我国人口结构对经济增长影响的动态计量分析

本文搜集了我国1978-2006年的人口结构和人均GDP数据,利用Johansen协整检验和向量误差修正模型的计量经济方法,结合现实情况和模型的结果,分析了我国人口结构对经济增长的影响并提出相关建议。     

陕西省财政支出结构对经济增长的效应——基于VAR模型和脉冲响应函数的实证分析

随着经济的发展,财政支出的不同组成部分对经济增长的影响日益重要。文章以陕西省1978~2006年的统计数据为样本,利用VAR模型和脉冲响应函数,分析其不同种类的财政支出对GDP的影响,并依据实证分析的结果提出了相应的对策、建议。     

Motor Vehicle Output and GDP, 1968–2007

In this paper, we assess the performance of the BEA series “value of motor vehicle output” as an indicator of the business cycle over the period 1968–2007. We statistically assess the causal relationship between real motor vehicle output (RMVO) and real gross domestic product (RGDP). This is accomplished by standard estimation and statistical methods used to assess vector autoregressive models. This assessment represents the initial results of a more encompassing research project, the intent of which is to determine the dynamic interaction of the transport sector with the overall economy. It’s a start to a more comprehensive assessment of how transport and economic activity interrelate.

Modelling factor demands with SEM and VAR: an empirical comparison

The empirical analysis of the economic interactions between factors of production, output and corresponding prices has received much attention over the last two decades. Most contributions in this area have agreed on the neoclassical principle of a representative optimizing firm and typically use theory-based structural equation models (SEM). A popular alternative to SEM is the vector autoregression (VAR) methodology. The most recent attempts to link the SEM approach with VAR analysis in the area of factor demands concentrate on single-equation models, whereas no effort has been devoted to compare these alternative approaches when a firm is assumed to face a multi-factor technology and to decide simultaneously the optimal quantity for each input. This paper bridges this gap. First, we illustrate how the SEM and the VAR approaches can both represent valid alternatives to model systems of dynamic factor demands. Second, we show how to apply both methodologies to estimate dynamic factor demands derived from a cost-minimizing capital-labour-energy-materials (KLEM) technology with adjustment costs (ADC) on the quasi-fixed capital factor. Third, we explain how to use both models to calculate some widely accepted indicators of the production structure of an economic sector, such as price and quantity elasticities, and alternative measures of ADC. In particular, we propose and discuss some theoretical and empirical justifications of the differences between observed elasticities, measures of ADC, and the assumption of exogeneity of output and/or input prices. Finally, we offer some suggestions for the applied researcher.      

A Litterman BVAR approach for production forecasting of technology industries

Forecasting the production of technology industries is important to entrepreneurs and governments, but usually suffers from market fluctuation and explosion. This paper aims to propose a Litterman Bayesian vector autoregression (LBVAR) model for production prediction based on the interaction of industrial clusters. Related industries within industrial clusters are included into the LBVAR model to provide more accurate predictions. The LBVAR model possesses the superiority of Bayesian statistics in small sample forecasting and holds the dynamic property of the vector autoregression (VAR) model. Two technology industries in Taiwan, the photonics industry and semiconductor industry are used to examine the LBVAR model using a rolling forecasting procedure. As a result, the LBVAR model was found to be capable of providing outstanding predictions for these two technology industries in comparison to the autoregression (AR) model and VAR model.     

Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis

Characteristics of a complete limit order book (LOB) for Euro/US dollar in 2006-09, are asymmetrically affected by scheduled macro news announcements during the financial crisis. Depth is the most responsive characteristic followed by spread, volatility and slope. Depth and volatility respond more to expansion surprises, while spread and slope are more sensitive to recession. The effect of the announcement’s occurrence without surprise is overwhelmingly positive (negative) for depth and volatility (spread) in both regimes. This effect is mitigated by the surprise. More than half of US scheduled news surprises have state dependent depth coefficients, most with opposing signs between recession and expansion. Using all quote levels generates stronger characteristic response, indicating the existence of information outside of the best quotes.     

Monetary policy in Germany: A cointegration analysis on the relevance of interest rate rules

The paper attempts to identify an empirical relationship that characterizes the way the Bundesbank adjusted its short-term rate with respect to various objectives. By building on a careful exploration of the properties of the variables involved, it is established that interest rate rules —often remarkably similar to the Taylor rule— remain valid and relevant in a Vector Error Correction framework, and thereby proposing a distinctive interpretation of German monetary policy during the period 1975–1998.     

CRH_2动车组脉冲整流器故障诊断

本文针对CRH2型动车组脉冲整流器的功率器件断路故障,提出了基于SVM的故障诊断方法。     

基于支持向量机的轮胎中PU综合性能的预测应用

为了更好聚氨酯(PU)绿色轮胎原料的批量投产和产业化过程中进行实时的产品质量预测与控制打下了良好的基础。本文利用支持向量机对PU弹性体制备过程中的综合性能指标建立预测模型,同时获得较好的预测精度。     

Technology shocks around the world

This article investigates the effects of a permanent technology shock on labor input in the major seven developed countries. The recent empirical literature which uses Structural Vector Autoregressions (SVAR) with long-run restrictions has argued that technology shocks lead to a persistent and significant decline in employment in most of the G7 countries. We claim that the international transmission of shocks prevents the use of existing SVAR models, but also suggests alternative specifications to properly uncover their effects. We show in a quantitative two-country model that a measure of labor productivity aggregated across countries is more immune to persistent, if not permanent, shocks and allows to accurately identify the responses of the labor input to a technology shock. Using labor productivity at the G7 aggregate level, we find that the response of employment changes critically in most of the major seven developed countries.