Inference in a nearly integrated autoregressive model with nonnormal innovations

Robust tests and estimators based on nonnormal quasi-likelihood functions are developed for autoregressive models with near unit root. Asymptotic power functions and power envelopes are derived for point-optimal tests of a unit root when the likelihood is correctly specified. The shapes of these power functions are found to be sensitive to the extent of nonnormality in the innovations. Power loss resulting from using least-squares unit-root tests in the presence of thick-tailed innovations appears to be greater than in stationary models.     

Semiparametric estimation of a censored regression model with an unknown transformation of the dependent variable

This paper presents a method for estimating the model Λ(Y)=min(β′X+U, C), where Y is a scalar, Λ is an unknown increasing function, X is a vector of explanatory variables, β is a vector of unknown parameters, U has unknown cumulative distribution function F, and C is a censoring threshold. It is not assumed that Λ and F belong to known parametric families; they are estimated nonparametrically. This model includes many widely used models as special cases, including the proportional hazards model with unobserved heterogeneity. The paper develops n^1/2-consistent, asymptotically normal estimators of Λ and F. Estimators of β that are n^1/2-consistent and asymptotically normal already exist. The results of Monte Carlo experiments illustrate the finite-sample behavior of the estimators.     

Bartlett correction in the stable second‐order autoregressive model with intercept and trend

This paper derives the Bartlett factors that can be used to obtain higher‐order improvements for testing hypotheses about the autoregressive (AR) parameters in the stable AR(2) model with possible intercept and linear trend. The factors are obtained for testing hypotheses about individual parameters (φ₁ and φ₂) as well as their sum. Moreover, the effect of deterministic terms on the correction factors is found explicitly. All corrections are non‐decreasing in the AR parameters. Furthermore, the Bartlett corrections for φ₁ and φ₂ tend to infinity as φ₂ approaches 1, whereas the correction for φ₁ + φ₂ tends to infinity as φ₁ + φ₂ is close to 1. The effectiveness of these Bartlett corrections in finite samples is evaluated by simulations.     

Local determinacy of prices in an overlapping generations model with continuous trading

We characterize the determinacy properties of the intertemporal equilibrium for a continuous-time, pure-exchange, overlapping generations economy with logarithmic preferences. Using recent advances in the theory of functional differential equations, we show that the equilibrium is locally unique and that prices converge to a balanced growth path and are determined.     

The impact of the residency teaching model on the efficiency of the emergency department at an academic center

The residency teaching model is often cited as a source of inefficiency in the healthcare system. We build a simulation model of an Emergency Department (ED) at a large urban academic hospital. Using historical data and a natural experiment involving residents in the ED, we show that residents in fact increase throughput and lower service and waiting times compared to not being there at all.     

The SCOR model for the alignment of business processes and information systems

The alignment of business processes and information systems is a critical factor for both business process management (BPM) and enterprise resource planning (ERP) system efficiency. Analysing existing approaches of alignment shows the need for an independent reference model to support the mapping between organisational and informational views. The SCOR model represents a strong management tool to evaluate, control, measure and improve existing supply chain process structures, based on a business process view of supply chain highlighting the functional requirements of best practices identified. We have critically analysed the contribution of the current SCOR model to the alignment of business processes and information systems. As the alignment is currently only based on the functional realisation of best practices, we show that this alignment risks neglecting important process dependencies. An extended reference model is then proposed, including the structuring of information exchanged between processes. That results in a more complete process map highlighting all physical and informational dependencies, in a multi-view of ‘business process mapping’ including the informational dimension, and thus a more precise alignment of ERP systems with processes.     

The asymptotic behaviour of the estimated generalized least squares method in the linear regression model

Abstract  In the linear regression model the generalized least squares (GLS) method is only applicable if the covariance matrix of the errors is known but for a scalar factor. Otherwise an estimator for this matrix has to be used. Then we speak of the estimated generalized least squares (EGLS) method. In this paper the asymptotic behaviour of both methods is compared. Results are applied to some standard models commonly used in econometrics     

The relationship between trade,FDI and economic growth in Tunisia: An application of the autoregressive distributed lag model

The relationship between foreign direct investment (FDI), trade openness and economic growth in host countries remains one of the most important issues in the economic literature and met with renewed interest in recent years mainly for countries suffering from unemployment problems and lack of technological progress. This paper examines this issue for Tunisia by applying the bounds testing (ARDL) approach to cointegration for the period from 1970 to 2008. The bounds tests suggest that the variables of interest are bound together in the long run when foreign direct investment is the dependent variable. The associated equilibrium correction is also significant, confirming the existence of a long-run relationship. The results also indicate that there is no significant Granger causality from FDI to economic growth, from economic growth to FDI, from trade to economic growth and from economic growth to trade in the short run. Even though there is a widespread belief that FDI can generate positive spillover externalities for the host country, our empirical results fail to confirm this belief for the case of Tunisia. They go against the generally accepted idea considering the positive impact of FDI on economic growth to be automatic. The results found for Tunisia can be generalized and compared to other developing countries which share a common experience in attracting FDI and trade liberalization.     

