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1.
In this paper we consider eight general models of independence, the Hájek–Šidák model, the Janssen–Mason model, Konijn’s model, Steffensen’s model, the Farlie model, the bivariate Gamma distribution, the Mardia model and the Frechet model. The asymptotic efficacies and relative efficiencies of various linear rank tests are computed. It turns out that the asymptotic power depends heavily on the underlying model. However, for the vast majority of considered models, the Spearman test is, asymptotically, a good choice. 相似文献
2.
While investors’ responses to price changes and their price forecast have been identified as one of the major factors contributing to large price fluctuations in financial markets, our study shows that investors’ heterogeneous and dynamic risk aversion (DRA) preferences may play a more critical role in understanding the dynamics of asset price fluctuations. We allow an agent specific and time-dependent risk aversion index in a popular power utility function with constant relative risk aversion to construct our DRA model in which we made two key contributions. We developed an approximated closed-form price setting equation, providing a necessary framework for exploring the impact of various agents’ behaviors on the price dynamics. The dynamics of each agent’s risk aversion index is modeled by a bounded random walk with a constant variance, and such dynamics is incorporated in the price formula to form our DRA model. We show numerically that our model reproduces most of the “stylized” facts observed in the real data, suggesting that dynamic risk aversion is an important mechanism for understanding the dynamics of the financial market and the resultant financial time series. 相似文献
3.
《Statistica Neerlandica》1965,19(2-3):81-91
A comparison is made between two different methods to estimate the probability that a normally distributed observation is less than a certain value. One method is based on the binomial distribution, the other one on HALD'S maximum likelihood estimates of the parameters of a censored normal distribution. For large sample sizes a graph of the relative efficiency of these two estimates is constructed. A sampling experiment was performed in order to investigate for one particular situation the possible bias of HALD'S maximum likelihood estimate, which is only asymptotically unbiassed. 相似文献
4.
Lothar Heinrich 《Metrika》1993,40(1):67-94
Summary This paper presents a method for the estimation of parameters of random closed sets (racs’s) in ℝ
d
based on a single realization within a (large) convex sampling window. The essential idea first applied by Diggle (1981)
in a special case consists in defining the estimation by minimizing a suitably defined distance (called contrast function)
between the true and the empirical contact distribution function of the racs under consideration, where the most relevant
case of Boolean models is discussed in details. The resulting estimates are shown to be strongly consistent (if the racs is
ergodic) and asymptotically normal (if the racs is Boolean) when the sampling window expands unboundedly. 相似文献
5.
Warner’s (J Am Stat Assoc 60:63–69, 1965) pioneering ‘randomized response’ (RR) technique (RRT), useful in unbiasedly estimating
the proportion of people bearing a sensitive characteristic, is based exclusively on simple random sampling (SRS) with replacement
(WR). Numerous developments that follow from it also use SRSWR and employ in estimation the mean of the RR’s yielded by each
person everytime he/she is drawn in the sample. We examine how the accuracy in estimation alters when instead we use the mean
of the RR’s from each distinct person sampled and also alternatively if the Horvitz and Thompson’s (HT, J Am Stat Assoc 47:663–685,
1952) method is employed for an SRSWR eliciting only, a single RR from each. Arnab’s (1999) approach of using repeated RR’s
from each distinct person sampled is not taken up here to avoid algebraic complexity. Pathak’s (Sánkhya 24:287–302, 1962)
results for direct response (DR) from SRSWR are modified with the use of such RR’s. Through simulations we present relative
levels in accuracy in estimation by the above three alternative methods. 相似文献
6.
We examine the asymptotic behavior of two strategyproof mechanisms discussed by Moulin for public goods – the conservative equal costs rule (CER) and the serial cost sharing rule (SCSR) – and compare their performance to that of the pivotal mechanism (PM) from the Clarke–Groves family. Allowing the individuals’ valuations for an excludable public project to be random variables, we show under very general assumptions that expected welfare loss generated by the CER, as the size of the population increases, becomes arbitrarily large. However, all moments of the SCSR’s random welfare loss asymptotically converge to zero. The PM does better than the SCSR, with its welfare loss converging even more rapidly to zero. 相似文献
7.
