A modified maximum likelihood test

If the supremum in the definition of the maximum likelihood test is replaced by the essential supremum, conditions for asymptotic optimality can be relaxed.This research was supported in part by NSF research grant number GP 31123X.     

Multiple test procedures for arbitrary dependence structures

Under the assumption of arbitrary dependences among the hypotheses and tests, several multiple test procedures are presented which keep a multiple level less than or equal to a given bound under control. For the construction of these procedures a slight modification of the principle of closed test procedures described by Marcus, Peritz and Gabriel (1976) is necessary; then the results of Hommel (1983) can be applied.     

A directional test of exponentiality based on maximum correlations

In Fortiana and Grané (J Stat Plann Infer 108:85–97), we study a scale-free statistic, based on Hoeffding’s maximum correlation, for testing exponentiality. This statistic admits an expansion along a countable set of orthogonal axes, originating a sequence of statistics. Linear combinations of a given number p of terms in this sequence can be written as a quotient of L-statistics. In this paper, we propose a scale-free adaptive statistic for testing exponentiality with optimal power against a specific alternative and obtain its exact distribution. An empirical power study shows that the test based on this new statistic has the same level of performance than the best tests in the statistical literature.     

Test procedures and test problems for least squares algorithms

Numerous test problems have been introduced in the past twenty years for the purpose of studying and comparing least squares algorithms and computer programs. This paper discusses and classifies some of the useful test problems which have appeared in the literature. A recent large scale test procedure is briefly summarized. Several neat, mathematical examples are displayed. One of these, first introduced by Läuchli, is modified so that it can be solved by the method of inverting a matrix of correlation coefficients. Comparative results from running two types of problems on several different algorithms are given which illustrate some of the factors affecting computational accuracy: choice of algorithm, scaling of the data, tolerance parameters, and iterative refinement.     

A note on the maximum probability property of MLE's in multiparameter exponential families

Summary For multiparameter exponential models a short and direct proof is given that the maximum likelihood estimator is a maximum probability estimator with respect to a certain sequence of convex and bounded sets inR _(k) that are symmetric about the origin; asymptotically these sets are allowed to be unbounded.     

Efficient modelling and forecasting with range based volatility models and its application

This paper considers an alternative method for fitting CARR models using the combined estimating functions (CEF) by showing its usefulness in applications in economics and quantitative finance. The associated information matrix for corresponding new estimates is derived to calculate the standard errors. Extensive simulation study is carried out to demonstrate its superiority relative to two other competitors: the linear estimating functions (LEF) and the maximum likelihood (ML). Results show that the CEF method is more efficient than the LEF and ML methods when the error distribution is mis-specified. Applying a real data set from financial market, we illustrate the applicability of the CEF method in practice and report some reliable forecast values for minimizing the risk in decision making process.     

A test for multimodality of regression derivatives with application to nonparametric growth regressions

This paper presents a method to test for multimodality of an estimated kernel density of derivative estimates from a nonparametric regression. The test is included in a study of nonparametric growth regressions. The results show that in the estimation of unconditional β‐convergence the distribution of the partial effects is multimodal, with one mode in the negative region (primarily OECD economies) and possibly two modes in the positive region (primarily non‐OECD economies) of the estimates. The results for conditional β‐convergence show that the density is predominantly negative and there is mixed evidence that the distribution is unimodal. Copyright © 2009 John Wiley & Sons, Ltd.     

Assessing the quality of regression estimates through a test for signal-to-noise and its application to detecting harmful collinearity

This paper explores a technique for assessing the quality of least-squares estimates based on the intuitively appealing concept of signal-to-noise. A test for adequate signal-to-noise is developed which complements the usual tests of significance and confidence regions. Under frequently encountered circumstances this test detects data inadequacies causing inflated parameter variances. From this a test for harmful collinearity and/or ‘short data’ is developed and illustrated with an equation from the Michigan Quarterly Econometric Model. Tables of critical values for the test are provided in an appendix.     

An application of Pitman-efficiency to acceptance sampling procedures*

As an exercise the concept of Pitman-efficiency has been applied to the decision problem whether to use acceptance sampling “by attributes” or “by variables”. The Pitman-efficiency has been calculated in the two cases that the variance of the underlying normal distribution is known and that it is unknown. Rather surprisingly the difference between these two cases proves to be considerable, even asymptotically. The asymptotic result is compared with the exact values of the relative efficiency in the case that s? is unknown. The asymptotic approximation appears to be rather good. The results derived also help to determine a suitable choice of the null hypothesis in order to increase the Pitman-efficiency.     

Logit versus discriminant analysis: A specification test and application to corporate bankruptcies

Two of the most widely used statistical techniques for analyzing discrete economic phenomena are discriminant analysis (DA) and logit analysis. For purposes of parameter estimation, logit has been shown to be more robust than DA. However, under certain distributional assumptions both procedures yield consistent estimates and the DA estimator is asymptotically efficient. This suggests a natural Hausman specification test of these distributional assumptions by comparing the two estimators. In this paper, such a test is proposed and an empirical example involving corporate bankruptcies is provided. The finite-sample properties of the test statistic are also explored through some sampling experiments.     

