我国农产品价格波动因素分析——基于VAR模型

先取2007年01月到2010年05月的样本数据区间,基于VAR模型的基础之上,运用脉冲响应函数和方差分解方法对影响我国农产品价格波动的因素进行了实证分析.可以发现农产品价格对本身的波动冲击和贡献率最大,其次就是通货膨胀,而货币供给量和农产品出口却对农产品价格波动贡献不大.     

统计学课程教学设计思路探析

课程教学设计是一名任课教师形成具体教学方案的过程。本文阐述了在南京中医药大学背景下,统计学教学设计的主要内容,以方差分析这一知识单元为例,具体展示了教学设计方案的形成过程。     

Consistent Variance Curve Models

We introduce a general approach to model a joint market of stock price and a term structure of variance swaps in an HJM-type framework. In such a model, strongly volatility-dependent contracts can be priced and risk-managed in terms of the observed stock and variance swap prices. To this end, we introduce equity forward variance term structure models and derive the respective HJM-type arbitrage conditions. We then discuss finite-dimensional Markovian representations of the fixed time-to-maturity forward variance swap curve and derive consistency results for both the standard case and for variance curves with values in a Hilbert space. For the latter, our representation also ensures non-negativity of the process. We then give a few examples of such variance curve functionals and briefly discuss completeness and hedging in such models. As a further application, we show that the speed of mean reversion in some standard stochastic volatility models should be kept constant when the model is recalibrated.     

Global and country-specific movements in real effective exchange rates: Implications for external competitiveness

Using the Bayesian factor model, we decompose real effective exchange rates, which are considered a measure of external competitiveness, into global and country-specific factors. Among several findings, we report a particular global trend in real exchange rates, but a substantial proportion of their variation is found to be country-specific. In line with this finding, we find that structural shifts, when they do exist, are contained in country-specific factors. Furthermore, consistent with economic theory, this global factor is closely related to a trend in the global interest rate, while country-specific factors are closely related to idiosyncratic movements in the countries’ own interest rates. Such a decomposition results in better understanding of the exchange rate-interest rate relationship, and therefore our results can be interpreted as evidence that external competitiveness is heterogeneous among countries and that economic policies can influence countries’ competitiveness.     

影响中国对韩国出口的若干宏观因素的实证检验

本文采用协整研究和方差分解等计量经济学方法,就韩国实际收入、相对价格和汇率风险等宏观因素影响中国对韩国出口进行了详细的实证检验。检验结果表明,从长期看,上述因素与中国对韩国出口之间存在着稳定的均衡关系,韩国实际收入和汇率风险的增加会导致中国对韩国出口的增加,而相对价格的上升则会引起中国对韩国出口的下降。     

A Class of Gaussian Hybrid Processes for Modeling Financial Markets

This paper proposes a one-factor model of financial markets using a class of Gaussian process that can be decomposed into a Brownian motion and an Ornstein–Uhlenbeck process. It is shown that this “hybrid” process is obtained as a continuous-time scaling limit of the differenced first-order autoregressive integrated moving average (ARIMA(1,1,1)) process. Parameter estimations using an ARIMA(1,1,1) framework and its variance ratio test show the accuracy of the proposed model. Construction of the one-factor commodity futures price model is presented as an application. A multidimensional extension of the hybrid process is also presented in the Appendix.     

Estimation Methods and Related Systems at Statistics Canada

This paper provides an overview of research in estimation techniques, their application, and the development of generalized estimation systems at Statistics Canada. In Canada, the demand for more detailed and better quality cross-sectional data related to various sodo-economic issues has increased significantly in recent years. Also, there has been increasing interest in longitudinal data to better understand and interpret the relationships among variables, necessitating the implementation of a number of large scale panel surveys by Statistics Canada. The paper briefly discusses estimation for longitudinal data and a weighting approach developed for cross-sectional data Prom these surveys. For cross-sectional household and business surveys, as well as the census of population, appropriate dibration estimators developed for each situation are briefly discussed. In addition, regression composite estimation, a method developed to improve the quality of cross-sectional estimates from rotating panel surveys such as the Canadian Labour Force Survey, is presented. With regard to more detailed cross-sectional estimates at sub-provincial levels, different approaches to small area estimation developed for various programs are also presented. We SUmmarize the various modules developed lor the GeneraIiized Ektimation System. important new developments within the system include two-phase estimation as well as the estimation of variance for a number of imputation procedures. We briefly review the status of current estimation research on selected topics as well as the direction of future research.     

Measure for Measure: Exact F Tests and the Mixed Models Controversy

We consider exact F tests for the hypothesis of null random factor effect in the presence of interaction under the two factor mixed models involved in the mixed models controversy. We show that under the constrained parameter ( CP ) model, even in unbalanced data situations, MSB/MSE (in the usual ANOVA notation) follows an exact F distribution when the null hypothesis holds. We also obtain an exact F test for what is generally (and erroneously) assumed to be an equivalent hypothesis under the unconstrained parameter ( UP ) model. For unbalanced data, such a corresponding test statistic does not coincide with MSB/MSAB (the test statistic advocated for balanced data cases). We compute the power of the exact test under different imbalance patterns and show that although the loss of power increases with the degree of imbalance, it still remains reasonable from a practical point of view.     

Model-based variance estimation under unequal probability sampling

This paper deals with a model-based variance estimation of the Horvitz–Thompson (HT) estimator when auxiliary information is available. A small simulation study is carried out to illustrate and establish some of the findings.     

测控系统中振荡器短稳对测速精度的影响

本文采用时域分析方法得到了测速误差与测控系统中各振荡器短稳的关系式，分析与工程实践的结果说明，测速误差不仅与频标源的短稳有关，而且与系统中各相干本振的附加相位噪声有关，在工程研制中，必须合理地分配各振荡器的短稳指标并减小其短稳损失，才能获得高的测速精度。