The Local Whittle Estimator of Long-Memory Stochastic Volatility

We propose a new semiparametric estimator of the degree of persistencein volatility for long memory stochastic volatility (LMSV) models.The estimator uses the periodogram of the log squared returnsin a local Whittle criterion which explicitly accounts for thenoise term in the LMSV model. Finite-sample and asymptotic standarderrors for the estimator are provided. An extensive simulationstudy reveals that the local Whittle estimator is much lessbiased and that the finite-sample standard errors yield moreaccurate confidence intervals than the widely-used GPH estimator.The estimator is also found to be robust against possible leverageeffects. In an empirical analysis of the daily Deutsche Mark/USDollar exchange rate, the new estimator indicates stronger persistencein volatility than the GPH estimator, provided that a largenumber of frequencies is used.     

Strategic knowledge sharing in Bayesian games

This paper provides a model for the study of direct, public and strategic knowledge sharing in Bayesian games. We propose an equilibrium concept which takes into account communication possibilities of exogenously certifiable statements and in which beliefs off the equilibrium path are explicitly deduced from consistent possibility correspondences, without making reference to perturbed games. Properties of such an equilibrium and of revised knowledge are examined. In particular, it is shown that our equilibrium is always a sequential equilibrium of the associated extensive form game with communication. Finally, sufficient conditions for the existence of perfectly revealing or non-revealing equilibria are characterized in some classes of games. Several examples and economic applications are investigated.     

Factors affecting households’ seafood purchasing decisions in Auckland,New Zealand: an empirical analysis

This paper uses the binary choice model to identify the factors that are significantly influencing the household purchase decisions of seafood products for home consumption in Auckland, New Zealand. It is found that ‘quality’ and ‘cooking easiness’ are the main product attributes that significantly influence households’ choices of seafood in Auckland. Also, the representative household has shown a strong preference for fresh and other alternative seafood products, including processed, smoked and canned, over frozen products. Retail outlets are found to be more attractive to the household purchasing seafood for home consumption. The New Zealand seafood industry may find this baseline study useful as a guide to developing future research structure on the domestic market.     

An objective Bayesian analysis of common stochastic trends in international stock prices and exchange rates

This paper uses Bayesian methods to analyze unit root and cointegration properties of two different finance data sets. Avoiding the use of subjective prior information, the paper surveys and utilizes several different objective Bayesian methodologies in an investigation of common stochastic trends in international stock markets and in spot and forward exchange rates for several different countries.     

Estimating the Size of a Criminal Population from Police Records Using the Truncated Poisson Regression Model

The truncated Poisson regression model is used to arrive at point and interval estimates of the size of two offender populations, i.e. drunk drivers and persons who illegally possess firearms. The dependent capture–recapture variables are constructed from Dutch police records and are counts of individual arrests for both violations. The population size estimates are derived assuming that each count is a realization of a Poisson distribution, and that the Poisson parameters are related to covariates through the truncated Poisson regression model. These assumptions are discussed in detail, and the tenability of the second assumption is assessed by evaluating the marginal residuals and performing tests on overdispersion. For the firearms example, the second assumption seems to hold well, but for the drunk drivers example there is some overdispersion. It is concluded that the method is useful, provided it is used with care.     

Bayesian MCMC Mapping of Quantitative Trait Loci in a Half-sib Design: a Graphical Model Perspective

Graphical models provide a powerful and flexible approach to the analysis of complex problems in genetics. While task-specific software may be extremely efficient for any particular analysis, it is often difficult to adapt to new computational challenges. By viewing these genetic applications in a more general framework, many problems can be handled by essentially the same software. This is advantageous in an area where fast methodological development is essential. Once a method has been fully developed and tested, problem-specific software may then be required. The aim of this paper is to illustrate the potential use of a graphical model approach to genetic analyses by taking a very simple and well-understood problem by way of example.     

Multiple generation product life cycle predictions using a novel two-stage fuzzy piecewise regression analysis method

Product life cycle (PLC) prediction plays a crucial role in strategic planning and policy definition for high-technology products. Forecast methodologies which can predict PLCs accurately can help to achieve successful strategic decision-making, forecasting, and foresight activities in high-technology firms, research institutes, governments, and universities. Over the past few decades, even though analytic framework strategies have been proposed for production, marketing, R&D (research and development), and finance, aiming at each stage of PLCs, forecast methodologies with which to predict PLCs are few. The purpose of this research is to develop a novel forecast methodology to allow for predictions of product life time (PLT) and the annual shipment of products during the entire PLC of multiple generation products. A novel two-stage fuzzy piecewise regression analysis method is proposed in this paper. In the first stage, the product life-time of the specific generation to be analyzed will be predicted by the fuzzy piecewise regression line that is derived based upon the product life-time of earlier generations. In the second stage of the forecast methodology, the annual shipment of products of the specified generation will be predicted by deriving annual fuzzy regression lines for each generation, based upon the historical data on the earlier generations' products. An empirical study predicting the life-time and the annual shipment of the 16 Mb (Mega bit) DRAM (Dynamic Random Access Memory) PLC is illustrated to validate the analytical process. The results demonstrate that two-stage fuzzy piecewise regression analysis can predict multiple generation PLT and PLC precisely, thereby serving as a foundation for future strategic planning, policy definitions and foresights.     

Modeling Conditional Yield Densities

Given the increasing interest in agricultural risk, many have sought improved methods to characterize conditional crop-yield densities. While most have postulated the Beta as a flexible alternative to the Normal, others have chosen nonparametric methods. Unfortunately, yield data tends not to be sufficiently abundant to invalidate many reasonable parametric models. This is problematic because conclusions from economic analyses, which require estimated conditional yield densities, tend not to be invariant to the modeling assumption. We propose a semiparametric estimator that, because of its theoretical properties and our simulation results, enables one to empirically proceed with a higher degree of confidence.     

城镇化水平与农民收入的相关性研究

城镇化水平与农民人均收入存在着密切关系，即城镇化水平越高，农民人均收入越高；城镇化水平越低，农民人均收入越低。因此，要增加农民人均收入，就必须提高城镇化水平，特别是提高中西部省份的城镇化水平。文章主要运用统计学中的回归分析方法来阐述这一观点。     

An Average Derivative Estimation of Stochastic Frontiers

This paper utilizes the average derivative estimation of Stoker (1986) and the pesudo-likelihood estimation of Fan, Li, and Weersink (1996) to estimate a semiparametric stochastic frontier regression, y = g(x) + , where the function g(.)is unknown and is a composite error in a standard setting. The proposed semiparametric method of estimation is applied to data on farmers' credit unions in Taiwan. Empirical results show that the banking services of the farmers' credit unions is subject to economies of scale, but high degree of cost inefficiency in operation.