Variance Decomposition Analysis for Nonlinear Economic Models1

In this paper, we propose a new method called the total variance method and algorithms to compute and analyse variance decomposition for nonlinear economic models. We provide theoretical and empirical examples to compare our method with the only existing method called generalized forecast error variance decomposition (GFEVD). We find that the results from the two methods are different when shocks are multiplicative or interacted in nonlinear models. We recommend that when working with nonlinear models researchers should use the total variance method in order to see the importance of indirect variance contributions and to quantify correctly the relative variance contribution of each structural shock.     

Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models

We propose a new generalized forecast error variance decomposition with the attractive property that the proportions of the impact accounted for by innovations in each variable sum to unity. Our decomposition is based on the generalized impulse response function, and it can easily be obtained by simulation. The new decomposition is illustrated in an empirical application to US output growth and interest rate spread data.     

随机波动模型下定价方差互换的一类控制变量

本文从风险中性定价的角度出发,给出了在随机波动模型下定价方差互换的一类控制变量,从而大大提高了使用蒙特卡罗方法计算方差互换价格时的效率,并在波动率的平方满足几何布朗运动(GBM)和波动率满足Ornstein-Uhlen-beck(OU)过程这两种随机波动情况下给出了控制变量的具体形式。特别对于GBM型随机波动模型,可以得到一系列控制变量,从而进行多元控制。     

中国GDP-FDIs非线性系统的动态经济学分析--中国FDIs有最优规模吗?

本文应用韩德瑞（Hendry）倡导的“一般到特殊”的方法建立了我国GDP-FDIs非线性动态系统（G-FNLDS）模型,表明FDIs对GDP增长具有加速推动作用,然而GDP却与FDIs之间存在竞争关系,以FDIs竞争力为强,因而FDIs具有增长极限;G-FNLDS相图中具有一个稳定的节点吸引子,其FDIs^＊／GDP^＊为36．18％。因而,目前FDIs还有一定的增长空间,且还可以超过GDP速度增长,G-FNLDS向节点运动过程也正是其自我调节过程。     

非平稳面板数据的非线性共同周期检验

经济变量的协同波动是学术界、宏观政策制定者长期关注的重要问题,本文将时间序列数据的共同周期检验方法扩展至面板数据,提出非平稳面板数据的非线性共同周期检验方法。本文根据数据特征,将共同周期划分为强降秩结构共同周期和弱降秩结构共同周期,分别在强降秩结构数据和弱降秩结构数据中提出共同周期检验统计量,并提出区分强降秩结构数据和弱降秩结构数据的统计量。研究结果表明,本文检验统计量的极限分布都是卡方分布,并且各检验统计量都表现出良好的有限样本性质,因此,本文提出的非平稳面板数据的非线性共同周期检验方法具有较高的实用性。     

Econometric Models and Economic Forecasting

This Briefing Paper is thejirst ofa series of three designeddiscussed is the process of making 'constant adjustments' in forecasts. This process involves modifying the results generated by the econometric model. For the first time we are publishing tables of the constant adjustments used in the current forecast. We explain in general why such adjustments are made and also explain the actual adjustments we have made for this forecast.
The second article of the series, to be published in our February 1983 edition, will describe the potential sources of error in forecasts. In particular it will describe the inevitable stochastic or random element involved in e tatistical attempts to quantify economic behaviour. As a completely new departure the article will report estimates of future errors based on stochastic simulations of the LBS. model and will provide statistical error bad for the main elements of the forecast.
The final article, to be published in our June 1983 edition, will contrast the measures of forecast error that e e obtain from the estimation process and our stochastic e imulationsp with the errors that we have actually made, as revealed by an examination of our forecasting 'track record'. It is hoped to draw, from this comparison, some e eneral conclusions about the scope and limits of econometric forecasting producers.     

Scaling for Residual Variance Components of Ordered Category Responses in Generalised Linear Mixed Multilevel Models

A method is proposed that enables changes in variance components to be computed from the results of fitting ordered response generalised models with multilevel and random effects. This deals with the rescaling of the response that occurs as we add new features to a developing model.     

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。     

Economic Viewpoint: Economic Models and Economic Forecasting: Ptolemaic or Copernican?

Economic forecasters have come in for a lot of criticism in recent months. But this is not new. The failure to predict the boom in 1988 and ensuing inflation and balance of payments problems led to some serious re-examination of the structure of the main macroeconometric models in the UK. The speed with which the UK economy moved into sharp recession in the second half of 1990- also appeared to catch most forecasters on the hop. This Briefing Paper is not directly about forecasting; it is about macroeconometric models. However, forecasting provides by far the most extensive use of these models. Not all macroeconomic forecasters use a formal econometric model - some City economists find a spreadsheet more than adequate - but those that do find that they are an invaluable aid to clear thinking and provide an effective way of filtering all of the information that is available, in one form or another, about the economy. This paper was originally intended to provide a retrospective review of the development of UK macro-models since the late 1970s, coinciding broadly with my period at London Business School. However, it became clear that there was a need to argue more generally in favour of macro-modelling, given the numerous assaults that this activity has sustained over the last 15 years. I want to demonstrate that the conduct of research in this area - at the very least in the UK - has been, and continues to be, a progressive research strategy in the sense in which philosophers of science use this term. I believe that macro-modellers, because they have an obligation to forecast and to make the forecast public, are closer to how theoretical constructs in economics conflict with the observation of economic events, and provide a more robust testing ground for economic theories than the relatively narrow - though very important - confines of single equation statistical testing, that dominate academic journals. This should not mean that every new theoretical idea should be expected to be able to survive immediately the rigours of testing within an existing macro-model. One of the attractions of recent developments in macroeconomic theory has been an explicit attempt to seek to try to reconcile macroeconomics with micro-economic reasoning and to derive macroeconomic principles from how rational, maximizing individuals can be expected to behave in a market economy. There is always a need periodically to re-examine the basic postulates of any area of economics, especially one such as macroeconomics, which provides the basis for the conduct of national and international economic policy, and for providing explanations for economic cycles. Macro-econometric model building is a worthwhile exercise because it confronts theoretical models of how the macro-economy is supposed to work with the hard lessons of experience. The use of these models for forecasting is therefore crucial to their continued growth and development.     

