A note on comparative statics and stochastic dominance

This is a bibliographical note which points out the applicability of some existing results to the development of a sort of Stochastic Dominance ‘algebra’. The ‘more risk averse’ relation of Ross (1981) is established within a general framework.     

A note on portfolio selection and stochastic dominance

This note provides new and simpler conditions ensuring that, when one portfolio dominates another via stochastic dominance, a decision maker prefers the first one. The conditions are derived for the case of third-order stochastic dominance and for the general case of Nth-order stochastic dominance.     

A note on some Wishart expectations

Summary In a recent paper Sharma and Krishnamoorthy (1984) used a complicated decisiontheoretic argument to derive an identity involving expectations taken with respect to the Wishart distributionW _m (n, I). A more general result, proved using an elementary moment generating function argument, and some applications, are given in this paper.This work was supported by the National Science Foundation.     

A note on the assumed distributions in stochastic frontier models

Stochastic frontier models all need an assumption on the distributional form of the (in)efficiency component. Generally this efficiency component is assumed to be half normally, truncated normally, or exponentially distributed. This paper shows that the exponential distribution is, just like the half normal distribution, a special case of the truncated normal distribution. Moreover, this paper discusses the implications that this finding has on estimation.     

A note on campbell's distinction between internal and external validity

The concepts of internal and external validity, developed by Norman Campbell, are widely used to structure methodological thinking about social research. This article points to ambiguities in the interpretation of those terms, both as regards the relationships they refer to as well as the sort of object that is held to be capable of internal and external validity. In addition, it is suggested that the distinction between these types of validity is fundamentally misleading because it reflects a failure to distinguish relations between events and relations between variables. It also rests on the false assumption that we can separate the discovery of causal relationships from the question of whether these apply to other cases than the ones studied. In the final section, an alternative conceptualisation of validity is sketched, one that avoids the problems identified.     

A note on the relation between the equity risk premium and the term structure

We show that nonlinearity in the relation between the equity premium and the slope of the term structure has two dimensions, namely asymmetry between positively and negatively sloped term structures, and regime switching. Asymmetry is uncovered only if volatility regime switching is allowed in equity premium dynamics. Predictive power for the equity premium arises only from the positively sloped term structure, and only in periods of low volatility of the equity premium.     

A note on the comparison between simple random sampling with and without replacement

Summary A new approach is suggested for comparing SRSWR and SRSWOR: SRSWR of integral expected sample size,n, is defined and is compared with SRSWOR of sizen, using suitable estimators.     

A note on the relationship between the total factor productivity and the network of firms

In this paper we study the robustness of the results found recently by Guzzini and Palestrini (J Econ Interact Coord 11:35–55, 2016). Since the original analysis was carried out in a static setting, we perform a dynamic panel analysis by using the same dataset. The inclusion of the lagged value of the endogenous variable, missing in the original paper, could be justified for several reasons. Firstly, the statistical relationship may have itself a dynamical nature; secondly the inclusion of lagged-endogenous variable is a way to mitigate the possibility of an omitted variable problem. We find that the results are only qualitatively the same, and we discuss the quantitative differences.

     

A note on the relationship between conditional and unconditional independence and its extensions for Markov kernels

Two known results on the relationship between conditional and unconditional independence are obtained as a consequence of the main result of this paper, a theorem that uses independence of Markov kernels to obtain a minimal condition, which, added to conditional independence, implies independence. Some examples, counterexamples, and representation results are provided to clarify the concepts introduced and the propositions of the statement of the main theorem. Moreover, conditional independence and the mentioned results are extended to the framework of Markov kernels.     

A note on redistribution

A consequence of income redistribution may well be to make everyone (including lower-income groups to which redistribution takes place) worse off after a period of years. Possibly income redistribution might gain consent because of risk aversion. The paper also draws attention to the tendency for people to be more concerned about poverty close at hand rather than far away.     

Loan guarantee portfolios and joint loan guarantees with stochastic interest rates

Most papers studying loan guarantee are under a one-borrower and one-guarantor framework. This study uses the option approach to construct models in which loan guarantees are analyzed under a multiple-borrower and one-guarantor framework and under a one-borrower and multiple-guarantor structure with stochastic interest rates. We carry out simulations to investigate how the important parameters of borrowers and guarantors affect the values and default probability of loan guarantees. Our results show that the correlation parameters play a critical role in determining the premiums of loan guarantee portfolios and joint loan guarantees.     

A note on the upper bound for the distance in total variation between the binomal and the Poisson distribution

Abstract  The total variation distance between the binomial B ( n, p ) distribution and the Poisson P ( np ) distribution is smaller than 2 ^1/2 p (1- p )^-1/2 according to V ERVAAT [4], [5]. We shall sharpen this inequality by using a result due to K EMPERMAN [1], C SISZÁR [2] and K ULLBACK [3].     

A note on the microeconomics of migration

"The purpose of this note is to demonstrate in a simple model that an individual's migration from a small town to a large city may be rationalized purely by a consumption motive, rather than the motive of obtaining a higher income. More specifically, it is shown that in a large city an individual may derive a higher utility from spending a given amount of income than in a small town." A formal model is first developed that includes the principal forces at work and is then illustrated using a graphic example. The theoretical and empirical issues raised are considered in the concluding section.     

A note on the optimality ofk-stage tests

Summary This note deals with sequential tests requiring at mostk observations. First a lemma is proved concerning the form of Bayes solutions. Then it is demonstrated by giving a counter-example that the theorem ofWald andWolfowitz has no correspondence fork-stage tests.

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Zusammenfassung Es wird gezeigt, daß man beik-stufigen Tests zwar für die Gestalt vonBayes-Lösungen ein Analogon zu den unbeschränkten Sequenztests hat, daß aber der Satz vonWald undWolfowitz über die gleichmäßige Optimalität bzgl. des Stichprobenumfangs keine Entsprechung besitzt.

     

A note on the AHP and expected value theory

It is shown here that one cannot simply take columns of numbers, normalize them and add to obtain results corresponding to operations in the AHP. This is what traditional expected value theory using a single scale would lead one to do. Care needs to be exercised. What one must do is to interpret the data represented by each column according to relative importance to a decision maker so that the alternatives under each criterion are pairwise compared according to the fundamental scale used to represent judgments. This procedure then leads to a set of vectors which belong to the same ratio scale and they can now be combined by using the weights of the criteria.