Optimal designs for models with block-block resp. treatment-treatment correlations

Summary In this paper we study optimal designs assuming two special covariance structures of the observations, namely that the covariance between the observations depends only on the blocks resp. the treatments. We show that the weighted least squares estimator equals the ordinary least squares estimator. Then we prove that block-block correlations resp. treatment-treatment correlations do not have any influence on the A- and MV-optimality resp. A-optimality. For the study of the MV-optimality in the case of treatment-treatment correlations we use the idea of invariance to find optimal C-matrices.     

Asset-light strategy and real estate risk of lodging C−corps and REITs

The asset-light strategy has been gaining popularity among practitioners for its virtues in lowering capital investment burden and allowing efficient expansion. Meanwhile, arguably the greatest advantage of the strategy—a mitigating effect on the real estate risk exposure—has yet to be validated. To empirically test this effect, this study adopts a comparative approach, utilizing data on both lodging C-corporations and real estate investment trusts (REITs). Yearly firm-level real estate betas are estimated through an augmented Fama-French asset-pricing model for all lodging firms and REITs between the years 2002–2016, and further used for a second-stage analysis on their relationship with real estate ownership and liquidity. Findings reveal that 1) lodging firms are significantly less exposed to real estate risk than REITs, 2) lodging firms may still be conditionally exposed to real estate risk under liquidity constraints, and 3) certain unique characteristics of REITs render differences in the effects of liquidity.     

An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution

Encouraged by the literary fact that high-frequency data such as intraday returns contribute to estimating the tail risk of daily returns, we propose an intraday-return-based Value-at-Risk (VaR) model driven by dynamic conditional score with censored generalized Pareto distribution (hence, Censored GP-DCS-VaR model), which is a novel parametric VaR approach based on dynamic score-driven model and can incorporate intraday information into daily VaR forecast. This model helps present the dynamic evolution of intraday return distribution and well capture its tail feature. Applying bootstrap or a parametric method, we are allowed to form the daily return distribution in light of intraday data and thus can calculate VaR directly. Empirical analysis using the data of the Chinese stock market shows that our model gain an advantage in the risk estimation of extreme returns, proved by the comparison of out-of-sample forecasts between the Censored GP-DCS-VaR and the realized-GARCH-VaR.     

The importance of time frames in Swedish Home and Consumer Studies

The aim of this study was to explore how time frames affect pupils and teachers in cooking activities during lessons of different durations for Home and Consumer Studies, with a specific focus on the pupils’ experiences. To investigate this, classroom observations were carried out in 2011 and 2012, with the help of audio and video recordings in three different schools in Sweden and included altogether 22 pupils (18 girls, 4 boys) in grade 9 (15–16 years). Each class was observed during two separate lessons, lasting between 1 h 50 min (110 minutes) and 2 h 20 min (140 min). The six lessons resulted in 12 h of video recorded time and 80 h of sound recordings. The study showed that the importance of finishing on time seemed to be ingrained in most pupils in all classes and the end result was perceived as more important than the process of cooking. The study also showed that knowledge of cooking skills and time management seemed important for success in grade‐related tasks. Pupils demonstrated different ways of handling the time frames, e.g. using various methods to speed up the cooking process. This study raises important questions about the relationship between national and local time frames and the curriculum aims in Home and Consumer Studies.     

A Method of Grouping Projects for Comparisons

Most methods currently available for grouping an agency fundedprojects are well suited for continuous data (e.g., Dalenius and Hodges Cum frule) but not for grouping a few projects based on their means. This is because these projectmeans form a set of discrete observations. So, applying Dalenius and Hodges Cum frule to such discrete observations generally does not help in forming as homogeneousgroups as one would desire. Seeking more homogeneous groups in practice is necessary becauseoften an administrator needs as accurate comparisons among projects as possible (e.g.,evaluation of project performances) to make correct decisions about continuation or administrationof agency funded projects. Therefore, in this paper an iterative procedure is given togroup projects in such a situation. To apply this procedure, the only requirement is that the variableused for stratification is not a categorical or a nominal variable. The iterative procedure isillustrated by three examples. As should be expected, the procedure yields a different and morehomogeneous set of strata than the one obtained by the Cum f rule. For administration ofprojects, to form as homogeneous a group of projects as possible is important and , therefore,it is advisable to use this procedure to achieve more homogeneous strata for the data at hand.     

