Consistent estimation in the bilinear multivariate errors-in-variables model

A bilinear multivariate errors-in-variables model is considered. It corresponds to an overdetermined set of linear equations AXB=C, A∈ℝ^m×n, B∈ℝ^p×q, in which the data A, B, C are perturbed by errors. The total least squares estimator is inconsistent in this case.  An adjusted least squares estimator is constructed, which converges to the true value X, as m →∞, q →∞. A small sample modification of the estimator is presented, which is more stable for small m and q and is asymptotically equivalent to the adjusted least squares estimator. The theoretical results are confirmed by a simulation study. Acknowledgements. We thank two anonymous reviewers for their suggestions and corrections.? A. Kukush is supported by a postdoctoral research fellowship of the Belgian office for Scientific, Technical and Cultural Affairs, promoting Scientific and Technical Collaboration with Central and Eastern Europe.? S. Van Huffel is a full professor with the Katholieke Universiteit Leuven.? I. Markovsky is a research assistant with the Katholieke Universiteit Leuven.? This paper presents research results of the Belgian Programme on Interuniversity Poles of Attraction (IUAP V-22), initiated by the Belgian State, Prime Minister's Office – Federal Office for Scientific, Technical and Cultural Affairs of the Concerted Research Action (GOA) projects of the Flemish Government MEFISTO-666 (Mathematical Engineering for Information and Communication Systems Technology), of the IDO/99/03 project (K.U. Leuven) “Predictive computer models for medical classification problems using patient data and expert knowledge”, of the FWO projects G.0078.01, G.0200.00, and G0.0270.02.? The scientific responsibility is assumed by its authors.     

定向增发预案公告市场反应及其影响因素研究——基于深圳证券交易所上市公司数据的分析

自股权分置改革实施以来,定向增发成为中国上市公司资本市场权益再融资的重要方式之一。通过运用事件研究法对2006年—2007年实施定向增发的深市上市公司董事会预案公告日前后超额收益变化的分析,发现增发规模、机构投资者认购比例是影响预案公告后公司股票超额收益的主要因素;同时还发现在定价基准日之前20个交易日内定向增发公司股价弱于市场表现,存在负的超额收益。     

基于模糊优选法的核电厂址选择外部人为事件的评价方法

出于安全考虑,核电厂在选址阶段要充分考虑厂址周围的外部人为事件。为此,我国出台了《HAF0105核电厂厂址选择的外部人为事件》,对外部人为事件进行了界定,并提出相应的勘查和评价策略。根据《事件》提出的飞机坠毁、爆炸、危险液体释放的分类,进行定量化评价,然后利用模糊优选法建立模型,将多个厂址进行比对,得到待选厂址在外部人为事件方面的优劣排序。     

The Rocky Road to Legacy: Lessons from the 2010 FIFA World Cup South Africa Stadium Program

This article describes how the management and organization of the South African 2010 FIFA World Cup stadium program shaped the current legacy of an oversupply of overdesigned and underutilized stadiums. The article identifies seven key factors that explain the differences between expected benefits and the actual legacy. Identification of these factors contributes to the increasing academic interest in explaining the poor legacy outcomes of mega‐events. In conclusion, we recommend that future host country governments defragment their stadium programs by establishing a World Cup Delivery Authority (WCDA), with responsibility for the leadership and coordination of the stadium program.     

Sport events and integrated destination development

Sport events are recognised as contributing to the development of tourism destinations, both through direct visitation and through destination image building, and yet they are not well understood in terms of their contribution to the development of destination networks. The development of the ‘tourism destination framework’ by Haugland, Ness, Grønseth, and Aarstad [2011. Development of tourism destinations: An integrated multilevel perspective. Annals of Tourism Research, 38(1), 268–290.] is supported by five propositions which are assessed here, in the light of the evidence collected from Sail Port Stephens and other published studies. Overall, the results support the propositions, and further suggest that sport events can become a mechanism through which destinations can develop products and services that utilise resources and competencies across several firms to contribute to destination development.     

Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent

We propose a multivariate nonparametric technique for generatingreliable short-term historical yield curve scenarios and confidenceintervals. The approach is based on a Functional Gradient Descent(FGD) estimation of the conditional mean vector and covariancematrix of a multivariate interest rate series. It is computationallyfeasible in large dimensions and it can account for nonlinearitiesin the dependence of interest rates at all available maturities.Based on FGD we apply filtered historical simulation to computereliable out-of-sample yield curve scenarios and confidenceintervals. We back-test our methodology on daily USD bond datafor forecasting horizons from 1 to 10 days. Based on severalstatistical performance measures we find significant evidenceof a higher predictive power of our method when compared toscenarios generating techniques based on (i) factor analysis,(ii) a multivariate CCC-GARCH model, or (iii) an exponentialsmoothing covariances estimator as in the RiskMetrics^TM approach.     

Dual-listings on international exchanges: the case of emerging markets' stocks

This paper examines the effects on stock returns of dual-listing on an international exchange. My sample consists of 70 firms from 10 emerging markets that dual-listed on the NYSE, NASDAQ and SEAQ-I (London) over the period 1991–1995. I evaluate whether an international dual-listing has any significant effect on returns, for the particular case of emerging markets' firms, and I proceed to investigate whether there is evidence to support an International Asset Pricing based explanation. In addition I compare the impact of US and London SEAQ-I listings. My results confirm previous empirical findings on international listings: the firms in my sample experience significant positive abnormal returns before listing and a significant decline in returns following listing. Evidence seems to be supportive of the segmentation hypothesis: dual-listing effects are more pronounced for emerging markets' listings and that pattern is similar across exchanges.
G15     

Convenient estimators for the panel probit model: Further results

Bertschek and Lechner (1998) propose several variants of a GMM estimator based on the period specific regression functions for the panel probit model. The analysis is motivated by the complexity of maximum likelihood estimation and the possibly excessive amount of time involved in maximum simulated likelihood estimation. But, for applications of the size considered in their study, full likelihood estimation is actually straightforward, and resort to GMM estimation for convenience is unnecessary. In this note, we reconsider maximum likelihood based estimation of their panel probit model then examine some extensions which can exploit the heterogeneity contained in their panel data set. Empirical results are obtained using the data set employed in the earlier study. Helpful comments and suggestions by Irene Bertschek and Michael Lechner are gratefully acknowledged. This paper has also benefited from comments by two anonymous referees and from seminar participants at the Center for Health Economics at the University of York. Any remaining errors are the responsibility of the author.     

群体性事件的生成土壤与理性应对

对群体性事件做清晰的概念界定,并基于现有文献对类型归属做明确的划分。深刻阐述社会转型的冲突与调适、刚性稳定的利益悖论、公共危机治理的处置失当、社会心理失衡的非理性应对是引发群体性事件的深层诱因,以资从制度规范和实践应对的维度,提出建构和完善群体性事件处置的政策体系,解释了强化群体性事件处置的操控性技术的可行性,并借鉴国外群体性事件处置的理论技巧,提出坚持"现场第一"原则、"处境化"思维、警察权的配制与使用等操作化建议,以此使各地应对群体性事件的有效经验制度化,实现国家长治久安。