M5 competition uncertainty: Overdispersion,distributional forecasting,GAMLSS, and beyond

The M5 competition uncertainty track aims for probabilistic forecasting of sales of thousands of Walmart retail goods. We show that the M5 competition data face strong overdispersion and sporadic demand, especially zero demand. We discuss modeling issues concerning adequate probabilistic forecasting of such count data processes. Unfortunately, the majority of popular prediction methods used in the M5 competition (e.g. lightgbm and xgboost GBMs) fail to address the data characteristics, due to the considered objective functions. Distributional forecasting provides a suitable modeling approach to overcome those problems. The GAMLSS framework allows for flexible probabilistic forecasting using low-dimensional distributions. We illustrate how the GAMLSS approach can be applied to M5 competition data by modeling the location and scale parameters of various distributions, e.g. the negative binomial distribution. Finally, we discuss software packages for distributional modeling and their drawbacks, like the R package gamlss with its package extensions, and (deep) distributional forecasting libraries such as TensorFlow Probability.     

中国服务业扩张模式：平推化还是立体化？

本文从经济结构优化视角出发,提出并论证“服务业平推化与立体化扩张模式选择”的重要论题,通过构造最优服务业比重理论模型分析了服务业立体化扩张模式的内在特征,对1998 ~ 2010年中国服务业扩张的空间面板计量分析发现,服务业扩张存在显著的空间正相关性;要素禀赋越高,立体化扩张越显著,技术采纳策略促进了服务业的平推化扩张; 中国服务业立体化扩张模式滞后。从结构优化维度来讲,服务业立体化扩张模式显著优于平推化模式。     

土地要素流动与二元经济结构转换：基于国情对刘易斯二元经济模型的修正

回顾文献,概括出了对二元经济理论进行创新的几个主要方向。在这些创新方向的启示下,考虑了由于现行土地制度使得二元结构被不断强化的特殊国情,借鉴和运用新古典经济学的分析技术,构建一个包含了土地要素流动的二元经济模型,并借此模型为我国的二元经济结构转换给出了简单的政策启示。     

什么影响了居民的社会信任水平?——来自广东省的经验证据

采用2004年广东省城市居民调查数据,本文发现,个人因素、社区因素、社会因素都显著影响了居民自身的社会信任水平。年龄越大、单身、有除工作外的其它收入来源、有宗教信仰、担任管理人员、职业变动越少、越乐观、对生活或工作的满意度越高的居民的社会信任水平越高。其次,日常所讲语言不是其所在城市最通行语言、在出现经济困难时得到过街坊邻居、居委会或街道办的帮助、在本市居住的时间越长、在18岁之前就居住在本市、出生地在本省的居民的社会信任水平越高。第三,对政府、媒体、消费者协会的评价越高以及对工会组织评价越低的居民的社会信任水平越高。此外,居民的各种信任分布呈现出"差序格局"的特征。我们的研究为建设诚信社会提供了一个系统的信任发展视角:社会信任水平的提高,不仅需要个体自身的努力,更需要稳定和谐的社区建设、政府治理的改善、媒体作用的发挥以及消费者协会等中介组织的成长。     

中国工业部门要素分配份额决定因素研究

本文讨论我国工业部门要素分配份额的决定因素问题。在标准的新古典要素分配份额模型中,本文引入Dixit-Stiglitz垄断竞争以及企业目标函数的差异,建立了要素分配份额的决定模型。根据这个理论模型,本文建立了中国工业部门要素分配份额的计量模型,并利用系统GMM方法进行估计。回归结果表明,垄断能力越高,资本收入份额越高,国有和非国有企业的资本收入份额存在明显差异,国有企业的资本收入份额明显低于非国有企业,各类经济性质企业的资本收入份额从高到低依次为外商投资企业、港澳台企业、法人投资企业、集体企业、私有企业和国有企业。传统新古典分配模型考虑的技术因素,包括要素投入比的变化和技术进步,对要素分配份额的变化没有显著影响,表明我国工业部门要素替代弹性为1,因而劳动与资本相对价格的变化对要素分配份额没有显著影响。我们的结论是,工业部门要素分配份额变化的主要原因是产品市场垄断增加和国有部门改制引起的劳动力市场环境改变。     

