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Cholesky GAS models for large time-varying covariance matrices

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Journal of Management Science and Engineering 2024年第1期9卷 115-142页

作者： Tingguo Zheng Shiqi Ye Department of Statistics and Data Science School of EconomicsXiamen UniversityXiamen361005China Wang Yanan Institute for Studies in economics Xiamen UniversityXiamen361005China Paula and Gregory chow Institute for Studies in economics Xiamen UniversityXiamen361005China

This paper develops a new class of multivariate models for large-dimensional time-varying covariance matrices,called Cholesky generalized autoregressive score(GAS)models,which are based on the Cholesky decomposition of the covariance matrix and assume that the parameters are ***,two types of score-driven updates are considered:one is closer to the GARCH family,and the other is inspired by the stochastic volatility *** demonstrate that the models can be estimated equation-wise and are computationally feasible for high-dimensional ***,we design an equationwise dynamic model averaging or selection algorithm which simultaneously extracts model and parameter uncertainties,equipped with dynamically estimated model *** simulation results illustrate the superiority of the proposed ***,using a sizeable daily return dataset that includes 124 sectors in the Chinese stock market,two empirical studies with a small sample and a full sample are conducted to verify the advantages of our *** full sample analysis by a dynamic correlation network documents significant structural changes in the Chinese stock market before and after COVID-19.

关键词： Cholesky decomposition GAS Dynamic conditional correlations Dynamic model averaging

Impact and prediction of pollutant on mangrove and carbon stocks:A machine learning study based on urban remote sensing data

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Geoscience Frontiers 2024年第3期15卷 401-418页

作者： Mengjie Xu Chuanwang Sun Yanhong Zhan Ye Liu Institute of Artificial Intelligence Xiamen UniversityXiamen 361005FujianChina China center for Energy economics Research School of EconomicsXiamen UniversityXiamen 361005FujianChina Laboratory of Smart Energy and Green Economy Institute of Artificial IntelligenceXiamen UniversityXiamen 361005FujianChina Department of Public Finance School of EconomicsXiamen UniversityXiamen 361005China

Mangrove ecosystems have important ecological and economic values,especially their ability to store ***,in recent years,human disturbance has accelerated mangrove *** them,the emission of pollutants cannot be *** is of great significance for carbon emission reduction and ecological protection to study the impacts of different pollutants on mangroves and their carbon *** on the remote sensing data of coastal areas south of the Yangtze River in China's Mainland,this paper builds the ensemble learning model Random Forest(RF)and Gradient Boosting Regression(GBR)to empirically analyse the relationship between industrial wastewater,industrial sulfur dioxide(SO2),PM2.5 and mangrove *** results show that the pollutant concentration of meteorological normalisation is more *** importance of pollutants presents regional *** area of mangroves in different cities and the corresponding total carbon stocks show different trends with the increase or decrease of pollutants,and there is a dynamic balance between urban pollutant discharge and mangrove growth in some *** research in this paper provides an analysis and explanation from the perspective of machine learning to explore the relationship between mangroves and pollutants and at the same time,provides scientific suggestions for the formulation of future pollutant emission policies in different cities.

关键词： Mangrove forests Pollutants Machine learning model Carbon stocks Regional heterogeneity

Evolution of China's Role in the Structure of Global Carbon Emission Transfers:An Empirical Analysis Based on Network Governance

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China & World Economy 2024年第1期32卷 130-166页

作者： Bingbing Zhang Lelan Kong Zhehong Xu Chuanwang Sun school of economics and Management Nanjing Agricultural University Jiangsu Provincial center for Agricultural Foreign Cooperation and Communication China Paula and Gregory chow Institute for Studies in economics Xiamen UniversityChina China center for Energy economics Research School of Economics and MOE Key Laboratory of EconometricsXiamen UniversityChina

This paper reconsiders the roles of China and some developed countries in the network of carbon emission transfers via international trade in value added from a new perspective of network *** search intensity(NSI)and the extended gravity model are used with cross-country panel data to analyze the mechanism of China's engagement in network governance of carbon emission *** results show that from 2000 to 2009,China was a net exporter of carbon emissions,even though it shifted from the semi-periphery to the core in the network of carbon emissions embodied in ***,NSI had a significant positive impact on carbon emissions embodied in *** China's important role in the global production network and division of labor,NSI may also affect industrial structure and the quality of the ecological environment to a large *** study analyses the network governance mechanism of China's participation in global carbon *** results suggest that the technical complexity of export products and product heterogeneity do not change the positive impact of NSI on carbon emissions.

