Sequential conditional correlations: Inference and evaluation

This paper presents a new approach to the modeling of conditional correlation matrices within the multivariate GARCH framework. The procedure, which consists of breaking the matrix into the product of a sequence of matrices with desirable characteristics, in effect converts a highly dimensional and intractable optimization problem into a series of simple and feasible estimations. This in turn allows for richer parameterizations and complex functional forms for the single components. An empirical application involving the conditional second moments of 69 selected stocks from the NASDAQ100 shows how the new procedure results in strikingly accurate measures of the conditional correlations.     

Asymptotic and bootstrap inference for inequality and poverty measures

A random sample drawn from a population would appear to offer an ideal opportunity to use the bootstrap in order to perform accurate inference, since the observations of the sample are IID. In this paper, Monte Carlo results suggest that bootstrapping a commonly used index of inequality leads to inference that is not accurate even in very large samples, although inference with poverty indices is satisfactory. We find that the major cause is the extreme sensitivity of many inequality indices to the exact nature of the upper tail of the income distribution. This leads us to study two non-standard bootstraps, the m out of n bootstrap, which is valid in some situations where the standard bootstrap fails, and a bootstrap in which the upper tail is modelled parametrically. Monte Carlo results suggest that accurate inference can be achieved with this last method in moderately large samples.     

Edgeworth expansions and normalizing transforms for inequality measures

Finite sample distributions of studentized inequality measures differ substantially from their asymptotic normal distribution in terms of location and skewness. We study these aspects formally by deriving the second-order expansion of the first and third cumulant of the studentized inequality measure. We state distribution-free expressions for the bias and skewness coefficients. In the second part we improve over first-order theory by deriving Edgeworth expansions and normalizing transforms. These normalizing transforms are designed to eliminate the second-order term in the distributional expansion of the studentized transform and converge to the Gaussian limit at rate O(n⁻¹)$O\left(n^{-1}\right)$. This leads to improved confidence intervals and applying a subsequent bootstrap leads to a further improvement to order O(n^−3/2)$O\left(n^{-3/2}\right)$. We illustrate our procedure with an application to regional inequality measurement in Côte d’Ivoire.     

Using ad hoc measures for response styles: a cautionary note

This research note addresses the challenge of how to optimally measure acquiescence response style (ARS) and extreme response style (ERS). This is of crucial importance in assessing results from studies that have tried to identify antecedents of response styles (such as age, education level, national culture). Using survey data from the Netherlands, a comparison is made between the traditional method and a more recently proposed method of measuring ARS and ERS (i.e., the convergent validity across both methods is assessed). The traditional method is based on an ad hoc set of related items. The alternative method uses a set of randomly sampled items to optimize heterogeneity and representativeness of the items. It is found that the traditional method may lead to response style measures that are suboptimal for estimating levels of ARS and ERS as well as relations of ARS and ERS with other variables (like hypothesized antecedents). Recommendations on how to measure response styles are provided.     

Some models and measures for evaluating performances with DEA: past accomplishments and future prospects

This paper covers some of the past accomplishments of DEA (Data Envelopment Analysis) and some of its future prospects. It starts with the “engineering-science” definitions of efficiency and uses the duality theory of linear programming to show how, in DEA, they can be related to the Pareto–Koopmans definitions used in “welfare economics” as well as in the economic theory of production. Some of the models that have now been developed for implementing these concepts are then described and properties of these models and the associated measures of efficiency are examined for weaknesses and strengths along with measures of distance that may be used to determine their optimal values. Relations between the models are also demonstrated en route to delineating paths for future developments. These include extensions to different objectives such as “satisfactory” versus “full” (or “strong”) efficiency. They also include extensions from “efficiency” to “effectiveness” evaluations of performances as well as extensions to evaluate social-economic performances of countries and other entities where “inputs” and “outputs” give way to other categories in which increases and decreases are located in the numerator or denominator of the ratio (=engineering-science) definition of efficiency in a manner analogous to the way output (in the numerator) and input (in the denominator) are usually positioned in the fractional programming form of DEA. Beginnings in each of these extensions are noted and the role of applications in bringing further possibilities to the fore is highlighted.

