Do Long‐Run Theory Restrictions Help in Forecasting?

Do long‐run equilibrium relations suggested by economic theory help to improve the forecasting performance of a cointegrated vector error correction model (VECM)? In this paper we try to answer this question in the context of a two‐country model developed for the Canadian and US economies. We compare the forecasting performance of the exactly identified cointegrated VECMs to the performance of the over‐identified VECMs with the long‐run theory restrictions imposed. We allow for model uncertainty and conduct this comparison for every possible combination of the cointegration ranks of the Canadian and US models. We show that the over‐identified structural cointegrated models generally outperform the exactly identified models in forecasting Canadian macroeconomic variables. We also show that the pooled forecasts generated from the over‐identified models beat most of the individual exactly identified and over‐identified models as well as the VARs in levels and in differences. Copyright © 2011 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.     

Exploring Survey‐Based Inflation Forecasts

This paper first shows that survey‐based expectations (SBE) outperform standard time series models in US quarterly inflation out‐of‐sample prediction and that the term structure of survey‐based inflation forecasts has predictive power over the path of future inflation changes. It then proposes some empirical explanations for the forecasting success of survey‐based inflation expectations. We show that SBE pool a large amount of heterogeneous information on inflation expectations and react more flexibly and accurately to macro conditions both contemporaneously and dynamically. We illustrate the flexibility of SBE forecasts in the context of the 2008 financial crisis. Copyright © 2011 John Wiley & Sons, Ltd.     

Long Memory of Financial Time Series and Hidden Markov Models with Time‐Varying Parameters

Hidden Markov models are often used to model daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the time‐varying behavior have not been thoroughly examined. This paper presents an adaptive estimation approach that allows for the parameters of the estimated models to be time varying. It is shown that a two‐state Gaussian hidden Markov model with time‐varying parameters is able to reproduce the long memory of squared daily returns that was previously believed to be the most difficult fact to reproduce with a hidden Markov model. Capturing the time‐varying behavior of the parameters also leads to improved one‐step density forecasts. Finally, it is shown that the forecasting performance of the estimated models can be further improved using local smoothing to forecast the parameter variations. Copyright © 2016 John Wiley & Sons, Ltd.     

模糊数学在高等级公路路面选型中的应用

应用模糊数学的多层次综合评判法对路面选型问题进行了研究,提出了路面选型的评价体系,并应用专家评分法确定了各因素的权重,可根据综合评价值选用较优的路面类型．     

基于神经网络的道路季节分类

为了合理确定路面结构设计时的输入参数,引入自组织特征映射神经网络,结合Matlab软件对神经网络进行权值训练,将网络训练是否收敛来作为分类的依据,根据温度、交通量和降雨量等几个重要参数对道路进行季节分类,最后按照分类结果进行路面结构分析与材料设计.实践证明,该方法分类效果良好,能很好地解决路面设计参数的合理确定问题,从而大大延长路面的使用寿命,提高道路投资的经济效益.     

基于预测的无线mesh网络切换机制的研究

将无线mesh网技术应用到城市轨道交通中,对车地通信中存在的关键问题——越区切换延时进行分析,并提出一种差分预测的方案对切换延时较长的问题进行优化.通过应用OPNET仿真软件对现有的切换方案与本文提出的差分预测切换方案进行比较.仿真表明,差分预测切换方案有效降低了切换延时.     

高沁高速公路长寿命沥青路面设计方案分析与比较

文章通过介绍长寿命路面的概念、结构特点及发展状况,结合产煤大省山西特重车道较多的特点,从设计理论、经济指标的角度对高沁高速公路长寿命路面的设计方法进行了探讨,分析了长寿命沥青路面与传统混凝土路面的结构形式及费用-效益之差。     

浅谈影响高等级沥青路面施工工程质量的因素

文章从设计、材料、施工等方面阐述了影响高等级沥青路面施工的若干技术问题,指出只有严格按照设计和施工规范施工,才能保证沥青路面的质量。     

浅谈施工过程中水泥混凝土路面平整度的控制

路面平整度是高速公路工程质量的重要评定标准之一,它关系到高速公路的行车舒适性、安全性、运营经济性。