We study a Bayesian–Nash equilibrium model of insider trading in continuous time. The supply of the risky asset is assumed
to be stochastic. This supply can be interpreted as noise from nonrational traders (noise traders). A rational informed investor
(the insider) has private information on the growth rate of the dividend flow rewarded by the risky asset. She is risk averse
and maximizes her inter-temporal utility rate over an infinite time-horizon. The market is cleared by a risk neutral market
maker who sets the price of the risky asset competitively as the conditional present value of future dividends, given the
information supplied by the dividend history and the cumulative order flow. Due to the presence of noise traders, the market
demand does not fully reveal the insider’s private information, which slowly becomes incorporated in prices. An interesting
result of the paper is that a nonstandard linear filtering procedure gives an a priori form for the equilibrium strategy to
be postulated. We show the existence of a stationary linear equilibrium where the insider acts strategically by taking advantage
of the camouflage provided by the noise which affects the market maker’s estimates on private information. In this equilibrium,
we find that the insider’s returns on the stock are uncorrelated over long periods of time. Finally, we show that the instantaneous
variance of the price under asymmetric information lies between the instantaneous variance of the price under complete and
incomplete information. The converse inequalities hold true for the unconditional variance of the price. 相似文献
8.
We consider nonparametric estimation of multivariate versions of Blomqvist’s beta, also known as the medial correlation coefficient.
For a two-dimensional population, the sample version of Blomqvist’s beta describes the proportion of data which fall into
the first or third quadrant of a two-way contingency table with cutting points being the sample medians. Asymptotic normality
and strong consistency of the estimators are established by means of the empirical copula process, imposing weak conditions
on the copula. Though the asymptotic variance takes a complicated form, we are able to derive explicit formulas for large
families of copulas. For the copulas of elliptically contoured distributions we obtain a variance stabilizing transformation
which is similar to Fisher’s z-transformation. This allows for an explicit construction of asymptotic confidence bands used
for hypothesis testing and eases the analysis of asymptotic efficiency. The computational complexity of estimating Blomqvist’s
beta corresponds to the sample size n, which is lower than the complexity of most competing dependence measures.
相似文献
9.
Broadband access is widely considered to be a productivity-enhancing factor, but there are few firm-level estimates of its
benefits. We use a large micro-survey of firms linked to longitudinal firm financial data to determine the impact that broadband
access has on firm productivity. Propensity score matching is used to control for factors, including the firm’s own lagged
productivity, that determine a firm’s internet access choice. Instrumental variables estimates are employed as a robustness
check. Results indicate that broadband adoption boosts firm productivity by 7–10%; effects are consistent across urban versus
rural locations and across high versus low knowledge intensive sectors. 相似文献
10.
S. P. Ghosh 《Metrika》1965,9(1):212-221
In a stratified sample, when sampling is done with replacement in each stratum a better estimate of the population mean can
be achieved by considering the distinct units only. An explicit expression for the variance for the mean, of a stratified
sample based on the distinct units only, is obtained. Then the optimum allocation for the different stratum are obtained by
minimizing this variance subject to (i) total sample size being fixed, or (ii) the expected number of distinct units being
fixed. Neyman’s solutions are obtained as special cases. The solutions finally arrived at are algebraically complex, hence,
numerical methods are applied. In all examples, the variance of the estimates obtained by this method are smaller than the
variances obtained by Neyman’s allocation.
A part of this work was supported by the Office of the Ordinance Research; U.S.A. Grant (DA-AROL(D)-31-124-G83) when the author
was at University of California, Berkeley. 相似文献
11.
