Advances in the Analysis of Non-stationary Time Series: An Illustration of Cointegration and Error Correction Methods in Research on Crime and Immigration

Time series data of interest to social scientists often have the property of random walks in which the statistical properties of the series including means and variances vary over time. Such non-stationary series are by definition unpredictable. Failure to meet the assumption of stationarity in the process of analyzing time series variables may result in spurious and unreliable statistical inferences. This paper outlines the problems of using non-stationary data in regression analysis and identifies innovative solutions developed recently in econometrics. Cointegration and error-correction models have recently received positive attention as remedies to the problems of ``spurious regression' arising from non-stationary series. In this paper, we illustrate the relevant statistical concepts concerning these methods by referring to similar concepts used in cross-sectional analysis. An historical example is used to demonstrate how such techniques are applied. It illustrates that ``foreign' immigrants to Canada (1896–1940) experienced elevated levels of social control in areas of high police discretion. ``Foreign' immigration was unrelated to trends in serious crimes but closely related to vagrancy and drunkenness. The merits of cointegration are compared to traditional approaches to the regression analysis of time series.     

牛鞭效应的系统动力学研究综述

从历史角度对系统动力学在供应链牛鞭效应中的应用进行了考察。首先介绍了牛鞭效应的发现、定义和传统方法的不足;然后介绍了系统动力学方法及其处理问题的特点和优势;接着对系统动力学方法在牛鞭效应方面的应用进行了梳理,介绍了国外的理论基础和发展情况,对国内的研究状况进行了综述,并根据领域的不同将国内在此方面的研究划分为7个方向。     

Dynamics of Wheat Prices in the Wake of Market Reforms: The Case of Pakistan

Using Autoregressive Conditional Heteroskedastic (ARCH) method, this paper examines the effects of market reforms on the distribution of real mean prices and their variability before and after reforms. It is found that market-oriented reforms benefited producers and consumers alike. Empirical evidences, generally, support theoretical assertion that mean prices decline in most urban areas and increase in those markets that are located in surplus producing areas. The results also showed that market reforms lead to more price volatility.     

企业物流和商流分离的必要性——以一个肉制品加工企业A公司为例

随着我国加入WTO,将会有越来越多的外国企业进入中国市场,那样将对我国内的企业带来严峻的考验,在这样的情况下,一定找到我国内企业与外国企业的差距所在,挖掘新的利润点,设法降低物流成本将是一个很好的武器;想要发挥物流的重要作用,就一定要实现企业运行过程中的物流与商流的分离,从而从最大程度上降低物流成本,提高企业的核心竞争力。     

基于产业集群的城市化动力机制研究

产业集群和城市化的内涵都是要素的聚集,二者存在很重要的内在联系。产业集群是城市化发展的重要载体,集群创新是产业结构升级的重要动力。文章从城市化动力机制方面阐述了产业集群对城市化的巨大推动作用,简要介绍我国产业集群的现实状况及存在的问题,提出加强产业集群发展以促进城市化的具体建议。     

企业物流和商流分离的必要性--以-个肉制品加工企业A公司为例

随着我国加入WTO,将会有越来越多的外国企业进入中国市场,那样将对我国内的企业带来严峻的考验,在这样的情况下,一定找到我国内企业与外国企业的差距所在,挖掘新的利润点,设法降低物流成本将是一个很好的武器;想要发挥物流的重要作用,就一定要实现企业运行过程中的物流与商流的分离,从而从最大程度上降低物流成本,提高企业的核心竞争力.     

“啤酒游戏”的系统动力学分析

在简要介绍了“啤酒游戏”、系统动力学及其仿真软件Vensim的基础上,进一步构建了啤酒游戏的因果关系图和系统动力学流图,并在此基础上应用Vensim/DYNAMO构建了“啤酒游戏”的计算机模型,对其进行了仿真。研究了订货延迟时间对物流库存系统情况造成的影响,比较了两种不同的采购策略对“啤酒游戏”的影响,发现订货延迟时间的存在是造成“啤酒游戏”中“牛鞭效应”的内因,商家过分在意当前的库存与缺货情况,急于补存或者降低库存,反而会造成“牛鞭效应”的加剧。结果表明,如果商家适当的延长库存的补货时间,“啤酒游戏”中的“牛鞭效应”会有所改观,这是现代供应链上的物流企业应该借鉴的。     

基于时间序列的郑州市人均生产总值的预测

随着社会经济的不断发展、生活水平的提高及人口的增加,通过GDP这一宽泛的指标来反映一个地区经济的发展状况是不准确的。由于GDP不能很准确地反映平均每个人的生活水平,而人均GDP则能弥补GDP的这点不足。因为人均GDP=总产出/总人口,它是一个既考虑经济总量大小又考虑人口数量因素的综合性指标,所以常常用来了解和把握一个国家或者地区的宏观经济运行状况、发展水平和人民生活水准。所以论文利用ARIMA模型对人均生产总值进行短期的预测。     

山东省人均GDP时间序列模型的建立

人均GDP的增长具有其内在的规律性。从山东省的实际情况出发,以1978--2002年山东省逐年人均GDP的统计数据为依据,将这些数据进行平稳化、零均值化处理,并利用序列的自相关函数、偏自相关函数的性质,确认序列应当适合的模型,从而建立其时间序列模型。     

