AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE

Abstract.  This paper provides an up-to-date survey of the main theoretical developments in autoregressive conditional duration (ACD) modeling and empirical studies using financial data. First, we discuss the properties of the standard ACD specification and its extensions, existing diagnostic tests, and joint models for the arrival times of events and some market characteristics. Then, we present the empirical applications of ACD models to different types of events, and identify possible directions for future research.     

THE ROLE OF FEES IN PATENT SYSTEMS: THEORY AND EVIDENCE

This paper reviews the economic literature on the role of fees in patent systems. Two main research questions are usually addressed: the impact of patent fees on the behavior of applicants and the question of optimal fees. Studies in the former group confirm that a range of fees affect the behavior of applicants and suggest that a patent is an inelastic good. Studies in the latter group provide grounds for both low and high application (or pre‐grant) fees and renewal (or post‐grant) fees, depending on the structural context and policy objectives. The paper also presents new stylized facts on patent fees of 30 patent offices worldwide. It is shown that application fees are generally lower than renewal fees, and renewal fees increase more than proportionally with patent age.     

CHINESE EXPERIENCE IN THE INTRODUCTION OF A MARKET MECHANISM INTO A PLANNED ECONOMY: THE ROLE OF PRICING

Abstract. A brief review is first presented of the changes in pricing institutions in China since 1949, with particular emphasis on the shift from an equilibrium price system to a distorted price system. The authors argue that distorted prices are harmful to economic growth even in a planned economy, since even an experienced economic planner can never escape from the full implications of a distorted price system. Examples are given showing the detrimental results of such a system. The central point of China's economic reform is the extension of decision-making power to enterprises and the introduction of a market mechanism so as to improve microeconomic efficiency. But such a goal cannot easily be achieved due to the false information provided by the distorted price system. So price adjustment becomes an issue of primary importance, and the authors discuss the difficulties for price adjustment posed by various interest groups.     

HETEROGENEITY IN ORDERED CHOICE MODELS: A REVIEW WITH APPLICATIONS TO SELF‐ASSESSED HEALTH

Discrete variables that have an inherent sense of ordering across outcomes are commonly found in large data sets available to many economists, and are often the focus of research. However, assumptions underlying the standard ordered probit (which is usually used to analyse such variables) are not always justified by the data. This study provides a review of the ways in which the ordered probit might be extended to account for additional heterogeneity. Differing from other reviews in scope, application and relevance in economic settings, a series of issues pertaining to choices of variables, and the economic assumptions underlying each model are discussed in the context of measuring the underlying health of respondents. The models are applied to a wave of the household, income and labour dynamics in Australia survey, in order to check the appropriateness of such assumptions in an applied context.     

THE ROLE OF COMPETITIVE GROUPS IN STRATEGY FORMULATION: A DYNAMIC INTEGRATION OF TWO COMPETING MODELS*

Alternative conceptualizations of competitive groups have been developed in the strategic management literature, namely, the ‘strategic group’and the ‘cognitive group’. These two views each have their own paradigm base and are often seen as incompatible explanations of intra-industry structure. This article analyses these two views and presents a model for each. It then goes on to develop an integrated model which uses both concepts as tools in framing strategy research. Propositions about the new model are also presented.     

THE ROLE OF PATENTS IN INFORMATION AND COMMUNICATION TECHNOLOGIES: A SURVEY OF THE LITERATURE

During the last few decades, the number of patents in information and communication technologies has increased considerably. An increasing number of patents and the associated fragmentation of IP rights have generated a series of potentially problematic consequences. Patent thickets, royalty stacking, the emergence of patent assertion entities, increased patent litigation – particularly around standard essential patents – and the difficulties with defining fair, reasonable, and nondiscriminatory licensing terms are some of the most debated issues in the literature that we review in this paper. We devote a specific section of our survey to patent quality, currently one of the most debated issues surrounding the patent system. In our analysis, we mix theoretical and empirical arguments with a more policy‐oriented reasoning. This allows us to better position the different issues in the relevant political and economic context.     

