Die asymptotische Verteilung des Prognosefehlers bei Prognosen mit Hilfe eines dynamischen ökonometrischen Modells höherer als erster Ordnung

Zusammenfassung In dieser Arbeit wird die asymptotische Verteilung des Prognosefehlers, wie er sich im Rahmen einer dynamischen Simulation eines allgemeinen autoregressiven ökonometrischen Modells der Ordnungp (einschließlich verzögerter exogener Variabler der Ordnungq) ergibt, abgeleitet. Daran anschließend werden einige Fragestellungen, die damit in unmittelbarem Zusammenhang stehen, diskutiert: Die Frage der relativen Effizienz der Prognoseschätzung, basierend auf der unrestricted- bzw. der derived reduced form, die Verwendung der asymptotischen Verteilung des Prognosefehlers für einen predictive test des Modells. Außerdem werden asymptotische simultane Prognoseintervalle abgeleitet.

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Summary The asymptotic distribution of the forecast error in the dynamic simulation of a higher than first order linear dynamic econometric model is derived and related topics are discussed.

     

Estimation problems for rectangular distributions (or the taxi problem revisited)

The problem of estimating the unknown upper bound on the basis of a sample of sizen from a uniform or rectangular distribution on [0, ] has considerable interest. This or the analogous discrete version is variously known as the Taxi-problem or the German bomb (or Tank) problem and has a long history. The emphasis here is on estimation of through the lengths of the observed gaps or spacings which seem natural for this problem.     

Vergleich des verallgemeinerten nichtzentralent-Tests mit dem Binomialtest

Zusammenfassung Es sei {F _,(x); –<<, >0} mitF _,(x)=F((x–)/)–F(x) eine standardisierte Verteilungsfunktion — die Familie der zulässigen Verteilungsfunktionen. Der (früher eingeführte) verallgemeinerte nichtzentralet-Test für die Hypothese {PP ₀} mitP:=F _,(x ₀) gegen die Alternative {P>P ₀} zum Niveau wird mit dem entsprechenden nichtparametrischen Test (Test für die Hypothese {pP ₀} über den Parameterp einer Binomialverteilung gegen die Alternative {p>P ₀}) verglichen. Für dent-Test wird die relative asymptotische Effizienz bestimmt.Beide Tests lassen sich als Tests für das zur WahrscheinlichkeitP ₀ gehörende Quantil einer Verteilungsfunktion interpretieren. Der klassische zentrale Student-Test ergibt sich als Spezialfall (F(x)=(x),P ₀=0,5).

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Summary Let {F _,(x);–<<, >0} withF _,(x ₀):=F((x–)/–F(x) a standarized distribution function — the family of admissible distribution functions. The (earlier introduced) generalized noncentralt-test for the hypothesis {PP ₀} withP:=F _,(x ₀) against the alternative {P>P ₀} at level of significance is compared with the corresponding nonparametric test (Binomial test). The relative asymptotic efficiency of thet-test is determined. Both kinds of tests can be interpreted as quantiltests. In caseF(x)=(x),P ₀=0,5 one gets the classical central Student-test.

     

Law without justice: The dilemmas of formalization and fairness in the legalistic organization

There is growing evidence of a litigation mentality rampant in organizations, which has created a legalistic mindset in many managers. Increasingly, managerial decisions are becoming dominated by a concern for what is legally defensible at the expense of broader social considerations such as justice and fairness. The papers in this special issue explore how this legalistic mindset has created new organizational and social dilemmas, and situations of law whithout justice.     

Hypocrisy pay

Emotional labor—putting on an act asrequired explicitly orimplicitly in work situations-is very often psychologically, emotionally, and mentally damaging to most employees. As for soldiers in wartime who receive combat pay, it is suggested that such employees be specially compensated for their emotional labor with hypocrisy pay. Another solution is to select only those who are immune to such stress for jobs involving emotional labor—an ideal that probably cannot be achieved in all cases. Another assessment is that such special compensation is unwarranted.     

On estimating the variance of a finite population

Summary Observing that the estimator for a finite population variance as recommended byLiu [1974a, b] can sometimes become negative, we suggest a few non-negative alternative estimators and note some of their properties. UnlikeLiu we follow the conventional Bayesian approach to get another estimator with an optimal property of uniform admissibility.This paper, however, was prepared when the author worked in the Department of Economic Statistics, University of Sydney.     