基于系统动力学的供应链库存仿真研究

文章利用系统动力学及Vensim建模平台建立了供应链库存系统动力学模型,以制造商和零售商的订货成本和产品定价为控制变量,进行了模型仿真,根据仿真结果分析了供应链库存的稳定性和供应链利润。     

轮轨关系中的等效锥度对车辆动力学性能的影响

轮轨关系涉及到轨道车辆运行的稳定性和安全性,轮轨匹配问题越显的重要。作为轮轨匹配的最重要参数之一等效锥度,与车辆的动态横移量和滚动圆半径差存在着一定的关系,影响着车辆动力学性能。     

Comparing Time Series Cross-Section Model Specifications: The Case of Welfare State Development

In recent years, an impressive number of pooled time series (TSCS) cross-section models have been estimated in order to test hypotheses on welfare state development. Although most of these models share several of the variables, they can often be distinguished by the model specification adopted. This begs the question: what is the appropriate specification for modeling welfare state development? In order to answer this question some leading specifications are evaluated with respect to their ability to meet the theoretical assumptions about the theory of welfare state evolution in addition to the econometric canons on panel analysis. The main conclusions of this paper are the following. First, all specifications in levels are econometrically unfounded because most of the variables typically used for analyzing this topic cannot be considered to be stationary. Second, although a first difference model performs better from an econometric point of view, it is unable to test the hypothesized long-term relationships underlying welfare state dynamics. Third, and more importantly, the single equation error correction model represents the best pooled TSCS specification for modeling welfare state development since it is able tocapture long-run effects even in the presence of nonstationary processes.     

系统动力学视角下的旅行社导游员引进分析

旅行社是劳动密集型和智力密集型企业,其业务是一项复杂的组织工作和人对人、面对面的服务工作。可以说,人是旅行社的核心,是整个企业的精髓和支柱,也是企业中唯一的能动要素,是最积极和基本的要素。旅行社的发展壮大,离不开人员的引进。同时,旅行社的规模也影响着人才引进的数量,文中在系统动力学视角下,对这一问题进行分析。     

NGW型行星减速器虚拟样机及动力学仿真分析

本文以NGW型减速器为例,运用pro/e4.0对行星齿轮减速器进行三维实体建模,并将建立好的模型经过干涉检验,虚拟装配,再通过Pro/e与adams之间的接口导入到adams中进行动力学仿真分析,经过分析,验证此行星减速器在动力学设计方面的合理性。     

理论物理研究领域的结构和动态

本篇文章从近年来Physical Review D的相关数据文献出发,浅要论述了理论物理研究领域的结构与动态,仅供参考。     

Autocorrelation and Bias in Short Time Series: An Alternative Estimator

The conventional first-order autocorrelationcoefficient r₁ generates an empiricalbias when it is applied to short time series.The properties of this estimator have beenexamined with a Monte Carlo simulation studyusing the MATLAB program (version5.2). This study also analyzes the functionof the empirical bias with the polynomicregression and derives a polynomic fittingmodel for different sample sizes. In thisway, a new estimator that has been correctedby the absolute value of the fitting model(r_1') is proposed. Having analyzed thestatistical properties of the estimator r_1',it is shown that the empirical bias generatedby r_1' is less in relationship to r₁ andr₁₊. The results of the study make itpossible to verify that the mean squared errorassociated to the estimator r₁ isless than that of r₁. Thus, the coefficient r_1'is recommended to estimate the lag-oneautocorrelation coefficient in samples under 50observations.     

基于系统动力学的区域物流供需机理分析——以天津市为例

在界定区域物流供给与物流需求的基础上,分析了影响区域物流供给和需求的主要因果关系,并建立了区域物流供需的系统动力学模型,利用该模型仿真模拟了天津市物流业供给和需求之间相互影响的动态过程,最终得到实现区域物流供需平衡的物流业增长率的理论最优值,从而为地区确定合理的物流业增长率目标提供理论上的参考。     

Testing of unit root and other nonstationary hypotheses in macroeconomic time series

Recently proposed tests for unit root and other nonstationarity of Robinson (1994a) are applied to an extended version of the data set used by Nelson and Plosser (1982). Unusually, the tests are efficient (against appropriate parametric alternatives), the null can be any member of the I(d) class, and the null limit distribution is chi-squared. The conclusions vary substantially across the 14 series, and across different models for the disturbances (which, also unusually, include the Bloomfield spectral model). Overall, the consumer price index and money stock seem the most nonstationary, while industrial production and unemployment rate seem the closest to stationarity.     

经济分析与预测模型中信息矩阵的病态问题分析

对常用的经济分析与预测模型中的线性回归、时间序列及灰色系统信息矩阵的病态问题进行了讨论。通过对统计资料附加干扰,基于最小二乘原理,得出每个模型中的每一参数与噪声的数值关系。指出在经济分析与预测模型的使用过程中,使用这类模型进行分析时必须考虑矩阵的病态问题,采取有效方法减轻或者消除信息矩阵的病态程度后方可使用这三种模型。     

Geometrical Interpretation of the Mean and the Constant in a Box-Jenkins Time Series Model

Certain manuals and computer programs mistakenly identify the mean with the constant in Box-Jenkins time series models. In this paper, it will be shown that (a) the mean and the constant have different values in autoregressive models, and (b) they have an algebraic and graphical relationship.