A linear benchmark for forecasting GDP growth and inflation?

Predicting the future evolution of GDP growth and inflation is a central concern in economics. Forecasts are typically produced either from economic theory‐based models or from simple linear time series models. While a time series model can provide a reasonable benchmark to evaluate the value added of economic theory relative to the pure explanatory power of the past behavior of the variable, recent developments in time series analysis suggest that more sophisticated time series models could provide more serious benchmarks for economic models. In this paper we evaluate whether these complicated time series models can outperform standard linear models for forecasting GDP growth and inflation. We consider a large variety of models and evaluation criteria, using a bootstrap algorithm to evaluate the statistical significance of our results. Our main conclusion is that in general linear time series models can hardly be beaten if they are carefully specified. However, we also identify some important cases where the adoption of a more complicated benchmark can alter the conclusions of economic analyses about the driving forces of GDP growth and inflation. Copyright © 2008 John Wiley & Sons, Ltd.     

Bias in the estimation of non‐linear transformations of the integrated variance of returns

Volatility models such as GARCH, although misspecified with respect to the data‐generating process, may well generate volatility forecasts that are unconditionally unbiased. In other words, they generate variance forecasts that, on average, are equal to the integrated variance. However, many applications in finance require a measure of return volatility that is a non‐linear function of the variance of returns, rather than of the variance itself. Even if a volatility model generates forecasts of the integrated variance that are unbiased, non‐linear transformations of these forecasts will be biased estimators of the same non‐linear transformations of the integrated variance because of Jensen's inequality. In this paper, we derive an analytical approximation for the unconditional bias of estimators of non‐linear transformations of the integrated variance. This bias is a function of the volatility of the forecast variance and the volatility of the integrated variance, and depends on the concavity of the non‐linear transformation. In order to estimate the volatility of the unobserved integrated variance, we employ recent results from the realized volatility literature. As an illustration, we estimate the unconditional bias for both in‐sample and out‐of‐sample forecasts of three non‐linear transformations of the integrated standard deviation of returns for three exchange rate return series, where a GARCH(1, 1) model is used to forecast the integrated variance. Our estimation results suggest that, in practice, the bias can be substantial. Copyright © 2006 John Wiley & Sons, Ltd.     

基于程序依赖图的Aspect挖掘技术

为了有效地识别遗产代码中因横切关注点而导致的零散代码或交织代码,提出了一种基于程序依赖图的Aspect挖掘方法.根据横切关注点的本质特性,考察了横切关注点与核心关注点之间的依赖关系及其在依赖图上的表现形式,对于单个方法体,结合程序的语义信息,在程序依赖图中引入一个虚拟结点表征方法体的核心功能,所有影响核心功能的语句都与之建立依赖关系,然后对依赖图进行拓扑分析,先从虚拟结点开始分离出核心代码,再通过求解连通分量的方式挖掘方法体内横切代码.实例分析表明,该方法不仅能识别出方法体内的零散特性代码,而且还能有效地挖掘出交织特性的代码.     

从池莉小说看作家的世俗人性关怀

贯穿池莉小说创作始终不变的内在精神是她对世俗人性的温情关怀 ,本文通过与传统现实主义创作对比 ,阐述了池莉小说创作以人道关怀写实视角 ,原生态展现小市民的日常生活状态 ;以巨大的包容和理解 ,抒写对世俗人性的温情关怀 ;以对人类精神生活的追问 ,深化了对世俗人性的思考等三方面特色     

关注亚健康做好自我保健

文章通过对亚健康的相关知识与保健介绍，使人们能够充分认识和关注亚健康在日常生活中的重要意义，做好自我保健。     

Forecasting using high‐frequency data: a comparison of asymmetric financial duration models

The first purpose of this paper is to assess the short‐run forecasting capabilities of two competing financial duration models. The forecast performance of the Autoregressive Conditional Multinomial–Autoregressive Conditional Duration (ACM‐ACD) model is better than the Asymmetric Autoregressive Conditional Duration (AACD) model. However, the ACM‐ACD model is more complex in terms of the computational setting and is more sensitive to starting values. The second purpose is to examine the effects of market microstructure on the forecasting performance of the two models. The results indicate that the forecast performance of the models generally decreases as the liquidity of the stock increases, with the exception of the most liquid stocks. Furthermore, a simple filter of the raw data improves the performance of both models. Finally, the results suggest that both models capture the characteristics of the micro data very well with a minimum sample length of 20 days. Copyright © 2008 John Wiley & Sons, Ltd.     

