Principal components estimation and identification of static factors

It is known that the principal component estimates of the factors and the loadings are rotations of the underlying latent factors and loadings. We study conditions under which the latent factors can be estimated asymptotically without rotation. We derive the limiting distributions for the estimated factors and factor loadings when N$N$ and T$T$ are large and make precise how identification of the factors affects inference based on factor augmented regressions. We also consider factor models with additive individual and time effects. The asymptotic analysis can be modified to analyze identification schemes not considered in this analysis.     

Adaptive forecasting in the presence of recent and ongoing structural change

We consider time series forecasting in the presence of ongoing structural change where both the time series dependence and the nature of the structural change are unknown. Methods that downweight older data, such as rolling regressions, forecast averaging over different windows and exponentially weighted moving averages, known to be robust to historical structural change, are found also to be useful in the presence of ongoing structural change in the forecast period. A crucial issue is how to select the degree of downweighting, usually defined by an arbitrary tuning parameter. We make this choice data-dependent by minimising the forecast mean square error, and provide a detailed theoretical analysis of our proposal. Monte Carlo results illustrate the methods. We examine their performance on 97 US macro series. Forecasts using data-based tuning of the data discount rate are shown to perform well.     

Robust adaptive rate-optimal testing for the white noise hypothesis

A new test is proposed for the weak white noise null hypothesis. The test is based on a new automatic selection of the order for a Box–Pierce (1970) test statistic or the test statistic of Hong (1996). The heteroskedasticity and autocorrelation-consistent (HAC) critical values from Lee (2007) are used, allowing for estimation of the error term. The data-driven order selection is tailored to detect a new class of alternatives with autocorrelation coefficients which can be o(n^−1/2)$o\left(n^{-1/2}\right)$ provided there are sufficiently many of such coefficients. A simulation experiment illustrates the good statistical properties of the test both under the weak white noise null and the alternative.     

Moving average stochastic volatility models with application to inflation forecast

We introduce a new class of models that has both stochastic volatility and moving average errors, where the conditional mean has a state space representation. Having a moving average component, however, means that the errors in the measurement equation are no longer serially independent, and estimation becomes more difficult. We develop a posterior simulator that builds upon recent advances in precision-based algorithms for estimating these new models. In an empirical application involving US inflation we find that these moving average stochastic volatility models provide better in-sample fitness and out-of-sample forecast performance than the standard variants with only stochastic volatility.     

Tasa de desempleo: ¿puede medir los problemas de absorción de la fuerza de trabajo en países en desarrollo?

La definición estadística «estándar» de desempleo suele criticarse porque excluye a muchas personas, consideradas ocupadas o inactivas, cuya situación es comparable en realidad a la de desempleo. El autor analiza los problemas metodológicos y estadísticos asociados a esta definición, así como su inadecuación a los países en desarrollo, donde el empleo es muy heterogéneo. Demuestra además que la tasa de desempleo tiende a subestimar el excedente de oferta de mano de obra y es un mal indicador del déficit de trabajo decente. Por último, destaca sus límites en tanto que orientador de la política económica.     

Vacaciones y licencias en países desarrollados: los Estados Unidos a la zaga en cuanto a equilibrio entre vida profesional y vida familiar

Los autores comparan las normativas sobre vacaciones y licencias susceptibles de facilitar el equilibrio entre vida profesional y familiar de Australia, Canadá, República de Corea, Estados Unidos, Europa occidental y Japón utilizando un índice compuesto para clasificarlas. Los Estados Unidos figuran en último lugar: la concesión de vacaciones anuales al trabajador no es obligatoria y las licencias por motivos familiares se limitan a 12 semanas al año. Este bajo nivel de reglamentación podría deberse, según los autores, a una concepción mercantilista del empleo sumada a la creencia de que empleador y trabajadores tienen idéntica capacidad de negociación, visión no compartida por las demás democracias industrializadas.     

Reinforced urn processes for credit risk models

We propose a Bayesian nonparametric model to estimate rating migration matrices and default probabilities using the reinforced urn processes (RUP) introduced in Muliere et al. (2000). The estimated default probability becomes our prior information in a parametric model for the prediction of the number of bankruptcies, with the only assumption of exchangeability within rating classes. The Polya urn construction of the transition matrix justifies a Beta distributed de Finetti measure. Dependence among the processes is introduced through the dependence among the default probabilities, with the Bivariate Beta Distribution proposed in Olkin and Liu (2003) and its multivariate generalization.     

工程建设施工现场中3G视频监控系统的研究与实现

随着建筑行业的飞速发展,施工现场的安全问题一直是工地管理工作的重中之重。网络技术的发展,使得视频监控系统运用到各行各业中。通过运用远程视频监控技术,实时对分布在各地的多个施工现场进行监管,既减轻了管理人员的工作量,又加强了建设行政主管部门以及施工和安全质量监督管理部门的监管力度。安全管理是建筑工地的重要管理环节,考虑到工地实际需求,本文针对传统视频监控系统实时性差、传输效率低、图像质量不稳定等缺点,对基于3G网络的工程建设施工现场远程视频监控系统进行研究和实现。文中介绍了3G网络的无线视频技术的优势及远程视频监控系统的功能特点,对施工现场3G远程视频监控系统的方案进行研究设计,并在某施工单位几个重点施工现场进行了试点安装,达到了预期效果,实现对施工现场实时监控。     

约瑟夫·奈软实力研究的最新发展

软实力理论的奠基人约瑟夫·奈认为:尽管美国政治制度和美国全球领导力遭到了广泛质疑,美国软实力的衰落被夸大了。预测中国超过美国属于单向度思维,但世界力量是多向度的。虽然俄罗斯拥有极具吸引力的传统文化,但反自由主义和俄罗斯民族主义意识形态不是软实力的好源泉。在可预见的未来美国仍将保持其全球最强的地位。不过,有充分的理由怀疑美国是否有能力维持其"超级大国"地位,因为主要新兴经济体正在崛起。     

我国汽车维修企业连锁经营模式探索

汽车维修企业连锁经营模式在发达国家方兴未艾,逐步成为汽车维修企业的主体力量之一,本文在分析国内外汽车连锁维修企业的现状和优势的基础上,提出了建立我国汽车连锁维修企业的具体路径和建议。