Neglected dynamics in panel data models; consequences and detection in finite samples*

The bias of various estimators for static cross-section and panel data models is assessed in a simulation study, where the actual data generating process is a dynamic adjustment mechanism with random individual effects. It is concluded that the consequences of incorrectly estimating a static model can be rather serious. Therefore, it is important to have an accurate technique available for the detection of dynamics. Two exact similar tests for the presence of a lagged dependent variable in panel data models are developed; in some simulation experiments these tests outperform standard asymptotic test procedures. Empirical results on Engle curves for food illustrate the above issues.     

Exact Solutions of a Model for Asset Prices by K. Takaoka

We are concerned with a model for asset prices introduced by Koichiro Takaoka, which extends the well known Black-Scholes model. For the pricing of contingent claims, partial differential equation (PDE) is derived in a special case under the typical delta hedging strategy. We present an exact pricing formula by way of solving the equation. Mathematics Subject Classification(2000):91B28,35K15     

A Benchmark Approach to Filtering in Finance

The paper proposes the use of the growth optimal portfolio for pricing and hedging in incomplete markets when there are unobserved factors that have to be filtered. The proposed filtering framework is applicable also in cases when there does not exist an equivalent risk neutral martingale measure. The reduction of the variance of derivative prices for increasing degrees of available information is measured. 1991 Mathematics Subject Classification: primary 90A09; secondary 60G99; 62P20 JEL Classification: G10, G13     

基于边际税率差模型的税收筹划动力源泉分析

在税收法律制度框架内,现代企业拥有税收筹划与非税收筹划两种节税手段,企业选择非税收筹划必然遭到税收法律的严厉制裁,增加企业的节税成本.通过构建边际税率差模型,我们发现企业存在内在驱动因素使其选择税收筹划来增大企业的税后收益,从而实现企业价值最大化目标,这一内在驱动因素就是边际税率差最小化.     

现收现付制——我国养老保险模式的最佳选择

目前,我国养老保险体系向部分基金积累制转轨过程中遇到了转制成本、隐形债务等一系列问题。事实上,我国不宜向基金积累制转轨,基金积累制的国际实践并不理想,其本质上具有不能增加福利、管理成本高昂、外部条件不具备等缺陷。而我国现阶段具备"艾伦条件"仍然满足、人口高龄化程度相对较低、可吸收大量新增工业人口加入养老保险体系等有利因素。对此,现收现付制仍然是我国养老保险体系的最佳选择。     

Nonlinearity and stationarity of inflation rates: evidence from the euro-zone countries

Earlier studies hardly reject the hypothesis of a unit root in inflation. Few studies have examined the possibility of nonlinearity in inflation and tested nonlinear stationarity of the inflation rates. This study thus intends to fill the gap. This study utilizes the tests for nonlinearity along with the unit root tests that allow for nonlinearity in the variables to examine the stationarity of inflation rates of 12 European countries that formed the Euro Zone (EZ) later in the sample period. The results suggest that the majority of these countries’ inflation rates can be characterized by mean reversion during the floating exchange rate period. Many of them appear to be nonlinear stationary. This finding is essential in conducting applied economic studies for these countries, when constructing models whose validity relies on whether or not inflation is stationary. The results of this study also imply that shocks to inflation have a transitory effect on inflation in the euro area. Therefore, it would be less costly in exercising the policies of disinflation for the monetary authorities of the euro area than for those of the countries with nonstationary inflation.     

强非局域非线性介质中高斯光束的传输特性

从Helmholtz方程出发，讨论了高斯光束在1＋1维强非局域非线性介质中的传输特性及其光束柬宽随位置的演化，即当介质的响应函数为高斯型时，用理论分析和数值模拟的方法，讨论了响应函数的特征宽度wm对光束传输的影响．     

Modeling Clustered Ordered Categorical Data: A Survey

This article surveys various strategies for modeling ordered categorical (ordinal) response variables when the data have some type of clustering, extending a similar survey for binary data by Pendergast, Gange, Newton, Lindstrom, Palta & Fisher (1996). An important special case is when repeated measurement occurs at various occasions for each subject, such as in longitudinal studies. A much greater variety of models and fitting methods are available than when a similar survey for repeated ordinal response data was prepared a decade ago (Agresti, 1989). The primary emphasis of the review is on two classes of models, marginal models for which effects are averaged over all clusters at particular levels of predictors, and cluster-specific models for which effects apply at the cluster level. We present the two types of models in the ordinal context, review the literature for each, and discuss connections between them. Then, we summarize some alternative modeling approaches and ways of estimating parameters, including a Bayesian approach. We also discuss applications and areas likely to be popular for future research, such as ways of handling missing data and ways of modeling agreement and evaluating the accuracy of diagnostic tests. Finally, we review the current availability of software for using the methods discussed in this article.     

R／S分析在我国股票市场上的应用

长期以来，资本市场理论为线性范式所主宰，而近来的许多研究都表明，市场具有复杂的非线性动力系统的特征。本文通过对上海、深圳股票市场的R／S实证分析，揭示了我国股票市场波动的非线性特征，为进一步研究我国资本市场的非线性特征提供了依据。     

Implementation and imbalance: dealing with hangover from the Uruguay Round

The Uruguay Round agreements impose bound obligations to implement,but provide only unbound promises of assistance—is therea legal solution within the WTO legal system, i.e. can implementationassistance be made a legal obligation? The author concludesthat the Doha negotiations on trade facilitation and on aidfor trade demonstrate that such a legal arrangement cannot beconstructed. This is not, however, a problem; the internationalcommunity has provided extensive trade-related assistance throughbilateral and multilateral development agencies. Regarding theoverall Uruguay Round imbalance (developing countries gave morethan they got), failure of the international community to acknowledgethat the imbalance stems in major part from the WTO agreementon intellectual property (TRIPS) has retarded a general making-up.