Change point tests based on U-statistics with applications in reliability

We consider the problem of testing the null hypothesis of no change against the alternative of exactly one change point. The proposed tests are based on generalized two-sample U-statistic processes. We drive the limiting null distributions of the proposed tests. Some applications in Statistical Reliability are given. This research was supported by an NSERC Canada grant at the University of Alberta. Part of this research was done while visiting the University of Alberta supported by the NSERC Canada grant of the first author.     

Monotonicity of the (reversed) hazard rate of the (maximum) minimum in bivariate distributions

It is well known that in the case of independent random variables, the (reversed) hazard rate of the (maximum) minimum of two random variables is the sum of the individual (reversed) hazard rates and hence the onotonicity of the (reversed) hazard rate of the marginals is preserved by the monotonicity of the (reversed) hazard rate of the (maximum) minimum. However, for the bivariate distributions this property is not always preserved. In this paper, we study the monotonicity of the (reversed) hazard rate of the (maximum) minimum for two well known families of bivariate distributions viz the Farlie-Gumbel-Morgenstern (FGM) and Sarmanov family. In case of the FGM family, we obtain the (reversed) hazard rate of the (maximum) minimum and provide several examples in some of which the (reversed) hazard rate is monotonic and in others it is non-monotonic. In the case of Sarmanov family the (reversed) hazard rate of the (maximum) minimum may not be expressed in a compact form in general. We consider some examples to illustrate the procedureResearch of the second author is supported by a grant from Natural Sciences and Engineering Research Council and the research of the other two authors is partially supported by a travel grant from the Canadian American Center of the University of Maine     

Admissibility of generalized Bayes estimators in an one parameter nonregular family

Consider an estimation problem under squared error loss in an one parameter nonregular family of distributions with the lower endpoint of the support depending on an unknown parameter. Using Karlin's ([3]) method, sufficient conditions are given for generalized Bayes estimators to be admissible for estimating an arbitrary nonnegative, differentiable, monotone parametric function. The results are then applied to the case when both endpoints of the support of the distribution depend on the parameter . Finally, some examples are subsequently given.Research supported by a grant from Hanyang University, 1989.     

A recursive method for orthogonal designs

We introduce a class of arrays which can be used with amicable sets of matrices. Using a recursive method we introduce a class of amicable matrices which can be used in the new arrays to generate a large class of full orthogonal designs. The work was completed while the author was on study leave from University of Lethbridge, visiting IPM in Tehran. Hospitality and research grant provided by IPM is greatly appreciated. Supported by an NSERC Discovery grant     

Can money market mutual funds provide sufficient liquidity to replace deposit insurance?

Narrow banking is an arrangement in which deposittaking and lending functions are separated and performed by different institutions. This separation is aimed at avoiding panics at uninsured banks, without moral hazard associated with deposit insurance. Money Market Mutual Funds (MMMFs) are promoted as replacements for bank deposits. For MMMFs to compete with banks, they must be able to withstand a monetary shock without losing shareholders in a flight to quality at government-insured institutions. VAR analysis indicates that MMMFsincrease share issue subsequent to a monetary tightening. This bolsters the case that liquidity can be provided in a narrow banking framework. This research is supported by a summer research grant from the Barton School of Business at Wichita State University.     

On testing exponentiality against IFRA alternatives

Summary We present a class of tests for exponentiality against IFRA alternatives. The class of tests of Deshpande (1983) is a subclass of ours. We also treat the same problem when the data is randomly censored from the right. The results of an asymptotic relative efficiency comparison indicate the superiority of our tests. This research was supported by an NSERC Canada operating grant at the University of Alberta.     

Detecting changes in a multivariate renewal process

Some recent extreme value asymptotics for multivariate renewal processes are used to derive an asymptotic changepoint test. This test is proven to be consistent in the multivariate framework where we assume that at most one change (AMOC) occurrs in any of the component renewal processes. Since the actual covariance structure is often unknown, we also suggest an appropriate estimate. This research was partially supported by an Auckland University Research Grant and by a travel grant of the Deutsche Forschungsgemeinschaft.     

On testing for independence against right tail increasing in bivariate models

A random variableY is right tail increasing (RTI) inX if the failure rate of the conditional distribution ofX givenY>y is uniformly smaller than that of the marginal distribution ofX for everyy0. This concept of positive dependence is not symmetric inX andY and is stronger than the notion of positive quadrant dependence. In this paper we consider the problem of testing for independence against the alternative thatY is RTI inX. We propose two distribution-free tests and obtain their limiting null distributions. The proposed tests are compared to Kendall's and Spearman's tests in terms of Pitman asymptotic relative efficiency. We have also conducted a Monte Carlo study to compare the powers of these tests.Research supported by an NSERC Canada operating grant at the University of Alberta.Part of this research was done while visiting the University of Alberta supported by the NSERC Canada grant of the first author.     