关键词： carbon emission transfers gravity model network governance network search intensity

A selective overview of feature screening for ultrahigh-dimensional data

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Science China Mathematics 2015年第10期58卷 2033-2054页

作者： LIU JingYuan ZHONG Wei LI RunZe Department of Statistics School of Economics Xiamen University Wang Yanan Institute for Studies in economics Xiamen University Fujian Key Laboratory of Statistical Science Xiamen University Department of Statistics and The Methodology center Pennsylvania State UniversityUniversity Park

High-dimensional data have frequently been collected in many scientific areas including genomewide association study, biomedical imaging, tomography, tumor classifications, and finance. Analysis of highdimensional data poses many challenges for statisticians. Feature selection and variable selection are fundamental for high-dimensional data analysis. The sparsity principle, which assumes that only a small number of predictors contribute to the response, is frequently adopted and deemed useful in the analysis of high-dimensional *** this general principle, a large number of variable selection approaches via penalized least squares or likelihood have been developed in the recent literature to estimate a sparse model and select significant variables simultaneously. While the penalized variable selection methods have been successfully applied in many highdimensional analyses, modern applications in areas such as genomics and proteomics push the dimensionality of data to an even larger scale, where the dimension of data may grow exponentially with the sample size. This has been called ultrahigh-dimensional data in the literature. This work aims to present a selective overview of feature screening procedures for ultrahigh-dimensional data. We focus on insights into how to construct marginal utilities for feature screening on specific models and motivation for the need of model-free feature screening procedures.

关键词： correlation learning distance correlation sure independence screening sure joint screening sure screening property ultrahigh-dim

Urban Inclusiveness and Entrepreneurship:Evidence from Microdata on Migrants

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China Finance and Economic Review 2020年第2期9卷 89-111页

作者： Yinggang Zhou Lina Meng Xueping Lin center for Macroeconomic Research Wang Yanan Institute for Studies in economics(WISE) school of economics Xiamen University school of economics Xiamen UniversityChina

With the progressive reforms of China’s household registration system,China has unleashed its demographic dividends over the time and promoted the economic *** by the new vision of development,urban inclusiveness,especially the urban inclusiveness to the migrant population,will become a force for driving economic *** the 2016 China Migrants Dynamic Survey(CMDS)dataset,we measure urban inclusiveness with the level of migrants’access to same public services and social security as local residents and explore the effects of urban inclusiveness on migrants’*** results show that urban inclusiveness encourages migrants to start businesses and has a positive effect on the level of *** urban environmental conditions and heterogeneity of individual laborers have different regulating effects on the influence of urban inclusiveness on individual entrepreneurial *** findings offer important inspirations for policy making in reforming the Chinese urban systems and promoting migrants’entrepreneurship.

关键词： urban inclusiveness migrant population entrepreneurship

Human Capital Expansion and Global Value Chain Upgrading:Firm-level Evidence from China

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China & World Economy 2021年第5期29卷 28-56页

作者： Lamei Wu Guifu Chen Shuijun Peng center for Macroeconomics Research School of EconomicsXiamen UniversityChina

Firms actively participate in the production of the global value chain(GVC),which is an important driving force for economic *** a difference-in-difference method,our research shows that industries that are relatively more human-capital intensive experienced a larger GVC position upgrading after 2003 than they had in prior ***,mechanism analysis shows that human capital expansion increases firms’GVC position not only through an imported intermediate input effect but also through an innovation ***,this study shows that increases in the college-educated labor force have a heterogeneous effect on a firm's GVC position across firms’various *** capital expansion has the largest positive effect on state-owned firms relative to foreign and domestic private *** capital expansion has also significantly improved the GVC position of firms located in China's eastern and central *** findings of this study indicate that it helps upgrading the GVC position of Chinese firms.