A smoothed maximum score estimator for the binary choice panel data model with an application to labour force participation

In a binary choice panel data model with individual effects and two time periods, Manski proposed the maximum score estimator based on a discontinuous objective function and proved its consistency under weak distributional assumptions. The rate of convergence is low ( N ^1/3) and its limit distribution cannot easily be used for statistical inference. In this paper we apply the idea of Horowitz to smooth Manski's objective function. The resulting smoothed maximum score estimator is consistent and asymptotically normal with a rate of convergence that can be made arbitrarily close to N ^1/2, depending on the strength of the smoothness assumptions imposed. The estimator can be applied to panels with more than two time periods and to unbalanced panels. We apply the estimator to analyze labour force participation of married Dutch females.     

A regional planning model and its application to South Eastern Australia

A mathematical regional planning model is developed primarily for Australian conditions but is sufficiently general for applications elsewhere. The model has an input-output framework with constraints on labour, production, investment, exports and imports, and consumption. The objective function of the model includes production, labour, intermediate demand, consumption, investment, export and import terms (all linear) plus transportation cost terms (quasi-quadratic). The objective and the constraints may be manipulated to reflect various community goals such as maximize exports minus imports, minimize or constrain unemployment, minimize investment, etc.     

Alternative procedures for converting qualitative response data to quantitative expectations: An application to Australian manufacturing

This paper analyses and extends alternative procedures for converting qualitative expectations responses to quantitative expectations. A number of conversion procedures is investigated, including the probability model, the time-varying parameter probability model, and the regression approach. The informational content of the survey expectations is compared with simple time series models. It is found that the expectations models are superior for many series, both in terms of producing lower forecast root mean square error (RMSE) values and in detecting turning points in the actual data. Survey expectations are also tested for rational expectations in aggregate using the orthogonality test.     

A multistage method to measure efficiency and its application to Japanese banking industry

When measuring technical efficiency with existing data envelopment analysis (DEA) techniques, mean efficiency scores generally exhibit volatile patterns over time. This appears to be at odds with the general perception of learning-by-doing management, due to Arrow [The economic implications of learning by doing. Review of Economic Studies 1964; 154–73]. Further, this phenomenon is largely attributable to the fundamental assumption of deterministic data maintained in DEA models, and to the difficulty such models have in incorporating environmental influences. This paper proposes a three-stage method to measure DEA efficiency while controlling for the impacts of both statistical noise and environmental factors. Using panel data on Japanese banking over the period 1997–2001, we demonstrate that the proposed approach greatly mitigates these weaknesses of DEA models. We find a stable upward trend in mean measured efficiency, indicating that, on average, the bankers were learning over the sample period. Therefore, we conclude that this new method is a significant improvement relative to those DEA models currently used by researchers, corporate management, and industrial regulatory bodies to evaluate performance of their respective interests.     

Human capital inequality and income inequality: testing for causality

This study investigates the causal relationship between human capital inequality and income inequality in case of Pakistan. The annual time series data ranging from 1973 to 2009 is used for econometric analysis. Johanson co-integration and Granger Causality tests are used to confirm the existence of long run relationship and the causal relationship between human capital inequality and income inequality. The results indicate that there is positive relationship between the two types of inequalities in the long run. The estimates of causality test indicate that income inequality causes the human capital inequality but human capital inequality does not cause income inequality. Policy initiatives to reduce income inequality may empower people economically to avail skill building opportunities and accumulate their human capital through access to educational services.     

COBIT及其应用问题的理论研究

本文在介绍信息及相关技术的控制目标的最新版本COBIT4．1的基础上,从综合性、系统性、过程导向和理论价值方面分析了COBIT的特征,同时指出了COBIT存在的问题,最后提出了COBIT未来研究应关注的问题。     

A Bayesian test of a parameter shift and an application

The paper formulates a Bayesian test of a parameter shift in two regressions whose error terms have multivariate student-t distributions with zero location vectors. The test is derived first with diffuse and then with natural conjugate prior probability density functions. The Bayesian test is then applied to examine whether or not a parameter shift in expenditure on vitamins and other nutritional supplements can be observed since 1969 in Japan. The empirical test implies that there is a sudden parameter shift in 1971 due to a consumer protection movement.     

A critical examination of Hofstede's thesis and its application to international reward management

Hofstede's model has been extensively used and applied in international management. This study begins with a critique of Hofstede's thesis. The applicability of his framework is then tested using a cross-cultural comparison of reward preferences in four countries. The findings reveal that although his framework provides both theoretical and practical contributions to the reward arena, the proposition that human values are conditioned solely by national culture ignores the potential influence of a variety of other contextual factors.