Alternative measures of political efficacy: models and means

In the 1982 and 1984 American national election surveys the CPS deleted a subset of its longstanding measures of political efficacy. This paper employs covariance structure analysis to test a two-factor measurement model based on alternative indicators. The model has an excellent fit for data from the 1964–84 national surveys as well as for different educational, gender, and racial groups in the 1984 study. Consistent with previous theorizing, the internal efficacy factor is significantly more stable than the external factor. Also, the two efficacy factors correlate as expected with measures of general personal competence and political trust. The paper is the first to use LISREL structured means tests to test group differences in levels of efficacy or other important political attitudes. Since this technique is not well-known, a tutorial appendix describing its implementation in LISREL VI is included to facilitate future research.     

上海加快落后城区建设及政府作为的调研报告

分析了上海相对落后城区与发达区的差距、成因、近年来的发展变化,阐述了在加快相对落后城区发展的过程中政府的作为.     

Towards risk-aware roadmapping: Influencing factors and practical measures

In spite of the significance of uncertainty and risk in strategy, there is still a general lack of attention to their explicit consideration in strategic planning processes. This lack of attention is also obvious in roadmapping in its application to strategic and innovation planning. This paper introduces and explores the concept of risk-aware roadmapping, which explicitly manages uncertainty and risk in roadmapping, and sheds light on what such a process will entail given the factors that influence it. The study adopts a qualitative approach involving in-depth interviews with roadmapping experts and case studies of roadmapping exercises. This paper contributes to knowledge by providing a process that adds three significant steps to the standard risk management process, to suit roadmapping and strategic front-end innovation planning and identifying the risk of missing valuable innovation opportunities, which is very often overlooked in practice. Theoretical implications for organisational sensemaking are identified especially in the use and management of constraints for sensemaking activities such as innovation planning.     

Short and long run causality measures: Theory and inference

The concept of causality introduced by Wiener [Wiener, N., 1956. The theory of prediction, In: E.F. Beckenback, ed., The Theory of Prediction, McGraw-Hill, New York (Chapter 8)] and Granger [Granger, C. W.J., 1969. Investigating causal relations by econometric models and cross-spectral methods, Econometrica 37, 424–459] is defined in terms of predictability one period ahead. This concept can be generalized by considering causality at any given horizon h$h$ as well as tests for the corresponding non-causality [Dufour, J.-M., Renault, E., 1998. Short-run and long-run causality in time series: Theory. Econometrica 66, 1099–1125; Dufour, J.-M., Pelletier, D., Renault, É., 2006. Short run and long run causality in time series: Inference, Journal of Econometrics 132 (2), 337–362]. Instead of tests for non-causality at a given horizon, we study the problem of measuring causality between two vector processes. Existing causality measures have been defined only for the horizon 1, and they fail to capture indirect causality. We propose generalizations to any horizon h$h$ of the measures introduced by Geweke [Geweke, J., 1982. Measurement of linear dependence and feedback between multiple time series. Journal of the American Statistical Association 77, 304–313]. Nonparametric and parametric measures of unidirectional causality and instantaneous effects are considered. On noting that the causality measures typically involve complex functions of model parameters in VAR and VARMA models, we propose a simple simulation-based method to evaluate these measures for any VARMA model. We also describe asymptotically valid nonparametric confidence intervals, based on a bootstrap technique. Finally, the proposed measures are applied to study causality relations at different horizons between macroeconomic, monetary and financial variables in the US.     

Efficiency vectors, efficiency and performance measures: new methods for ranking efficient organizational units

We present and discuss measures for analyzing productivity in deterministic frontier models. A new efficiency measure is introduced allowing for discrimination among efficient organizational units. In addition, a new performance measure for analyzing productivity of organizational units is presented. This measure fulfills various properties of efficiency measures but relaxes the indicator property. Both new approaches are based on the development of efficiency vectors which is a new vector measure for measuring efficiency. The vector components are efficiency measures related to subsets of a production possibility set. The new approaches are applied in the context of data envelopment analysis.

