R2 in Seemingly Unrelated Regression Equations

Some properties are discussed of McElroy's measure of goodness of fit for Zellner's seemingly unrelated regression equations (Mc Elroy, 1977). Amongst them are asymptotic properties. We show that a possible alternative, the squared sample correlation coefficient of the npvector of dependent variables y=(y₁', y₂',…, y_g')' and the vector of estimated variables y, both premultiplied by the inverse of the square root of the variance matrix of y, is not invariant under changes of location or scale. This measure therefore can't be considered as a serious alternative to McElroy's.     

Chi-square Distribution as a Research Tool,and Some of Its Most Important Parametric and Non-parametric Applications

When researchers are testing the validity of claims during their research, they may use either parametric methods （if they exist） or non-parametric methods if appropriate parametric methods do not exist. The Chi-square （x2） distribution plays an important role in both parametric and non-parametric methods and many of its most important applications are explored in this paper. This paper provides an excellent summation of the properties and capabilities of the very versatile x2 distribution, and many specific applications and suggestions for additional future applications.     

Does illiquidity matter in residential properties?

No, it does not, despite the general perception that illiquidity matters in real estate. As expected, our evidence shows that the illiquidity costs for the U.S. residential properties are large. The costs are equivalent to 12% of the total property returns on average, ranging from 9.5% to 29.5% of property prices depending on the illiquidity level and market conditions. However, when amortized by holding periods, monthly illiquidity costs are on average 0.08%, and illiquidity risk does not appear to be priced in residential properties; illiquid properties do not show higher returns than liquid properties. On the contrary, we find evidence of flight-to-quality in bull markets, that is, high-quality illiquid properties are preferred to low-quality liquid properties in buoyant markets. These results are in sharp contrast with those in equities and bonds where flight-to-liquidity has been reported when markets are in stress.     

A Conversation with John C. Gower

Editors' Note: This conversation covers the extensive contributions of John C. Gower to statistical methodology, computing and applications. It also touches on the pioneering development of statistical computing at Rothamsted Experimental Station and the relevant work of Frank Yates, John Nelder and others who were at Rothamsted. See also the accompanying paper by John Gower (1985) on developments in statistical computing at Rothamsted (see Note 1) and the epilogue from Roger Payne.     

Bartlett correction in the stable second‐order autoregressive model with intercept and trend

This paper derives the Bartlett factors that can be used to obtain higher‐order improvements for testing hypotheses about the autoregressive (AR) parameters in the stable AR(2) model with possible intercept and linear trend. The factors are obtained for testing hypotheses about individual parameters (φ₁ and φ₂) as well as their sum. Moreover, the effect of deterministic terms on the correction factors is found explicitly. All corrections are non‐decreasing in the AR parameters. Furthermore, the Bartlett corrections for φ₁ and φ₂ tend to infinity as φ₂ approaches 1, whereas the correction for φ₁ + φ₂ tends to infinity as φ₁ + φ₂ is close to 1. The effectiveness of these Bartlett corrections in finite samples is evaluated by simulations.     

Production planning and inventory allocation of a single-product assemble-to-order system with failure-prone machines

We consider the optimal production and inventory allocation of a single-product assemble-to-order system with multiple demand classes and lost sales. Each component is replenished by a dedicated machine that is subjected to unpredictable breakdowns. We find that the machine state not only influences the production and allocation decisions on its own component but also influences the decisions on the other components. Specifically, the optimal component production policy is a base-stock policy with the base-stock level non-decreasing in the inventory levels of the other components and the states of the other machines. The optimal component allocation policy is a rationing policy with the rationing level non-increasing in the inventory levels of the other components, the states of the other machines, and its own machine state. We use an exponential distribution to approximate the distribution of the total processing times and propose two heuristic policies to address the production and allocation decisions. The importance of taking machine failures into consideration is revealed through computational experiments.     

韩国公务员财产申报制度的构建路径及对我国的启示

摘要：从二十世纪六十年代起，韩国为了根治日益严重的腐败问题开始了公务员财产申报制度建设，经过几十年的努力最终对财产申报制度成功立法，并取得了显著成效。我国应借鉴韩国经验，在领导干部财产申报制度建设过程中，循序渐进，逐步推进，注重配套制度建设，突出财产申报的核心环节，注重领导示范及细节规定，切实加强宣传教育，努力改善制度实施的环境，争取尽早立法。     

录井参数辨别岩性方法探讨

在使用PDC钻头或者是在斜井以及水平井钻井时,不能充分地利用返出的岩屑来准确反映地层岩性的变化情况,综合录井实践表明,随地层岩性的变化,各录井参数也随之变化。本文建立了识别地层岩性变化的录井参数相对变化率和绝对变化率模型,定量的探讨录井参数的变化与地层岩性的变化之间的对应关系,通过现场使用证实,该方法对于识别岩性及其变化具有重要价值。     

财务比率截面数据分布特征研究

财务比率截面数据分布特征对于财务危机预测、信用评级等具有基础性的意义。通过对沪深全部上市公司2000年至2006年8种主要财务比率年度截面数据分布进行拟合分析后发现,高达90%的财务比率截面数据的最佳拟合分布为非正态分布,原始比率数据中有近一半的比率服从对数逻辑分布;经过数据转换后,财务比率的对数逻辑分布特性更为显著。从不同年份间比率截面数据的记忆特性来看,流动性比率表现出完全的记忆,现金负债比率也表现出较强的记忆。通过数据转换或异常值剔除,可以显著提升财务比率数据的正态特性。     

Banach空间中广义特征函数的性质及应用

本文深入研究Banach空间广义特征函数的基本性质,并用实例说明在刻划Banach空间几何特征方面广义特征函数所起的作用。