Empirical Bayes analysis of log-linear models for a generalized finite stationary Markov chain

This article presents the empirical Bayes method for estimation of the transition probabilities of a generalized finite stationary Markov chain whose ith state is a multi-way contingency table. We use a log-linear model to describe the relationship between factors in each state. The prior knowledge about the main effects and interactions will be described by a conjugate prior. Following the Bayesian paradigm, the Bayes and empirical Bayes estimators relative to various loss functions are obtained. These procedures are illustrated by a real example. Finally, asymptotic normality of the empirical Bayes estimators are established.     

“Panelizing” Repeated Cross Sections

This paper considers the implementation of a non-stationary, heterogeneous Markov model for the analysis of binary dependent variables in a time series of repeated cross-sectional (RCS) surveys. The model offers the opportunity to estimate entry and exit transition probabilities and to examine the effects of time-constant and time-varying covariates on the hazards. We show how maximum likelihood estimates of the parameters can be obtained by Fishers method-of-scoring and how to estimate both fixed and time-varying covariate effects. The model is exemplified with an analysis of the labor force participation decision of Dutch and West German women using ISSP (and other) data from 10 annual Dutch surveys conducted between 1987 and 1996 and 7 annual West German surveys conducted between 1988 and 1994. Some open problems concerning the application of the model are discussed.     

Testing for negativity in a demand system: A Bayesian approach

The paper introduces Bayesian inference into a demand model. This allows us to test for the negativity condition of the substitution matrix which is difficult to handle directly in the traditional approach. To illustrate the Bayesian inference procedures, we estimate the Rotterdam model and test the demand properties using Japanese data. The empirical results show the importance of specifically considering negativity in demand analysis. First version received: September 1997/final version received: February 1998     

探索土地问题的解决途径

从历史上看,农民的增收问题从来都是同土地产权制度的安排以及如何使用紧密联系在一起的。新中国成立以来,农地制度经历了四次重大变革。从变革中可以看出,土地问题确实是解决"三农"问题的核心。土地问题的解决不可能是一劳永逸的,现实中的问题只能通过改革来解决。     

中国省际城镇职工工资收入分布演进的时空特征

运用Kernel密度估计方法和空间马尔科夫链分析方法,并将空间因素纳入分析框架中,对1978—2009年期间中国省际城镇职工工资收入分布演进的时空特征进行了分析。研究结果表明:从时间动态性看,中国省际城镇职工工资收入的差距正逐步固化和深化,多俱乐部收敛特征明显、贫困陷阱问题日益突出;从空间动态性看,近邻效应对省际城镇职工工资收入分布演进存在一定影响,多数省份的工资收入水平向邻区的平均工资收入水平演进。     

Testing time-homogeneity of rating transitions after origination of debt

When modelling rating transitions as continuous-time Markov processes, in practice, time-homogeneity is a common assumption, yet restrictive, in order to reduce the complexity of the model. This paper investigates whether rating transition probabilities change after the origination of debt. Accordingly, we develop a likelihood-ratio test for the hypothesis of time-homogeneity. The alternative is a step function of transition intensities. The test rejects time-homogeneity for rating transitions observed over 7 years in a real corporate portfolio. Especially 1-year transition probabilities increase over the first year after origination. This time effect suggests that banks should manage their credit portfolios with respect to the age of debt.      

Testing the null hypothesis of no regime switching with an application to GDP growth rates

This paper presents tests for the null hypothesis of no regime switching in Hamilton’s (Econometrica 57:357–384, 1989) regime switching model. The test procedures exploit similarities between regime switching models, autoregressions with measurement errors, and finite mixture models. The proposed tests are computationally simple and, contrary to likelihood based tests, have a standard distribution under the null. When the methodology is applied to US GDP growth rates, no strong evidence of regime switching is found. I thank Don Andrews, Peter Phillips, Yuichi Kitamura, Anat Bracha, Patrik Guggenberger, Orit Whiteman and three anonymous referees for useful comments and suggestions.     

基于产业组织理论视角的顾客转换成本研究

在一定意义上,顾客转换成本可以看作一种特异性投资,便于企业形成一定程度的市场势力,影响同行企业竞争,提升自身绩效,因此顾客转换成本理论成为近年来学术界研究的重要领域之一。本文将基于产业组织理论S-C-P范式的视角对国内外学者在顾客转换成本方面的研究进行分类综述,并对顾客转换成本的未来研究和应用提出了几点展望。     

A theoretical framework of electronic word-of-mouth against the backdrop of social networking websites

This study proposed and tested a theoretical framework that explains electronic word-of-mouth (eWOM) against the backdrop of social networking websites (SNWs), which have gained substantial popularity among travelers. In particular, a United States (US) nationwide online survey was conducted and nine hypotheses were tested. The findings suggest that willingness to share knowledge and switching costs are positively related to eWOM communication. In addition, customer value (utilitarian) has positive relationships with willingness to share knowledge, perceived security, and switching cost, while customer value (hedonic) has positive relationships with willingness to share knowledge and switching costs. Last but not least, the findings indicate that perceived security does negatively impact eWOM. In light of the major findings, the article sets forth strategic implications for travel-related social networking websites.     

Achieving relational outcomes in casual dining restaurants through consumer commitment

The purpose of the study is to identify how we can achieve positive word-of-mouth (WOM) and share of purchases through consumer commitment in casual dining restaurants. This study proposes the theory of organizational commitment and the framework of the relationship development process as the theoretical foundation to identify the antecedents of consumer commitment (i.e. identification, switching costs, and satisfaction), and tests the role of consumer commitment between its antecedents and relational outcomes (i.e. share of purchases and positive WOM). The results of the study support that commitment plays a partial mediating role in the relationship between its antecedents and share of purchases. In addition, commitment exerts a full mediating role on the effects of identification and switching costs on positive WOM intentions, while it plays a partial mediating role between satisfaction and positive WOM intentions. Managerial implications are discussed to maximize delivering relational outcomes based on consumer commitment and its antecedents.