Mögliche Aussagen bei Fragen der statistischen Ursachenforschung

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Entropie und Streuung

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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.

     

On the measurability and consistency of minimum contrast estimates

Summary The concept of minimum contrast (m.c.) estimates used in this paper covers maximum likelihood (m.l.) estimates as a special case. Section 1 contains sufficient conditions for the existence of measurable m.c. estimates and for their consistency. The application of these results to m.l. estimates (section 2) yields the existence of m.l. estimates for families ofp-measures (probability measures) which are compact metric or locally compact with countable base, admitting upper semicontinuous densities, whereas the classical results refer to continuous densities. This generalization is insofar of interest as upper semicontinuous versions of the densities exist whenever the densities areμ-upper semicontinuous (whereasμ-continuity does not, in general, entail the existence of continuous versions). Under appropriate regularity conditions, consistency of asymptotic maximum likelihood estimates is proven for compact (and also locally compact) separable metric families ofp-measures with upper semicontinuous densities and for arbitrary families having uniformly continuous densities with respect to the uniformity of vague convergence. The conditions sufficient for consistency are shown “indispensable” by counterexamples. Section 3 contains auxiliary results. Besides their relevance for sections 1 and 2, some of them may also be of interest in themselves, e.g. Theorem (3.4) on the selection of semicontinuous functions from semicontinuous equivalence classes.     

Über die Approximation von Wahrscheinlichkeitsverteilungen durch Grenzverteilungen

Zusammenfassung Der Fehler, der bei der Approximation einer Wahrscheinlichkeitsverteilung durch eine Grenzverteilung entsteht, wird mit Hilfe von Differential- (bzw. Differenzen-)gleichungen asymptotisch (bezüglich eines wachsenden Parameters) entwickelt. Diese Aussagen stellen Verallgemeinerungen des vonWasow [1956] behandelten Falles auf beliebige stetige oder gitterförmige Grenzverteilungen dar. Zwei Beispiele veranschaulichen die theoretischen Aussagen.

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Summary The error, which is caused by the approximation of a probability distribution by a limit distribution, is asymptotically expanded (to an increasing parameter) by means of differential (or difference) equations. These statements are generalizations ofWasow's [1956] theorem to arbitrary continous or lattice distributions. Two examples are given to show the practical effect of the stated theorems.

     

On estimating the variance of a finite population

Summary Observing that the estimator for a finite population variance as recommended byLiu [1974a, b] can sometimes become negative, we suggest a few non-negative alternative estimators and note some of their properties. UnlikeLiu we follow the conventional Bayesian approach to get another estimator with an optimal property of uniform admissibility.This paper, however, was prepared when the author worked in the Department of Economic Statistics, University of Sydney.     

The Industrial Project Method in French Industry and in French Schools

The introduction of technology education courses for all French pupils in middle schools was strongly linked to a project called IPM. It is based pm the idea of an industrial project method (IPM) whereby an enterprise puts a new industrial project onto the market. The main idea in IPM is to provide a teaching method by which teachers organize classroom time. The link between the two was so evident that it became the fundamental reference for technology education in France. However, the same evidence hides some real difficulties in formalizing the knowledge and concepts to be brought to bear in a technology education class. The aim of this paper is to present two surveys of the practical implementation of IPM. The first looks at how companies proceed when they decide to put a new product onto the market. The second analyses how teachers organize their teaching using this procedure. Based on the outcomes of the surveys, we will present some references for technology education and discuss its impact on school organization. This revised version was published online in July 2006 with corrections to the Cover Date.     

Risk Shift Following Dividend Change Announcement: The Role of Trading Volume

This study investigates the role of the trading volume in explaining the shift of firm's total and systematic risk when a dividend change is announced. We compared the differential interpretation hypothesis and pre-announcement disagreement hypothesis with more than 20,000 samples collected for 30 years. We found that the total risk generally increases regardless of the level of abnormal trading volume, which supports the differential interpretation hypothesis. We also found a positive relationship between announcement-period abnormal trading volume and post-announcement changes in beta, which is only consistent with the differential interpretation hypothesis. However, the decrease in beta for the majority of sample firms is only consistent with the pre-announcement disagreement hypothesis.     

Bedeutung von CO2-Transport- und Speicheroptionen im europäischen Energiesystem

Aiming the stabilisation of the CO₂ concentration in the atmosphere at 450 ppm, a strong climate policy in the EU-27 will be required. Carbon Capture and Storage (CCS) and the building up of a CO₂ pipeline system will be one option to avoid climate change. The analysis of the potential CO₂ storage options in Europe shows a huge potential in the North Sea and their neighbouring countries and only less potentials in the southern European countries. A scenario analysis using the European energy system model TIMES PanEU shows that the installation of CO₂ transport pipelines for cross boarder exchange of CO₂ from power plants located next to the boarder could be one possible infrastructure solution. This solution is a cost efficient option which will be used mainly by the North Sea neighbouring countries (Germany, UK, the Netherlands, Denmark) and Poland. A central pipeline grid in the North Sea for the usage of huge storage options like the Utsira formation will be important in the future for countries with limited CO₂ storage capacities (like Belgium or the Netherlands). If cheap storage options like onshore Aquifers are not available, the design of central CO₂ pipeline grids has a strong impact on the power plant structure, the electricity and CO₂ certificate price. Based on a limited availability of onshore CO₂ storages the electricity price will increase by up to 16 € 2007/MWh and the CO₂-certificate price will rise by additional 35 € 2007/t CO₂ in 2050.     

Procyclicality,Bank Lending,and the Macroeconomic Implications of a Revised Basel Accord

Bank regulators are in the process of implementing revised regulatory capital standards. However, the macroeconomic effects of a revised Basel Accord are uncertain. Examining the various channels through which the revised Accord may influence economic output suggests that making the buffer stock of capital positively related to the business cycle is necessary to reduce procyclicality. This can be accomplished by bank regulators using either enhanced supervisory powers or increased financial disclosure.