The Candy model: properties and inference

In this paper we study the Candy model, a marked point process introduced by S toica et al. (2000) . We prove Ruelle and local stability, investigate its Markov properties, and discuss how the model may be sampled. Finally, we consider estimation of the model parameters and present a simulation study.     

A generalized correlated binomial distribution with application in multiple testing problems

A typical microarray experiment often involves comparisons of hundreds or thousands of genes. Since a large number of genes are compared, simple use of a significance test without adjustment for multiple comparison artifacts could lead to a large chance of false positive findings. In this context, Tsai et al. (Biometrics 59:1071–1081, 2003) have presented a model that studies the overall error rate when testing multiple hypotheses. This model involves the distribution of the sum of non-independent Bernoulli trials and this distribution is approximated by using a beta-binomial structure. Instead of using a beta-binomial model, in this paper, we derive the exact distribution of the sum of non-independent and non-identically distributed Bernoulli random variables. The distribution obtained is used to compute the conditional false discovery rates and the results are compared to those obtained, in Table 3, by Tsai et al. (Biometrics 59:1071–1081, 2003).     

Solving the incomplete markets model with aggregate uncertainty using parameterized cross-sectional distributions

This note describes how the incomplete markets model with aggregate uncertainty in Den Haan et al. [Comparison of solutions to the incomplete markets model with aggregate uncertainty. Journal of Economic Dynamics and Control, this issue] is solved using standard quadrature and projection methods. This is made possible by linking the aggregate state variables to a parameterized density that describes the cross-sectional distribution. A simulation procedure is used to find the best shape of the density within the class of approximating densities considered. This note compares several simulation procedures in which there is—as in the model—no cross-sectional sampling variation.     

Contemporary Extensions of the Rasch Model

This paper will introduce, discuss and illustrate two contemporary extensions of theRasch model: the one parameter logistic model (Verhelst and Glas, 1995) and theMultidimensional Rasch model (Hoijtink et al., 1999). Using data with respect tothe measurement of schizotypy (Vollema and Hoijtink, 2000) the most importantfeatures of both models will be illustrated. For the one parameter logistic modelthese include: a (discrete) discrimination parameter for each item; a test for itembias; and, estimation of the location of a person on the (latent) trait that is beingmeasured. For the multidimensional Rasch model these include: specification ofthe model; and, model selection. All analyses presented in this paper can be executedusing either OPLM (Verhelst et al., 1995), TESTFACT (Wilson et al.,1984) or ConQuest (Wu et al., 1998). At the end of the paper some features ofmodels and software that have not been discussed will be summarized.     

Some Early Multiplier Models of the Relationship between Income Distribution and Production Structure

Early efforts to endogenize consumption and hence to model the inter-relationships between production structures and income distribution via multiplier models are reviewed in this paper. It is suggested that, unlike the multipliers in Pyatt et al. (1973), the so-called Miyazawa multipliers cannot be sustained in the context of a model of the distribution of income among institutions (households, companies, etc) i.e. the institutional distribution of income. They can, however, be sustained within a model of the distribution of income among factors, i.e. the factorial distribution of income. Both distributions are modelled by Pyatt & Round (1979) which therefore provides a more general framework for analysing the relationship between the distribution of income and the structure of production.     

Strong representation of the presmoothed quantile function estimator for censored data

We consider lifetime data subject to right random censorship. In this context, this paper deals with the topic of estimating the distribution function of the lifetime and the corresponding quantile function. As it has been shown that the classical Kaplan–Meier estimator of the distribution function can be improved by means of presmoothing ideas, we introduce a quantile function estimator via the presmoothed distribution function estimator studied by Cao et al. [Journal of Nonparametric statistics, Vol. 17 (2005) pp. 31–56.] The main result of this paper is an almost sure representation of this presmoothed estimator. As a consequence, its strong consistency and asymptotic normality are established. The performance of this new quantile estimator is analyzed in a simulation study and applied to a real data example.     

