Dynamic discrete choice and dynamic treatment effects

This paper considers semiparametric identification of structural dynamic discrete choice models and models for dynamic treatment effects. Time to treatment and counterfactual outcomes associated with treatment times are jointly analyzed. We examine the implicit assumptions of the dynamic treatment model using the structural model as a benchmark. For the structural model we show the gains from using cross-equation restrictions connecting choices to associated measurements and outcomes. In the dynamic discrete choice model, we identify both subjective and objective outcomes, distinguishing ex post and ex ante outcomes. We show how to identify agent information sets.     

The behavior of MENA oil and non-oil producing countries in international portfolio optimization

It is well documented in developed economies that portfolio investment across national borders brings benefits of increasing returns and/or reducing risk. Dividing MENA stock markets into two main groups (oil producing and non-oil producing countries), this study examines the potential role of each group in providing diversification benefits for international investors. In addition, the behavior of the long and the short-run Efficient Frontiers (EFs) constructed by each of the sub-groups and the combined MENA markets is explored. Multi-objective international portfolio models are proposed under Mean-Variance and Mean-Lower Partial Moment frameworks, and the Multiple Fitness Function Genetic Algorithm (MFFGA) is used to find the EFs of optimal portfolios. The findings indicate that the stock markets of oil producing countries can be considered as a potential avenue for international portfolio diversification for investors not only from the same countries but also from the other MENA markets. It was also found that international portfolios constructed from the combination of MENA equity markets are more stable compared to the portfolios of sub-group markets. Further, the findings indicate that the behavior of short-term EFs in the MENA region cannot be predicted by the behavior of long-term EFs.     

Bayes sequential estimation for an exponential family of processes: A discrete time approach

The problem of Bayes sequential estimation of the mean value parameter of continuous time processes with stationary independent increments having exponential-type likelihood functions is considered. Using a weighted square error loss and observing cost involving both a time cost and a state cost, the explicit solutions to the problem are derived. A discrete time approach is taken in which decisions are made at the end of time intervals having lengtht. The examples of optimal procedures in the case when the cost of observation includes a squared state cost are also given.     

Estimating dynamic panel data discrete choice models with fixed effects

This paper considers the estimation of dynamic binary choice panel data models with fixed effects. It is shown that the modified maximum likelihood estimator (MMLE) used in this paper reduces the order of the bias in the maximum likelihood estimator from O(T^-1) to O(T^-2), without increasing the asymptotic variance. No orthogonal reparametrization is needed. Monte Carlo simulations are used to evaluate its performance in finite samples where T is not large. In probit and logit models containing lags of the endogenous variable and exogenous variables, the estimator is found to have a small bias in a panel with eight periods. A distinctive advantage of the MMLE is its general applicability. Estimation and relevance of different policy parameters of interest in this kind of models are also addressed.     

国际工程承包风险分析

在国际上承包工程受到政治、经济、商务、建设环境、社会等多方面因素的影响,如何分析和评价这些因素对承包商进入国际市场并获取利润至关重要,本文利用AHP来分析和评估这些因素,计算因素发生可能性的大小,为承包企业进行决策提供依据.     

Quasivariational inequalities for dynamic competitive economic equilibrium problems in discrete time

Decisions in Economics and Finance - Equilibrium is a central concept in numerous disciplines including economics, management science, operations research, and engineering. We are concerned with an...     

The dynamic analysis of continuous-time life-cycle savings growth models

Working with the framework of a continuous-time overlapping-generations model, this paper examines equilibrium growth paths (consistent with perfect foresight). In particular, we develop a methodology for characterizing the adjustment paths converging to new stationary states following exogenous shocks. The solution technique yields sequences of derivatives approximating the true dynamic paths and bounds for the errors of approximation. In practice, aggregating behavior over discrete-time intervals can save a great deal of effort — considerably enhancing the set of models feasible for analysis; our error bounds enable us to aggregate without compromising our results to an unknown degree.     

Techniques for discriminant analysis with discrete variables

7. Summary Techniques for discriminant analyses are given if some or all discriminators are discrete. An application of the techniques to a previously carried out validation study is presented.     

国际大都市服务业结构与功能特征

在信息技术革命及全球经济服务化的背景下,国际大都市服务业快速发展,服务业内部结构变化及特征出现了新的特点.在分析国际大都市1990-2000年间服务业就业结构变化的基础上,总结出不同层次国际大都市服务业的结构特征;结合国内外相关研究,概括了国际大都市的主要功能特征及未来的发展趋势.     

Analyzing Fed behavior using a dynamic Taylor-type rule

This paper estimates a dynamic Taylor-type model in order to analyze the behavior of the Federal Reserve under the leadership of three different Fed chairs: Arthur Burns, Paul Volcker, and Alan Greenspan. The model proves useful in distinguishing the conduct of monetary policy under each. Burns is found to have paid little attention to inflation and inflationary pressures. Volcker focused on reducing actual inflation during his first term while turning his attention to the GDP gap and inflationary pressures in his second term. Greenspan emphasized preemptive strikes against inflation as indicated by high weights attributed to the GDP gap and expected inflation.     

