the last section of this paper.     

比喻在电路定理中的应用

电路定理是电路理论的重要组成部分。采用行之有效的教学方法帮助学生理解定理内容,是我们迫切要解决的问题。比喻教学法就是一种很好的教学方法。本文以电路中比较常用的三个定理为例,说明比喻在电路定理中的应用。     

Non-linear and non-symmetric exchange-rate adjustment: Evidence from medium- and high-inflation countries

This paper analyses a model of non-linear exchange rate adjustment that extends the literature by allowing asymmetric responses to over- and under-valuations. Applying the model to Greece and Turkey, we find that adjustment is asymmetric and that exchange rates depend on the sign as well as the magnitude of deviations, being more responsive to over-valuations than undervaluations. Our findings support and extend the argument that non-linear models of exchange rate adjustment can help to overcome anomalies in exchange rate behaviour. They also suggest that exchange rate adjustment is non-linear in economies where fundamentals models work well.     

A ‘funnel’ turnpike theorem for optimal growth problems with discounting

A turnpike theorem for the optimal control problem with discounting is given. The optimal trajectory is shown to lie in an exponentially bounded region of the optimal steady-state. This region, referred to as a funnel, is determined by the discount rate of the problem. The funnel theorem reduces to the classical turnpike theorem when the discount rate is zero.     

消费量陷阱与非线性定价模型的改进--以全球通和神州行为例

本文对“产量陷阱”概念进行了修正，提出了“消费量陷阱”概念，证明了消费量陷阱与社会福利的变化方向相同，因而，存在消费量陷阱是实施非线性定价的必要条件。本文将全球通和神州行两种计费方式作为消费者面临的整体价格条件，定义了边际价格折线，进而定义了二阶非线性定价、三阶非线性定价；以消费量陷阱和边际价格折线为基础，定义了分界点、分界线，进而建立了线性最优定价模型、改进的二阶非线性最优定价模型和改进的三阶非线性最优定价模型。     

Smooth-transition error-correction in exchange rates

Recent research has increasingly suggested that exchange rates may be characterized by non-linear behavior. This paper examines whether such non-linear behavior is evident, not in rates themselves, but in the adjustment of rates back to fundamental equilibrium. Thus, we examine whether a series of four spot and forward exchange rates exhibit smooth transition non-linear error-correction dynamic behavior. Our results are supportive of this model, particularly in-sample, and suggest some salient differences in the mean-reverting behavior of spot and forward rates, which may be of use to policy authorities and model builders. However, out-of-sample forecast errors between the two models appear insignificantly different from each other.     

Some methods for assessing the need for non-linear models in business cycle analysis

It is often suggested that non-linear models are needed to capture business cycle features. In this paper, we subject this view to some critical analysis. We examine two types of non-linear models designed to capture the bounce-back effect in US expansions. This means that these non-linear models produce an improved explanation of the shape of expansions over that provided by linear models. But this is at the expense of making expansions last much longer than they do in reality. Interestingly, the fitted models seem to be influenced by a single point in 1958 when a large negative growth rate in GDP was followed by good positive growth in the next quarter. This seems to have become embedded as a population characteristic and results in overly long and strong expansions. That feature is likely to be a problem for forecasting if another large negative growth rate was observed.     

Equilibrium in abstract economies without ordered preferences and with a measure space of agents

We report a generalization of Aumann's (1966) existence theorem to economies without ordered preferences and with externalities in consumption. Our work can alternatively be viewed as a generalization of the Shafer–Sonnenschein (1975) theorem to economies with a continuum of agents.     

利用构造函数的思想探究罗尔定理的一些应用

罗尔定理在一元微分学处于很重要的地位,本文通过构造函数的思想来探究罗尔定理的应用。     

基于SIMULINK对非线性系统死区环节进行仿真

主要是针对非线性系统死区环节进行SIMULINK仿真,通过仿真分析来实现控制系统的优化。本文介绍了MATLAB中SIULINK工具的应用,对控制系统非线性环节的死区环节的分析,并用SIMULINK进行仿真解析的过程。     

Revisiting dividend yield dynamics and returns predictability: Evidence from a time-varying ESTR model

Since the bubble of the late 1990s the dividend yield appears non-stationary indicating the breakdown of the equilibrium relationship between prices and dividends. Two lines of research have developed in order to explain this apparent breakdown. First, that the dividend yield is better characterised as a non-linear process and second, that it is subject to mean level shifts. This paper jointly models both of these characteristics by allowing non-linear reversion to a changing mean level. Results support stationarity of this model for eight international dividend yield series. This model is than applied to the forecast of monthly stock returns. Evidence supports our time-varying non-linear model over linear alternatives, particularly so on the basis of an out-of-sample R-squared measure and a trading rule exercise. More detailed examination of the trading rule measure suggests that investors could obtain positive returns, as the model forecasts do not imply excessive trading such that costs would not outweigh returns. Finally, the superior performance of the non-linear model largely arises from its ability to forecast negative returns, whereas linear models are unable to do.