On a rank-order test for the equality of probability of an event

Abstract

The following situation is considered. A fixed number (= n) or sequence of independent trials T ₁ T ₂,…, T _n is given, and in each of these an event E mayor may not occur, It is further observed that the event E occurs a total of k times amongst the n trials T _i , (i = l,…, n). It is then required to test the hypothesis H ₀ that the probability of the occurrence of E is constant from trial to trial, i.e. H ₀ is the hypothesis: p ₁ = p ₂ = ? = p _n = p, if p _n (i = 1, …, n) represents the probability that E occurs on the ith trial.     

Ecotourists' Perception of Ecotourism Experience in Lower Kinabatangan,Sabah, Malaysia

This paper presents the empirical findings of an exploratory qualitative study which looks at ecotourists' perceptions of ecotourism experiences in Sabah, Malaysia in order to identify the expressive dimensions that describe the quality of their experience. In-depth interviews were conducted with European ecotourists who stayed at two ecolodges in Sukau. Positive and negative experiences were identified from an analysis of the expressive dimensions of their service experience. The findings show that the ecotourists' experience is multidimensional. Respondents place particular emphasis on the ecotourism activities in which they physically engage at the sites and the natural environment in which they are located; their interaction with the site service staff; socialisation with other ecotourists, and the information acquired during the visit. The six expressive dimensions describing the positive experience are consistent with previous research. The study explores understanding of ecotourists' experience in the ecotourism environment – an under-researched area. The paper points out that the evaluation of quality of experience appears to involve both attributes – functional elements that are provided by the service suppliers and affective/emotional elements that are brought about by the ecotourists themselves.     

An approximation to the limit distribution of the epps-pulley test statistic for normality

Summary The approach of Epps and Pulley (1983) based on the empirical characteristic function is one of the most powerful tools for detecting any departures from normality. We obtain the first four moments of the limiting null distribution of the Epps-Pulley Statistic. Johnson- and Pearson curve fitting yields excellent approximations to simulated quantiles, and by modifying the test statistic the procedure may be carried out easily without the use of extensive tables for all sample sizes. Research done while the author was on leave at the University of Gie?en.     

Block recursion and structural vector autoregressions

In applications of structural VAR modeling, finite-sample properties may be difficult to obtain when certain identifying restrictions are imposed on lagged relationships. As a result, even though imposing some lagged restrictions makes economic sense, lagged relationships are often left unrestricted to make statistical inference more convenient. This paper develops block Monte Carlo methods to obtain both maximum likelihood estimates and exact Bayesian inference when certain types of restrictions are imposed on the lag structure. These methods are applied to two examples to illustrate the importance of imposing restrictions on lagged relationships.     

The expected real return to equity

The expected return to equity – typically measured as a historical average – is a key variable in the decision making of investors. A recent literature uses analysts' forecasts, investor surveys or present-value relationships and finds estimates of expected returns that are sometimes much lower than historical averages. This study extends the present-value approach to a dynamic optimizing framework. Given a model that captures this relationship, one can use data on dividends, earnings and valuations to infer the model-implied expected return. Using this method, the estimated expected real return to equity ranges from 4.9% to 5.6% . Furthermore, the analysis indicates that expected returns have declined by about 3 percentage points over the past 40 years. These results indicate that future returns to equity may be lower than past realized returns.     

Labour adjustment costs: Estimation of a dynamic discrete choice model using panel data for Greek manufacturing firms

In this paper we estimate a dynamic structural model of employment at firm level. Our dataset consists of a balanced panel of 2790 Greek manufacturing firms. The empirical evidence of this dataset stresses three important stylized facts: (a) there are periods in which firms decide not to change their labour input, (b) there are periods of large employment changes (lumpy nature of labour adjustment) and (c) the commonality is employment spikes to be followed by smooth and low employment growth periods. Following Cooper and Haltiwanger [Cooper, R.W. and Haltiwanger, J. “On the Nature of Capital Adjustment Costs”, Review of Economic Studies, 2006; 73(3); 611–633], we consider a dynamic discrete choice model of a general specification of adjustment costs including convex, non-convex and “disruption of production” components. We use a method of simulated moments procedure to estimate the structural parameters. Our results indicate considerable fixed costs in the Greek employment adjustment.     