The gap between male and female pay in the Spanish tourism industry

This paper analyzes wage differentials between male and female workers in the Spanish tourism industry, using a large, administratively matched employer–employee data set obtained from a representative sample of companies. This allows us to control for unobserved firm-specific factors likely to affect the magnitude of the gender wage gap. Our findings indicate that male workers earn on average 6.7% higher monthly wages than their socially comparable female counterparts. In particular, the type of contract held, the qualifications required for the job and the specific sub-sector of employment are very important variables in explaining this gender wage difference. We also find that only around 12% of the mean wage difference in the tourism industry cannot be explained by differences in observable characteristics, which is well below the average for the rest of the industries in Spain (87%). Our interpretation is that minimum wage legislation provides a particularly effective protection to women in the tourism industry, which is characterized by a large number of low-wage earners.     

基于双栏模型亳清河区域休闲农地存在价值评估

研究目的:评估亳清河区域休闲农地存在价值。研究方法:采用双边界两分式条件价值评估法的双栏模型,以零观察值产生原因区分受访者真实和抗议性经济行为;借助生存模型较精确地得到休闲农地存在价值。研究结果:(1)通过对比参与决策和支付决策的结果,文中所选8个属性变量在两阶段中的作用存在显著差异;(2)由生存模型得出研究区居民的平均支付意愿为134.95元/(人·年),总价值为2.70×10~7元/年。研究结论:通过双栏模型和生存模型能够较精确地得到影响居民支付意愿的主要因素以及休闲农地的存在价值,为政府针对性的提高农户保护休闲农地的积极性供科学依据。     

Effects of winsorization: The cases of forecasting non‐GAAP and GAAP earnings

This study examines how the winsorization procedure affects the performance of regression‐based earnings forecasting models. I find that the impact is multifaceted and depends principally on three factors: the level of data errors in the tails, the characteristics of firms affected by the process, and the use of scaling. For a non‐GAAP earnings yield specification, where data input errors exist, winsorization changes the information set in a non‐systematic way and helps to improve the performance of regression‐based forecasts, especially when the least squares estimator is employed. However, for a non‐GAAP earnings per share specification, with fewer data input errors found in the tails of the distribution, winsorization has a particularly strong effect on very large companies, lowering the economic value of earnings predictions. I observe similar results for corresponding GAAP earnings specifications. Robust estimators, such as least absolute deviation, high breakdown‐point and Theil‐Sen, appear to be a more effective solution than winsorization. Their earnings forecasts consistently yield significant positive abnormal returns across non‐GAAP and GAAP earnings specifications.     

The quantity and variety of households’ meat purchases: A censored demand system approach

This study investigates the demand for 10 disaggregated meat products by U.S. households. A censored demand system which imposes budget constraints in both observed and latent shares is estimated along with a detailed explanation of the estimation procedure. Additional details about the methodology not provided in previous studies should help researchers to empirically apply the model. An innovation of the study is to introduce the censored demand system model for studying the variety of a household's food purchases. Most households buy between seven and eight different products and hardly change the variety of their purchases with changes in meat expenditure.     

三角高程测量在铁路线路复测中的应用

由于全站仪三角高程测量不受地形的限制,因此利用全站仪三角高程测量进行山区三、四等水准路线测量已经成为主要方法。文章主要介绍全站仪三角高程测量在山西中南部铁路通道ZNTJ-4标段水准线路复测中的应用,并对该水准线路复测结果进行分析。实践表明,全站仪三角高程测量完全可以取代三、四等水准测量,并有取代二等水准测量的趋势。