Backward‐in‐Time Selection of the Order of Dynamic Regression Prediction Model

We investigate the optimal structure of dynamic regression models used in multivariate time series prediction and propose a scheme to form the lagged variable structure called Backward‐in‐Time Selection (BTS), which takes into account feedback and multicollinearity, often present in multivariate time series. We compare BTS to other known methods, also in conjunction with regularization techniques used for the estimation of model parameters, namely principal components, partial least squares and ridge regression estimation. The predictive efficiency of the different models is assessed by means of Monte Carlo simulations for different settings of feedback and multicollinearity. The results show that BTS has consistently good prediction performance, while other popular methods have varying and often inferior performance. The prediction performance of BTS was also found the best when tested on human electroencephalograms of an epileptic seizure, and for the prediction of returns of indices of world financial markets.Copyright © 2013 John Wiley & Sons, Ltd.     

基于主成分回归分析的瓦斯含量预测

为了增加多元回归模型预测的精度,将主成分分析与多元回归分析相结合提出了PCA—MRA模型,并将该模型用于实际瓦斯含量预测。结果表明,PCA—MRA模型消除了输入变量之间的相关性,减少了输入变量值个数,提高了预测精度,便于实际推广和应用,为瓦斯含量预测提供一种新的途径。     

Dynamic Latent Class Model Averaging for Online Prediction

We consider the problem of online prediction when it is uncertain what the best prediction model to use is. We develop a method called dynamic latent class model averaging, which combines a state‐space model for the parameters of each of the candidate models of the system with a Markov chain model for the best model. We propose a polychotomous regression model for the transition weights to assume that the probability of a change in time depends on the past through the values of the most recent time periods and spatial correlation among the regions. The evolution of the parameters in each submodel is defined by exponential forgetting. This structure allows the ‘correct’ model to vary over both time and regions. In contrast to existing methods, the proposed model naturally incorporates clustering and prediction analysis in a single unified framework. We develop an efficient Gibbs algorithm for computation, and we demonstrate the value of our framework on simulated experiments and on a real‐world problem: forecasting IBM's corporate revenue. Copyright © 2014 John Wiley & Sons, Ltd.     

Price–Dividend Ratios and Stock Price Predictability

A long‐standing puzzle to financial economists is the difficulty of outperforming the benchmark random walk model in out‐of‐sample contests. Using data from the USA over the period of 1872–2007, this paper re‐examines the out‐of‐sample predictability of real stock prices based on price–dividend (PD) ratios. The current research focuses on the significance of the time‐varying mean and nonlinear dynamics of PD ratios in the empirical analysis. Empirical results support the proposed nonlinear model of the PD ratio and the stationarity of the trend‐adjusted PD ratio. Furthermore, this paper rejects the non‐predictability hypothesis of stock prices statistically based on in‐ and out‐of‐sample tests and economically based on the criteria of expected real return per unit of risk. Copyright © 2011 John Wiley & Sons, Ltd.     

基于无条件分位回归的民营上市公司高管薪酬问题研究

高级管理人员的薪酬作为现代企业委托代理关系中的核心问题一直是社会的焦点.本文以我国民营上市公司为样本,首先研究了公司规模、每股收益、营业收入、流动负债和高管持股比例作用于高管薪酬不同分位点处的条件分位偏效应,结果表明它们在不同分位水平下的影响各异;然后为了获得这些因素的一般边际影响,利用无条件分位回归分析了它们的无条件分位偏效应,结果指出公司规模、每股收益和营业收入与各个分位水平的高管薪酬呈不同程度的正相关而流动负债则为负相关,高管持股比例与低分位水平的高管薪酬正相关而对中高分位水平的影响不显著;最后对相关结果进行了对比,发现每个影响因素的条件和无条件分位偏效应有所区别,并且无条件分位偏效应的解释意义更具有现实价值.     

目标变量不完全情形下的最小二乘回归插补

充分利用对辅助变量的回答所提供的变量信息，采用最小二乘方法，给出了目标变量不完全情形下对其的一种回归插补，并对回归差补的期望和方差进行了讨论。     

相关分析中有关问题的探讨

本文推导了相关系数与回归系数之间的关系，提出了描述变量之间相关程度的另一个新指标     

IC中心设计的一种改进方法

本文利用回归模型作为ＩＣ的影象模型，按照控制变量Ｍｏｎｔｅ－Ｃａｒｌｏ分析方法进行ＩＣ成品率估计，将一维搜索法与随机逼近优化法相结合进行ＩＣ中心设计，实例证明了该方法的可行性和实用性。     

对外开放与沿边开放城市经济增长因素的实证检验--以东北地区为例

以东北地区四个沿边开放城市———满洲里、珲春、绥芬河、黑河为例,运用合成数据进行回归分析,检验了对外开放对沿边开放城市经济增长的作用.结果表明,对外开放是促进沿边开放城市经济增长的最重要因素,这与一般城市和沿海开放城市不同,且对外开放因素对沿边开放城市经济增长的贡献度小于对沿海开放城市经济增长的贡献度.