Efficiency of iterated WLS in the linear model with completely unknown heteroskedasticity

Iterated weighted least squares (IWLS) is investigated for estimating the regression coefficients in a linear model with symmetrically distributed errors. The variances of the errors are not specified; it is not assumed that they are unknown functions of the explanatory variables nor that they are given in some parametric way.
IWLS is carried out in a random number of steps, of which the first one is OLS. In each step the error variance at time t is estimated with a weighted sum of m squared residuals in the neighbourhood of t and the coefficients are estimated using WLS. Furthermore an estimate of the co-variance matrix is obtained. If this estimate is minimal in some way the iteration process is stopped.
Asymptotic properties of IWLS are derived for increasing sample size n . Some particular cases show that the asymptotic efficiency can be increased by allowing more than two steps. Even asymptotic efficiency with respect to WLS with the true error variances can be obtained if m is not fixed but tends to infinity with n and if the heteroskedasticity is smooth.     

The implications of financial frictions and imperfect knowledge in the estimated DSGE model of the U.S. economy

In this paper, I study how alternative assumptions about expectation formation can modify the implications of financial frictions for the real economy. I incorporate a financial accelerator mechanism into a version of the Smets and Wouters (2007) DSGE framework and explore the properties of the model assuming, on the one hand, complete rationality of expectations and, alternatively, several learning algorithms that differ in terms of the information set used by agents to produce the forecasts. I show that the implications of the financial accelerator for the business cycle may vary depending on the approach to modeling the expectations. The results suggest that the learning scheme based on small forecasting functions is able to amplify the effects of financial frictions relative to the model with Rational Expectations. Specifically, I show that the dynamics of real variables under learning is driven to a significant extent by the time variation of agents’ beliefs about financial sector variables. During periods when agents perceive asset prices as being relatively more persistent, financial shocks lead to more pronounced macroeconomic outcomes. The amplification effect rises as financial frictions become more severe. At the same time, a learning specification in which agents use more information to generate predictions produces very different asset price and investment dynamics. In such a framework, learning cannot significantly alter the real effects of financial frictions implied by the Rational Expectations model.     

中国本土企业家视角的领导行为过程模型

通过扎根理论结合Nvivo质性分析软件对中国企业家张瑞敏和任正非的案例进行系统分析,构建出一个领导行为过程模型,探讨了领导行为中任务导向型领导行为与关系导向型领导行为之间的关系。研究发现,关系导向型领导行为的维度表现为协调沟通、关爱下属、个人魅力、展示权威,任务导向型领导行为的维度表现为设定愿景、开拓创新、监控运营;其中关系导向型领导行为的四个维度对任务导向型领导行为的三个维度均有促进作用;最后发现任务导向型领导行为的三个维度之间存在阶段式的层层递进关系,研究结论有助于深化领导行为过程模型的内部行为机制。     

郑州市构建区域物流中心的模式选择分析

文中从区域物流及其特征出发,分析了区域物流中心的几种模式,结合郑州市特有的区位、交通、商贸等方面的优势,建设性地提出了郑州市构建区域物流中心的可以选择的模式,及其可行性分析。     

Equilibria in the spatial stochastic model of voting with party activists

Stochastic models of elections typically indicate that all parties, in equilibrium, will adopt positions at the electoral center. Empirical analyses discussed in this paper suggest that convergence of this kind is rarely observed. Here we examine a stochastic electoral model where parties differ in their valences – the electorally perceived, non-policy “quality” of the party leader. It is assumed that valence may either be exogenous, in the sense of being an intrinsic characteristic of the leader, or may be due to the contributions of party activists, who donate time and money and thus enhance electoral support for the party. Theorem 1 shows that vote maximization depends on balancing these two opposed effects. Theorem 2 provides the necessary and sufficient conditions for convergence to the electoral mean when activist valence is zero. The paper then examines empirical electoral models for the Netherlands circa 1980 and Britain in 1979, 1992 and 1997 and shows that party divergence from the electoral mean cannot be accounted for by exogenous valence alone. The balance condition suggests that the success of the Labour party in the election of 1997 can be attributed to a combination of high exogenous valence and pro-Europe activist support.     

浇注式沥青混凝土路面在隧道内的应用

文章通过隧道内浇注式沥青混凝土路面施工实践,较详细地介绍了浇注式沥青混凝土路面属于悬浮式密实型结构,这种结构具有不透水,而且抗冻融、耐油、抗氧化等特点,同时证明了浇注式沥青混凝土变形能力强,整体性优良,具有优良的抗低温开裂与抗疲劳开裂性能,叙述了浇注式沥青混凝土路面的基本施工方法、使用性能。     

Applying Kalman Filter on Solving Simultaneous Equations with Overidentifying Rank Restrictions: The Analysis of the Demand and Supply Model of Medium-size Scooter Market in Taiwan

Once the structure form of demand and supply is translated into areduced form, one can solve the reduced form with a state space modelof the Kalman filter method. This paper discusses an innovationrepresentation that links the structure form with the state space model.For the state space model, the recursive Expectation Maximization(EM) algorithm is used to estimate the parameters of a structure form.This research successfully applied the Kalman filter method to theestimation of the coefficients of simultaneous equations withoveridentifying rank restrictions. The empirical monthly data set camefrom the medium-size scooter market in Taiwan during 1987 to 1992period.