Nowcasting and predicting data revisions using panel survey data

The qualitative responses that firms give to business survey questions regarding changes in their own output provide a real‐time signal of official output changes. The most commonly used method to produce an aggregate quantitative indicator from business survey responses—the net balance or diffusion index—has changed little in 40 years. This paper investigates whether an improved real‐time signal of official output data changes can be derived from a recently advanced method on the aggregation of survey data from panel responses. We find, in a New Zealand application, that exploiting the panel dimension to qualitative survey data gives a better in‐sample signal about official data than traditional methods. Out‐of‐sample, it is less clear that it matters how survey data are quantified, with simpler and more parsimonious methods hard to improve. It is clear, nevertheless, that survey data, exploited in some form, help to explain revisions to official data. Copyright © 2009 John Wiley & Sons, Ltd.     

Oil financialization and volatility forecast: Evidence from multidimensional predictors

Using the generalized dynamic factor model, this study constructs three predictors of crude oil price volatility: a fundamental (physical) predictor, a financial predictor, and a macroeconomic uncertainty predictor. Moreover, an event‐triggered predictor is constructed using data extracted from Google Trends. We construct GARCH‐MIDAS (generalized autoregressive conditional heteroskedasticity–mixed‐data sampling) models combining realized volatility with the predictors to predict oil price volatility at different forecasting horizons. We then identify the predictive power of the realized volatility and the predictors by the model confidence set (MCS) test. The findings show that, among the four indexes, the financial predictor has the most predictive power for crude oil volatility, which provides strong evidence that financialization has been the key determinant of crude oil price behavior since the 2008 global financial crisis. In addition, the fundamental predictor, followed by the financial predictor, effectively forecasts crude oil price volatility in the long‐run forecasting horizons. Our findings indicate that the different predictors can provide distinct predictive information at the different horizons given the specific market situation. These findings have useful implications for market traders in terms of managing crude oil price risk.     

Cienfuegia gen. nov. (Xyalidae) and Pseudoterschellingia gen. nov. (Linhomoeidae), two new genera of free‐living marine nematodes from the Caribbean Sea

Two new genera of nematodes are described from the Caribbean Sea. Cienfuegia gen. nov. belongs to the Xyalidae based on the position of the anterior gonad constantly left of the intestine, cuticle clearly striated, second and third circle of anterior sensilla inserted at the same level and buccal cavity surrounded by pharynx. The new genus is differentiated from other genera by the buccal cavity divided in two chambers and by the four cephalic setae being longer than the six outer labial setae. Within the Xyalidae, Cienfuegia shows most affinities with the genera Daptonema and Theristus. Pseudoterschellingia gen. nov. is placed within the Linhomoeidae on the basis of the presence of anterior rounded amphidial fovea, unarmed narrow buccal cavity, distinctive cardia and presence of apophysis of gubernaculum. Pseudoterschellingia is closely related to the genera Terschellingia and Terschellingioides, but is differentiated by the crypto‐spiral amphidial fovea, and conical buccal cavity surrounded by pharyngeal tissue.     

从2009年法兰克福书展谈中国出版走出去

于2009年10月中旬圆满落下帷幕的第61届法兰克福书展是我国第一次以主宾国身份主持参加的世界范围内的文化盛事。如何借助此次书展更好地向世界展示新中国成立60年以来出版业的文化风貌,更准确和完整地展现我们的国家形象,成了本次书展的焦点所在。