Testing for Granger (non‐)causality in a time‐varying coefficient VAR model

In this paper we propose Granger (non‐)causality tests based on a VAR model allowing for time‐varying coefficients. The functional form of the time‐varying coefficients is a logistic smooth transition autoregressive (LSTAR) model using time as the transition variable. The model allows for testing Granger non‐causality when the VAR is subject to a smooth break in the coefficients of the Granger causal variables. The proposed test then is applied to the money–output relationship using quarterly US data for the period 1952:2–2002:4. We find that causality from money to output becomes stronger after 1978:4 and the model is shown to have a good out‐of‐sample forecasting performance for output relative to a linear VAR model. Copyright © 2008 John Wiley & Sons, Ltd.     

多维波动模型的因果关系分析

在Comte等关于二阶(非)因果关系的基础上,探讨了FF-GARCH模型、(G)O-GARCH模型、Hadamard乘积GARCH模型的波动(非)因果关系条件,为更好理解所得结论,给出了二维情况下的表达。同时,对多维SV模型也进行了分析。     

Can out‐of‐sample forecast comparisons help prevent overfitting?

This paper shows that out‐of‐sample forecast comparisons can help prevent data mining‐induced overfitting. The basic results are drawn from simulations of a simple Monte Carlo design and a real data‐based design similar to those used in some previous studies. In each simulation, a general‐to‐specific procedure is used to arrive at a model. If the selected specification includes any of the candidate explanatory variables, forecasts from the model are compared to forecasts from a benchmark model that is nested within the selected model. In particular, the competing forecasts are tested for equal MSE and encompassing. The simulations indicate most of the post‐sample tests are roughly correctly sized. Moreover, the tests have relatively good power, although some are consistently more powerful than others. The paper concludes with an application, modelling quarterly US inflation. Copyright © 2004 John Wiley & Sons, Ltd.     

休谟思想与现代物理学

分析了休谟关于时空、因果关系、存在等几方面的论断,并且它们与现代物理学的一些结论进行了比较,指出休谟思想与现代物理学结论的密切关系。     

投入与经济增长的协整关系分析

根据中国1987～2002年的有关统计数据,通过Engle-Granger两步法检验R&D投入与经济增长之间是否存在协整关系,并进一步建立格兰杰(Granger)因果关系检验模型,检验二者之间是否存在因果关系.检验结果表明,二者之间存在协整关系,并随滞后期数不同存在不同的因果关系.     

Causality and chance in relativistic quantum field theories

Bell appealed to the theory of relativity in formulating his principle of local causality. But he maintained that quantum field theories do not conform to that principle, even when their field equations are relativistically covariant and their observable algebras satisfy a relativistically motivated microcausality condition. A pragmatist view of quantum theory and an interventionist approach to causation prompt the reevaluation of local causality and microcausality. Local causality cannot be understood as a reasonable requirement on relativistic quantum field theories: it is unmotivated even if applicable to them. But microcausality emerges as a sufficient condition for the consistent application of a relativistic quantum field theory.     

Causal implications: The linkage between time series and econometric modelling

Construction of causally and structurally adequate simultaneous equations models can be accomplished by determining causal relations between potential variables and balancing these statistically derived inferences with economic theory to relate behavioural or technological forces among the variables. An appropriate lag structure for each of the equations can be determined by a two step multiple transfer function approach involving reduced form equations. Testing the specification of already existing simultaneous equations models is done by constructing multiple transfer function models of the reduced form equations of the simultaneous equations models which permit incorporation of lead cross correlations.     

Estimating the long memory granger causality effect with a spectrum estimator

This paper discusses the Granger causality test by a spectrum estimator which allows the transfer function to have long memory properties. In traditional methodology the relationship among variables is usually assumed to be short memory or contemporaneous. Hence, we have to make sure they are of the same integrated order, else there might be a spurious regression problem. In practice, not all the variables are fractionally co‐integrated in the economic model. They may have the same random resources, but under a different integrated order. This paper focuses on how to capture the long memory Granger causality effect in the transfer function. This does not necessarily assume the variables are of the same fractional integrated order. Moreover, by the transfer function we construct an estimator to test the long memory effect with the Granger causality sense. Copyright © 2006 John Wiley & Sons, Ltd.     

Relationships between Australian real estate and stock market prices—a case of market inefficiency

This paper explores the relationship between the Australian real estate and equity market between 1980 and 1999. The results from this study show three specific outcomes that extend the current literature on real estate finance. First, it is shown that structural shifts in stock and property markets can lead to the emergence of an unstable linear relationship between these markets. That is, full‐sample results support bi‐directional Granger causality between equity and real estate returns, whereas when sub‐samples are chosen that account for structural shifts the results generally show that changes within stock market prices influence real estate market returns, but not vice versa. Second, the results also indicate that non‐linear causality tests show a strong unidirectional relationship running from the stock market to the real estate market. Finally, from this empirical evidence a trading strategy is developed which offers superior performance when compared to adopting a passive strategy for investing in Australian securitized property. These results appear to have important implications for managing property assets in the funds management industry and also for the pricing efficiency within the Australian property market. Copyright © 2002 John Wiley & Sons, Ltd.     

从超预算收支看我国财政预算制度的优化

对我国的财政超收与财政超支之间的关系进行了定性和定量的分析,认为财政超支是导致财政超收的重要原因。因此,为了强化预算管理制度,扭转预算约束软化的趋势,必须从严控制财政支出。