Shrinkage Estimation Strategies in Generalised Ridge Regression Models: Low/High-Dimension Regime

In this study, we suggest pretest and shrinkage methods based on the generalised ridge regression estimation that is suitable for both multicollinear and high-dimensional problems. We review and develop theoretical results for some of the shrinkage estimators. The relative performance of the shrinkage estimators to some penalty methods is compared and assessed by both simulation and real-data analysis. We show that the suggested methods can be accounted as good competitors to regularisation techniques, by means of a mean squared error of estimation and prediction error. A thorough comparison of pretest and shrinkage estimators based on the maximum likelihood method to the penalty methods. In this paper, we extend the comparison outlined in his work using the least squares method for the generalised ridge regression.     

基于VAR模型的山东省经济增长波动分析

本文通过建立向量自回归模型,运用脉冲响应函数和预测方差分解的方法对山东省经济增长的波动情况进行了实证分析。研究结果表明:各变量对山东经济增长的影响均不太明显。这说明山东经济一直保持稳定快速发展的势头。     

Spatial modelling of claim frequency and claim size in non-life insurance

In this paper, models for claim frequency and average claim size in non-life insurance are considered. Both covariates and spatial random effects are included allowing the modelling of a spatial dependency pattern. We assume a Poisson model for the number of claims, while claim size is modelled using a Gamma distribution. However, in contrast to the usual compound Poisson model, we allow for dependencies between claim size and claim frequency. A fully Bayesian approach is followed, parameters are estimated using Markov Chain Monte Carlo (MCMC). The issue of model comparison is thoroughly addressed. Besides the deviance information criterion and the predictive model choice criterion, we suggest the use of proper scoring rules based on the posterior predictive distribution for comparing models. We give an application to a comprehensive data set from a German car insurance company. The inclusion of spatial effects significantly improves the models for both claim frequency and claim size, and also leads to more accurate predictions of the total claim sizes. Further, we detect significant dependencies between the number of claims and claim size. Both spatial and number of claims effects are interpreted and quantified from an actuarial point of view.     

No matter how it is measured, income declines with global warming

The contemporaneous relationship between temperature and income is important because it enables economists to estimate the economic impact of global warming without assuming a structural model. Until recently, empirical evidence generally suggests that there is a negative relationship between temperature and income, and, therefore, global warming has an adverse impact on economic activity. However, Nordhaus (2006) argues that the temperature-income relationship depends on how income is measured. We show in this paper that the results of Nordhaus (2006) may be due to an omitted-variable problem. Based on a well-motivated temperature-income model, we find that the relationship between temperature and income is not dependent on income measurement. Our regression results show that the adverse impact of an increase of 1 °C in temperature can be as much as a 3% decrease in total income for the G-7 nations. Therefore, our results suggest an aggressive climate mitigation policy.     

服务业发展与人均收入的关系:基于分位数回归的实证研究

利用118个国家和地区1980-2005年服务业发展和人均收入的非平衡面板数据,采用分量回归的方法,在Fuchs的基础上对两者的关系进行研究。结果发现,服务业就业比重和人均GDP之间存在着显著并且稳定的正相关关系,服务业就业比重随着人均GDP的增加逐渐提高,这与Fuchs研究结论相同;与Fuchs不同的是,本文通过分位数回归还可以看出人均GDP的需求效应在服务业发展的不同阶段的影响程度的变化。在服务业发展的较低阶段,人均GDP的需求效应对服务业发展的作用较大;在服务业发展的较高阶段,人均GDP的需求效应对服务业发展的作用相对较小。     

An Eastern and SME version of expatriate management: an empirical study of small and medium enterprises in Taiwan

This study, different from previous ‘individual level’ research, explored ‘company-level’ expatriate training, expatriation policies and the perceived willingness on the part of expatriates to take on an enhanced role in organizational performance. Based on data from 254 Taiwanese SMEs with foreign investments, an Eastern and SME version of expatriate management is presented. The most significant predictors of expatriate premature return and company sales are the ‘number of expatriates’ and ‘ratio of expatriates with managerial positions’. Companies that have a greater percentage of expatriates with spousal accompaniment experience more premature return while insufficient training explains lower company sales. Insights regarding regional expatriate differences and methodological implications are also elaborated.     

农户行为对农牧民收入影响初探--以西藏改则县为例

运用实地抽样调查数据,初步探讨改则县的农户行为与牧民收入的关系,分析了城郊改则镇牧民收入低于其它乡这一现象的主要原因：①由于区位优势,牧民试图寻求增收的捷径,而不安分于畜牧业的生产,导致草地的低效利用;②第三产业没有真正发展起来,发展导向没有与畜牧业相结合,而且由于缺乏管理技术和经验,第三产业的投入／产出比高,所以少数从事第三产业的农户并没有因此而提高家庭收入水平;③地处青藏高原,外出打工交通成本高,加上浓厚本土意识,牧民不愿意到外省打工,而本区就业机会少,劳动力廉价,所以劳务输出并没有成为牧民增收的有效途径;④牧民文化水平低,缺乏科学的生产技术,导致生产投入的利用效率低。     

股权分置改革受限股份流通次序

本文采用分量回归模型．具体研究国有股权对不同业绩水平上市公司影响程度的差异。结论表明．国有股权对公司业绩具有负面影响,且对不同业绩水平上市公司的影响程度存在明显差异．业绩越好的公司,国有股权带来的负面影响越严重。因此,基于市场承受能力的限制．从提高市场整体效率的角度出发．政府在股权分置改革第二阶段．安排受限股份上市流通时．应该考虑首先安排业绩好的上市公司的受限股份优先进入流通。实证分析结果还验证了现阶段我国市场上规模经济效应的存在。     

Financial stress,sovereign debt and economic activity in industrialized countries: Evidence from dynamic threshold regressions

We analyze how the impact of a change in the sovereign debt-to-GDP ratio on economic growth depends on the level of debt, the stress level on the financial market and the membership in a monetary union. A dynamic growth model is put forward demonstrating that debt affects macroeconomic activity in a non-linear manner due to amplifications from the financial sector. Employing dynamic country-specific and dynamic panel threshold regression methods, we study the non-linear relation between the growth rate and the debt-to-GDP ratio using quarterly data for sixteen industrialized countries for the period 1981Q1-2013Q2. We find that the debt-to-GDP ratio has impaired economic growth primarily during times of high financial stress and only for countries of the European Monetary Union and not for the stand-alone countries in our sample. A high debt-to-GDP ratio by itself does not seem to necessarily negatively affect growth if financial markets are calm.     

WHICH FISCAL MULTIPLIERS ARE REGIME‐DEPENDENT? A META‐REGRESSION ANALYSIS

We analyse whether estimated multiplier effects are systematically higher if the economy suffers a downturn. For that purpose, we conduct a meta‐regression analysis on a unique data set of 98 empirical studies with more than 1800 observations on multiplier effects and control for regime‐dependence of the multiplier. We find that spending multipliers are much higher (by about 0.7–0.9 units) during a downturn. Tax multipliers are not sensitive to the economic regime, and generally lower than spending multipliers. Finally, for all spending categories other than government consumption, the multiplier significantly exceeds one during downturns.