This paper uses a duration model to examine credit unions who have converted to mutual savings institutions. We investigate
the characteristics that they possess which might influence the probability that they subsequently demutualize and become
publicly traded banks. Our key findings are as follows. First, we find evidence of positive duration dependence in the data
we examine. Second, we find that the hazard of an IPO issue increases in two waves. The first occurs between 3 1/2 years to
4 years reflecting the increased transition intensity for those who wish to demutualize early. However, the majority of the
institutions in our sample do so by approximately 8 years after conversion, and this is where the second spike in the hazard
occurs. Finally, upon estimating the model with Cox’s (Biometrika 62:269–276, 1975) semi-parametric partial likelihood approach, we find the probability that a converted institution will issue an IPO is influenced
to a large extent by various measures that capture asset quality, in particular through measures that are equity driven. However,
contrary to what is found in the literature on bank transformation, we find that the size of an institution does not appear
to influence the hazard rate within this industry. 相似文献
12.
Hannu J. Lahtinen 《Quality and Quantity》2012,46(2):581-597
For young people home is an increasingly important place to use Information and Communication Technology (ICT) and to acquire
new digital skills mainly by informal learning. In this study we focused on young people’s ICT activity in the home context
to examine what kind of theoretical or practical added value as an analysis tool this factor can give for the studies concerning
the relationship between young people and information and communication technology. Therefore we constructed a simple ICT
role variable to describe young people’s ICT activity at home. In order to find out the expressive power and functionality
of the new variable we used empirical data analysing young people’s personal qualities, external factors, ICT usage and ICT
competence in the light of the ICT role at home. The research took 2 years (2005–2007) and its empirical data are based on
the information given by the Finnish young at the age of about 14 in a geographically limited area. On the basis of the data
the personal qualities of young people characterized a young person as an ICT expert at home better than the factors in his/her
social and physical environments. The study revealed that the ICT role is a notable factor, when we want to learn more about
the relationship between young people and ICT, for example, from the viewpoints of informal learning and diffusion of innovations
and use or when we want to create a model of ICT usage or competence. 相似文献
13.
Vitaly S. Guzhva Kseniya Beltsova Vladimir V. Golubev 《Journal of Economics and Finance》2010,34(1):30-45
We assess market valuation of airline convertible preferred stocks using a contingent claims valuation model that was extensively
tested by Ramanlal et al. (Rev Quant Financ Account 10:303–319, 1998). Our sample consists of 4,096 daily price observations of 11 convertible preferred stocks issued by the U.S. airlines in
1980–1991. For each convertible we estimate daily model prices for 2 years after issuance and compare them with market prices
by calculating pricing errors. While the entire sample’s mean pricing error is found to be negative 3.8%, the panel data analysis
and the mean pricing errors of the sub-samples indicate that the undervaluation is much more severe in the first 6 months
of trading. The results suggest that airlines leave about 10% on the table when they raise capital by issuing convertible
securities. 相似文献
14.
Jolanda Hessels Marco van Gelderen Roy Thurik 《The International Entrepreneurship and Management Journal》2008,4(4):401-417
This paper investigates whether various start-up motivations and a country’s level of social security can explain the prevalence
of entrepreneurial aspirations. For entrepreneurial aspirations and motivations we use country-level data from the Global
Entrepreneurship Monitor (GEM) for the year 2005. We distinguish between the necessity motive, independence motive and increase wealth motive and between aspirations in terms of innovativeness, job growth and export orientation. Our findings indicate that social
security negatively affects a country’s supply of ambitious entrepreneurship. Our results also suggest that entrepreneurial
aspirations in terms of job growth and export relate positively to the increase wealth motive. 相似文献
15.
The possible roles of the Durbin Equation and the first observation correction in improving the efficiency of parameter estimates in the lagged dependent variables-serial correlation model are examined. Unconstrained estimation of the Durbin Equation results in an estimate of ρ which is inefficient and its use in feasible generalized least squares does not provide asymptotically efficient estimates. Evidently, the first observation correction is a very important determinant of small sample properties in the present model. Asymptotically inefficient estimators which use a first observation correction frequently outperform Hatanaka's asymptotically efficient estimator in finite samples, essentially because it does not use the first observation. 相似文献
16.
