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.

     

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.     

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.     

Interaction of human and physical capital in a model of endogenous growth

A model of development is presented where growth is initially driven by physical capital accumulation, as in the neoclassical model. After a critical level of physical capital is reached, the economy takes off and enters a stage of sustained growth driven by human capital accumulation. The link between these two stages is provided by the assumption that private incentives for human capital accumulation increase with the average levels of human and physical capital. At the early stages of development, these incentives are low so the level of human capital stays stagnant until sufficient physical capital is accumulated. Other results are that some economies may reach a steady state of physical capital before a take-off is possible. This is especially likely for economies in which agents have low savings propensities. Such economies remain stuck in a no-growth equilibrium forever. Economies that do grow may experience endogenous cycles if the return to investment in human capital is sufficiently increasing in the level of physical capital.     

Theory and Application of Directional Distance Functions

In 1957 Farrell demonstrated how cost inefficiency could be decomposed into two mutually exclusive and exhaustive components: technical and allocative inefficiency. This result is consequence of the fact that—as shown by Shephard—the cost function and the input distance function (the reciprocal of Farrell's technical efficiency measure) are dual to each other. Similarly, the revenue function and the output distance function are dual providing the basis for the decomposition of revenue inefficiency into technical and allocative components (see for example, Färe, Grosskopf and Lovell (1994)). Here we extend those results to include the directional distance function and its dual, the profit function. This provides the basis for defining and decomposing profit efficiency. As we show, the output and input distance functions (reciprocals of Farrell efficiency measures) are special cases of the directional distance function. We also show how to use the directional distance function as a tool for measuring capacity utilization using DEA type techniques.     

Dictatorial voting operators

Voting operators map n-tuples of subsets of a given set X of candidates (the voters choices) into subsets of X (the social choice). This paper characterizes dictatorial voting operators by means of three conditions (the non-emptiness condition A1, the independence condition A2 and the resoluteness condition A3) motivated by the idea of transferring to the social choice properties common to all the voters choices. The result is used to refine Lahiris (2001) characterization and to derive dictatorial results in other three types of aggregation problems, in which choice functions are transformed into choice functions, binary relations into choices and binary relations into binary relations.Received: 20 May 2002, Accepted: 5 August 2003, JEL Classification: D70, D71Antonio Quesada: Present address: Departament dEconomia, Facultat de Ciéncies Económiques i Empresarials, Universitat Rovira i Virgili, Avinguda de la Universitat 1, 43204 Reus (Tarragona), Spain. I would like to express my gratitude to the referees for their contribution to improve this paper.Part of this work was done at the Departament dAnálisi Económica, Facultat dEconomia, Universitat de Valéncia, Avinguda dels Tarongers s/n, 46022 Valéncia, Spain.     

Formtest räumlicher Punkthaufen bei beliebiger Population

In an eralier work [Landhäusser, 1973] the densities for the form variables ₂₁ ² , ₃₁ ² , ₃₂ ² were derived by means of the assumption of a population sphere. The variables cited represent the ratio of each two eigenvalues of the 3×3 matrixX, whose elements satisfy theWishart-density.In this wrok the densities for the form variables are invesigated while assuming an arbitrary populaion ellipsoid (Concentration ellipsoid) and for the resulting series an estimate fo the remainder is given. With the help of this estimate it is possible to establish an upper limit for the summation index. An evaluatio nis only possible when very fast machines are used.For the rotation ellipsoides one gains relatively simple results. The densities are give for ₂₁ ² . Possiblities for application of these densities can be found in the fields of geodesy and ballistics.A given target (e.g. an object in flight) is enveloped by a rotation ellipsoid whose half-axial rations are introduced into the densities as populations parameters. After determination of an error-probability the form of cluster of points can be tested for significance. Additional tests with regard to volume and center of a random-sample are possible.     

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.     

