The short- and long-run efficiency of energy,precious metals,and base metals markets: Evidence from the exponential smooth transition autoregressive models

The aim of this paper is to investigate the long and short-run relationship between spot and futures prices of the energy, precious metals, and base metals markets. We analyze daily data from January 1985 to February 2019. The empirical findings based on the cointegration test, which follows a nonlinear process, suggest that the spot prices of energy and metals assets have long-run relationships with their futures prices. Nonparametric Granger causality test results also indicate bi-directional causality among futures and spot prices. These findings indicate that the energy and metals markets are informationally efficient in the sense of Fama (1970).     

CO2 emissions,energy consumption,and output in France

This paper examines the dynamic causal relationships between pollutant emissions, energy consumption, and output for France using cointegration and vector error-correction modelling techniques. We argue that these variables are strongly inter-related and therefore their relationship must be examined using an integrated framework. The results provide evidence for the existence of a fairly robust long-run relationship between these variables for the period 1960–2000. The causality results support the argument that economic growth exerts a causal influence on growth of energy use and growth of pollution in the long run. The results also point to a uni-directional causality running from growth of energy use to output growth in the short run.     

Casual reasoning in planning1

Reasoning about actions necessarily involves tracking the truth of assertions about the world over time. The SIPE planning system retains the efficiency of the STRIPS assumption for this while enhancing expressive power by allowing the specification of a causl theory. Separation of knowledge about causality from knowledge about actions relieves operators of much of their representational burden and allows them to be applicable in a wide range of contexts. The implementation of causal theories is described, together with examples and evaluations of the system's expressive power and efficiency.     

Temporal aggregation and spurious instantaneous causality in multiple time series models

Large aggregation interval asymptotics are used to investigate the relation between Granger causality in disaggregated vector autoregressions (VARs) and associated contemporaneous correlation among innovations of the aggregated system. One of our main contributions is that we outline various conditions under which the informational content of error covariance matrices yields insight into the causal structure of the VAR. Monte Carlo results suggest that our asymptotic findings are applicable even when the aggregation interval is small, as long as the time series are not characterized by high levels of persistence.     

格兰杰因果关系检验模型分析与应用

目的 分析格兰杰因果关系检验模型,应用格兰杰因果检验模型检验房地产市场中的地价与房价之间的因果关系.方法 修正了沈阳市地价与房价的环比价格指数,对沈阳市地价与房价之间的关系进行平稳性检验,协整检验和格兰杰因果检验.结果 沈阳市房价是地价的格兰杰原因,房价的上涨会带动地价的上涨;而地价不是房价的格兰杰原因,但地价作为房价的重要组成部分,对房价有一定的影响作用.土地只是构成房地产的一个生产要素,其需求的变化是受房屋市场需求变化影响的,房屋市场供不应求,价格上涨,才使开发商对土地的需求增加,造成地价上涨.结论 土地招标、拍卖和挂牌政策的实施不是造成房价上涨的主要原因.     

湖南省能源消费与经济增长均衡关系实证分析

利用湖南省1999—2008年的经济与能源数据,在对湖南省经济总量、能源消费总量、能源消费构成以及单位GDP能耗等现状分析的基础上,采用ADF检验法、Granger因果关系检验法等计量方法研究了湖南省能源消费与经济增长之间的关系。实证研究表明:湖南省能源消费与经济增长之间存在长期均衡关系,并且存在从经济增长到能源消费的单向Granger因果关系。     

陕西对外贸易与经济增长关系的协整分析

以陕西省作为研究对象,根据陕西省1980—2007年的数据,利用Granger因果关系检验、协整分析和误差修正模型分析陕西省对外贸易和经济增长的关系,结果表明,陕西省对外贸易和经济增长存在长期的协整关系;陕西属于出口导向型经济,出口是经济增长的Granger原因,进口不是经济增长的Granger原因,却是出口增长的Grange原因,由此说明,进口对经济增长有间接的作用。     

网络日志数据中条件因果挖掘算法的优化研究

网络操作中收集了大量的系统日志数据,找出精确的系统故障成为重要的研究方向.提出一种条件因果挖掘算法(CCMA),通过从日志消息中生成一组时间序列数据,分别用傅里叶分析和线性回归分析删除大量无关的周期性时间序列后,利用因果推理算法输出有向无环图,通过检测无环图的边缘分布,消除冗余关系得出最终结果.仿真结果表明,对比依赖挖掘算法(DMA)和网络信息关联与探索算法(NICE),CCMA算法在处理时间和边缘相关率2个主要性能指标方面均有改善,表明CCMA算法在日志事件挖掘中能有效优化处理速度和挖掘精度.     

连云港市金融中介支持科技企业研究

研究企业科技创新的金融支持问题,对于促进企业科技创新能力的发展,实现建立创新型国家的目标,促进经济结构转型具有极为重要的意义。选取连云港市2002—2012年间科技创新与金融支持的相关数据进行实证分析,通过单位根检验、协整分析与格兰杰因果检验得到以下结论:金融规模与科技创新长期正相关,金融效率与科技创新负相关。并在此基础上,提出了促进连云港市科技创新金融支持的意见与建议。     

基于关联分析的IDS报警信息的研究与设计

入侵检测系统的大部分报警事件之间都存在某种联系,通过对这些报警信息的关联分析,对解决目前入侵检测系统所存在的误报、漏报、重复报警、报警信息层次低等问题,具有重要的意义。该文基于因果关联方法,建立了一个入侵检测系统关联分析模型,该模型的关联分析过程分为聚合和关联分析,可以对不同入侵检测系统产生的报警信息进行关联分析。