Poverty measurement with contaminated data: A robust approach

We examine the sensitivity of poverty indices to data contamination using the concept of the influence function, and demonstrate that an important commonly used subclass of poverty measures will be robust under data contamination. This is illustrated using simulations. In this respect poverty and inequality indices have fundamentally different robustness properties. We investigate both the case where the poverty line is exogenously fixed and where it must be estimated from the data.     

Robust supply chain management

Faced with uncertainty, researchers have explored concepts such as robustness, flexibility, information structure, options, and market power for supply chain management. Despite many influential findings, such as the presence of the bullwhip effect and channel power, the literature in supply chain management is a bit confusing with regard to these concepts, including how they are related to each other. In light of this, we discuss the meaning of the terms in a supply chain management context. We indicate what questions are at stake and some pitfalls to be aware of if the phenomenon we are concerned about is affected by strategic players. This paper is modelling focused.     

需求不确定下闭环供应链生产计划优化研究

针对需求环境不确定的再制造闭环供应链,采用基于情景分析的鲁棒优化方法,建立基于物料需求计划的产品再制造闭环供应链生产计划运作鲁棒优化模型.制造商和供应商在整个供应链系统协调稳定运行的前提下,追求各自的期望利润最大化.并介绍了需求环境的变动给整个闭环供应链系统带来的影响,为企业生产计划的制订提供了解决方案.案例数值的结果也直接验证了该模型的Robust性.     

Trust and growth: a shaky relationship

We conduct an extensive robustness analysis of the relationship between trust and growth by investigating a later time period and a bigger sample than in previous studies. In addition to robustness tests that focus on model uncertainty, we systematize the investigation of outlier influence on the results by using the robust estimation technique Least Trimmed Squares. We find that when outliers (especially China) are removed, the trust-growth relationship is no longer robust. On average, the trust coefficient is half as large as in previous findings.      

The market price of risk and the equity premium: A legacy of the Great Depression?

By positing learning and a pessimistic initial prior, we build a model that disconnects a representative consumer's subjective attitudes toward risk from the high price of risk that a rational-expectations econometrician would deduce from financial market data. We follow Friedman and Schwartz [1963. A Monetary History of the United States, 1857-1960. Princeton University Press, Princeton, NJ] in hypothesizing that the Great Depression heightened fears of economic instability. We use a robustness calculation to elicit a pessimistic prior for a representative consumer and let him update beliefs via Bayes’ law. Learning eventually erases pessimism, but while it persists, pessimism contributes a volatile multiplicative component to the stochastic discount factor that a rational-expectation econometrician would detect. With sufficient initial pessimism, the model generates substantial values for the market price of risk and equity premium and predicts high Sharpe ratios and forecastable excess stock returns.     

A robustness study of a multi-echelon inventory model via simulation

This paper examines the robustness of a standard model of multi-echelon inventory systems, specifically the models discussed in Axsäter (Oper. Res. 48(5) (2000) 686). A simulation model was developed to explore the model's ability to predict system performance for a two-echelon one-warehouse, multiple retailer system using (R,Q) inventory policies under conditions that violate the model's fundamental modeling assumptions. In particular, the impact of non-stationary demand on this stationary demand inventory model was examined. The model performs well at the low demand and large retailer order batch size situations, but our testing of the model indicated that care must be taken when applying this model to situations that violate its fundamental assumption. These results should help practitioners to better understand the assumptions of these models and to determine when or when not to apply these models in practice.     

Continuity of the first price auction Nash equilibrium correspondence

Summary. Despite the complexity of the first price auction in the general asymmetric case, analytical results have started to emerge in the literature. Authors have also searched to gain insights by computing numerical estimates of the equilibria for some probability distributions of the valuations. This paper proves that the Nash equilibrium of the first price auction depends continuously, for the weak topology, on the valuation distributions and thus brings robustness to the numerical results as well as some theoretical results. As an example of application, we disprove a conjecture of comparative statics. Received: February 1, 1999; revised version: July 27, 2001     

Robustness and exchange rate volatility

This paper studies exchange rate volatility within the context of the monetary model of exchange rates. We assume that agents regard this model as merely a benchmark, or reference model, and attempt to construct forecasts that are robust to model misspecification. We show that revisions of robust forecasts are more volatile than revisions of nonrobust forecasts, and that empirically plausible concerns for model misspecification can explain observed exchange rate volatility. We also briefly discuss the implications of robust forecasts for a number of other exchange rate puzzles.     

‘GUNS OR BUTTER?’ REVISITED: ROBUSTNESS AND NONLINEARITY ISSUES IN THE DEFENSE–GROWTH NEXUS

The relationship between military expenditure and growth is studied taking into account potential nonlinearities and robustness issues in the specification of the econometric models used. Using cross‐country growth regressions and the widely used Feder–Ram model, the partial correlation between defense spending and economic growth appears robust and significantly negative only for countries with a relatively low military expenditure ratio. While the externality effect appears positive in this subgroup of countries, the overall effect turns negative due to the size effect of the military sector.