Modelling the Stochastic Component of Behaviour in Experiments: Some Issues for the Interpretation of Data

This paper considers some of the questions raised by the fact that people's behaviour—including their behaviour in experimental environments—has a stochastic component. The nature of this component may be crucial to the interpretation of the patterns of data we observe and the choice of statistical criteria for favouring one hypothesis at the expense of others. However, it is arguable that insufficient consideration has been given to the way(s) in which the stochastic element is modelled. The paper aims to explore some of the issues involved. JEL Classification: C12, C73, C91     

实际经济时间序列的计算、季节调整及相关经济含义

本文首先讨论了计算中国实际经济时间序列的不同做法 ,并分析了其对季节调整的影响 ,指出通过同比增长率计算实际变量并进行季节调整是一个可以接受的做法 ,可以得到非常接近真实的季调后序列 ,并且在中国现有数据资源的限制下拥有一些特别的优势。然后本文具体讨论了对几个不同经济变量进行季节调整的方法 ,并给出了一些在经济数据分析与预测中的简单应用。方法的关键是采用regARIMA模型 ,从而可以对工作日变化、放长假、春节因素等作出一个估计和调整。作为一个副产品 ,本文引荐了一个相对较新的季节调整程序 (方法 ) ,TRAMO SEATS ,简单介绍了它的原理和优势 ,希望今后能得到更广泛的应用。     

关于绿色经济学的几个问题

绿色经济学是在对传统经济学反思与批判的基础上,整合相关绿色理论资源、适应绿色经济实践而发展起来的经济学学科,是经济学内部逐渐发展起来的新因素和新需求,也是重建经济学理论的新思路和新尝试。绿色经济学已在学科涵义、研究对象、基本预设、理论体系和学科体系等方面进行了探索,同时亟待从学科建设角度,对绿色经济学的研究视角、参照标准、分析工具和"成本—效益"模式等问题进行深入研究。绿色经济学将成为推动经济发展、实现社会公平、促进环境优化、推进社会进步的重要力量,对当下我国转变发展方式、实现科学发展有重要的理论价值和实践意义。     

行为金融学基本问题

本文旨在论证基于有限理性能力的金融资产预期定价,这是行为金融学的基本问题.这里提供的论证,与以往发表的金融学和经济学文献不同,它遵循学术史的逻辑,首先界定经济学、金融学和行为学的基本问题,其次界定行为金融学基本问题,最后讨论行为金融学应当具有的研究框架.     

Price Discovery and Risk Transfer in the Crude Oil Futures Market: Some Structural Time Series Evidence

This paper re-examines the Garbade and Silber (1983) model with the objective of finding out if the crude oil futures market performs the functions of price discovery and risk transfer. The model is estimated, using daily data, as a system of two seemingly unrelated time series equations allowing the coefficients to be time-varying. The empirical results reveal that the futures market performs about 60 per cent of the price discovery function, and that the elasticity of supply of arbitrage services is adequately high for the market to perform the risk transfer function.
(J.E.L: G13, C22).     

Modelling Policy Issues in a World of Imperfect Competition

General equilibrium theory constitutes a sound basis for the discussion of policy issues if firms do not have market power. However, if firms influence prices strategically, the concept of profits loses its meaning due to the price normalization problem. Hence, it is unclear how to model the behavior of oligopolistic firms. In order to provide a conceptual foundation for the analysis of policy issues in the case of imperfect competition, we discuss ways to formulate the objective of a strategic firm. In particular, we investigate the concept of real wealth maximization that is based on profits as well as on shareholders' aggregate demand.     

Visualising Time: A Compendium of Time Series Plots

Graphs are important for highlighting relationships within a data series or across several series. Modern computer software has provided flexibility in the construction of graphic displays that would have been impossible with the tools that were available to researchers only a few decades ago. This article illustrates a variety of different graphical presentations for time ordered or time series data that can now be constructed. These include time series plots, bar charts, range plots, radar charts, scatter plots, heat maps and seasonality plots. For each graph type presented, we discuss the best practice for their construction.     

生态经济学基本问题研究

如何审视生态系统、环境系统与经济系统之间的相互关系,关系到对生态经济学基本问题的科学理解,关系到如何运用科学发展观建设和谐社会、实现经济社会持续发展。本文以此为前提,深入研究生态经济学的基本问题,对生态价值、环境价值、经济价值层次的升级,逻辑上的升华及其内在联系进行了探讨。     

Time-Frequency Analysis for Nonstationary Time Series

Non-stationary time series are a frequently observed phenomenon in several applied fields, particularly physics, engineering and economics. The conventional way of analysing such series has been via stationarity inducing filters. This can interfere with the intrinsic features of the series and induce distortions in the spectrum. To avert this possibility, it might be a better alternative on occasions to proceed directly with the series via the so-called time-varying spectrum. This article outlines the circumstances under which such an approach is possible, drawing attention to the practical applicability of these methods. Several methods are discussed and their relative advantages and drawbacks delineated.

