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Journal of Systems Science & Complexity 2016年第1期29卷 219-227页

作者： YANG Zhe School of economics Shanghai University of Finance and Economics key laboratory of mathematical economics(sufe) Ministry of Education

By the inductive relations,this paper first obtains some existence theorems of solutions for generalized quasi-variational relation problems,which are different from other *** applications,some existence theorems of solutions for generalized quasi-equilibrium problems and NS-equilibria for noncooperative games under uncertainty are obtained.

关键词： Fixed point theorem generalized quasi-equilibrium problem generalized quasi-variational relation problem inductive relation NS-equilibrium uncertainty

Coalitional Equilibria in Coalitional Abstract Economies with Nonordered Preferences

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Journal of Systems Science & Complexity 2020年第1期33卷 137-145页

作者： YANG Zhe GONG Qingbin School of economics Shanghai University of Finance and EconomicsShanghai 200433China key laboratory of mathematical economics(sufe) Ministry of EducationShanghai 200433China

This paper investigates the existence of coalitional equilibria for coalitional abstract economies with nonordered ***,the authors give a fuzzy extension of the coalitional equilibrium existence *** main result is illustrated with applications to coalitional abstract economies with payoff functions,strong Nash equilibria and absolute optimal solutions.

关键词： Absolute optimal solution coalitional abstract economy coalitional equilibria equilibrium existence strong Nash equilibria

Competitive Equilibria and Benefit Distributions of Population Production Economies with External Increasing Returns

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Journal of the Operations Research Society of China 2021年第4期9卷 723-740页

作者： Zhe Yang Xian Zhang School of economics Shanghai University of Finance and EconomicsShanghai 200433China key laboratory of mathematical economics(sufe) Ministry of EducationShanghai 200433China

Inspired by the work of population games,we establish the model of population production economies with external increasing returns and introduce the notion of competitive *** first prove the existence of competitive equilibria under some regular ***,we assume that there exists the cooperative behavior of different *** proving the existence of transferable utility(TU)core,we analyze the benefit distributions of population production economies with external increasing returns.

关键词： Population production economy Competitive equilibrium TU core Benefit distribution

Existence of Weakly Cooperative Equilibria for Infinite-Leader-Infinite-Follower Games

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Journal of the Operations Research Society of China 2019年第4期7卷 643-654页

作者： Zhe Yang Qing-Bin Gong School of economics Shanghai University of Finance and EconomicsShanghai 200433China sufe key laboratory of mathematical economics Ministry of EducationShanghai 200433China

In this paper,we first generalize Yang and Ju’s(J Glob Optim 65:563–573,2016)result in Hausdorff topological vector ***,we introduce the model of leader-follower games with infinitely many leaders and followers,that is,infiniteleader-infinite-follower *** next introduce the notion of weakly cooperative equilibria for infinite-leader-infinite-follower games and prove the existence result.

关键词： (Weakly)cooperative equilibrium Infinite-leader-infinite-follower game Existence

Efcient Estimation of Varying Coefcient Seemly Unrelated Regression Model

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Acta Mathematicae Applicatae Sinica 2014年第1期30卷 119-144页

作者： Qun-fang XU Yang BAI School of Sciences Zhejiang Agriculture and Forestry University School of Statistics and Management Shanghai University of Finance and Economics key laboratory of mathematical economics (sufe) Ministry of Education

In this paper, we propose a class of varying coefficient seemingly unrelated regression models, in which the errors are correlated across the equations. By applying the series approximation and taking the contemporaneous correlations into account, we propose an efficient generalized least squares series estimation for the unknown coefficient functions. The consistency and asymptotic normality of the resulting estimators are established. In comparison with the ordinary/east squares ones, the proposed estimators are more efficient with smaller asymptotical variances. Some simulgtlon＇studies and a real application are presented to demonstrate the finite sample performance of the proposed methods. In addition, based on a B-spline approximation, we deduce the asymptotic bias and variance of the proposed estimators.

关键词： series approximation varying coefficient seemingly unrelated regression contemporaneous correlation asymptotic normality

A Bayesian Nonparametric Investigation of the Predictive Effect of Exchange Rates on Commodity Prices

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Frontiers of economics in China-Selected Publications from Chinese Universities 2020年第2期15卷 179-210页

作者： Xin Jin School of economics Shanghai University of Finance and Economics(SUFE)Shanghai 200433China key laboratory of mathematical economics(sufe) Ministry of EducationShanghai 200433China

This study proposes a full Bayesian nonparametric procedure to investigate the predictive power of exchange rates in relation to commodity prices for three commodity-exporting countries:Canada,Australia,and New *** propose a new time-dependent infinite mixture of a normal linear regression model of the conditional distribution of the commodity price *** mixing weights follow a set of Probit stick-breaking priors that are *** find that exchange rates have a positive predictive effect in general,but accounting for time variation does not improve forecasting *** contrast,the intercept in the regression and the lagged dependent variable show signs of parameter change over time in most cases,which is important in forecasting both the mean and the density of commodity prices one period *** results also suggest that the variance is a large source of the time variation in the conditional distribution of commodity prices.

