Estimation of Fisher information using model selection

In the paper the problem of estimation of Fisher information I _f for a univariate density supported on [0, 1] is discussed. A starting point is an observation that when the density belongs to an exponential family of a known dimension, an explicit formula for I _f there allows for its simple estimation. In a general case, for a given random sample, a dimension of an exponential family which approximates it best is sought and then estimator of I _f is constructed for the chosen family. As a measure of quality of fit a modified Bayes Information Criterion is used. The estimator, which is an instance of Post Model Selection Estimation method is proved to be consistent and asymptotically normal when the density belongs to the exponential family. Its consistency is also proved under misspecification when the number of exponential models under consideration increases in a suitable way. Moreover we provide evidence that in most of considered parametric cases the small sample performance of proposed estimator is superior to that of kernel estimators.     

The Relation of ‘Human Capital’ Preservation to Health Costs*

Abstract . The concept of 'human capital' has evolved in economics as a way of measuring the value society places on an individual. This value, it is argued, constitutes a real but seldom discussed limit on how much money either an individual or society will pay for the health costs of an individual. Conversely, it can be argued that the capacity of the health system to preserve ‘human capital', as created by nature and nurture and by ‘investments’ in education and training, is an economic justification for health costs, just as military costs are justified for the defense of the population. In the latter instance, the greatest public health benefit for the dollar would be obtained by Pareto optimal expenditures. Similarly a microeconomic model for the clinical process involved in diagnosing, treating and rehabilitating the diseased individual is suggested that relates the time consumed by the elements of the clinical process to the probabilities of maximizing the preservation of the greatest number of functional man-days obtainable for an aging individual's cohort. For the model to work there would have to be an economic incentive for the health provider to engage in objective-oriented, interdisciplinary, cost-effective actions in the clinical process that would minimize the diseased individual's downtime and maximize his functional longevity in an operations research framework.     

On the existence of walrasian equilibrium in large-square economies

An existence theorem for Walrasian equilibrium is demonstrated for an economy with a continuum of consumers and an infinite-dimensional commodity space, such as l₁ or c₀, having an ‘order-compatible’ basis.     

Existence of maximal elements and equilibria in linear topological spaces

We present some mathematical theorems which are used to generalize previous results on the existence of maximal elements and of equilibrium. Our main theorem in this paper is a new existence proof for an equilibrium in an abstract economy, which is closely related to a previous result of Borglin–Keiding, and Shafer–Sonneschein, but allows for an infinite number of commodities and a countably infinite number of agents.     

Ambidexterity and Knowledge Strategy in Major Projects: A Framework and Illustrative Case Study

We develop a framework to analyze the multi‐level knowledge requirements of complex, major projects in terms of ambidexterity—the ability to exploit (refine existing knowledge) and explore (develop new knowledge). This is an important theme within the wider literature, yet practical operationalization methods for managers and researchers are not evident. We demonstrate the ambidexterity view through an illustrative case study of telecommunications delivery for the London 2012 Olympic Games and show how these concepts can be used to create an effective knowledge strategy. We offer a structure for the analysis of knowledge utilization in projects.     

The Role of Commitment Devices in Budgeting

We administer an experiment to investigate a commitment device in the form of an unobservable commitment regarding a superior's acceptance rule for a subordinate's budget request. We find that unobservable commitment, when exogenously imposed, diminishes superiors' propensity for costly norm enforcement. The results for an endogenous treatment are similar except that those superiors who choose unobservable commitment only occasionally use the commitment device in a manner consistent with norm enforcement. Our interpretation of the results is that unobservable commitment decreases the emotional response to unfair behavior and that information asymmetry accentuates this effect. Copyright © 2014 John Wiley & Sons, Ltd.     

Yield measure for the process with multiple streams

Process capability indices, such as C _pk , have been widely used in the manufacturing industry to provide common quantitative measures for process performance. The index C _pk only provides an approximate rather than an exact measure of the process yield. To obtain an exact measure of the process yield, Boyles proposed a yield index S _pk . Capability measures for processes with single stream have been investigated extensively; however, multiple streams processes often occur in practice. Bothe presented a capability index for multiple streams process. In the present paper, a new index that is able to provide an exact measure of yield for a multiple streams process is developed. Three examples are given for illustration. From the results of the yield measure in the three examples, the conventional approach, using the arithmetic average of the estimated yield indices of all streams, will certainly over-estimate the process yield.     