都市圈城市蔓延:基于经济学模型的演化性分析

都市圈城市空间结构发展日已呈现出蔓延现象。蔓延现象由多种因素推动形成,用城市经济学观点建立动态模型,分析都市圈城市蔓延的演化复杂性,辨析出都市圈城市蔓延的经济学因素,研究了都市圈蔓延过程的异速生长特性。     

几类非线性协整模型研究综述

协整分析方法经过20多年的发展成为计量经济学界的一个前沿工具,在经济与金融领域得到了广泛的应用。线性协整分析已经成熟,而非线性协整的理论与方法仍在持续研究中。本文回顾了最近20年非线性协整的发展历史,其中包括结构变化、门限非线性、马尔可夫转换和平滑转换等几类非线性协整模型,强调了这些非线性机制的本质区别,总结了已取得的一些重要研究成果,最后对该问题的最新发展动向加以概括。     

Permanent-transitory Decomposition in Var Models With Cointegration and Common Cycles

In this paper we derive permanent-transitory decompositions of non-stationary multiple times series generated by (r)nite order Gaussian VAR(p) models with both cointegration and serial correlation common features. We extend existing analyses to the two classes of reduced rank structures discussed in Hecq, Palm and Urbain (1998). Using the corresponding state space representation of cointegrated VAR models in vector error correction form we show how decomposition can be obtained even in the case where the number of common feature and cointegration vectors are not equal to the number of variables. As empirical analysis of US business fluctuations shows the practical relevance of the approach we propose.     

Extracting Nonlinear Signals from Several Economic Indicators

We develop a twofold analysis of how the information provided by several economic indicators can be used in Markov switching dynamic factor models to identify the business cycle turning points. First, we compare the performance of a fully nonlinear multivariate specification (one‐step approach) with the ‘shortcut’ of using a linear factor model to obtain a coincident indicator, which is then used to compute the Markov switching probabilities (two‐step approach). Second, we examine the role of increasing the number of indicators. Our results suggest that one step is generally preferred to two steps, especially in the vicinity of turning points, although its gains diminish as the quality of the indicators increases. Additionally, we also obtain decreasing returns of adding more indicators with similar signal‐to‐noise ratios. Using the four constituent series of the Stock–Watson coincident index, we illustrate these results for US data. Copyright © 2014 John Wiley & Sons, Ltd.     

Robustness and Local Linearisation in Economic Models

This paper discusses the importance of nonlinear dynamics from a theoretical and an empirical point of view. It stresses the need for global as opposed to local analysis and develops the important concept of robustness. Using this concept, the paper argues that much modern macroeconomics can be dismissed on methodological grounds alone. The paper also deals with the empirics of hyperinflation and with the detection of chaos in financial markets.     

SPSS软件单因素方差分析的应用

方差分析即将总的方差分解为各个方差的成分,然后利用显著性检验法进行判定和得出结论。本文对方差分析法的原理和单因素方差分析的基本内容进行了分析,并针对实际问题运用SPSS软件,结合数理统计知识,对不同水稻品种百丛中A幼虫数问题进行较详细的单因素方差分析。     

非线性误差校正模型中的阈值协整检验——基于阈值协整向量未知的扩展

Kapetanios等(2006)假定阈值协整向量已知,在误差校正模型中使用指数函数刻画非线性调节效应,并使用F懈统计量检验非线性阈值协整.本文基于Kapetanios等(2006)的模型设定,将阈值协整向量由已知扩展为未知,并借鉴Hansen和Seo(2002)的方法估计阈值协整向量和构造F*NEC统计量检验非线性阈值协整.仿真试验表明:本文方法估计的阈值协整向量具有近似无偏、对称的分布和相对较高的精度,并且其随样本容量的变化特征符合一致性.进一步,在有限样本下,F*NEC 与FNEC的水平扭曲没有显著差异,但F*NEC的检验势高于FNEC.     

Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models

We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear, non‐Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent Metropolis–Hastings algorithm or in importance sampling. Our method provides a computationally more efficient alternative to several recently proposed algorithms. We present extensive simulation evidence for stochastic intensity and stochastic volatility models based on Ornstein–Uhlenbeck processes. For our empirical study, we analyse the performance of our methods for corporate default panel data and stock index returns. Copyright © 2016 John Wiley & Sons, Ltd.     

成本差异计算分析方法刍议

结合成本管理的实际情况，利用统计指数分析原理。对传统的成本差异分析内容与方法进行了分析、调整与完善。将变动成本差异与固定制造成本差异分析方法归一，同时将实际开支总额与标准开支总额之间的差额作为总差异．其分支差异有三个差异，即产量差异、用量差异和价格差异。在完善绝对数分析的基础上。补充了相对数分析内容。     

经济数学教学中引入经典经济模型的探讨

经济数学是经济与管理专业的重要基础课程。教师在讲授经济数学的基本概念和定理的过程中,引入经典经济模型进行教学,能够很好激发学生的学习兴趣,把数学知识较好的内化到所学专业中,搭起理论联系实际的平台。