     

计量经济学方法之时间序列分析

本文介绍了一元时间序列分析中常用的AR、MA、ARMA和ARIMA等经典模型,分析了这几个经典模型的理论要点以及单位根检验的方法和程序,总结了时间序列分析在预测等方面的优势及其在复杂科学管理中的应用,并以我国一月期国债回购利率和上证180月收益率为分析对象,介绍了一元线性回归分析的基本步骤。     

自创商誉的几个基本问题

究竟是否应该确认自创商誉，这主要取决于是否满足资产的确认条件。我们认为，商誉（无论是自创还是外购）都是能够为企业带来未来经济利益的一种无形经济资源，且基本符合确认的条件，因此，主张应对自创商誉也加以确认与计量，但考虑到自创商誉的特殊性，可将自创商誉作为永久性资产（不摊销）进行披露但进行减值评估。     

Testing for Asymmetries in UK Macroeconomic Time Series

This paper examines the asymmetric properties of a broad range of quarterly postwar UK macroeconomic time series using recently developed test statistics for contractionary 'deepness' and 'steepness' relative to trend. We also examine the robustness of these test statistics to two alternative methods of detrending, namely Hodrick-Prescott filtering and structural time series modelling. We find strong corroborative evidence of asymmetric steepness relative to trend in durable consumption, total investment, investment in plant and machinery, exports and unemployment. We find weaker evidence of asymmetric deepness in savings, exports, labour hours, consumption and unemployment.     

业主集体选择：一个前置性的思考

本文主要讨论业主集体选择中一些前置性问题的处理原则。前置性问题包括:业主集体形成的规则、业主意愿统一的规则和业主集体在委托物业服务生产前所要达成的共识性问题。而共识性问题包括物业集体服务内容、标准和价格的确立方式以及物业管理公司选择和集体服务费用分摊等。     

我国独立董事制度设计中的若干问题

作为一种确定公司出资者与管理层及其他各方权利责任的制度性安排,公司治理实际上包含有多方面的内容,但长期以来公司治理常常将重点放在股东（特别是大股东）与管理层的关系方面,而中小股东与大股东和管理层的关系常常被忽视,由于中小股东在公司治理中基本上处于弱势地位,特别是随着公司资本基础的扩大,股份日益分散化,导致中小股东越来越远离公司的最终控制权,不仅要负担管理层机会主义行为带来的代理成本,还可能受到处于控制地位的大股东的侵害,实际上面对着大股东和管理层（都被称为内部人）的双重损害。     

政治经济学中的若干基本理论问题

生产方式、占有方式以及分配方式一直是政治经济学研究中的基本问题.而苏联范式的传统政治经济学已越来越成为中国改革的理论包袱.根据马克思经济学说并结合现代经济学的新发展,可以认为划分社会历史阶段的标志是社会生产方式,而不是所有制;资本的生产方式是人类社会发展不可逾越的历史阶段,并在其发展过程中不断地产生否定资本的因素.生产社会化的发展,将导致占有的社会化.社会占有取代私人占有是一个渐进的过程;中国社会主义初级阶段的生产方式仍然是资本的生产方式.     

季节时间序列理论发展综述

随着社会的进步,统计数据由过去的年度数据变为如今的季度、月度和日度数据,有些以实时交易为基础的超高频金融数据达到了按秒为间隔的频率,这些数据被称为季节时间序列。季节时间序列研究已经成为近十年来经济计量学和统计学中的热点,Joumal of Econometrics（1993,volume 55）就此问题进行了专题讨论。本文按照历史发展顺序对季节性时间序列理论进行了系统地介绍,并对这一领域的前沿热点问题进行了评述和展望。     

Time Series Analysis of Inflation Targeting in Selected Countries

Abstract

We analyze a set of countries which adopted inflation targeting (IT) as a policy tool. We model the pre‐IT period with ARMA and GARCH methods, and conduct the one‐step ahead forecasting for the remainder of the times series data. The actual and forecasted inflation levels are compared for each country. We find that even though the actual inflation levels are lower than the forecasted ones, there is no statistical evidence to suggest that the adoption of IT causes a structural break in the inflation levels of the countries which adopt IT.