Dating Business-Cycle turning points

This paper presents a logit model for dating business-cycle turning points. The regressors are monthly series from the Business Cycle Indicators database of the Conference Board. Dividing the sample period into a subset for model initialization (1959∶9–1970∶12) and a subset for testing (1971∶1–2003∶12) yields a chronology that is nearly identical to that established by the National Bureau of Economic Research (NBER). However, the recognition lag is less than four months, in contrast to an average of more than eleven months for the official chronology. (JEL E320) The author is grateful for comments by an anonymous referee.     

Equilibrium with coordination

The obvious equilibrium concepts in the simplest institutions for transferring ownership of commodities—bilateral exchange—are neither Nash equilibria nor cooperative equilibria. To study such equilibria as special cases of equilibria of a social system it is necessary to introduce coordination. Two or more agents coordinate their actions, if, when they consider an alternative to a state, they take as given—for agents with whom they coordinate—the alternative state. If there is no coordination we obtain Nash equilibrium as a special case. If there is complete coordination we obtain optimality as a special case. The main result is an existence theorem for a social system with coordination. This theorem is then applied to prove existence of exchange equilibria in an economy with bilateral exchange.     

A much robust and updated evidences of the alternative real-estate based asset pricing

To response Harvey, Liu and Zhu’s and Gospodinov, Kan and Robotti’s criticism for an empirical study, we develop an alternative real-estate based model in asset pricing for an updated robustness. We make an innovation for the perspective of practitioners: the real-estate pricing factor is an alternative excess return of real estate portfolio. The results suggest that an updated and much robust role of the real-estate based asset pricing model: for example, the t-statistic of the real-estate pricing factor is higher than 3.00, suggesting that one is not derived from a data mining strategy. Moreover, we examine the performance of our alternative real-estate based model in a series of various portfolios (sorted in some vital anomalies); eventually, the results statistically support the real-estate based model.     

The women of Cairo: Equilibria in large anonymous games

In this article, I characterize Nash equilibria of large anonymous games by providing the following neccessary and sufficient condition for an equilibrium distribution: for no subset K of actions more players play actions in K than have a best response in K to the given distribution. While neccessity is trivial the proof for sufficiency relies on a theorem by [Math. Proc. Camb. Philos. Soc. 78 (1974) 323] which is an extension of Hall’s theorem or the marriage lemma well known from graph theory. The veiling problem for the women of Cairo serves as an illustrating heuristic example explaining the nature of the result.     

A New Strategy Against Hostile Takeovers: A Model of Defense in Participations

This article examines the efficacy of a ‘defense in participations’ policy consisting of competitors acquiring cross‐equity participations within the same industry to prevent hostile takeovers. This defense in participations strategy provides disincentive for raiders as partial ownerships increase market power of competitors and then reinforce the ‘outsider effect’. Also, we find conditions for a general result, which state that takeovers are less profitable in an industry with participations rather than in an industry without any capital links. We provide information to regulators about the positive social impact of cross participations in the context of mergers and expose an economic dilemma between a ‘laissez‐faire’ and an interventionist approach. Copyright © 2016 John Wiley & Sons, Ltd.     

Existence of smooth utilities on Banach lattices

In this paper, we focus our attention on the representability of a preference relation by differentiable utility functions when the consumption sets belong to an infinite dimensional commodity space. We obtain sufficient conditions for the existence of a C^r function representing a preference relation defined on an open subset of a Banach lattice.     

Model selection in univariate time series forecasting using discriminant analysis

When a large number of time series are to be forecast on a regular basis, as in large scale inventory management or production control, the appropriate choice of a forecast model is important as it has the potential for large cost savings through improved accuracy. A possible solution to this problem is to select one best forecast model for all the series in the dataset. Alternatively one may develop a rule that will select the best model for each series. Fildes (1989) calls the former an aggregate selection rule and the latter an individual selection rule. In this paper we develop an individual selection rule using discriminant analysis and compare its performance to aggregate selection for the quarterly series of the M-Competition data. A number of forecast accuracy measures are used for the evaluation and confidence intervals for them are constructed using bootstrapping. The results indicate that the individual selection rule based on discriminant scores is more accurate, and sometimes significantly so, than any aggregate selection method.     

