Some identification and estimation results for regression models with stochastically varying coefficients

Although various theoretical and applied papers have appeared in recent years concerned with the estimation and use of regression models with stochastically varying coefficients, little is available in the literature on the properties of the proposed estimators or the identifiability of the parameters of such models. The present paper derives sufficient conditions under which the maximum likelihood estimator is consistent and asymptotically normal and also provides sufficient conditions for the estimation of regression models with stationary stochastically varying coefficients. In many instances these requirements are found to have simple, intuitively appealing interpretations. Consistency and asymptotic normality is also proven for a two-step estimator and a method suggested by Rosenberg for generating initial estimates.     

Linear prediction and estimation methods for regression models with stationary stochastic coefficients

A linear regression model is proposed in which the coefficient vector is a weakly stationary multivariate stochastic process. The model provides a convinient representation of a general class of nonstationary processes. Prediction and estimation methods are proposed that are linear and relatively easy to compute. The proposed procedures are illustrated by estimation of time-varying GNP multipliers of several macro policy instruments over the period 1891-1970. The results are compatible with theoretical priors and suggest that predictability of policy outcomes depends on the mixture of policy instruments.     

On the calculation of the scale elasticity in DEA models

An issue in the multiple-output case within the literature on piecewise linear frontier production functions has been how to determine the nature of the scale properties. It is shown that knowledge of scale efficiency does not permit calculation of scale elasticity or vice versa. For inefficient units there is a relationship between input-saving and output-increasing efficiency measures through the average value of the scale elasticity between the two different reference points on the frontier. A direct approach to determine the scale properties is to calculate the scale elasticity from the dual problem to the calculation of Farrell efficiency measures.     

Semiparametric quantile regression estimation in dynamic models with partially varying coefficients

We study quantile regression estimation for dynamic models with partially varying coefficients so that the values of some coefficients may be functions of informative covariates. Estimation of both parametric and nonparametric functional coefficients are proposed. In particular, we propose a three stage semiparametric procedure. Both consistency and asymptotic normality of the proposed estimators are derived. We demonstrate that the parametric estimators are root-n$n$ consistent and the estimation of the functional coefficients is oracle. In addition, efficiency of parameter estimation is discussed and a simple efficient estimator is proposed. A simple and easily implemented test for the hypothesis of a varying-coefficient is proposed. A Monte Carlo experiment is conducted to evaluate the performance of the proposed estimators.     

Relative efficiencies of some simple Bayes estimators of coefficients in dynamic models — I

In this paper we consider some approximations to Bayes estimators of coefficients in simple autoregressive models and give an example of a Monte Carlo experiment where these approximate Bayes estimators yield a substantial improvement over the usual sampling theory or quasi-Bayesian estimators. The practical situation is represented by the case where the coefficient vector is known to lie in or on a hypersphere of radius r with center at 0. We show that arbitrariness in the choice of the value of r is often not catastrophic if r is sufficiently large, but finite.     

Improving the performance of random coefficients demand models: The role of optimal instruments

We shed new light on the performance of Berry, Levinsohn and Pakes’ (1995) GMM estimator of the aggregate random coefficient logit model. Based on an extensive Monte Carlo study, we show that the use of Chamberlain’s (1987) optimal instruments overcomes many problems that have recently been documented with standard, non-optimal instruments. Optimal instruments reduce small sample bias, but they prove even more powerful in increasing the estimator’s efficiency and stability. We consider a wide variety of data-generating processes and an empirical application to the automobile market. We also consider the gains of other recent methodological advances when combined with optimal instruments.     

浅谈地形测绘技术的自动化

地形测绘是一项综合性的勘测工作,在测量过程中涉及到区域的地形、地貌、地物等各个要素,能从不同方面反映被测量地区的环境状况。随着社会现代化建设步伐的加快,地形测绘在建筑工程、环境工程、电力工程等多个行业中得到了广泛的运用,为工程建设提供了必要的依据。鉴于此,文章主要分析了地形测绘与测绘技术的自动化问题。     

The Creation of the Office for National Statistics

A new Office for National Statistics was created in the United Kingdom in 1996 following a series of developments designed to strengthen the relevance and integrity of statistics. This paper describes these fundamental changes and sets out a blueprint for future progress. It also sets current developments in the United Kingdom in an historical and international context.     

商业银行并购与价值创造分析

本文通过对商业银行并购的价值模型分析,探讨了并购活动对商业银行价值创造的影响,提出了盲目扩大规模的负面效应,从价值创造的视角分析了我国商业银行实施并购中一些值得注意的问题。     

臻善新领域创意齐增值--(香港)地铁公司的臻善圈活动

2002—03臻善圈发展方向 使命 培养不断学习、力求创新及臻善的文化,为员工及公司创造价值,令员工倍感自豪。 策略 培育员工以创新思维及有系统的方法来解决问题,并运用数据作为支持。 推广臻善圈活动成为工作的一部分。 扩大各阶层员工参与臻善的人数。 鼓励筹组跨功能/跨企业     

差异化客户细分模型的建立和应用

企业可以从不同的视角对客户进行细分,以前大多数从销售的角度对客户进行细分,难以充分反映客户的价值。本文从客户的价值和客户与企业的战略匹配度两个维度将客户区分为战略客户、利润客户、潜力客户和普通客户,并阐述了模型的应用。     

论价值创造与价值分配的根据

在商品经济条件下,价值是社会产品分配的前提和基础.但是,是否这就意味着价值创造的源泉就是价值分配的依据呢?笔者认为简单地把价值创造的源泉看作价值分配的依据,从而试图从这个角度证明某些社会集团在价值分配上占有更多社会财富的合理性是不正确的.     

Management rights: A topological survey of the terrain

Dramatic changes in both the business environment and practitioner attitudes have made many of the traditional views of management rights moribund. Based on an analysis of the pertinent literature and a series of field interviews, this article sketches the rough dimensions of a managerial perspective of the parties' respective rights that is far more specific, pragmatic, and reciprocal in nature than the erstwhile global normative views were. In the future, management rights researchers should strive for the following goals: (1) conducting both inductive and deductive studies, (2) considering both positive and normative elements, (3) achieving a better balance between global, middle range, and particularitstic theories, and (4) recognizing the diverse disciplinary approaches that can be brought to bear on the subject.     

Estimation of regression coefficients after a preliminary test for homoscedasticity

When heteroscedasticity of the variances of disturbances in a regression model is suspected, we perform a preliminary test for homoscedasticity prior to estimation of regression coefficients. According to the result of the pre-test, we use either the ordinary least squares estimator or the two-stage Aitken estimator (2SAE). In this paper, using orthonormal regressors, we derive the mean square error (MSE) of the pre-test estimator and show that the 2SAE is inadmissible when the MSE is used as a criterion. Further, we seek the optimal critical value of the pre-test in the sense of minimizing the average relative risk which is based on the MSE.