ON BOOTSTRAPPING A CLASS OF DIFFERENTIABLE STATISTICAL FUNCNONALS WITH APPLICATIONS TO L– AND M– ESTIMATES

EFRON'S (1979) "bootstrap" method is justified for a class of differentiable statistical functionals which includes many L – and M –statistics. For illustration, a Monte Carlo study for the trimmed means is also included.     

FAILURE, UNCERTAINTY AND CONTROL: THE ROLE OF OPERATORS IN A COMPUTER INTEGRATED PRODUCTION SYSTEM

This article presents the findings of a case study which analyzed how new electronics and computing technology affected the role of process operators in a continuous process plant manufacturing pigments in Scotland. the first stage of the research was a participant observation study of the site over two years. Three years later, production managers and operators were interviewed, and an observation study was carried out over one full shift in the plant studied. the results demonstrate that the process operators required considerable skill, knowledge, experience and training to deal with process faults, cope with contingencies, and to control the process effectively. the operators reported that they found interest and challenge in the work. the impact of technical change on the quality of working life was, however, equivocal. the operators’ mobility was constrained, they were isolated from the rest of the plant, some messy manual tasks remained, and they were still dependent on the technical and chemical expertise of management and engineering staff to handle serious problems. Other operators were less enthusiastic about the work. Management expected the new systems to reduce human intervention and control. But the limitations of the computer controls and the high cost of error meant that effective production was more dependent on human presence and ability than in simpler batch production. Advances in computing technology may highlight the conflict between management desires to reduce human operator control and to design effective integrated production systems.     

REAL‐TIME FORECASTING OF INFLATION AND OUTPUT GROWTH WITH AUTOREGRESSIVE MODELS IN THE PRESENCE OF DATA REVISIONS

We examine how the accuracy of real‐time forecasts from models that include autoregressive terms can be improved by estimating the models on ‘lightly revised’ data instead of using data from the latest‐available vintage. The benefits of estimating autoregressive models on lightly revised data are related to the nature of the data revision process and the underlying process for the true values. Empirically, we find improvements in root mean square forecasting error of 2–4% when forecasting output growth and inflation with univariate models, and of 8% with multivariate models. We show that multiple‐vintage models, which explicitly model data revisions, require large estimation samples to deliver competitive forecasts. Copyright © 2012 John Wiley & Sons, Ltd.     

COMPSTAT, COMMUNITY POLICING AND THE SCIENCE OF SUCCESS: A MARKET-BASED APPROACH TO POLICE MANAGEMENT

Police departments in the USA have begun to embrace recommendations from two police management philosophies. However, it is often unclear whether these recommendations conflict with or complement each other. This article suggests that viewing these philosophies from a market-based perspective will enable police forces in the UK to better apply their recommendations.     

BANKING AND BORROWING IN THE EU ETS: A REVIEW OF ECONOMIC MODELLING,CURRENT PROVISIONS AND PROSPECTS FOR FUTURE DESIGN

Abstract This paper deals with the issue of banking and borrowing in the context of the European Union Emissions Trading Scheme (EU ETS) by attempting to provide a policy‐oriented unifying theoretical framework. After describing the main features of the EU ETS, the core part of the paper consists of variations of an intertemporal continuous time optimization model. Additional elements include flexibility measures currently discussed and proposed in other emissions trading systems (USA, Australia), which include the use of safety valves, minimum price auctioning or offsets from domestic or international projects.     

A REVIEW OF THE BRITISH ACADEMY REPORT,PUNCHING OUR WEIGHT: THE HUMANITIES AND SOCIAL SCIENCES IN PUBLIC POLICY MAKING1

The report argues that policy‐makers fail to make effective use of the high quality research of UK academics in the humanities and social sciences. Yet greater co‐operation between the government and academia could undermine the independence of the latter by increasing the role of the state in the funding and direction of university research.