Spurious regressions in technical trading

This paper investigates the spurious effect in forecasting asset returns when signals from technical trading rules are used as predictors. Against economic intuition, the simulation result shows that, even if past information has no predictive power, buy or sell signals based on the difference between the short-period and long-period moving averages of past asset prices can be statistically significant when the forecast horizon is relatively long. The theoretical analysis reveals that both ‘momentum’ and ‘contrarian’ strategies can be falsely supported, while the probability of obtaining each result depends on the type of the test statistics employed.     

单位根"伪检验"解析--以GDP时间序列为例

本文基于单位根检验的方法、步骤，结合我国GDP时间序列数据，分析单位根“伪检验”（spurious test）的五种类型，提出了相应改进意见。     

Agglomeration

In the realm of the humanities four main classes of reasons for agglomeration have been identified [Carter (1977)]: surplus theories, the city as a wall, the city as a temple and the city as a market place. Deductive urban literature on the other hand recognizes two main classes of reasons for agglomeration: the city as a centre of production and the city as a public good. Surplus theories relate to the city as a centre of production while the wall and the temple are specific instances of a public good. But there is no deductive analogue to the city as a service centre; and the nature of such reasons for agglomeration is not intuitively clear, as for example, the persistence of periodic markets tends to suggest.This paper attempts to fill the obvious gap. Circumstances are specified under which agglomeration is better than dispersion in the following sense. The agglomerated state can support a higher aggregate profit and for every service of the urban economy, a lower price and a higher demand than those attained in the dispersed state. In the absence of output externalities such potential advantages may obtain under decreasing average costs for the economy. This is less demanding than the usual requirement of increasing returns for agglomeration: under the convex portion of decreasing average costs cities are compatible with the idea of general competitive equilibrium.     

Spurious Fixed Effects Regression*

This article shows that spurious regression results can occur for a fixed effects model with weak time series variation in the regressor and/or strong time series variation in the regression errors when the first‐differenced and Within‐OLS estimators are used. Asymptotic properties of these estimators and the related t‐tests and model selection criteria are studied by sending the number of cross‐sectional observations to infinity. This article shows that the first‐differenced and Within‐OLS estimators diverge in probability, that the related t‐tests are inconsistent, that R²s converge to zero in probability and that AIC and BIC diverge to ?∞ in probability. The results of the article warn that one should not jump to the use of fixed effects regressions without considering the degree of time series variations in the data.     

Spurious Regression and Trending Variables*

This paper analyses the asymptotic and finite‐sample implications of different types of non‐stationary behaviour among the dependent and explanatory variables in a linear spurious regression model. We study cases when the non‐stationarity in the dependent and explanatory variables is deterministic as well as stochastic. In particular, we derive the order in probability of the t‐statistic in a spurious regression equation under a variety of empirically relevant data generation processes, and show that the spurious regression phenomenon is present in all cases when both dependent and explanatory variables behave in a non‐stationary way. Simulation experiments confirm our asymptotic results.     

趋势成分引起的虚假回归问题解决方法研究

本文研究了由序列中趋势成分引起的虚假回归问题的解决方法。发现在模型设定式中加入趋势变量,并考虑趋势存在结构突变的情况,再根据残差是否存在自相关进行可行广义最小二乘（FGLS）或普通最小二乘（OLS）估计,可以有效解决趋势成分引起的虚假回归问题。通过理论分析表明,采用本文中的估计方法,所得检验两序列是否为虚假相关的t统计量渐近服从标准正态分布或与标准正态非常接近的分布。Monte Carlo模拟证实了该方法的有效性。最后以Yule(1926)中两高度虚假相关的时间序列为例,佐证文中结论。     

Agglomeration and competition

This paper presents and examines a simple Weberian model of location under conditions of imperfect competition. Given the number of homogeneous Cournot entrants, conditions are shown under which the firm may move toward the market site or to an input site. Demonstrated also is how output may be increased or decreased correspondingly. In any case, insofar as profit remains to be positive, new entry is kept attracted. The paper shows how in the process locational choice along with output may fluctuate as entry continues over time until a long-run non-negative/minimum profit equilibrium obtains.     

CPI与PPI的“虚假传导”及其修正——一个相对稳健的实证框架

通过对国外相关文献的梳理,我们发现国内已有对CPI和PPI之间传导机制的经验文献,普遍存在着实证方法误选或因遗漏变量导致虚假传导的问题。本文借鉴Guglielmo等(2002)的分析思路,引入货币政策分析框架来研究价格传导机制,以滞后期增广的VAR为基础,采用杠杆拔靴(Bootstrap)的Granger因果检验,得到一个相对稳健而全面的结论:CPI是PPI的Granger原因,反之则不成立。进一步推断得出,当前通货膨胀应为需求主导型,而系统性宽松的货币条件是促成需求旺盛的重要原因。所以,治理通胀应从流动性入手,并引导货币供给流入到生产领域。     

Agglomeration and demographic change

This article investigates common consequences of demographic change and economic integration for the spatial location of economic activity. In doing so, it provides a unified framework that introduces an overlapping generation structure into a New Economic Geography model. Whether integration leads to agglomeration crucially hinges on the demographic properties of economies. While population aging strengthens concentration tendencies, population growth acts as a dispersion force. This is consistent with the stylized relationships between demography and urbanization found in the data and thus allows us to assess the possibility of agglomeration in various demographic scenarios.     

Spurious relationships arising from aggregate variables in linear regression

Quality & Quantity - Linear regressions that use aggregated values from a group variable such as a school or a neighborhood are commonplace in the social sciences. This paper uses Monte Carlo...     