Una luce nuova su una vecchia storia: La “scindibilitá” di Cantelli-insolera e la struttura a termine dei tassi d'interesse

Si mostra come la moderna teoria della struttura a termine dei tassi d'interesse consenta di definire diversi esempi (più o meno naturali) di leggi di capitalizzazione a tre variabili, e dunque sostanzialmente del tipo di quelle considerate da Insolera. La relativa condizione di scindibilità, già oggetto di polemica con Cantelli, appare formulabile in più di una versione, una delle quali equivale alla odierna ipotesi di equilibrio del mercato finanziario.

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Summary The modern theory of term structure of interest rates leads one, in a natural way, to consider several models of accumulation factors which depend on three variables, and can therefore be counted among those considered in this time by the Italian finance mathematician F. Insolera. The question of how to formulate the principle of consistency for such factors has been the subject of an animated debate between Insolera and F.P. Cantelli. The present paper shows that it admits more than one solution; one of the possible versions rendering the principle equivalent to the market equilibrium condition.

     

On the power of nonparametric changepoint-tests

We consider a sequenceX _1n,..., X_nn, n N, of independent random elements. Suppose there exists a [0, 1) such thatX _1n,...,X _(n),n have the distribution v₁ andX _[n]+1.n ,...,X _nn have the distribution v₂v₁. We construct consistent level- tests forH ₀:=0 versusH ₁:(0, 1), which are based on certainU-statistic type processes. A detailed investigation of the power function is also provided.     

Detecting Outliers in Frontier Models: A Simple Approach

In frontier analysis, most of the nonparametric approaches (DEA, FDH) are based on envelopment ideas which suppose that with probability one, all the observed units belong to the attainable set. In these deterministic frontier models, statistical theory is now mostly available (Simar and Wilson, 2000a). In the presence of super-efficient outliers, envelopment estimators could behave dramatically since they are very sensitive to extreme observations. Some recent results from Cazals et al. (2002) on robust nonparametric frontier estimators may be used in order to detect outliers by defining a new DEA/FDH deterministic type estimator which does not envelop all the data points and so is more robust to extreme data points. In this paper, we summarize the main results of Cazals et al. (2002) and we show how this tool can be used for detecting outliers when using the classical DEA/FDH estimators or any parametric techniques. We propose a methodology implementing the tool and we illustrate through some numerical examples with simulated and real data. The method should be used in a first step, as an exploratory data analysis, before using any frontier estimation.     

Asymptotic considerations for selecting the best component of a multivariate normal population

Summary Several two-stage and sequential procedures have been developed for selecting the best component in a multivariate normal population through the classical indifference zone approach ofBechhofer. The works inMukhopadhyay/Chou will constitute to be very basic in this regard. A number of first-order and second-order asymptotic analysis of these procedures has also been reported. In the case of a bivariate population, the normality assumption has been dropped, and the rate of convergence of the probability of correct selection is studied.     

A consistent and asymptotically efficient two-stage procedure to construct fixed width confidence intervals for the mean

For a normal distribution, a two-stage procedure has been proposed for constructing a fixed width confidence interval for the mean when the variance is unknown. It has all the properties ofStein's two-stage procedure, and at the same time it is asymptotically efficient. We have also discussed the non-normal case as inChow/Robbins [1965].     

Die Charakterisierung der Normalverteilung nach Gauß

A proof is offered for the best possible version of the following Gauss type characterization of normality: LetF () be a family of distribution functions with translation parameter such thatF (0) has a densityf with certain regularity properties, and letM{1, 2, ...}. If the mean of every sample of any sizemM is a maximum likelihood estimate of , thenF (0) is normal with zero expectation. While in the best prior version of this theorem,f satisfies a continuity assumption andM={2, 3}, here no regularity condition is needed, andM can be any of the sets {3}, {4}, ....     

Some brief notes on the “unfinished business” of qualitative inquiry

The paper argues that there are a variety of implicit issues in qualitative inquiry that need to be addressed if the area is to develop in some normal science sense. This unfinished business is concerned with a deeper investigation of basic terms that are now simply taken for granted, such as theme and pattern. It also includes the need to develop rules which will assist in making and justifying how qualitative interpretations are made from the implicit processes of inference. Specific suggestions are made for accomplishing these issues.     

“Good Cause Beliefs” in an “At-Will World”? A Focused Investigation of Psychological Versus Legal Contracts

This study assesses the psychological contracts of a group of at-will employees and compares their relevant psychological contract beliefs with the terms of the controlling legal employment contract. In addition, we test specific hypotheses regarding the relationship between employers formal job security policy (employment at-will vs. good cause protection, and employee personal characteristics; equity sensitivity, organizational tenure) to 2 focal psychological contract beliefs (the employers obligation to have a good reason to discharge the employee, and the employees reciprocal obligation to have a good reason to leave his/her employer). These issues are investigated using survey data sampled from 15 diverse U.S. organizations, and independently collected information regarding organizations job security policies. The results provide evidence of a widely shared psychological contract belief that, despite explicit at-will policies, U.S. employers are highly obligated to have a good reason to discharge employees. Further, personal characteristics are more strongly related to the focal psychological contract beliefs than employer job security policies. The theoretical contribution of the study and its practical implications are discussed.     