Adjusting for Non‐Response in Population‐Based Case‐Control Studies

In this paper we discuss the analysis of data from population‐based case‐control studies when there is appreciable non‐response. We develop a class of estimating equations that are relatively easy to implement. For some important special cases, we also provide efficient semi‐parametric maximum‐likelihood methods. We compare the methods in a simulation study based on data from the Women's Cardiovascular Health Study discussed in Arbogast et al. (Estimating incidence rates from population‐based case‐control studies in the presence of non‐respondents, Biometrical Journal 44, 227–239, 2002).     

Discrete Response Multilevel Models for Repeated Measures: An Application to Voting Intentions Data

Repeated measures data can be modelled as a two-levelmodel where occasions (level one units) are grouped byindividuals (level two units). Goldstein et al. (1994)proposed a multilevel time series model when theresponse variable follows a Normal distribution andthe measurements are taken with unequal timeintervals. This paper extends the methodology todiscrete response variables. The models are applied toBritish Election Study data consisting of repeatedmeasures of voting intention.     

Variance ratio tests of the seasonal unit root hypothesis

In this paper we develop tests of the seasonal (quarterly) unit root null hypothesis which reject in favour of stationarity for small values of certain variance ratio statistics, similar to those used by Canova and Hansen (J. Bus. Econom. Statist. 13 (1995) 237) in a different testing context. We demonstrate that our proposed statistics have pivotal limiting distributions under both the null and near seasonally integrated alternatives even when we allow for the possibility of both weak dependence and periodically heteroscedastic behaviour in the driving shocks. This is in contrast to the popular regression-based lag-augmented seasonal unit root tests of Hylleberg et al. (J. Econometrics 44 (1990) 215). A simulation study into the finite sample size and power properties of our proposed tests suggests that they display far superior size properties and, overall, broadly comparable power properties to the corresponding tests of Hylleberg et al. (J. Econometrics 44 (1990) 215), implemented with data-based lag augmentation. The results for the variance ratio tests at the seasonal harmonic frequency are particularly encouraging.     

Social networks and labour productivity in Europe: an empirical investigation

This paper uses firm-level data recorded in the Amadeus database to investigate the distribution of labour productivity in different European countries. We find that the upper tail of the empirical productivity distributions follows a decaying power-law, whose exponent α is obtained by a semi-parametric estimation technique recently developed by Clementi et al. [Physica A 370(1):49–53, 2006]. The emergence of “fat tails” in productivity distribution has already been detected in Di Matteo et al. [Eur Phys J B 47(3):459–466, 2005] and explained by means of a model of social network. Here we show that this model is tested on a broader sample of countries having different patterns of social network structure. These different social attitudes, measured using a social capital indicator, reflect in the power-law exponent estimates, verifying in this way the existence of linkages among firms’ productivity performance and social network.     

On leverage in a stochastic volatility model

This paper is concerned with the specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well-known continuous time SV model with leverage effect and the other is the discrete time SV model of Jacquier et al. (J. Econometrics 122 (2004) 185). Using a Gaussian nonlinear state space form with uncorrelated measurement and transition errors, I show that it is easy to interpret the leverage effect in the conventional model whereas it is not clear how to obtain and interpret the leverage effect in the model of Jacquier et al. Empirical comparisons of these two models via Bayesian Markov chain Monte Carlo (MCMC) methods further reveal that the specification of Jacquier et al. is inferior. Simulation experiments are conducted to study the sampling properties of Bayes MCMC for the conventional model.     

Estimators for the common principal components model based on reweighting: influence functions and Monte Carlo study

The common principal components model for several groups of multivariate observations is a useful parsimonious model for the scatter structure which assumes equal principal axes but different variances along those axes for each group. Due to the lack of resistance of the classical maximum likelihood estimators for the parameters of this model, several robust estimators have been proposed in the literature: plug-in estimators and projection-pursuit (PP) type estimators. In this paper, we show that it is possible to improve the low efficiency of the projection-pursuit estimators by applying a reweighting step. More precisely, we consider plug-in estimators obtained by plugging a reweighted estimator of the scatter matrices into the maximum likelihood equations defining the principal axes. The weights considered penalize observations with large values of the influence measures defined by Boente et al. (2002). The new estimators are studied in terms of theoretical properties (influence functions and asymptotic variances) and are compared with other existing estimators in a simulation study.     