Der diskontierte Einarmige Bandit

Summary A sequential stochastic process is observed in discrete time intervals; the process is generated by Bernoulli trials with unknown meanp. Given an a-priori distribution forp, regarded as a random variable, and discounting future payoffs with a factor , O<<1, optimal and suboptimal stopping rules (depending on ) are constructed. this leads to the connection of the process under consideration with another process of the same structure, but with known meanP _o for the Bernoulli trials, thus finally resulting in an One-Armed-Bandit 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.

     

Continuous representations of interval orders based on induced preorders

Conditions are given for the existence of a pair of continuous real valued functions (u, v) representing an interval order on a topological space (X, ), in the sense that [xy if and only ifu(x)].I am deeply indepted to Professor Alain Chateauneuf for many valuable suggestions.     

Economic planning and information

Conclusions The central arguments for national planning put forward during the early part of this century were decisively refuted by Mises and Hayek during the 1920s and 30s (see Hayek, 1948). General equilibrium theory of the 1960s provides no more adequate justification for the version of indicative planning proposed in this article. It is disappointing to see that no account has been taken of the important recent developments in economic theory and analysis which provide a more realistic basis on which to compare the private market and government agencies.There is no doubt that the country's future growth and development depend upon identifying more profitable investiment opportunities in the British economy (p. 140). There is equally no doubt that an infinite number of such opportunities exist. But how to identify them? Regrettably, Paul Hare does not tell us.     

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}, ....     

“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.     

The large-sample power of the 195-1195-1195-1test for multidimensional contingency tables

Summary The asymptotic power of the frequency ² test depends on a noncentrality parameter, ,Mitra [1958] offered a general expression for , which is rather difficult to apply. This work provides simplified formulae for in various models associated with multidimensional contingency tables.     

Disequilibrium models due to a “learning by doing” process

Sommario Si considerino fluttuazioni e crescita in un modello neo-keynesiano in tre diverse ipotesi macroeconomiche, che danno origine a diversi modelli matematici in tempo discreto, o mappe. In particolare si analizza un modello di crescita bidimensionale, rappresentato da un endomorfismo lineare a tratti. Separando il comportamento dinamico delle pendenze di rette che escono dall'origine, dalla dinamica dei punti su tali rette, si mostra che il comportamento dinamico del modello è governato dalla dinamica di un endomorfismo unidimensionale. Ciò semplifica lo studio dei valori di biforcazione che creano rette invarianti, su cui le traiettorie sono divergenti, e consente di determinare il bacino di attrazione di regioni assorbenti che contengono i cammini di crescita, regolari o caotici.

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Fluctuations and growth in a new-keynesian model are considered in three different macroeconomic assumptions, giving rise to different mathematical models in discrete time, or maps. In particular a two-dimensional growth model represented by a piecewise linear endomorphism is analysed. Separating the dynamics of the slopes of straight lines issuing from the origin, from those of the points on these lines, it is shown that the dynamics of the model are governed by the dynamics of a one-dimensional endomorphism. This simplifies the study of the bifurcation values which create invariant lines on which the trajectories are divergent, and enable us to determine the basin of attraction of the absorbing region which includes regular or chaotic growth paths.

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This paper relates to the activities of the M.U.R.S.T. Group Dinamiche Nonlineari ed Applicazioni alle Scienze Economiche e Sociali.     

A dual approach for matrix-derivatives

Summary A dual approach for matrix by matrix derivatives is proposed, based on the work ofBalestra and the idea ofDwyer/MacPhail. The two derivative concepts are calledB-type derivative for the form B/A = (b _kl /A), because it was studied fully inBalestra, andA-type derivative for the form B/ /A = (B/a _ij ). Both derivative concepts are linked by permutation matrices, which also reveil the duality aspect more clearly, and can be transformed to each other very easily. The derivatives are applied to least squares estimates and posterior means in the general regression model and the seemingly unrelated regression (SUR)-system, introduced byZellner. The derivatives with respect to the covariance matrix is related to the local sensitivity concept ofLeamer [1978], while the derivatives with respect to the data-matrix, also called local resistance, is linked with the robustness concept ofTukey. The newly definedB-derivative enables an easier interpretation of the results.     