Estimating Discrete Joint Probability Distributions for Demographic Characteristics at the Store Level Given Store Level Marginal Distributions and a City-Wide Joint Distribution

This paper provides a solution to the problem of estimating a joint distribution using the associated marginal distributions and a related joint distribution. The particular application we have in mind is estimating joint distributions of demographic characteristics corresponding to market areas for individual retail stores. Marginal distributions are generally available at the census tract level, but joint distributions are only available for Metropolitan Statistical Areas which are generally much larger than the market for a single retail store. Joint distributions over demographics are an important input into mixed logit demand models for aggregate data. Market shares that vary systematically with demographics are essential for relieving the restrictions imposed by the Independence from Irrelevant Alternative property of the logit model.We approach this problem by formulating a parametric function that incorporates both the city-wide joint distributional information and marginal information specific to the retail stores market area. To estimate the function, we form moment conditions equating the moments of the parametric function to observed data, and we input these into a GMM objective. In one of our illustrations we use four marginal demographic distributions from each of eight stores in Dominicks Finer Foods data archive to estimate a four dimensional joint distribution for each store. Our results show that our GMM approach produces estimated joint distributions that differ substantially from the product of marginal distributions and emit marginals that closely match the observed marginal distributions. Mixed logit demand estimates are also presented which show the estimates to be sensitive to the formulation of the demographics distribution.The views expressed are not purported to reflect those of the United States Department of Justice     

Validity of discrete-time stochastic volatility models in non-synchronous equity markets

The paper investigates the validity of versions of discrete-time stochastic volatility models for index series known to contain component stocks exhibiting non-synchronous trading. The efficient method of moments (EMM) is used to fit versions of the discrete-time stochastic volatility (SV) model. The EMM methodology confronts moment conditions generated by a score generator (SNP) that are valid by construction. The moment generator suggests non-linearity in the index series. The EMM construction shows that a classical discrete time stochastic volatility model is rejected. An extended model incorporating an asymmetric volatility specification validates all the moment scores. Option values from Black and Scholes (BS) and Monte Carlo simulations (MC) seem significantly different. The results suggest that BS does not price asymmetry adequately. Asymmetry suggests increased market risk inducing higher BS call prices and lower (higher) BS put pricing for ATM and OTM options (ITM) relative to MC.     

Traders' Bidding Strategies on European Grain Export Refunds: An Analysis with Affiliated Signals

Using a multivariate distribution of traders' information with correlations, we specify the traders' bidding strategies on tenders of European soft wheat intervention stocks. We show that correlations may have opposing effects on the traders' bidding strategy, depending on their valuation of the grain. This structural approach allows us to estimate the traders' strategies using generalized method of moments procedures.     

我国银行业结构与经济增长的实证研究

自1994年以来,我国的经济金融体制不断深化改革,银行业整体规模迅速扩张,并逐渐形成多层次、多元化的银行业体系。为了考察我国银行业结构对我国经济增长的影响,本文根据我国的地理和经济特征,将我国划分为了六个区域,并运用六个区域在1995至2010年间的面板数据,以中小金融机构的市场份额(即除四大国有银行外的其他金融机构的贷款余额占各区域全部金融机构贷款余额的比例)为度量指标,采用固定效应模型和广义矩估计法(GMM),分析了不同规模银行在整个银行体系中的相对重要性。通过研究发现,我国中小银行的市场份额与经济增长之间具有显著的正向关系,在现阶段的中国,提高中小银行的市场份额能够有效促进实体经济的发展,并提出了相关的政策建议。