Stress testing techniques and value-at-risk measures: A unified approach

We investigate a methodology to set up consistent scenarios for stress testing analysis in financial risk control and management. The method, based on the Black and Litterman bayesian approach to portfolio optimization, enables to mix historic and implied or private information, accounting for the co-movement among the markets. By tuning the mean values chosen for the scenarios and the degree of precision attached to them we are able to devise a whole range of mean loss and maximum probable loss, or Value-at-Risk measures. In particular, by setting a very precise scenario the mean and maximum probable loss converge toward similar values, while for very imprecise scenarios the mean loss figure is found to converge to zero, and the maximum probable loss collapses to the standard Value-at-Risk figure computed using historical information. As for options, we show that tuning the precision of the scenarios allows for the effects of changes in volatility on the option value, under each different scenarios. Finally, for more complex positions, such as those involving credit risk exposures, or more generally exposures to different markets, we suggest a tree methodology to report the scenarios and to pinpoint the key sources of risk.     

Scale efficiency and homotheticity: equivalence of primal and dual measures

We address the issue of equivalence of primal and dual measures of scale efficiency in general production theory framework. We find that particular types of homotheticity of technologies, which we refer to here as scale homotheticity, provide necessary and sufficient condition for such equivalence. We also identify the case when the scale homotheticity is equivalent to the homothetic structures from Shephard (Theory of cost and production functions, Princeton studies in mathematical economics. Princeton University Press, Princeton, 1970).     

城市交通噪声及其控制对策——以北京市三里屯地区为例

我国的城市噪声主要来源于交通噪声。交通噪声扰民,已成为社会的一大公害。通过对三里屯地区交通噪声所进行的具体考察和测试,分析了城市道路交通噪声的现状,进而深入剖析了城市设计因素对交通噪声的影响,提出了基于城市设计视角的对交通噪声的控制对策。     

Group differences in reciprocity, multiplexity and exchange: measures and application

Local forces structure social networks. One major and widely researched local force is reciprocity, often assumed to work homogeneously across actors??i.e., all actors are equally subject to the same level of force towards reciprocity. Other local forces, like multiplexity and exchange, are also often assumed to apply equally to different actors. But social theory provides us with ample arguments why such forces might be stronger in some subsets of actors than others, or why such forces might affect intergroup ties more than intragroup ties. In this paper we introduce standard measures to capture these group specific forces towards reciprocity, multiplexity, and exchange. All the measures control for differential tendencies of actors to initiate ties of various types. We also introduce a procedure by which differences in the strength of these forces between groups and subgroups can be statistically evaluated.     

Career motivation measures: a test of convergent and discriminant validity

Two existing measures of career motivation were used to collect data from a sample of Canadian managers and professionals recently displaced due to downsizing. Measurement models assessed the unidimensionality, reliability and discriminant validity of career motivation sub-domains while structural rnodcls were used to assess convergent validity. The career resilience construct received the most support but propositions about career identity end insight were also supported. The results clarify the riomological net of career motivation theory and produce an integrated, composite career motivation scale.     

Growth empirics with institutional measures for transition countries

This paper investigates the importance of institutions as a determinant of growth and foreign direct investment (FDI) in 25 transition countries for 1990–1998. It introduces some novel institutional measures, performs extensive sensitivity tests, and checks for reverse causation. Estimation results suggest that state institutions in particular are quite robustly important for growth and FDI. The relationship between institutions and growth is likely to be a causation, that between institutions and FDI less so. The significance of macroeconomic stabilization and liberalization is also confirmed, but multicollinearity problems make it impossible to properly judge their importance relative to that of institutions.     

高职学生消极心理及教育对策

文章在调查研究的基础上,首先对目前高职学生普遍存在的消极心理现象进行了概括;对各类消极心理产生的原因从社会、家庭、学校及学生自身四个方面进行了较全面的剖析,并提出了相应的教育对策。