A primal-dual approach to nonparametric productivity analysis: The case of U.S. agriculture

Nonparametric methods for measuring productivity indexes based on bounds for the underlying production technology are presented. Following Banker and Maindiratta, the lower bound is obtained from a primal approach while the upper bound corresponds to a dual approach to nonparametric production analysis. These nonparametric bounds are then used to estimate input-based and output-based distance functions. These radial measures provide the basis for measuring productivity indexes. Application to times series data on U.S. agriculture indicates a large gap between the primal lower bound and the dual upper bound. This generates striking differences between the primal and dual nonparametric productivity indexes.Respectively, professor and associate professor of Agricultural Economics, University of Wisconsin-Madison. Seniority of authorship is equally shared. We would like to thank Rolf Färe and an anonymous reviewer for useful comments on an earlier draft of the paper. This research was supported in part by a Hatch grant from the College of Agriculture and Life Sciences, University of Wisconsin-Madison.     

Prediction of <Emphasis Type="Italic">k</Emphasis>-records from a general class of distributions under balanced type loss functions

We study the problem of predicting future k-records based on k-record data for a large class of distributions, which includes several well-known distributions such as: Exponential, Weibull (one parameter), Pareto, Burr type XII, among others. With both Bayesian and non-Bayesian approaches being investigated here, we pay more attention to Bayesian predictors under balanced type loss functions as introduced by Jafari Jozani et al. (Stat Probab Lett 76:773–780, 2006a). The results are presented under the balanced versions of some well-known loss functions, namely squared error loss, Varian’s linear-exponential loss and absolute error loss or L ₁ loss functions. Some of the previous results in the literatures such as Ahmadi et al. (Commun Stat Theory Methods 34:795–805, 2005), and Raqab et al. (Statistics 41:105–108, 2007) can be achieved as special cases of our results. Partial support from Ordered and Spatial Data Center of Excellence of Ferdowsi University of Mashhad is acknowledged by J. Ahmadi. M. J. Jozani’s research supported partially by a grant of Statistical Research and Training Center. é. Marchand’s research supported by NSERC of Canada. A. Parsian’s research supported by a grant of the Research Council of the University of Tehran.     

The theory of contests: a survey

This paper presents a survey of the theory of contests. This paper is an outgrowth of lecture notes of Ph.D. courses given in Carlos III University, Universitat Autònoma de Barcelona and Universidad de Málaga. I would especially like to thank to Carmen Beviá for her comments and suggestions and Matthias Dahm for allowing me free access to a joint paper and for correcting many mistakes and very helpful suggestions. I also thank Clara Eugenia García, Cristian Litan, Carlos Pimienta, Santiago Sánchez-Pages, Ramon Torregrosa, Galina Zudenkova and the students of this course for their helpful comments and CAICYT for research grant SEJ2005-06167/ECON.     

Financial development and productive efficiency: A panel study of developed and developing countries

This paper uses a stochastic production frontier for panel data to investigate the effect of financial development on productive efficiency. Three panels of a number of countries in different stages of development are used along with eight alternative measures of financial development pertaining to the monetary sector, financial intermediaries, and equity markets. The results indicate that in general the more developed the financial intermediaries sector and equity markets, the higher the productive efficiency. In particular, financial deepening reduces productive inefficiency in both developed and developing countries, although the effect is larger in the former. The author wishes to thank three anonymous referees for their many helpful comments on an earlier version of this paper. All remaining errors are the author's responsibility. A slightly different version of this paper was presented at the 50th annual conference of the International Atlantic Economic Society, Charleston, South Carolina, October 2000. This research is partially funded by a Marquette University College of Business Administration Faculty Research Grant from the Miles Fund and a grant from Marquette University Institute for International Economic Affairs.     

Mean residual life functions of finite mixtures,order statistics and coherent systems

We study properties of the mean residual life functions of finite mixtures. Specifically, we study ordering properties, monotonicity and the limiting behaviour. We show, under some mild conditions, that the limiting behaviour is similar to that of the strongest member (in the mean residual life order) of the mixture. We also consider the case of negative mixtures (i.e., mixtures with some negative coefficients) which is applied to study the behaviour of the mean residual life of order statistics and coherent systems with possibly dependent components. Partially Supported by Ministerio de Ciencia y Tecnologí a under grant BFM2003-02947 and Fundación Séneca under grant 00698/PI/04.     

Network potentials

A network payoff function assigns a utility to all participants within a social network. In this paper we investigate network payoff functions that admit an exact network potential or an ordinal network potential. We also investigate exact and ordinal potentials of Myerson’s non-cooperative network formation game based on consent in link formation. We show that the admittance of certain of these network and game-theoretic potentials implies the existence of pairwise stable networks and the convergence of network formation processes. Our main results extend and strengthen the current insights in the literature on game theoretic approaches to social network formation. We thank Matt Jackson and Sudipta Sarangi for extensive discussions on the subject of this paper. Part of this research was done while S. Chakrabarti was at Bonn on a post-doctoral research fellowship. We thank the Department of Economics at the University of Bonn for their hospitality and financial support. Part of this research was done at the Center for Economic Research at Tilburg University, Tilburg, the Netherlands. R. P. Gilles financially supported from the Netherlands Organization for Scientific Research (NWO), grant # 46-550, is gratefully acknowledged.     