Solving Multicollinearity in the Process of Fitting Regression Model Using the Nested Estimate Procedure 总被引:2,自引:0,他引:2
Feng-Jenq Lin 《Quality and Quantity》2008,42(3):417-426
In the practical cases, we are usually faced with the more difficult problem of multicollinearity in our fitted regression
model. Multicollinearity will arise when there are approximate linear relationships between two or more independent variables.
It may cause some serious problems in validation, interpretation, and analysis of the model, such as unstable estimates, unreasonable
sing, high-standard errors, and so on. Although there are some methods to solve or avoid this problem, we will propose another
alternative from the practical view in this paper, called nested estimate procedure. The first half of the paper explains
the concept and process of this procedure, and the second half provides two examples to illustrate this procedure’s suitability
and reliability. 相似文献
17.
Michael Raper 《Journal of Economics and Finance》1999,23(1):64-77
Due to continued interest in geographic living-cost differentials, some researchers have used data from the ACCRA Cost of
Living Index. This paper explores further the potential for using ACCRA data for cost-of-living research. In particular, it
investigates the possibility of self-selection bias affecting OLS estimates using ACCRA data. The findings indicate that self-selection
bias is a concern that researchers using ACCRA data should be aware of. Results using Heckman’s two-step procedure to estimate
a cost-of-living model indicate promise for using ACCRA data to update and expand upon previous cost-of-living research.
The author wishes to acknowledge Keith Ihlanfeldt and Cynthia Rogers for constructive comments on an earlier version of this
paper presented at the 35th Meeting of the Southern Regional Science Association and also wishes to thank the two anonymous
referees for their suggestions on improving the paper. 相似文献
18.
Martin Kroh 《Quality and Quantity》2006,40(2):225-244
Incomplete data is a common problem of survey research. Recent work on multiple imputation techniques has increased analysts’
awareness of the biasing effects of missing data and has also provided a convenient solution. Imputation methods replace non-response
with estimates of the unobserved scores. In many instances, however, non-response to a stimulus does not result from measurement
problems that inhibit accurate surveying of empirical reality, but from the inapplicability of the survey question. In such
cases, existing imputation techniques replace valid non-response with counterfactual estimates of a situation in which the
stimulus is applicable to all respondents. This paper suggests an alternative imputation procedure for incomplete data for
which no true score exists: multiple complete random imputation, which overcomes the biasing effects of missing data and allows
analysts to model respondents’ valid ‘I don’t know’ answers. 相似文献
19.
Summary The problem of determining an estimate which may throw some light on the accuracy of a weapon system directed against an attacking
aircraft has long been recognized. Although efficient methods are well known to the mathematicians, the personnal assigned
to the execution may not know and therefore, may not utilize the raw data to form an efficient estimate. Particularly, its
importance is to be realized when the data are not complete. This lead the author to suggest the concept of “Spherical Probable
Error” (SPE) [Singh, 1962]. This is the three-dimensional analogue of the probable error of a single variate.
In this paper the derivation of SPE is given and various methods of its estimation are discussed from comparison point of
view. Also results are obtained when the data are not complete but censored either on one or both tails an account of certain
reasons. Various tables are given to obtain easily the unbiasing factors, variance of estimates and relative efficiencies
of different estimates, etc. 相似文献
20.
Using two approaches to panel data, Granger causality analysis with semi-asymptotic tests, and a structural approach based
on entropies measured on sequences of multiperiod ratings and returns, we specify the relationship between a fund’s performance
and both Morningstar and Europerformance ratings. We conclude on the Europerformance agency’s forecasting ability for the
Luxembourg funds, and the Morningstar agency for the French funds. Indeed, we find two groups of funds depending on their
domiciliation and appropriated rating. The results of this paper have implications for the management of fund portfolios,
and the structural approach, more robust to our data, must be a first process for forecast models on the basis of similar
funds, minor uncertainty or risk measure, and appropriated rating. 相似文献