Tests for Stationarity in Series with Endogenously Determined Structural Change*

We consider tests of the null hypothesis of stationarity against a unit root alternative, when the series is subject to structural change at an unknown point in time. Three extant tests are reviewed which allow for an endogenously determined instantaneous structural break, and a related fourth procedure is introduced. We further propose tests which permit the structural change to be gradual rather than instantaneous, allowing the null hypothesis to be stationarity about a smooth transition in linear trend. The size and power properties of the tests are investigated, and the tests are applied to four economic time series.     

初始条件对LLC检验局部渐近势的影响研究

本文研究了DF类面板数据单位根LLC检验势受时序数据初始值的影响,推导了DF类面板单位根LLC检验统计量在局部备择假设下的极限分布和局部渐近势函数,发现了面板数据单位根LLC检验统计量局部渐近势在同质性局部备择假设下是初始条件的单调递增函数;小样本蒙特卡罗模拟结果表明,若假定初始条件为零,LLC统计量的检验势将被低估。     

Testing for Hysteresis in Unemployment in OECD Countries: New Evidence using Stationarity Panel Tests with Breaks*

This paper tests hysteresis effects in unemployment using panel data for 19 Organization for Economic Co‐operation and Development (OECD) countries covering the period 1956–2001. The tests exploit the cross‐sectional variations of the series, and additionally, allow for a different number of endogenous breakpoints in the unemployment series. The critical values are simulated based on our specific panel sizes and time periods. The findings stress the importance of accounting for exogenous shocks in the series and support the natural‐rate hypothesis of unemployment for the majority of the countries analysed.     

Bootstrap and Asymptotic Tests of Long-run Relationships in Cointegrated Systems

Hypothesis testing on cointegrating vectors based on the asymptotic distributions of the test statistics are known to suffer from severe small sample size distortion. In this paper an alternative bootstrap procedure is proposed and evaluated through a Monte Carlo experiment, finding that the Type I errors are close to the nominal signficance levels but power might be not entirely adequate. It is then shown that a combined test based on the outcomes of both the asymptotic and the bootstrap tests will have both correct size and low Type II error, therefore improving the currently available procedures.     

国际航空物流发展状况及趋势

20世纪70年代以来,国际航空物流呈现出空前发展态势。文中就国际航空物流总体状况及主要航空港物流发展状况进行了概括,并分析了国际航空物流的发展趋势。     

The Asymptotic Efficacies and Relative Efficiencies of Various Linear Rank Tests for Independence

In this paper we consider eight general models of independence, the Hájek–Šidák model, the Janssen–Mason model, Konijn’s model, Steffensen’s model, the Farlie model, the bivariate Gamma distribution, the Mardia model and the Frechet model. The asymptotic efficacies and relative efficiencies of various linear rank tests are computed. It turns out that the asymptotic power depends heavily on the underlying model. However, for the vast majority of considered models, the Spearman test is, asymptotically, a good choice.     

PRACTITIONERS CORNER: Tests for Cointegration in Models with Regime and Trend Shifts

ABSTRACT Recently Gregory and Hansen (1996) proposed a number of residual-based tests for cointegration in models with the possibility of a structural break. They considered three models: (i) level shift; (ii) level shift with trend; and (iii) regime shift (both level shift and slope coefficients can change). We introduce a more general model that permits a trend shift as well as a regime shift and we provide the critical values appropriate for testing this hypothesis.     

我国实验室认可的现状及未来发展趋势

中国加入WTO后,全球性合格评定制度将是中国进入国际市场、与国际惯例接轨的重要途径.合格评定工作的形式主要有:认证、认可和检验.按照WTO的规则,尤其是非歧视、市场开放和公平竞争的三大原则,根据我国加入WTO后所商定的时间表,一些国外权威性的检验机构将会很快进入我国的检验市场参与竞争.     

经济分析中的个体主义倾向

方法论的个体主义原则，在相当长的一段时间里一直成为在经济学和其他社会科学中居于统治地位的方法论原则。个体主义的方法论原则是：经济学的解释规律研究的是个体的特征，一切经济现象都可以从个人的经济行为出发来理解整体的市场行为，从而为解释个人动机和个人行为中的经济现象和社会现象提供了基础。但个体主义方法论原则存在着一定的局限性，正受到越来越多的挑战。     

我国总产出的动态特征研究--基于最小拉格朗日乘数单位根检验的实证分析

本文采用最新的结构断点最小拉格朗日乘数单位根检验,对我国1952～2004年间总产出的动态特征进行了研究,结果发现所有总量都是围绕着一个或两个结构断点的分段趋势平稳的。总产出服从分段趋势平稳过程的结论,对宏观经济运行预测、政策主导下的长期经济发展战略和短期经济稳定措施是否有效,以及总产出与其他总量间因果关系的研究具有重要启示。     

Tests for Multiple Breaks in the Trend with Stationary or Integrated Shocks

In this paper, we propose new tests of the presence of multiple breaks in the trend of a univariate time‐series where the number and dates of the breaks are unknown and that are valid in the presence of stationary or unit root shocks. These tests can also be used to sequentially estimate the number of breaks. The behaviour of the proposed tests is studied through Monte Carlo experiments.     

