Robustness of alternative non‐linearity tests for SETAR models

In recent years there has been a growing interest in exploiting potential forecast gains from the non‐linear structure of self‐exciting threshold autoregressive (SETAR) models. Statistical tests have been proposed in the literature to help analysts check for the presence of SETAR‐type non‐linearities in an observed time series. It is important to study the power and robustness properties of these tests since erroneous test results might lead to misspecified prediction problems. In this paper we investigate the robustness properties of several commonly used non‐linearity tests. Both the robustness with respect to outlying observations and the robustness with respect to model specification are considered. The power comparison of these testing procedures is carried out using Monte Carlo simulation. The results indicate that all of the existing tests are not robust to outliers and model misspecification. Finally, an empirical application applies the statistical tests to stock market returns of the four little dragons (Hong Kong, South Korea, Singapore and Taiwan) in East Asia. The non‐linearity tests fail to provide consistent conclusions most of the time. The results in this article stress the need for a more robust test for SETAR‐type non‐linearity in time series analysis and forecasting. Copyright © 2004 John Wiley & Sons, Ltd.     

足球裁判员控制比赛气氛的探讨

足球裁判员有效地控制比赛气氛是圆满完成裁判工作的重要课题,我们对比赛气氛的变化规律进行分析研究后,制订的控制对策与方法经临场实践取得了较好的效果.     

一维周期和非周期体系的电子带谱及态密度

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卢梭自然主义教育思想及其现实意义

本文在阐述卢梭自然主义教育思想的理论基础和主要内容的基础上，理论联系实际，结合现代社会的教育问题，揭示了卢梭自然主义教育思想的现实意义。     

西裤后裆缝斜度定量分析

本文结合人体体型,从适身型角度,利用数学方法分析探求后裆缝斜度的确定问题。     

静电场中电势参考点的选择

要确定静电场中任一点的电势 ,必须先选择参考点 .文章讨论了静电场中关于电势参考点选择的若干问题 ,并阐明了电势参考点的选择理由及条件     

Exponential smoothing: Behavior of the ex-post sum of squares near 0 and 1

When using simple exponential smoothing on a given time series the nature of the relationship between the optimal smoothing constant and the autocorrelation structure of the series remains an unresolved question. Although numerical search routines can easily be used to find optimal values of the smoothing constant, they offer little insight into the nature of the relationship between the estimated smoothing constant and the structure of the underlying time series. We suggest that renewed investigations of the ex-post sum of squares function may prove helpful in this pursuit. Results are presented that illustrate how the optimal smoothing constant depends upon the value used to initialize the smoothing and upon the sample autocorrelation coefficients of the observed series. These results are based on a new formula for the derivative of the ex-post sum of squares function. In particular, the derivative is examined near 0 and 1, where great simplifications occur in its form, thereby facilitating investigations near these points. A necessary and sufficient condition is stated for when the ex-post sum of squares must have a positive derivative at 0 and the autocorrelation coefficients of the differenced series are shown to affect the sign of the derivative near 1. Based on these results, a general algorithm is presented as an alternative to grid search routines for minimizing the ex-post sum of squares.     

关于多元Gauss—Weierstrass算子的一致逼近

本文利用一类 K—泛函和光滑模的等价性给出了二元 Gauss—weierstrass 算子在一致逼近意义的正定理、逆空理和特征性。     

胸部创伤324例分析

对 32 4例胸外伤患者经抢救治疗后 ,除 1例锁骨下静脉吻合术患者术后死于急性肾功能衰竭外 ,其余均痊愈出院 .并对胸外伤患者抢救治疗原则进行了分析     

物理教学中物理思想的培养

本文讨论了物理思想的概念和特征及其在素质教育中的重要作用，并提出了在物理教学中培养大学生的物理思想的几点想法。