Asymptotic behavior of the hazard rate in systems based on sequential order statistics

The limiting behavior of the hazard rate of coherent systems based on sequential order statistics is examined. Related results for the survival function of the system lifetime are also considered. For deriving the results, properties of limits involving a relevation transform are studied in detail. Then, limits of characteristics in sequential \(k\) -out-of- \(n\) systems and general coherent systems with failure-dependent components are obtained. Applications to the comparison of different systems based on their long run behavior and to limits of coefficients in a signature-based representation of the residual system lifetime are given.     

The impact of international outsourcing on individual employment security: A micro-level analysis

The paper analyzes how international outsourcing affected individual employment security. The analysis is carried out at the micro-level, combining monthly spell data from household panel data and industry-level outsourcing measures. By utilizing micro-level data, problems such as aggregation and potential endogeneity bias, as well as crude skill approximations that regularly hamper industry level displacement studies, can be reduced considerably. The main finding is that international outsourcing significantly lowers individual employment security. Interestingly, the effect does, however, not differ between high-, medium-, and low-skilled workers but only varies with job duration.     

Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence

The spatial dependence of assets, which relates to similarities in economic, political, or cultural systems and other aspects, has been confirmed through empirical research; however, spatial dependence has rarely been applied to financial risk measurement. To fill this gap in the literature, a dynamic spatial GARCH-copula (sGC) model is proposed in this paper to evaluate the portfolio risk of international stock indices. In this model, a spatial GARCH is used as the marginal distribution and vine copula is adopted as the joint distribution of indices. Then, the proposed model is applied empirically to assess portfolio risk. Results show that, first, the proposed risk prediction model with spatial dependence outperforms a model neglecting spatial effects per the Kupiec test, Z test and Christoffersen test. Risk prediction during periods of economic stability is also more accurate than during times of crisis. Second, risk measures for models with spatial dependence are higher than those without such dependence but lower than for vine copula models. Third, models including either spatial dependence or vine copulas alone exhibit relatively poor performance. Fourth, the model involving extreme value theory (EVT) generates the greatest value at risk to pass the Kupiec test, Z test and Christoffersen test; however, this model is not suitable for characterizing international indices with EVT based on negative values of the shape parameters of estimates. Findings offer important implications for personal investors, institutional investors, and national regulatory authorities.     

浅议国际工程项目管理模式

文章对国际上各种工程项目管理模式作了简单的介绍,并就其优缺点以及局限性进行了分析探讨,同时还指出了由国外工程项目管理带来的借鉴和启示。     

A dynamic analysis of collusive networks

This paper investigates the strategic formation of collusive networks in a dynamic framework. A collusive network is a set of market sharing agreements between firms in oligopolistic markets and auctions. Belleflamme and Bloch (Int Econ Rev 45(2):387–411, 2004) fully characterize the pairwise stable collusive networks in their symmetric model. In contrast, we characterize the collusive networks to which a dynamic network formation process converges with positive probability in the symmetric model. We provide a complete characterization for the case of the process that starts from a network with sufficiently few links. Moreover, we show that the process never cycles but always converges to a stable network. In addition, we discuss an asymmetric model where firms enjoy a home country advantage. We show that the expected number of collusive agreements may be reduced by an increase in the degree of the home country advantage. This implies that policies for discouraging entry may fail, and may lead to a decrease in expected social surplus.     

价值链理论与我国企业的国际化战略——海尔国际化经营战略的价值链分析

本文从阐述价值链理论的核心观点及其新发展入手 ,从价值链的角度深入分析了海尔的国际化战略 ,并进一步指出了价值链理论对我国企业实施国际化战略的启示。     

The emission cost of international sourcing: using structural decomposition analysis to calculate the contribution of international sourcing to CO2-emission growth

The effect of changes in trade patterns, particularly increasing international sourcing, on global CO₂-emissions growth has yet to be clearly understood. In this paper, we estimate the emission cost of sourcing (ECS), which originates from replacing domestic products by imports from countries with more CO₂-intensive technologies. Using a structural decomposition analysis, we find that changes in sourcing patterns between 1995 and 2007 contribute (1) to reducing territorial emissions in high-wage countries (70% of their territorial emissions growth) and (2) to increasing territorial emissions in low-wage countries (30% of their territorial emissions increase). The net global effect, the ECS, amounts to 18% of total global CO₂-emissions growth. Our results call the climate change policies based on territorial principles into question given that they disregard that differences in emission intensities between countries contribute to raising global emissions. In contrast, policies fostering the transfer of cleaner technologies to low-wage countries decrease the ECS.