金融时序数据建模的模型设定问题分析

W．J．Granger与D．F．Hendry（2004）关于建模思路的对话引起了国际计量经济学界关于模型设定问题的争论,本文就这一问题分析讨论了在金融时序数据实证研究中得以广泛应用的ARCH／GARCH模型的设定问题,认为在金融时序数据的建模中,ARMA族模型不宜作为数据生成过程的模型设定,其统计性质也不能直接扩展到ARMA-GARCH族数据生成过程。虽然ARCH／GARCH族模型作为金融时序数据的生成过程有着良好的统计性质,但不宜单纯采用一般到特殊的建模思路,而应是一般到特殊和特殊到一般两种建模思路的结合。ARCH／GARCH族模型的设定应当包含事前检验、事后检验等设定检验步骤。     

A Long-run Disaggregated Cross-section and Time-series Demand System: An Application to Italy

In this paper, we study a long-run disaggregated model of consumption following an approach based on an integrated cross-section and time-series demand system. The study consists of three steps. First, a cross-section analysis is performed on data from household budget surveys. At this stage, the problem of 'zero expenditures' is solved. The cross-section results are transformed into variables for use in the time-series system of demand. Then, this demand system is built and estimated. Some results for Italy concerning both the cross-section and the time-series analyses are presented.     

Financial distress and bankruptcy prediction: An appropriate model for listed firms in Vietnam

This paper aims to develop a comprehensive model, the first of its kind in Vietnam, for the purpose of predicting financial distress and bankruptcy at Vietnamese listed firms. The period 2003–2016 is used to study the likelihood of financial distress in different scenarios. Various factors are utilized, including (1) accounting factors in the emerging market score model; (2) market factors in the distance-to-default model; and (3) macroeconomic indicators. The area under the receiver operating characteristics (AUC) curve is used to compare the usefulness of various models that predict financial distress and bankruptcy. Empirical findings from this study show that accounting and market factors, together with macroeconomic fundamental factors, both affect financial distress when they are considered in isolation. However, in a comprehensive model, the effects from accounting factors appear to be more significant than those from market-based factors. The default prediction model, which includes accounting factors with macroeconomic indicators, appears to perform much better than the model comprising market-based factors with macroeconomic fundamentals.     

Structural Models of Factor Demands and Technological Change: An Empirical Assessment of Dynamic Adjustment Specifications for Sectors of the Dutch Economy

In this paper, we combine a translog cost functional form with an adjustment process according to the error correction mechanism to explain the simultaneous determination of factor demands and technological change. To save degrees of freedom in the estimation procedure, we also consider the imposition of restrictions on the matrices of lag parameters and/or the covariance matrix of the disturbances. Using a model selection strategy based on a combination of economic-theoretical considerations and a formal model selection criterion, a model is selected for each of 17 sectors of the Dutch economy. It turns out that, for 14 of the 17 sectors under consideration, a model is chosen that allows the imposition of restrictions with respect to the matrices of lag parameters. A comparison of the present results with those obtained by Lesuis and de Boer reveals that the application of more general dynamic structures leads to results that are more in accordance with economic theory.