A model of fractional cointegration, and tests for cointegration using the bootstrap

The paper proposes a framework for modelling cointegration in fractionally integrated processes, and considers methods for testing the existence of cointegrating relationships using the parametric bootstrap. In these procedures, ARFIMA models are fitted to the data, and the estimates used to simulate the null hypothesis of non-cointegration in a vector autoregressive modelling framework. The simulations are used to estimate p-values for alternative regression-based test statistics, including the F goodness-of-fit statistic, the Durbin–Watson statistic and estimates of the residual d. The bootstrap distributions are economical to compute, being conditioned on the actual sample values of all but the dependent variable in the regression. The procedures are easily adapted to test stronger null hypotheses, such as statistical independence. The tests are not in general asymptotically pivotal, but implemented by the bootstrap, are shown to be consistent against alternatives with both stationary and nonstationary cointegrating residuals. As an example, the tests are applied to the series for UK consumption and disposable income. The power properties of the tests are studied by simulations of artificial cointegrating relationships based on the sample data. The F test performs better in these experiments than the residual-based tests, although the Durbin–Watson in turn dominates the test based on the residual d.     

Designs for estimating an extremal point of quadratic regression models in a hyperball

This paper is devoted to studying optimal designs for estimating an extremal point of a multivariate quadratic regression model in the unit hyperball. The problem of estimating an extremal point is reduced to that of estimating certain parameters of a corresponding nonlinear (in parameters) regression model. For this reduced problem truncated locally D-optimal designs are found in an explicit form. The result is a generalization of the results of Fedorov and Müller (1997) for onedimensional quadratic regression function in the unit segment. Received February 2002     

对我国医药企业自主创新演化机制的分析

自主创新是当前商业界和学术界研究比较热的话题。政府相应地制定了一系列的政策和法规来鼓励企业进行自主创新。在这种背景下,我国的医药企业也积极响应国家的政策进行自主创新。然而,医药企业创新在实际操作中的行动方向差异很大。针对这种差异,笔者将医药企业创新划分成新功能创新和新设计创新两种,并且通过对一系列的数据和资料分析后,发现我国的医药企业的创新并非实质上的自主创新即新功能创新,而是新设计创新。文中对产生这种局面的演化机制进行了分析。     

Evaluating the Validity of Self-Reported Deviant Behavior Using Vignette Analyses

In this paper, the validity of vignette analyses of various forms of deviant behavior in the presence of opportunities is analyzed on the basis of ideas derived from cognitive psychology. Abelson’s Script Theory together with insights into human memory of visual and verbal information, allow the assumption that vignette analyses using visual stimuli are valid measures of deviant behavior in particular. The study includes an empirical examination of these ideas (n = 450). Nonparticipant observations and vignette analyses with visual and verbal material were carried out with regard to three forms of deviant behavior occurring in the presence of opportunities presenting themselves in everyday life. Observed and self-reported frequencies of deviant behavior or deviant intentions were counted and cross-tabulated. Log-linear analyses with dummy coding using observation data as reference category were run. Data analyses yielded the result that frequencies of deviant behavior were related to the techniques of data collection under consideration. Especially vignette analyses of the return of ‘lost letters’ that use both visual and verbal stimuli overestimate ‘actual’ (i.e. observed) return rates. This result is discussed with regard to the underlying methodological assumptions as well as its implications.     

Exact and approximate D-optimal designs in polynomial regression

If the sample sizen is large enough, then the exact polynomial regression designs obtained by rounding the weights of the approximate D-optimal design to integral multiples of 1/n are D-optimal. This was shown by alaevskiî (1966) and Gaffke (1987). In this note, an efficient algorithm to determine the minimum sample sizen _d for a polynomial model of degreed is derived from a condition given by Huang (1987). Under an additional assumption we show that the conditions of Gaffke and Huang are equivalent; we verify the additional assumption for polynomial degreed40.     

Short-time at-the-money skew and rough fractional volatility

The Black–Scholes implied volatility skew at the money of SPX options is known to obey a power law with respect to the time to maturity. We construct a model of the underlying asset price process which is dynamically consistent to the power law. The volatility process of the model is driven by a fractional Brownian motion with Hurst parameter less than half. The fractional Brownian motion is correlated with a Brownian motion which drives the asset price process. We derive an asymptotic expansion of the implied volatility as the time to maturity tends to zero. For this purpose, we introduce a new approach to validate such an expansion, which enables us to treat more general models than in the literature. The local-stochastic volatility model is treated as well under an essentially minimal regularity condition in order to show such a standard model cannot be dynamically consistent to the power law.     

A test for inflation persistence in Nigeria using fractional integration & fractional cointegration techniques

This study seeks to test for inflation persistence in Nigeria using the recently developed fractional cointegration VAR model by Johansen and Nielsen (2012) and complemented with univariate fractional integration techniques. The empirical results suggest evidence of high inflation persistence in Nigeria albeit with a lower trend after the global financial crisis. Also, the major classes of inflation – headline, core and food inflation rates, share long run properties regardless of the sample used. This suggests that any policy action directed at a particular class of inflation will have a spill-over effect on the other classes given the strong association among them. The ability to also exploit the fractional cointegration in a multivariate set-up when modeling inflation is a major contribution of this study and ignoring same may lead to wrong conclusions. However, the results are sensitive to the choice of data frequency.     

供需因素博弈下常设机构利润归属方法的新思路

在传统物理经济中,囿于信息技术水平的限制,跨国企业生产经营活动以固定性、有形性、不易移动为特征,趋向于生产供应方向,且销售、市场等需求因素只是消极地提供单一消费市场,对于企业价值创造与营业利润的实现影响甚微.对此,贯彻以“以供应为基础”理论的功能独立实体法尚且能在居民国、来源国间合理划分常设机构的可归属利润.然而,经济...     

环境景观设计中的城市记忆

我国国民经济的持续增长和城市化进程的加快,带来了城市建设的高速发展.但随之而来也产生了一系列问题.地方文化以及地域特色的逐渐丧失便属其中之一.作为城市设计重要组成部分的环境景观设计也面临着同样的问题.城市记忆的概念正是在这一特定的时期提出来的.在我国有关城市记忆方面的讨论和实践已经展开.城市记忆有利于改变目前的现状,有利于城市精神的塑造,有利于创造各具特色的城市风貌,有利于联系城市的过去与未来.