The Non-Trivial Choice between Innovation Indicators

We discuss the strengths and weaknesses of five alternative innovation indicators: R&D, patent applications, total innovation expenditure and shares in sales taken by imitative and by innovative products as they were measured in the 1992 Community Innovation Survey (CIS) in the Netherlands. We conclude that the two most commonly used indicators (R&D and patent applications) have more (and more severe) weaknesses than is often assumed. Moreover, our factor analysis suggests that there is little correlation between the various indicators. This underlines the empirical relevance of various sources of bias of innovation indicators as discussed in this paper.     

Geographical concentration and the dynamics of countries' specialization in technologies

This paper examines the empirical dynamics of countries' technological specialization in six technology fields using distribution dynamics. In all technology fields innovation activities are performed by relatively few countries and the degree of concentration is fairly stable in time. Intra-distribution dynamics is characterized by persistence of within field countries' specialization levels around or below the mean, while high specialization levels revert towards lower values. This strengthens the case for absorptive capacity. Electronics show some distinctive properties: they have the highest degree of geographical concentration and numerous small countries among those specialized; they also are the least mobile technology field. In a Schumpeterian perspective, this is in line with "creative accumulation".     

Trade and financial liberalization with asymmetric information in bank financing

We investigate trade and financial openness in a small developing country where entrepreneurs need bank financing to operate in an import‐competing sector but banks do not observe their ability. This informational asymmetry causes adverse selection of low‐ability individuals into entrepreneurship and also prevents poor but able individuals from being entrepreneurs. We find that trade opening improves national welfare, but a tax is needed on foreign financial capital. Trade opening reduces an income gap between the rich and the poor, while financial opening affects this income gap ambiguously.     

Nowcasting China’s GDP Using a Bayesian Approach

Real time nowcasting is an assessment of current-quarter GDP from timely released economic and financial series before the GDP figure is disseminated. Providing a reliable current quarter nowcast in real time based on the most recently released economic and financial monthly data is crucial for central banks to make policy decisions and longer-term forecasting exercises. In this study, we use dynamic factor models to bridge monthly information with quarterly GDP and achieve reduction in the dimensionality of the monthly data. We develop a Bayesian approach to provide a way to deal with the unbalanced features of the dataset and to estimate latent common factors. We demonstrate the validity of our approach through simulation studies, and explore the applicability of our approach through an empirical study in nowcasting the China’s GDP using 117 monthly data series of several categories in the Chinese market. The simulation studies and empirical study indicate that our Bayesian approach may be a viable option for nowcasting the China’s GDP.     

中国城镇养老保险制度改革的收入分配效应

在公共养老保险制度下,可以通过调整养老保险的缴费率或养老金计发办法来影响参保人一生中的养老金纯受益,从而实现代际间和代际内的收入再分配。本文利用中国国家统计局2002年的城市住户调查数据,分别估计城镇参保职工在1997年养老保险制度和2005年最新养老保险制度下的终生养老金纯受益,并以此从代际间和代际内的角度对中国养老保险制度改革的收入分配效应进行定量分析。分析表明:在1997年的改革方案下改革前的养老保险制度中存在的逆向收入转移效果得到改善;但在2005年改革方案下,2002年时40岁以上的群体中存在较明显的逆向收入转移倾向。另一方面,从代际分配来看,1997年改革方案的代际不平衡大于2005年改革方案;在2005年改革方案下各代人的养老金纯受益都有所提高,但这是以养老保险制度的缴费率和养老金计发办法不变,养老财政收支能维持平衡以及参保人在整个工作期间按规定缴费为前提的。