关键词： global value chain position human capital expansion imported intermediate input effect innovation effect

Impact of Technological Progress and Industrial Structure Distortion on Energy Intensity in China

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China Finance and Economic Review 2021年第3期10卷 25-46页

作者： Xiaobo Shen Yu Chen Boqiang Lin school of economics Xiamen University and China Center for Energy Economics Research school of Management Xiamen University and China Institute for Studies in Energy Policy

The paper measures the industrial structure distortion(ISD)index by region in China from 1978 to 2016 using data on employment and output shares of the three *** also analyzes the impact of ISDs by region on energy intensity using a spatial panel *** results show that since the reform and opening up,the ISD index by region has declined significantly,with the lowest index in the eastern region,the medium one in the central region and the highest in the western *** estimated results of the spatial econometric model indicate that there is a significant inter-regional dependence of energy intensity in China;there is a significant indirect effect of ISD,despite no significant direct effect on energy intensity;in terms of total effect,ISD is an important factor inhibiting the decline of energy *** results also unveil that higher energy prices and foreign trade are positive factors declining energy intensity,while FDI worsens energy intensity and R&D spending has no significant positive impact on curbing energy *** order to reduce energy intensity,China should work to eliminate the micro cause of ISDs,promote the transfer of agricultural labor,establish a market-oriented mechanism for energy price formation,and enhance the efficiency of R&D spending.

关键词： technological progress industrial structure structural distortion energy intensity

Statistical Analysis and Evaluation of Macroeconomic Policies: A Selective Review

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Applied Mathematics(A Journal of Chinese Universities) 2020年第1期35卷 57-83页

作者： LIU Ze-qin CAI Zong-wu FANG Ying LIN Ming The Wang Yanan Institute for Studies in economics MOE Key Laboratory of Econometrics(Xiamen University)Fujian Provincial Key Laboratory of Statistical ScienceXiamen UniversityXiamen 361005China Department of economics University of KansasLawrenceKS 66045USA Department of Statistics School of EconomicsXiamen UniversityXiamen 361005China

In this paper,we highlight some recent developments of a new route to evaluate macroeconomic policy effects,which are investigated under the framework with potential ***,this paper begins with a brief introduction of the basic model setup in modern econometric analysis of program ***,primary attention goes to the focus on causal effect estimation of macroeconomic policy with single time series data together with some extensions to multiple time series ***,we examine the connection of this new approach to traditional macroeconomic models for policy analysis and ***,we conclude by addressing some possible future research directions in statistics and econometrics.

关键词： Impulse response function Macroeconomic casual inferences Macroeconomic policy evaluation Multiple time series data Potential outcomes Treatment effect.

Blockchain application and outlook in the banking industry

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Financial Innovation 2016年第1期2卷 307-318页

作者： Ye Guo Chen Liang school of economics Xiamen UniversityXiamen 361005China

Blockchain technology is a core,underlying technology with promising application prospects in the banking *** one hand,the banking industry in China is facing the impact of interest rate liberalization and profit decline caused by the narrowing interest-rate *** the other hand,it is also affected by economic transformation,Internet development,and financial ***,the banking industry requires urgent transformation and is seeking new growth *** such,blockchains could revolutionize the underlying technology of the payment clearing and credit information systems in banks,thus upgrading and transforming *** applications also promote the formation of“multi-center,weakly intermediated”scenarios,which will enhance the efficiency of the banking ***,despite the permissionless and self-governing nature of blockchains,the regulation and actual implementation of a decentralized system are problems that remain to be ***,we propose the urgent establishment of a“regulatory sandbox”and the development of industry standards.

关键词： Blockchain Decentralization Banking industry transformation