On exact D-optimal designs with 2 two-level factors and n autocorrelated observations

In this paper we consider the exact D-optimal designs for estimation of the unknown parameters in the two factors, each at only two-level, main effects model with autocorrelated errors. The vector of the n random errors in the observed responses is assumed to follow a first-order autoregressive model (AR(1)). The exact D-optimal designs seek the optimal combinations of the design levels as well as the optimal run orders, so that the determinant of the information matrix of BLUEs for the unknown parameters is maximized. Bora-Senta and Moyssiadis (1999) gave some conjectures about the exact D-optimal designs based on their experience of several exhaustive searches. In this paper their conjectures are partially proved to be true.Received: January 2003 / Accepted: October 2003Partially supported by the National Science Council of Taiwan, R.O.C. under grant NSC 91-2115-M-008-013.Supported in part by the National Science Council of Taiwan, R.O.C. under grant NSC 89-2118-M-110-003.     

Overnight borrowing, interest rates and extreme value theory

We examine the dynamics of extreme values of overnight borrowing rates in an inter-bank money market before a financial crisis during which overnight borrowing rates rocketed up to (simple annual) 4000 percent. It is shown that the generalized Pareto distribution fits well to the extreme values of the interest rate distribution. We also provide predictions of extreme overnight borrowing rates using pre-crisis data. The examination of tails (extreme values) provides answers to such issues as to what are the extreme movements to be expected in financial markets; is there a possibility for even larger movements and, are there theoretical processes that can model the type of fat-tails in the observed data? The answers to such questions are essential for proper management of financial exposures and laying ground for regulations.     

阿仑磷酸钠片联合唑来膦酸注射液治疗骨质疏松症患者的药物经济学评价

目的探讨阿仑磷酸钠片联合唑来膦酸注射液治疗骨质疏松症的成本-效果。方法选取2016年12月至2018年2月于阜新市中医医院骨伤科治疗的138例骨质疏松症患者作为研究对象,按照随机数字表法分为对照组和观察组,每组69例。对照组给予阿仑磷酸钠片治疗,观察组在对照组治疗基础上采用唑来膦酸注射液治疗,比较两组患者治疗效果,并进行成本-效果分析。结果观察组治疗有效率为97.10%,显著高于对照组的75.36%,差异有统计学意义(P<0.05)。治疗后,与对照组比较,观察组患者腰椎骨、股骨颈和Ward’s三角区骨密度水平显著提高(P<0.05),血清Ca2+、骨特异性碱性磷酸酶(ALP)、降钙素(HCT)水平显著提高(P<0.05),成本-效果比提高(P<0.05),不良反应发生率降低(P<0.05)。结论阿仑磷酸钠片联合唑来膦酸注射液治疗可明显提高骨质疏松症患者疗效,调节骨密度,有助于骨代谢指标恢复,但其成本也较高。     

Assessing French nursing home efficiency: An indirect approach via budget-constrained DEA models

In this paper, data envelopment analysis (DEA) techniques are applied to the French nursing home industry in order to address two policy issues. The first involves nursing home size and returns to scale, while the second deals with the potential effects of a change in nursing home reimbursement from a flat rate to one based on the severity of case-mix. To accomplish this, our analysis expands on the existing nursing home literature to analyze technical and allocative efficiency along with budget-constrained models rather than the more common direct input-based distance function. Technical efficiency is evaluated via an indirect output distance function while allocative output efficiency is computed with a cost indirect revenue function. The findings suggest that system-wide efficiency and equity may result from coming reforms since payments would more accurately reflect resource use.     

Less Government—More Wealth? On the Macroeconomics of a Smaller Public Sector in Europe

In this paper, we analyze the reactions of European economies to a fiscal policy strategy aiming at diminishing the public sector. Within the framework of the MSG3 model, a macroeconomic model of the world economy, we perform several simulation experiments to explore the effects of reducing government expenditures permanently in different phases of the business cycle. For this purpose, we combine the fiscal contraction with negative and positive, Euro Area-wide and global, supply and demand shocks. It turns out that adverse Keynesian effects on output and employment tend to be mostly weak and short-lived, whereas long-run effects on output and employment are favorable. Due to these long-run effects, the fiscal contraction policy raises welfare as measured by an asymmetric quadratic objective function. The size of these welfare effects depends on the initial situation in a non-trivial manner.     

The structural transformation and aggregate productivity in Portugal

We document the substantial process of structural transformation—the reallocation of labor between agriculture, manufacturing, and services—and aggregate productivity growth undergone by Portugal between 1956 and 1995. We assess the quantitative role of sectoral labor productivity in accounting for these processes. We calibrate a model of the structural transformation to data for the United States and use the model to gain insight into the factors driving the structural transformation and aggregate productivity growth in Portugal. The model implies that Portugal features low and roughly constant relative productivity in agriculture and services (around 22%) and a modest but growing relative productivity in manufacturing (from 44 to 110%). We find that productivity growth in manufacturing accounts for most of the reduction of the aggregate productivity gap with the United States and that a further closing of this gap can only be accomplished via improvements in the relative productivity of services. This paper was written while the authors were affiliated with the Federal Reserve Bank of Richmond. We would like to thank the editor, two anonymous referees, and participants at the Third Conference on Portuguese Economic Development in the European Context organized by the Bank of Portugal for their comments. All errors are our own.     

On the evolutionary edge of altruism: a game-theoretic proof of Hamilton’s rule for a simple case of siblings

We offer a game-theoretic proof of Hamiltons rule for the spread of altruism. For a simple case of siblings, we show that the rule can be derived as the outcome of a one-shot prisoners dilemma game between siblings.JEL Classification: A13, C70, D64Correspondence to: Oded Stark, ZEF, University of Bonn, Walter-Flex-Strasse 3, 53113 Bonn, GermanyWe are indebted to an anonymous referee and to Uwe Cantner for helpful comments and suggestions. Partial financial support from the National Institute on Aging (grant RO1-AG13037) and from the Humboldt Foundation is gratefully acknowledged.     

Foreign direct investment, competition and industrial development in the host country

This paper analyses the impact of foreign direct investment (FDI) on the development of local firms. We focus on two likely effects of FDI: A competition effect which deters entry of domestic firms and positive market externalities which foster the development of local industry. Using a simple theoretical model to illustrate how these forces work we show that the number of domestic firms follows a u-shaped curve, where the competition effect first dominates but is gradually outweighed by positive externalities. Evidence for Ireland tends to support this result. Specifically, applying semi-parametric regression techniques on plant level panel data for the manufacturing sector we find that while the competition effect may have initially deterred local firms’ entry, this initial effect has been outpaced by positive externalities making the overall impact of FDI largely positive for the domestic industry.     

THE JOINT ARRIVAL AND DEPARTURE PROCESS FOR THE M/M/l QUEUE

We consider the M/M/1-queue and derive an explicit expression for the joint distribution of the number of arrivals and the number of departures in [0, t), given the number of customers initially present. The derivation is almost purely combinatorial, it avoids the use of generating functions, and immediately yields a simple probabilistic interpretation of the result.     

An equilibrium analysis of information aggregation and fluctuations in markets with discrete decisions

This paper shows how the interaction between decentralized information gathering and discreteness of investment decisions at the individual level can generate random fluctuations in aggregate investment that involve occasionally large allocation errors. This interaction is illustrated in a model in which private information is costly to acquire and prices reveal information. The unique rational expectations equilibrium outcome of the model is shown to always be noisy and characterized by investment levels which may be high simply because uninformed investors are buying under the impression that the high price is a signal of good investment opportunities.