Some general results for moments in bivariate distributions

The purpose of this paper is to present a closed formula to compute the moments of a general function from the knowledge of its bivariate survival function. The result is derived by utilizing an integration by parts formula for two variables, which is not readily available in the literature. Many of the existing results are obtained as special cases. Finally, two examples are presented to illustrate the results. In both the examples, mixed moments as well as moments for the series system and parallel system are obtained. The integration by parts formula in two variables, derived here, is of interest in its own right and we hope that it will be useful in other investigations. The integration by parts formula in two variables is derived as a special case of a general formula in n variables.     

高新技术产业园区创新活动内生性与效率——基于非平衡面板内生随机前沿模型的分析

基于非平衡面板内生随机前沿模型,通过2009-2019年54个高新技术产业园区的非平衡面板数据,分析了高新技术产业园区创新活动的内生性与效率的关系.研究发现:科技经费和从业人员存在内生性,市场结构、科技经费和从业人员对创新效率有显著的正面影响;面板内生随机前沿模型可以显著地区别于外生随机前沿模型的创新效率估计.     

The Saturday effect: an interesting anomaly in the Saudi stock market

The vast majority of empirical research on calendar anomalies has studied financial markets in countries where the Western calendar is used. This article investigates day of the week effects in Saudi Arabia’s stock market, where an Islamic calendar is used and where Saturday is the first working day of the week over the sample period considered. The Saudi stock market is the largest in the Gulf region, and we consider both total market data (the TASI index) and data for 15 sector indices. Our investigation reveals the existence of a positive Saturday effect, which contrasts with the results on first day of the week effects that are typically obtained for Western calendar markets.     

Re-examination of wage, employment, and hours adjustments: what is crucial for differences in the adjustments?

Manufacturing wage, employment, and hours adjustments are significantly different among developed countries, typically between Japan and the US. The problem of explaining the differences is closely related to that of what effect the extent of wage flexibility has on labor market adjustments. However, prevailing theories are invalid or incomplete for explaining the differences. The differences in the adjustments cannot be unrelated with institutional features of the labor market. Indeed, the extent of wage flexibility depends on the differences in the institutional features. Using a new model with such an idea, this paper theoretically re-examines the cause of the differences in the adjustments. The crucial causes are the characteristics of wage flexibility as well as the differences of the institutional features. The characteristics are that wage adjustment is discontinuous, infrequent, and has a lower limit in comparison with changes in demand.     

Do Private Tutoring Expenditures Raise Academic Performance? Evidence from Middle School Students in South Korea

To shed light on the effectiveness of educational inputs for student outcomes, this paper examines the effect of private tutoring expenditures on the academic performance of middle school students in South Korea. To address endogeneity, the paper uses instrumental variables, first‐difference, propensity‐score matching and nonparametric bounding methods. We apply these methods to a panel dataset from South Korea, the Korea Education Longitudinal Study. The results show that the true effect of private tutoring remains, at most, modest. Instrumental variables (first‐difference) estimates suggest that a 10‐percent increase in expenditure raises a test score by 0.03 standard deviations or 1.1 percent (0.002 standard deviations or 0.08 percent). Matching estimates imply that the same amount of increase in expenditure leads to a 0.33 to 0.72 percent higher average test score. The tightest bounds of the effect of tutoring reveal that a 10‐percent increase in expenditure improves the test score by a low of 0 to a high of 2.01 percent, while statistical tests fail to rule out zero effects. The modest effects of private tutoring found in the present study are comparable to the effects of public school expenditures on test scores and earnings estimated in previous studies.     

Causality: a Statistical View

Statistical aspects of causality are reviewed in simple form and the impact of recent work discussed. Three distinct notions of causality are set out and implications for densities and for linear dependencies explained. The importance of appreciating the possibility of effect modifiers is stressed, be they intermediate variables, background variables or unobserved confounders. In many contexts the issue of unobserved confounders is salient. The difficulties of interpretation when there are joint effects are discussed and possible modifications of analysis explained. The dangers of uncritical conditioning and marginalization over intermediate response variables are set out and some of the problems of generalizing conclusions to populations and individuals explained. In general terms the importance of search for possibly causal variables is stressed but the need for caution is emphasized.     

The RAS Approach in Updating Input–Output Matrices: An Instrumental Variable Interpretation and Analysis of Structural Change

The main purposes of the paper are to reconsider the rationale of the RAS method, and to attempt to improve on its interpretation and usefulness. The substitution and fabrication factors in the RAS method are interpreted as statistical estimates obtained by the method of instrumental variables. This enables the computation of asymptotic standard errors for the factors and the relative precision of the predicted technical coefficients. Furthermore, an adjustment cost minimization model to describe how a sector determines its substitution and fabrication factors is presented. The solutions of the model provide another rationale for the RAS method, and the associated Lagrangian multipliers can be useful for assessing structural constraints and structural change.     

宏观经济与股票价格波动之间的关系研究

利用Copula模型,研究宏观经济变量与上证股指收益率之间的相关关系,在选择合适的边缘分布函数的基础上,分别建立了常相关的二元正态Copula函数、t—Copula函数、FrankCopula函数、ClaytonCopula函数以及Gum—belCopula函数模型,并且利用欧氏距离方法选择出最佳拟合Copula模型。选取2001年1月至2011年12月的月度数据作为处理对象,并利用最佳拟合模型分析宏观经济变量与上证股指收益率间相关关系及相关结构,从而揭示了中国宏观经济与股票市场之间的相关性。