似无关动态协整模型中的水平扭曲与校正

本文在解析似无关动态协整模型及其动态最小二乘估计的基础上,从理论上揭示了关于协整参数的假设检验存在严重的水平扭曲,即对协整参数约束的Wald检验统计量的渐近卡方分布存在严重的有限样本扭曲。进一步,本文应用自举抽样技术对水平扭曲进行了有效校正。基于本文的发现,我们建议在对似无关动态协整模型中的参数进行假设检验时,为保证结论的准确性,应使用自举抽样推断技术产生统计量值并由此来形成检验结论。     

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.     

似无关模型在多响应参数估计中的应用

在复杂产品质量改进或过程优化中,通常需要拟合出多个响应与因子的经验模型,响应间的相关性会影响模型参数的估计精度。介绍了似无关模型参数估计的基本方法,并与最小二乘方法进行对比,算例表明,当响应见相关性较强,似无关模型估计量的性质优于单方程的最小二乘估计量。     

Maximum Likelihood Estimation of a Labour Demand System. An Application of a Model of Seemingly Unrelated Regression Equations with the Regression Errors Composed of Two Components

Abstract  In this paper maximum likelihood estimation is applied to a system of labour demand equations. In view of the data used for estimation, the model of seemingly unrelated regression equations containing errors composed of two components which has been treated by A very [1] is applied. A very's results are presented and slightly generalized.     

Seemingly unrelated nonlinear regressions

The article considers the estimation of the parameters of a set of nonlinear regression equations when the responses are contemporaneously but not serially correlated. Conditions are set forth such that the estimator obtained is strongly consistent, asymptotically normally distributed, and asymptotically more efficient than the single-equation least squares estimator. The methods presented allow estimation of the parameters subject to nonlinear restrictions across equations. The article includes a discussion of methods to perform the computations and a Monte Carlo simulation.     

二项式系列题目类解初探

二次函数是中学数学的重要内容之一,和它相关的内容,如:二次方程、二次不等式、二次三项式及二次函数的图像,构成了一个体系,称之为"二次式系列";本文主要在以下三个方面对这些题目的解法进行探讨:(一)求参数的范围;(二)根的存在情况的判别;(三)求最大、最小值;通过以上的讨论,以期提高中学生对此类题目的解题方法和解题技巧。     

Binomial valuation of lookback options

We present a straightforward and computationally efficient binomial approximation scheme for the valuation of lookback options. This enables us to value American lookback options. Previous research on lookback options has assumed that the contracts are based on the extrema of the continuously observed price of the underlying security; in practice, however, contracts are often based on the extrema of prices sampled at a finite set of fixed dates. We adapt our binomial scheme to investigate the impact on the value of the options.     

Sole sourcing in EOQ models with Binomial yield

We develop two EOQ-based inventory models in which an inventory manager must determine the order size as well as the supply reliability level in the presence of uncertainty in the quality and/or quantity of supply. The number of acceptable units in the order is captured by the Binomial yield model, and reliability is increased both by increasing the order setup cost and by increasing the unit price. For each developed model, we present an equation of which a solution is the optimal reliability level and a closed form solution for the optimal order size given the optimal reliability level. We then provide a comparison of the two models.     

Mean, Median and Mode in Binomial Distributions

Summary  While studying the median of the binomial distribution we discovered that the mean median-mode inequality, recently discussed in. Statistics Neerlandica by R unnen - burg 141 and V an Z wet [7] for continuous distributions, does not hold for the binomial distribution. If the mean is an integer, then mean = median = mode. In theorem 1 a sufficient condition is given for mode = median = rounded mean. If median and mode differ, the mean lies in between.     

On the Confidence Interval for the Binomial Parameter

The use of confidence intervals (CIs) is strongly recommended in the 5th edition of the Publication Manual of the American Psychological Association. The CI for the binomial parameter π is customarily obtained using Wald method, which uses the normal approximation to the binomial distribution and the estimated standard error. Wald CI has been shown to be unsatisfactory and alternative CIs have been proposed, but this literature appears to have gone unnoticed to psychologists. Only one of these alternatives is dual with the conventional Score test for π, thus meeting the requirements stated in the Publication Manual. Three examples illustrate the appropriate choice of a CI for π in the context of growing concern with good statistical practices.     

基于二叉树模型的战略柔性价值研究

将战略投资价值分为内在价值和战略柔性价值,结合战略投资特点对传统二叉树模型进行修正,结合实例分析了推迟柔性和放弃柔性的价值;并从模型参数设定、成本波动率、竞争因素、策略次优执行以及企业对战略投资的内部管理程序等方面分析了影响战略柔性价值的因素,并得出结论:修正的二叉树模型是企业管理战略投资和战略柔性价值的有用工具。     

Lp空间上线性回归方程回归系数的估计

本文讨论了多元线性回归方程参数的L^p估计问题。首先采取消除方程中参数“。的技术,化参数估计为对回归系数的估计,然后进一步将问题转化为一个单目标数学规划模型,利用能自动搜索最优解的电脑软件,十分方便地求出规划模型的最优解。特别对一元回归方程,在消除参数a0后,还可以直接利用普通一元函数求极值的方法,求出回归系数的估计。     

管理“负资产”

人是最大的资产,而不称职的员工是最大的负资产。管人,要懂得资产配置,还要懂得处理负资产。     

Regression analysis and dependence

In this paper we study the relationship between regression analysis and a multivariate dependency measure. If the general regression model Y=f() holds for some function f, where 1i₁< i₂<···i_m k, and X₁,...,X_k is a set of possible explanatory random variables for Y. Then there exists a dependency relation between the random variable Y and the random vector (). Using the dependency statistic defined below, we can detect such dependency even if the function f is not linear. We present several examples with real and simulated data to illustrate this assertion. We also present a way to select the appropriate subset among the random variables X₁,X₂,...,X_k, which better explain Y.     

引入改进二叉树模型的信息系统项目实物期权的研究

如何评价信息系统项目价值对项目周期内的各项活动,尤其是项目投资与否有着重要的意义。本文旨在找到针对信息系统项目的评价模型,并给出一系列可循的评价步骤对项目价值进行评价,为组织的信息化决策提供支持;在文献研究的基础上,通过对比分析,以二叉树实物期权模型为基础,结合信息系统项目的具体特点,找出科学的、适用性好的评估方法。     

Negative equity and wages

We examine the relationship between housing equity and wage earnings using nine waves of the national American Housing Survey from 1985 to 2003. Employing a rich set of time and place controls, a synthetic mortgage instrumental variable strategy, and a first difference estimator we find that people underwater on their mortgage command a significantly lower wage than other homeowners. The finding survives a number of robustness checks for reverse causality and unobserved heterogeneity. We also explore other determinants of “house lock” including loss aversion, a low existing mortgage interest rate and property tax assessment caps, but do not find these factors mitigate the effect of negative equity on wages.     

Logistic Regression, a review

A review is given of the development of logistic regression as a multi-purpose statistical tool.
A historical introduction shows several lines culminating in the unifying paper of Cox (1966), in which theory as developed in the field of bio-assay is shown to be applicable to designs as discriminant-analysis and case-control study. A review is given of several designs all leading to the same analysis. The link is made with epidemiological literature.
Several optimization criteria are discussed that can be used in the case of more observations per cell, namely maximum likelihood, minimum chi-square and weighted regression on the observed logits. Recent literature on the goodness of fit problem is reviewed and finally, comments are made about the non-parametric approach to logistic regression which is still in rapid development.     

对自适应回归模型的两点讨论

本文对变参数模型中的自适应回归模型提出两点讨论。