Hypothesis testing in nonparametric models of production using multiple sample splits

Several tests of model structure developed by Kneip et al. (J Bus Econ Stat 34:435–456, 2016) and Daraio et al. (Econ J 21:170–191, 2018) rely on comparing sample means of two different efficiency estimators, one appropriate under the conditions of the null hypothesis and the other appropriate under the conditions of the alternative hypothesis. These tests rely on central limit theorems developed by Kneip et al. (Econ Theory 31:394–422, 2015) and Daraio et al. (Econ J 21:170–191, 2018), but require that the original sample be split randomly into two independent subsamples. This introduces some ambiguity surrounding the sample-split, which may be determined by choice of a seed for a random number generator. We develop a method that eliminates much of this ambiguity by repeating the random splits a large number of times. We use a bootstrap algorithm to exploit the information from the multiple sample-splits. Our simulation results show that in many cases, eliminating this ambiguity results in tests with better size and power than tests that employ a single sample-split.

     

Replicating the R&D investments and financial structure relationship: evidence from Borsa İstanbul

I revisit the empirical relationship between R&D investments and financial structure by trying to replicate seminal paper of Aghion et al. (J Eur Econ Assoc 2:277–288, 2004). In the widely cited study, Aghion et al. (2004) found evidence of a nonlinear (an inverted U-shape) relationship—firms with positive R&D tend to use more debt than firms with zero R&D, but the use of debt falls with R&D intensity—in a sample of U.K. firms from 1990 to 2002. In order to review their significant findings, I use panel data of 177 Turkish manufacturing firms listed in Borsa ?stanbul from 2007 to 2016. Using Aghion et al.’s (2004) model specifications, I found no evidence of an inverted U-shape relationship or of any effect of R&D intensity on the leverage ratio. The study thus suggests that the effect of R&D investments on the financial structure may vary with the different samples of countries and cannot be universally generalized.     

Semiparametric efficient adaptive estimation of asymmetric GARCH models

In this paper we derive a semiparametric efficient adaptive estimator of an asymmetric GARCH model. Applying some general results from Drost et al. [1997. The Annals of Statistics 25, 786–818], we first estimate the unknown density function of the disturbances by kernel methods, then apply a one-step Newton–Raphson method to obtain a more efficient estimator than the quasi-maximum likelihood estimator. The proposed semiparametric estimator is adaptive for parameters appearing in the conditional standard deviation model with respect to the unknown distribution of the disturbances.     

A New Regime Switching Model with State–Varying Endogeneity

In this paper, we propose a state-varying endogenous regime switching model (the SERS model), which includes the endogenous regime switching model by Chang et al., the CCP model, as a special case. To estimate the unknown parameters in the SERS model, we propose a maximum likelihood estimation method. Monte Carlo simulation results show that in the absence of state-varying endogeneity, the SERS model and the CCP model perform similarly, while in the presence of state-varying endogeneity, the SERS model performs much better than the CCP model. Finally, we use the SERS model to analyze Chinese stock market returns, and our empirical results show that there exists strongly state-varying endogeneity in volatility switching for the Shanghai Composite Index returns. Moreover, the SERS model can indeed produce a much more realistic assessment for the regime switching process than the one obtained by the CCP model.     

Replicating the Results in ‘A New Model of Trend Inflation’ Using Particle Markov Chain Monte Carlo

An article by Chan et al. ( 2013 ) published in the Journal of Business and Economic Statistics introduces a new model for trend inflation. They allow the trend inflation to evolve according to a bounded random walk. In order to draw the latent states from their respective conditional posteriors, they use accept–reject Metropolis–Hastings procedures. We reproduce their results using particle Markov chain Monte Carlo (PMCMC), which approaches drawing the latent states from a different technical point of view by relying on combining Markov chain Monte Carlo and sequential Monte Carlo methods. To conclude: we are able to reproduce the results of Chan et al. ( 2013 ). Copyright © 2015 John Wiley & Sons, Ltd.     