DO SUBSIDIES JUSTIFY RETALIATORY PROTECTIONISM?

A theoretical case can be made to justify trade protectionism on the ground that foreign governments are subsidising export industries. This case is based on overall international welfare grounds. However, the country receiving the subsidised products benefits from the subsidies. Furthermore, imposing retaliatory protectionist measures risks encouraging rent‐seeking behaviour. In practice, it is impossible to define exactly what behaviour does and does not amount to the grant of subsidies by the government of an exporting country.     

A small sample study of the moments and distribution of the log likelihood ratio statistic

A study of the first four moments of the log likelihood ratio statistic suggests that a transformed Beta ranks as a serious competitor to the Chi-square as an approximating distribution for certain multinomials. An error analysis of the series approximations of these moments indicates that the equiprobable case is not of sufficient generality for the study of multinomial type statistics. This research was partially supported by the Air Force Office of Scientific Research under grant number AFOSR-85-0161.     

Optimal money growth in a limited participation model with heterogeneous agents

This paper studies optimal money growth in a cash-in-advance production economy with heterogeneity in patience levels and know-how. We show that the rate of deflation suggested by the Friedman rule is limited by the subjective discount rate of the most patient agent in the economy. The output distortion due to cash-in-advance constraints on firms can completely be eliminated by means of the Friedman rule if and only if firms are run by the most patient agents.Received: 16 August 2003, Accepted: 22 March 2005, JEL Classification: D52, D90, E21, E41, E52Parts of this paper were completed while the first and second authors were visiting the University of York and Princeton University respectively. We are thankful for the hospitality of these institutions. The second author also acknowledges the hospitality and support of Bilkent University that he is currently visiting, the support from the Turkish Academy of Sciences in the framework of the ‘Distinguished Young Scientist Award Program’ (TUBA-GEBIP/2004), the grant awarded by the Scientific and Technical Research Council of Turkey (TUBITAK) under the NATO Science Fellowship Program as well as the support from the Center for Economic Design of Bogaziçi University. This paper was presented in the ERC/METU Second International Conference on Economics, Ankara, September 1998, and at seminars in Bilkent, Bogaziçi and Ohio State Universities. We thank, in particular, Emre Alper, Sumru Altug, Huw Dixon, Tatsuro Ichiishi, Ivan Pastine, Murat Sertel and Alan Sutherland for useful comments. We also thank two anonymous referees for comments and suggestions. The views expressed in this paper are those of the authors and do not necessarily reflect that of the Central Bank of Republic of Turkey.     

Preliminary test estimators of the parameters of simple linear model with measurement error

In this paper, we discuss the properties of preliminary test estimators (PTE) of the parameters of simple linear model with measurement error (ME model) when the slope of the linear model is suspected to be zero. Expressions of the bias, MSE and efficiencies are obtained under conditional as well as unconditional situations with known reliability coefficient. Conditional model results are compared to the standard model without measurement error. We also provide the unconditional model analysis in finite samples. Asymptotic theory under local alternatives is developed when the variance of measurement error or the ratio of the variance of the model error relative to the variance of the measurement error is known. Asymptotic expressions of bias and MSE of the estimators along with their efficiencies are obtained. In every case, it is shown that the measurement error tend to increase the variability of the estimators compared to the estimators without measurement error. Graphs and tables are provided to see these results and to determine optimum level of significance for minimum guaranteed efficiency. Received October 2001 RID="*" ID="*"  A. K. Md. E. Saleh is a Distinguished Research Professor and H. M. Kim is a Ph.D. candidate in the School of Mathematics and Statistics, Carleton University, Ottawa. Acknowledgment. The authors gratefully acknowledge the constructive suggestion of the referees to improve the paper. The research is supported by NSERC grant A3088.     

the myths of anti-smoking

What is the economic case for discouraging smoking? Kevin Dowd of the University of Nottingham reviews the evidence and concludes that there is a strong case for allowing people to choose for themselves.     

All in the family or public? Law and appropriative costs as determinants of ownership structure

We examine how the legal protection of outside shareholders and the appropriative costs that they induce influence the incentives for private firms to go public. A higher degree of protection of shareholders can increase the appropriative costs associated with the conflict between managers and shareholders. To counteract this effect the managers/owners increase the share of the firm they retain so that, overall, higher protection of outsiders increases the likelihood of going public. In addition, we examine how the share of funds raised used to finance the firm affects both appropriative costs and the decision to sell.For helpful comments we thank participants at the conference on Corporate Governance at UC Irvine (February 2002), seminar participants at the Athens University of Economics and Business, and worskshop participants on the New Organization of Labour at the 2002 CESifo summer Institute in Venice. Skaperdas gratefully acknowledges support from a grant for Research and Writing from the John D. and Catherine T. MacArthur Foundation.