In college: Teaching the wrong things?

Instead of stressing good job prospects, which often fail to materialize automatically and promptly after graduation, colleges should hue more closely to their liberal arts roots. Hard sell though it might be, given prevailing attitudes lately, stress to young people that learning per se, not immediate employment at a fabulous salary, is what true education is really all about. Done seriously, good results of such a holistic approach could be almost guaranteed. Frustration and disillusionment would be reduced. Morale and productivity would increase. Social responsibility could be argued more convincingly. As an institutional fringe benefit, the overall image of postsecondary education would improve.     

The Impact of Respondent and Interviewer Characteristics on the Number of “No Opinion” Answers

In this article we analyse the number of no opinion answers to attitude items. We argue that that number can be considered as a count variable that should be analysed using Poisson regression or negative binomial regression. Since we're interested in the effect of both respondent and interviewer characteristics on the number of no opinion's we use multilevel analysis that takes into account the hierarchical structure of the data. As a consequence multilevel Poisson regression and multilevel negative binomial regression are applied. Our analysis shows that answering no opinion is related to some sociodemographic respondent characteristics. In addition we find a significant interviewer effect, but we are not able to explain that effect in terms of interviewer variables.     

Multiple patterns in the dynamics of a stock market model

We study a non-linear model of the interactions between stock market prices and the level of assets owned by investment funds. The model dynamics is described, in continuous time, by a smooth vector field in the plane, which presents, under suitable hypotheses, a unique equilibrium point.Our analisis of the system flow is qualitative and focuses on detecting endogenous fluctuations of the state variables, i.e. on checking existence and number of limit cycles.We prove that several, and quite different, dynamical patterns can occur, even in cases where the system isoclines assume that most simple geometrical forms.It is shown, in particular, that the equilibrium point can undergo either a sub-critical or a super-critical Hopf-bifurcation whenever two economically meaningful exogenous parameters are made to cross a given set of critical values. Hence, in the subcritical case, as a trapping region exists, at least two limit cycles appear.Next, we give analytical examples of model-consistent vector fields which present a multiplicity of fluctuating trends, and prove the apparently surprising result that the number of limit cycles can be as large as one wants, provided a specific isocline assumes a cubic shape.Both authors are members of the Gruppo Nazionale per l'Analisi Funzionale e le sue Applicazioni-G.N.A.F.A. of the Italian Council of Researches-CN.R.The present paper refers to the activities of the National M.U.R.S.T. Group Dinamiche Non Lineari ed Applicazioni alle Scienze Economiche e Sociali.     

The Irish Economic Resurgence and Small Nation Development

The success of the economy of the Republic of Ireland since the mid-1990s has prompted the characterization The Celtic Tiger. This paper describes the elements of the success and examines the strategic basis for it. Ireland's development strategy focused on building a consensus on fiscal and economic policy; capitalizing on membership in the European Union; promoting direct foreign investments with aggressive incentives; and cultivating a young and educated work force. Far from being a miracle, Ireland's success provides a model for economic development for small nations in a global economy. The authors examine and assess economic development efforts in Puerto Rico and Costa Rica in light of lessons learned from Ireland's experience.     

Estimation of a regression coefficient after two preliminary tests of significance

Summary The estimation of the regression coefficient of a population, defined byE (y)= +x, incorporating two preliminary tests of significance has been discussed. The experimenter has two random samples of different sizes from two such populations, as defined above, with regression coefficients ₁ and ₂ respectively, where ₂ may possibly be equal to ₁. Besides this, it is also conjectured that the common conditional variance ² of the two populations has a specified value ₀ ² . The two preliminary tests are used to resolve these two uncertainties.The author has rejoined Lucknow University, Lucknow India on Oct. 4, 1976 after availing leave for two years.     

Notes on Sensitivity and Stability of the Classifications of Returns to Scale in Data Envelopment Analysis

As its title suggests, this note constitutes a critique of the paper by Seiford and Zhu (1999), Sensitivity and Stability of the Classifications of Returns to Scale (RTS) in Data Envelopment Analysis. By means of counter examples, we discuss some problems related to results presented in that paper.