Testing Multiple Non-Nested Factor Demand Systems

This article explains how to obtain straightforward extensions of the most popular univariate non‐nested statistics, and of the RESET‐test, to a multivariate context and examines how to use these tests to compare alternative factor demand systems. The empirical application involves the classical Berndt–Khaled KLEM data set. A statistically adequate specification is determined for each competing factor demand system. The empirical results are interpreted for each system, the models are compared on the basis of multivariate paired and joint non‐nested procedures and practical indications about what to expect if these tests are applied to alternative factor demand specifications are provided.     

On the Hoggard–Whalley–Wilmott Equation for the Pricing of Options with Transaction Costs

The Hoggard–Whalley–Wilmott equation is introduced to model portfolios of European type options incorporating transaction costs. The model gives rise to a nonlinear parabolic partial differential equation (PDE), whose nonlinearity reflects the presence of transaction costs. We show analytically the existence of solutions which are not necessarily convex nor concave. Numerical treatments are also given, which are devised to effectively handle an infinite domain and unbounded solutions.      

Asymptotically optimal estimation of smooth functionals for interval censoring, part 2

Estimation in the interval censoring model is considered. A class of smooth functionals is introduced, of which the mean is an example. We consider case 2, with two observation times for each unobservable event time, in the situation that the observation times cannot become arbitrarily close to each other. It is proved that the nonparametric maximum likelihood estimator of the functional asymptotically reaches the information lower bound.     

A note on the existence of unique equivalent martingale measures in a Markovian setting

Simple sufficient conditions for the existence of a unique equivalent martingale measure are provided. Furthermore, these conditions give us a handle on situations where an equivalent martingale measure cannot exist. The existence of a unique equivalent martingale measure is of relevance to problems in mathematical finance. Two examples of models for which the question of existence was unresolved are studied. By means of our results existence of a unique equivalent measure up to an explosion time is proved.     

Asymptotically optimal estimation of smooth functionals for interval censoring, part 1

Estimation in the interval censoring model is considered. A class of smooth functionals is introduced, of which the mean is an example. The asymptotic information lower bound for such functionals can be represented as an inner product of two functions. In case 1, i.e. one observation time per unobservable event time, both functions can be given explicitly. We mainly consider case 2, with two observation times for each unobservable event time, in the situation that the observation times can not become arbitrarily close to each other. For case 2, one of the functions in the inner product can only be given implicitly as solution to a Fredholm integral equation. We study properties of this solution and, in a sequel to this paper, prove that the nonparametric maximum likelihood estimator of the functional asymptotically reaches the information lower bound.     

贵州省宏观经济联立模型及其应用

自1952年以来,贵州省平均边际消费倾向为0．53,边际投资倾向为0．51,地区生产总值的持续增长促进了居民消费和总投资的增长。同时,居民消费和总投资的快速、稳步增长也巩固和带动着贵州省地区生产总值的增长。特别是1994年以后,居民消费的自发性支出由1994年之前的10．44亿元增加到54．34亿元,总投资在新的基数上保持持续增长。     

A substitution orbit model of competitive innovations

Successful innovation and diffusion of technology can be attributed to the identification of the orbit of emerging new technologies that complement or substitute for existing technologies. This dynamism resembles the co-evolution process in an ecosystem. In an ecosystem, in order to maintain sustainable development, the complex interplay between competition and cooperation, typically observed in predator-prey systems, create a sophisticated balance. Given that an ecosystem can be used as a masterpiece system, this sophisticated balance can provide suggestive ideas for identifying an optimal orbit of competitive innovations with complement or substitution dynamism.Prompted by such a sophisticated balance in an ecosystem, this paper analyzes the optimal orbit of competitive innovations and, on the basis of an application of Lotka-Volterra equations, it reviews substitution orbits of Japan's monochrome to color TV system, fixed telephones to cellular telephones, cellular telephones to mobile Internet access service, and analog to digital TV broadcasting. On the basis of substitution orbits analyses, it attempts to extract suggestions supportive to identifying an optimal policy option in a complex orbit leading to expected orbit.Key findings include policy options that are effective in controlling parameters for Lotka-Volterra equations leading to expected orbit.     

国民经济增长中的出口信用联动机制定量研究

文章利用1978年至2004年的数据,采用三阶段最小二乘方法构建并拟合了包含6个子模块、25个方程和43个变量的"出口信用对国民经济贡献的联立方程模型"。利用联立方程模型进行仿真研究后的结果表明:我国出口信用对我国宏观经济具有较好的贡献度,具体而言,如果进出口银行贷款余额增加1亿元,将导致国内生产总值增长1.82亿元,税收总额增长0.48亿元,就业人数增加2190人。     

Monitoring the mean and the variance of a stationary process

We deal with the problem of how deviations in the mean or the variance of a time series can be detected. Several simultaneous control charts are introduced which are based on EWMA (exponentially weighted moving average) statistics for the mean and the empirical variance. The combined X − S² EWMA chart is extended to time series. Further simultaneous charts are considered. The comparision of these schemes shows that the residual attempt must be favored if a variance change is present.     

Effect of credible quality investment with Bertrand and Cournot competition

We show how credible revelation and ability to commit to quality choice effect equilibrium qualities and welfare when product market is either Bertrand or Cournot competition. We show that results depend on the type of competition but not generally on the cost of quality function. We show that with Bertrand competition, the equilibrium qualities are lower with credible commitment. Competition is moderated and producer surplus is higher and consumer surplus lower. With Cournot competition, higher quality will be better but lower quality will be worse with credible commitment. Consumer surplus is always greater with credible commitment and if cost does not increase too quickly with quality, producer surplus will also increase. Thus credible commitment is a collusive device with Bertrand competition but it can improve social welfare with Cournot competition. Received: February 8, 2000; revised version: February 14, 2002 RID="*" ID="*" The idea of this paper originated in the weekly workshops of Mordecai Kurz at Stanford. I am forever in debted to Mordecai and fellow students – Luis Cabral, Peter DeMarzo, John Hillas, Michihiro Kandori, Steve Langois, Patrick McAllister, Steve Sharpe, Peter Streufert, Steve Turnbull and Gyu-Ho Wang – for their criticism and encouragement. I also benefited from comments from Yi-Heng Chen, Jin-Li Hu, Kala Krishna, Jinji Naoto, Thomas J. Prusa, and Shyh-Fang Ueng at various later stages of this work. Last but not least, I am grateful for the detailed comments of the referee.