Exponential convergence properties of linear estimators under exponential and uniform distribution

Summary Certain measures of asymptotic efficiency of test statistics are based on exponential convergence properties of the underlying error probabilities (Bahadur-, Hodges-Lehmann-efficiency). From a general large deviation theorem, that is specified to weighted sums of independent identically distributed (i.i.d.) random variables, such exponential convergence properties are derived for test statistics which are linear functions of order statistics of i.i.d. random variables under exponential and uniform distribution. For that purpose some smoothness-conditions for the weights have to be established. In a series of examples it is shown that these conditions are fulfilled for certain robust linear estimators of location or scale parameters. With the help of some numerical results two of them, namely Winsorized and trimmed mean, are compared with regard to the asymptotic relative efficiency against each other.

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Zusammenfassung Bestimmte asymptotische Effizienzbegriffe für Tests basieren auf einem exponentiellen Konvergenzverhalten der zugrundeliegenden Fehlerwahrscheinlichkeiten (Bahadur-, Hodges-Lehmann-Effizienz). Mit Hilfe eines allgemeinen Satzes üver Wahrscheinlichkeiten großer Abweichungen, der spezialisiert wird auf gewichtete Summen unabhängiger, identisch verteilter (i.i.d.) Zufallsvariablen mit momenterzeugenden Funktionen, wird ein solches exponentielles Konvergenzverhalten nachgewiesen für Linearkombinationen von order statistics von i.i.d. Zufallsvariablen unter Exponential- und Rechteckverteilung. Dazu sind bestimmte Bedingungen an die Gewichte zu stellen. In einigen Beispielen wird gezeigt, daß solche Gewichtsbedingungen für eine Reihe von robusten Schätzern erfüllt sind. Zwei spezielle, nämlich das Winsorisierte und getrimmte Mittel, werden mit Hilfe einiger numerischer Ergebnisse hinsichtlich ihrer asymptotischen Effizienz miteinander verglichen.

     

Do Ukrainian Firms Benefit from FDI?

All countries are eager to attract as much foreign direct investments (FDI) as possible. At the same time FDI may have not only positive, but also negative economic effects for receiving countries. Positive effects are associated with technology transfer, efficient allocation of resources, and training of domestic workers. However, the entry of foreign firms could, e.g., lead to a decrease of labor productivity at domestic firms, which is a negative effect. The main purpose of this paper is to estimate direct and indirect effects of FDI. First, we test for direct influence of foreign direct investments on firms performance, where the latter is estimated alternatively as labor productivity and as exports. FDI notably increases both labor productivity and export volumes. Second, we look for spillover or indirect effects. There is statistical evidence that the levels of FDI in certain regional industries are associated with higher performance indicators of firms not receiving FDI in those same regional industries.JEL Classification: L1, L6, F2     

Minimal sufficient statistics for the group divisible partially balanced incomplete block design (GD-PBIBD) with interaction under an Eisenhart Model II

Summary In this paper, an Eisenmhart Model II with interaction for a GD-PBIB design withp replicates per cell is considered. Specifically the Model Y_ijl=µ+_i+_j+()_ij+e_ijl is assumed, wherei=1, 2, ...,b; j=1, 2, ...,t andl=0, 1, 2, ...p s _ij wheres _ij=1, if treatmentj appears in blocki, 0, otherwise.If _i, _j, ()_ij ande _ijl are normally and independently distributed, then a minimal sufficient (Vector-valued) statistic for the class of densities for this model is found, together with the distribution of each component in the minimal sufficient statistic. It is also shown that the minimal sufficient statistic for this class densities is not complete. Hence the solution of the problem of finding minimum variance unbiased estimators of the variance components is not straightforward.