Price asymptotics

This paper examines the pricing decisions of a seller facing an unknown demand function. It is assumed that partial information, in the form of an independent random sample of values, is available. The optimal price for the inferred demand satisfies a consistency property—as the size of the sample increases, the maximum profit and price approach the values for the case where demand is known. The main results deduced here are asymptotics for prices. Prices converge at a rate of O _p (n ^−1/3) with a limit that can be expressed as a functional of a Gaussian process. Implications for the comparison of mechanisms are discussed.      

Forecasting with equilibrium-correction models during structural breaks

When location shifts occur, cointegration-based equilibrium-correction models (EqCMs) face forecasting problems. We consider alleviating such forecast failure by updating, intercept corrections, differencing, and estimating the future progress of an ‘internal’ break. Updating leads to a loss of cointegration when an EqCM suffers an equilibrium-mean shift, but helps when collinearities are changed by an ‘external’ break with the EqCM staying constant. Both mechanistic corrections help compared to retaining a pre-break estimated model, but an estimated model of the break process could outperform. We apply the approaches to EqCMs for UK M1, compared with updating a learning function as the break evolves.     

Characterizing neutrality in the voluntary contribution mechanism

When public goods are provided by voluntary contributions, redistribution of initial holdings among an unchanged set of contributors will not alter the Nash equilibrium allocation.Constraint invariance, where a participant faces the same class of constraints even after her endowment is changed, impliesglobal neutrality under a generalized Nash equilibrium concept. Geometrically,path invariance, where the best response path does not move even after the endowment change, is equivalent to global neutrality assuming a sufficiently rich class of economies. We thank Shinji Ohseto, Hiroaki Osana and Stephen Turnbull for their comments. We are also grateful to an anonymous referee and an associate editor for their comments and suggestion. Research was partially supported by the Nomura Foundation for the Social Sciences and the Grant in Aid for General Research 03803008 of the Ministry of Education, Science and Culture of Japan.     

On games with incomplete information and the Dvoretsky–Wald–Wolfowitz theorem with countable partitions

It has remained an open question as to whether the results of Milgrom–Weber [Milgrom, P.R., Weber, R.J., 1985. Distributional strategies for games with incomplete information. Mathematics of Operations Research 10, 619–632] are valid for action sets with a countably infinite number of elements without additional assumptions on the abstract measure space of information. In this paper, we give an affirmative answer to this question as a consequence of an extension of a theorem of Dvoretzky, Wald and Wolfowitz (henceforth DWW) due to Edwards [Edwards, D.A., 1987. On a theorem of Dvoretsky, Wald and Wolfowitz concerning Liapunov measures. Glasgow Mathematical Journal 29, 205–220]. We also present a direct elementary proof of the DWW theorem and its extension, one that may have an independent interest.     

On the dynamic selection of mechanisms for provision of public projects

How do individuals' spatial decisions affect the institutions for public goods provision over time? This paper describes a dynamic model in which the provision mechanism for a public project is itself the object of locational choice of individuals. Individuals in an ongoing society must choose between a location with a Majority Rule mechanism and one with a Voluntary Contribution mechanism. Each mechanism determines a funding decision for a local public project which is repeated over time. Generations of individuals asynchronously supercede their ‘parents’, creating an entry/exit process that allows individuals with possibly different beliefs to enter society. A self-confirming equilibrium (SCE) belief process describes an evolution of beliefs in this society consistent with a self-confirming equilibrium (Fudenberg and Levine, 1993) of the repeated location/provision game. It is shown that the process with belief mutation as new individuals enter society results in a globally absorbing state in which the Majority Rule mechanism is the unique survivor of the two.     

Admissible unbiased variance estimation in finite population sampling under randomized response

LetP be the proportion of units in a finite population possessing a sensitive attribute. We prove the admissibility of (i) an unbiased estimator of the variance of a general homogeneous linear unbiased estimator ofP and (ii) an unbiased estimator of the population varianceP(1−P), based on an arbitrary but fixed sampling design, under the randomized response plans due to Warner (1965) and Eriksson (1973). Admissibility of an unbiased strategy for estimating the population variance is also established.