关键词： Bayesian nonparametrics Dirichlet process mixture stick-breaking process Markov China Monte Carlo(MCMC) predictive likelihood foreign exchange rate commodity price

Semiparametric estimation of average treatment effect through a random coefficient dummy endogenous variable model

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Science China Mathematics 2014年第11期57卷 2415-2428页

作者： ZHOU YaHong WANG LiMing HE XiaoDan School of economics Shanghai University of Finance and EconomicsKey Laboratory of Mathematical Economics (SUFE) School of Statistics and Management Shanghai University of Finance and Economics School of economics Shanghai University of Finance and Economics

This paper provides an estimation procedure for average treatment effect through a random coefficient dummy endogenous variable model. A leading example of the model is estimating the effect of a training program on earnings. The model is composed of two equations:an outcome equation and a decision *** the linear restriction in outcome and decision equations,Chen(1999) provided a distribution-free estimation procedure under conditional symmetric error distributions. In this paper we extend Chen's estimator by relaxing the linear index into a nonparametric function,which greatly reduces the risk of model misspecification. A two-step approach is proposed:the first step uses a nonparametric regression estimator for the decision variable,and the second step uses an instrumental variables approach to estimate average treatment effect in the outcome equation. The proposed estimator is shown to be consistent and asymptotically normally distributed. Furthermore,we investigate the finite performance of our estimator by a Monte Carlo study and also use our estimator to study the return of college education in different periods of China. The estimates seem more reasonable than those of other commonly used estimators.

关键词： random-coefficient model endogenous variable model symmetry

The Nature and Avoidance of the ＂Middle Income Trap＂

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Frontiers of economics in China-Selected Publications from Chinese Universities 2014年第3期9卷 347-369页

作者： Xudong Chen School of economics and Institute for Advanced Research Shanghai University of Financeand Economics (SUFE) Shanghai 200433 China key laboratory of mathematical economics (sufe) Ministry of Education School of economics and Institute for Advanced Research Shanghai University of Finance and Economics (SUFE) Shanghai 200433 China key laboratory of mathematical economics(sufe) Ministry of Education Department of economics Texas A&M University USA

The ＂middle income trap＂ is a significant theoretical and practical issue closely related to the economic and social transition and sustainable development of a country. This paper explores the essence of the ＂middle income trap＂ and ways to avoid it. It reveals that the inner nature of the ＂middle income trap＂ lies in the institutional transition dilemma, which results essentially from a lack of reasonable and clear definitions of governance boundaries between government and market as well as government and society. This lack of boundaries causes coexistent and interrelated government inefficiency, market distortion/failure and social anomie, leading to a stagnant transition from a factor-driven to an efficiency-driven and further innovation-driven economy. Moreover, this paper proposes that the proper way to avoid the ＂trap＂ can be found in the reconstruction of the state governance mode, that is, to transition from a development-oriented and omnipotent government to a public service-oriented and limited government, from factor-driven to efficiency-driven and further innovation-driven development, and from a traditional society to a modem civil society through defining reasonable and clear boundaries between government and market as well as government and society. Thus, reconstruction can establish a state public governance mode featuring the interactive role of government, market and society, and achieve the modernization of state governance systems and capacity.

关键词： middle income trap institutional transition state governance mode

Robust estimation for partially linear models with large-dimensional covariates

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Science China Mathematics 2013年第10期56卷 2069-2088页

作者： ZHU LiPing LI RunZe CUI HengJian School of Statistics and Management Shanghai University of Finance and Economics The key laboratory of mathematical economics (sufe) Ministry of Education Department of Statistics and The Methodology Center The Pennsylvania State UniversityUniversity Park School of mathematical Science Capital Normal University

We are concerned with robust estimation procedures to estimate the parameters in partially linear models with large-dimensional covariates. To enhance the interpretability, we suggest implementing a noncon- cave regularization method in the robust estimation procedure to select important covariates from the linear component. We establish the consistency for both the linear and the nonlinear components when the covariate dimension diverges at the rate of o（√n）, where n is the sample size. We show that the robust estimate of linear component performs asymptotically as well as its oracle counterpart which assumes the baseline function and the unimportant covariates were known a priori. With a consistent estimator of the linear component, we estimate the nonparametric component by a robust local linear regression. It is proved that the robust estimate of nonlinear component performs asymptotically as well as if the linear component were known in advance. Comprehensive simulation studies are carried out and an application is presented to examine the finite-sample performance of the proposed procedures.

关键词： partially linear models robust model selection smoothly clipped absolute deviation (SCAD) semiparametric models

Network correlation between investor’s herding behavior and overconfidence behavior

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Chinese Physics B 2020年第4期29卷 571-581页

作者： Mao Zhang Yi-Ming Wang School of economics Peking UniversityBeijing 100871China key laboratory of mathematical economics and Quantitative Finance Peking UniversityBeijing 100871China

It is generally accepted that herding behavior and overconfidence behavior are unrelated or even mutually ***,these behaviors can both lead to some similar market anomalies,such as excessive trading volume and volatility in the stock *** to the limitation of traditional time series analysis,we try to study whether there exists network relevance between the investor’s herding behavior and overconfidence behavior based on the complex network *** the investor’s herding behavior is based on market trends and overconfidence behavior is based on past performance,we convert the time series data of market trends into a market network and the time series data of the investor’s past judgments into an investor ***,we update these networks as new information arrives at the market and show the weighted in-degrees of the nodes in the market network and the investor network can represent the herding degree and the confidence degree of the investor,*** stock transaction data of Microsoft,US S&P 500 stock index,and China Hushen 300 stock index,we update the two networks and find that there exists a high similarity of network topological properties and a significant correlation of node parameter sequences between the market network and the investor ***,we theoretically derive and conclude that the investor’s herding degree and confidence degree are highly related to each other when there is a clear market trend.

关键词： complex network time series herding behavior overconfidence behavior