不确定条件下汽车企业工厂建设投资评价研究

提出了一个贯穿汽车工厂建设项目始终的评价体系,包括立项评价、中期评估和项目后评价。在评价体系中,充分考虑了汽车工厂建设项目的各方面不确定因素,将主观评价与客观模型相结合。     

广州会展旅游的发展趋势及对策分析

本文通过考察广州会展产业在建设国家中心城市进程中的地位和作用,总结了广州会展产业的发展现状与趋势,分析了广州会展产业与建设国家中心城市目标的适应性。指出广州会展产业具有良好的发展基础和发展态势,同时也存在展会类型与建设国家中心城市目标不适应等方面的问题,并针对性地提出了广州会展产业未来发展的四大对策。     

Explosive Asset Price Bubble Detection with Unknown Bubble Length and Initial Condition

Recent research has proposed a method of detecting explosive processes that is based on forward recursions of OLS, right‐tailed, Dickey–Fuller [DF] unit root tests. In this paper, an alternative approach using GLS DF test statistics is considered. We derive limiting distributions for both mean‐invariant and trend‐invariant versions of OLS and GLS‐based Phillips, Wu and Yu (2011, International Economic Review 52, 201–226) [PWY] test statistics under a temporary, locally explosive alternative. These limits are shown to be dependent on both the value of the initial condition and the start and end points of the temporary explosive regime. Local asymptotic power simulations show that a GLS version of the PWY statistic offers superior power when a large proportion of the data is explosive, but that the OLS approach is preferred for explosive periods of short duration as a proportion of the total sample. These power differences are magnified by the presence of an asymptotically non‐negligible initial condition. We propose a union of rejections procedure that capitalizes on the respective power advantages of both OLS and GLS‐based approaches. This procedure achieves power close to the effective envelope provided by the two individual PWY tests across all settings of the initial condition and length of the explosive period considered in this paper. These results are shown to be robust to the point in the sample at which the temporary explosive regime occurs. An application of the union procedure to NASDAQ prices confirms the empirical value of this testing strategy.     

The Crisis in Russia: Some Initial Observations

In this article, Brian Henry and James Nixon argue that the sources of the recent crisis in Russia have been developing for some time. Declining productivity, an overvalued real exchange rate, and a chronic fiscal imbalance were the backcloth to the events in the Summer. The reliance on short term government borrowing, and the exposed state of the banking system were further consequences of this long running malaise. Prospects for the immediate future are bleak. If any improvement is to be made in the medium term serious structural improvement in the government finances and the real economy will be necessary.     

Power of Tests for Unit Roots in the Presence of a Linear Trend*

Dickey and Fuller [Econometrica (1981) Vol. 49, pp. 1057–1072] suggested unit‐root tests for an autoregressive model with a linear trend conditional on an initial observation. TPower of tests for unit roots in the presence of a linear trendightly different model with a random initial value in which nuisance parameters can easily be eliminated by an invariant reduction of the model. We show that invariance arguments can also be used when comparing power within a conditional model. In the context of the conditional model, the Dickey–Fuller test is shown to be more stringent than a number of unit‐root tests motivated by models with random initial value. The power of the Dickey–Fuller test can be improved by making assumptions to the initial value. The practitioner therefore has to trade‐off robustness and power, as assumptions about initial values are hard to test, but can give more power.     

中国轿车市场现状及趋势分析

文章对近两年中国轿车市场做了深入的分析，并对入世以后中国轿车市场的发展趋势做了预测。     

在协整分析中如何处理截距和趋势

协整分析是经济时间序列分析中用到的重要工具，本文指出了国内进行协整分析时存在的不足，进而从理论和实证的角度，阐述了协整分析中处理截距和趋势的方法。     

吉林省城市竞争力总体格局与趋势分析

2016年,在全面启动实施《中国制造2025》的背景下,结合五大发展和东中西区域发展的战略,对吉林省经济发展的现状、格局以及存在的问题做了初步探讨。在此基础上,文章对利用区位优势和经济后发优势方面提出了设想,以期促进供需两侧结构优化,进一步提升城市综合经济竞争力和可持续竞争力。     

四川省居民消费结构及其趋势分析

本文根据四川省城乡居民消费的统计数据进行了结构分析，采用非线性回归模型，给出了各项消费支出的收入弹性系，对消费结构变化趋势进行了预测。