鉴别真伪企业家的标尺

笔者曾在企业管理专业的学生中做过一项调查，差不多90％的学生的理想是成为一名企业家。这当然是件好事，因为中国现在企业家资源十分短缺，而这又是经济发展不可或缺的决定性资源。但什么是企业家呢？现实中对它的边界界定是模糊的，概念的使用更是随意的。     

Spurious relationships in high-dimensional systems with strong or mild persistence

This paper is concerned with the interactions of persistence and dimensionality in the context of the eigenvalue estimation problem of large covariance matrices arising in cointegration and principal component analysis. Following a review of the early and more recent developments in this area, we investigate the behaviour of these eigenvalues in a vector autoregression setting that blends pure unit root, local to unit root and mildly integrated components. Our results highlight the seriousness of spurious relationships that may arise in such big data environments even when the degree of persistence of the variables involved is mild and affects only a small proportion of a large data matrix, with important implications for forecasts based on principal component regressions and related methods. We argue that, prior to principal component analysis, first-differencing may be suitable even in stationary or nearly stationary environments.     

Laboratory Testing of Spurious Spatial Structure in Trip Distribution Models

Abstract

In this paper we examine the risk of reporting spurious relationships in trip distribution models. We show how to make synthetic data sets that (by construction) are neutral with respect to clustering effects. We study a particular case with two non-interacting groups of jobs/workers. A competing destinations model is applied to 100 randomly drawn data sets of this type. Quite disturbingly, the loglikelihood ratio test reported a significant clustering effect in all of these data sets. This shows that statistical tests based on likelihood values may not be the right tool to examine the effect of such model extensions.     

结构突变时间序列单位根的"伪检验"

利用蒙特卡罗分析方法,本文对含一个结构变化点的经济变量单位根检验的有效性进行了探讨。分析的结果表明,当经济变量的数据生成过程存在一个结构性突变时,不考虑这种变化而进行常规的单位根检验只有在特定条件下才不会“失效”:只有当突变前后两期的样本数相差极大,或者选取的样本期总数很小时,单位根检验才不会“失效”。并且,随着结构变化程度的增大,不考虑结构变化而进行常规单位根检验得出“伪检验”的可能性也会增大。     

Agglomeration elasticities and firm heterogeneity

This paper examines three key issues encountered when estimating the relationship between agglomeration and multi factor productivity (‘agglomeration elasticities’): the sorting of heterogeneous firms, the convexity of agglomeration effects, and the challenges of identifying the impact of persistent spatial differences in effective density. We use a firm-level panel containing production data together with detailed information on the geographic location of employment, covering a high proportion of the New Zealand economy. We are able to control for heterogeneity along firm, region, and industry dimensions, and to estimate separate agglomeration elasticities across industries and regions. Sorting leads to upward biased elasticity estimates but using firm fixed effects can lead to downward bias due to the highly persistent nature of agglomeration variables. Our preferred estimates control for sorting across regions and industries. Overall, we find a positive agglomeration elasticity of 0.066. Within industries and, to a lesser extent within regions, there is pronounced variation in the strength of agglomeration effects, and evidence of decreasing returns to agglomeration. High density areas attract firms that benefit most from agglomeration.     

偏差修正的预白化HAC法在平稳过程伪回归中的应用

在传统预白化HAC法存在有限样本偏差的基础上,提出将自回归参数偏差修正法和残差调整法来减少预白化HAC法的偏差,从而降低相互独立的平稳过程之间发生伪回归的概率。通过一系列的蒙特卡罗模拟表明：第一修正的预白化HAC法确实减少了伪回归概率,且自回归参数偏差修正法减少的幅度要比残差调整法要大得多;第二相对于同方差情形而言,存在GARCH类异方差的回归中预白化HAC法具有更低的伪回归概率;第三当数据过程是AR(2)过程时,在持久性相同的情况下预白化HAC法的伪回归概率要低于相应的AR(1)数据过程。但在高于2阶的自回归数据过程的回归中,残差调整的预白化HAC的伪回归概率具有优势。在样本容量较大(T≥500)时自回归参数修正的预白化HAC法的伪回归概率很接近检验水平,但残差调整的预白化HAC法具有微弱的向下检验水平扭曲.     

Agglomeration within an urban area

This paper utilizes a newly created index for colocalization to estimate the determinants of industrial agglomeration within a single urban area. Our new index directly incorporates the location of individual establishments while controlling for the Modifiable Areal Unit Problem (MAUP) in order to create this measure of spatial similarity between two industries. We estimate that proximity to transportation infrastructure and consumers as well as knowledge spillovers largely explain patterns of agglomeration. We find a smaller role for input–output linkages and consumption externalities for retail and consumer service industries.     

Spurious Rejections by Perron Tests in the Presence of a Break

In this paper, we concentrate on the case of an exogeneously chosen break date, but entertain the possibility that an incorrect choice is made. In fact, the Perron test statistics considered are invariant to any break in the generating process at the assumed break date. Our results therefore apply equally to the case of a generating process with two breaks, only one of which is specifically accounted for in the analysis. As in Leybourne et al . (1998), we find that a neglected relatively early break can lead to spurious rejections of the unit root null hypothesis. Moreover, for all but one of the tests analyzed, spurious rejections now also arise if a true break occurs relatively soon after the assumed break date.     

聚集经济的微观基础--一个区位选择的分析框架

区位选择与聚集经济是区域经济学中最重要的两个基础理论,但是我们一直不清楚这两个理论之间的本质联系。聚集经济一直以来缺少有力的微观基础。本文在区位选择分析框架下,研究了聚集经济的理论微观基础,并利用两个模型分析了交通以及R＆D的溢出效应对区位选择和聚集实现的影响。     

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.