A sustainable governance model to prevent corporate corruption: Integrating anticorruption practices,corporate strategy and business processes

Our paper investigates the integration of anticorruption practices, corporate strategy and business processes of contemporary organisations to provide a new and emerging sustainable governance model. Using the single case study approach to answer our research question, we provide novel evidence from the analysis of the Italian manufacturing company Acciai Speciali Terni Spa. Our case study interprets a consolidated entrepreneurial experience, constructing an integrated meta‐management framework of anticorruption practices. Enriching existing literature, we have adopted the frameworks by Asif et al., (2010) and Asif et al., (2011) to test results and obtain general perspectives and practical implications for organisations, regulators and governments, proposing a sustainable governance model to prevent corruption and bribery.     

Design-based distribution function estimation for stigmatized populations

In this paper, we discuss in a general framework the design-based estimation of population parameters when sensitive data are collected by randomized response techniques. We show in close detail the procedure for estimating the distribution function of a sensitive quantitative variable and how to estimate simultaneously the population prevalence of individuals bearing a stigmatizing attribute and the distribution function for the members belonging to the hidden group. The randomized response devices by Greenberg et al. (J Am Stat Assoc 66:243–250, 1971), Franklin (Commun Stat Theory Methods 18:489–505, 1989), and Singh et al. (Aust NZ J Stat 40:291–297 1998) are here considered as data-gathering tools.     

(Re)Reading the ‘Loft Living’Habitus in Montréal's Inner City

Over the past two decades, converted loft spaces have emerged as an important element of the North American inner-city landscape. Originating within the specific social and economic conditions of Manhattan's SoHo (South of Houston) District in the 1970s, lofts have come to exemplify a conjunction between culture and economy in the restructuring of the contemporary city. In the gentrification literature, however, the idea of ‘culture’ and its role in urban change remains weakly conceptualized as ‘arts-related investment’ and ‘heritage preservation’. In this paper I untangle this relationship and realign the cultural with socio-spatial practice to examine the production of a loft landscape in inner-city Montréal. This case study illustrates the weak role played by capital accumulation strategies in the production of this landscape in Montréal and highlights the importance of a North-America-wide cultural construction of the SoHo loft and its reproduction in other cities. I argue that the media serves as a site and agent in the re-coding of inner city industrial landscapes by repeatedly representing lofts as the ‘authentic’ domain of the avant-garde. In the case of Montréal, the reconstruction of a loft landscape further depends on local cultural forms that map and translate the loft lifestyle and aesthetic in the local material environment and build relationships between local conditions and identities, and SoHo. Finally, drawing on interviews with Montréal loft tenants, I illustrate how inner-city identities are constructed through socio-spatial practices. Durant les deux dernières décennies, les espaces de lofts aménagés sont devenus un élément important du paysage des centres-villes d'Amérique du Nord. Ayant leur origine dans les conditions économiques et sociales spécifiques au district de SoHo à Manhattan (au Sud de Houston) dans les années 1970, les lofts en sont venus à exemplifier une conjonction entre la culture et l'économie dans la restructuration de la ville contemporaine. Cependant, dans la littérature sur l'embourgeoisement, l'idée de ‘culture’ et son rôle dans le changement urbain ne sont que peu théorisés en tant que ‘investissement qui se rapporte aux arts’ et ‘préservation du patrimoine’. Dans cet article, j'éclaircis ce rapport et réaligne le cultural à la pratique socio-spatiale afin d'examiner la production d'un paysage de lofts dans le centre de la ville de Montréal. Ce cas d'étude illustre le rôle minime des stratégies d'accumulation du capital dans la production de ce paysage à Montréal et souligne l'importance d'une construction culturelle du loft de SoHo, connue dans toute l'Amérique du Nord, et de sa reproduction dans d'autres villes. Je soutiens que les médias servent de lieu et d'agent de recodification des paysages industriels des centres-villes en représentant régulièrement les lofts comme le domaine ‘authentique’ de l'avant-garde. Dans le cas de Montréal, la reconstruction d'un paysage de lofts dépend aussi des formes culturelles locales qui tracent et traduisent le mode de vie et l'esthétique du loft dans l'environnement matériel local et qui construisent des rapports entre les conditions et identités locales et SoHo. Finalement, me basant sur des entrevues avec des occupants de loft à Montréal, je montre comment les identités du centre-ville sont construites par les pratiques socio-spatiales.