A general class of additively decomposable inequality measures

Summary. This paper presents and characterizes a two-parameter class of inequality measures that contains the generalized entropy measures, the variance of logarithms, the path independent measures of Foster and Shneyerov (1999) and several new classes of measures. The key axiom is a generalized form of additive decomposability which defines the within-group and between-group inequality terms using a generalized mean in place of the arithmetic mean. Our characterization result is proved without invoking any regularity assumption (such as continuity) on the functional form of the inequality measure; instead, it relies on a minimal form of the transfer principle – or consistency with the Lorenz criterion – over two-person distributions. Received: October 27, 1997; revised: March 25, 1998     

Monitoring the cross-covariances of a multivariate time series

In this paper sequential procedures are proposed for jointly monitoring all elements of the covariance matrix at lag 0 of a multivariate time series. All control charts are based on exponential smoothing. As a measure of the distance between the target values and the actual values the Mahalanobis distance is used. It is distinguished between residual control schemes and modified control schemes. Several properties of these charts are proved assuming the target process to be a stationary Gaussian process. Within an extensive Monte Carlo study all procedures are compared with each other. As a measure of the performance of a control chart the average run length is used. An empirical example about Eastern European stock markets illustrates how the autocovariance and the cross-covariance structure of financial assets can be monitored by these methods.     

关于常微分方程教学探索

常微分方程是高等教育的核心基础课程的一部分重要内容,是进一步学习泛函分析,偏微分方程,稳定性理论和控制论等方向的入门学科,具有很强的理论性与应用性的背景,因此,对该部分的教学的教师有责任进行教学设计与探索,以期取得令人满意的教学效果。     

On solving bias‐corrected non‐linear estimation equations with an application to the dynamic linear model

In a seminal paper, Mak, Journal of the Royal Statistical Society B, 55, 1993, 945, derived an efficient algorithm for solving non‐linear unbiased estimation equations. In this paper, we show that when Mak's algorithm is applied to biased estimation equations, it results in the estimates that would come from solving a bias‐corrected estimation equation, making it a consistent estimator if regularity conditions hold. In addition, the properties that Mak established for his algorithm also apply in the case of biased estimation equations but for estimates from the bias‐corrected equations. The marginal likelihood estimator is obtained when the approach is applied to both maximum likelihood and least squares estimation of the covariance matrix parameters in the general linear regression model. The new approach results in two new estimators when applied to the profile and marginal likelihood functions for estimating the lagged dependent variable coefficient in the dynamic linear regression model. Monte Carlo simulation results show the new approach leads to a better estimator when applied to the standard profile likelihood. It is therefore recommended for situations in which standard estimators are known to be biased.     

多边贷款是否促进了公共投资

自中国恢复世行成员国合法席位以来,多边贷款一直是我国公共投资的重要来源,它占公共投资的比例最高达到27%,平均8.6%,累计金额已达数百亿美元.这些贷款是促进了中国的公共投资水平,还是提高了政府消费,又或者降低了税收,这方面的评价研究很少.本文在宏观经济学的相关理论和模型基础上建立起一套Cowles Commission结构方程组,分别利用1978～2001年的国家和省级两层数据,对上述问题进行了评价.我们的计量分析结果表明,多边贷款并没有促进公共投资的增长,反而降低了税收,提高了政府消费水平.这种影响不同地区是有差异的.总的来看,这种传统意义上的消极影响没有波及私人投资和经济增长.     

Equilibrium uniqueness with perfect complements

The present note analyzes the simultaneous ascending-bid auction with arbitrarily many asymmetric bidders with decreasing marginal valuations under complete information. We show that the game is solvable by iterated elimination of weakly dominated strategies if the efficient allocation assigns at least one unit to every player and if bid increments are sufficiently small. In that unique equilibrium, bidders immediately reduce their demand to the efficient allocation, and the auction ends in the first round of bidding.We would like to thank seminar participants at UC Davis, in particular Klaus Nehring and Louis Makowski for comments. Financial support by the Alexander–von–Humboldt Foundation through a Feodor–Lynen grant and by the Deutsche Forschungsgemeinschaft, SFB Transregio 15, “Governance and Efficiency of Economic Systems” is gratefully acknowledged.     

Boussinesq方程的二阶椭圆余弦驻波解

等深浅水域中的流体运动可由Boussinesq方程描述。众所周知,该方程有行进波解（孤立波及椭圆余弦波）。本文则以Boussinesq方程为控制方程,利用渐近匹配法对椭圆余弦波在直墙上反射进行研究,给出了反射过程中内、外场波形及速度变化的解析表达,从而得到了Boussinesq方程的二阶椭圆余弦驻波型的解析解,并讨论了这类驻波的若干性质。当波长无限增大时,所得解析解收敛于孤立波的情况。这些解析结果不仅有助于揭示岸坡对非线性浅水波影响的力学机理,在海岸防护和开发和岸壁附近结构物的设计条件等工程领域中也具有现实的指导意义。     

Falling Wage Shares in Europe and the United States: How Important is Aggregation Bias?

This paper sheds light on the importance of aggregation bias in the analysis of wage shares developments over time and across countries. We focus on five European countries and the United States and show that the trend decline in the aggregate wage share observed in these countries over much of the 1980s and 1990s partly reflects changes in the sectoral composition of the economy. The application of a fixed-weight aggregation method changes the profile of the observed wage share in a significant way: in particular there is no longer sign of an overshooting of the wage share levels of the early-1970s. Error-correction wage equations based on the adjusted wage shares generally have a better regression fit and show long-run elasticities of real wages to unemployment that vary less across countries and are substantially lower than those obtained with observed shares.     

THE EIGENFUNCTION EXPANSION METHOD IN MULTI-FACTOR QUADRATIC TERM STRUCTURE MODELS

We propose the eigenfunction expansion method for pricing options in quadratic term structure models. The eigenvalues, eigenfunctions, and adjoint functions are calculated using elements of the representation theory of Lie algebras not only in the self-adjoint case, but in non-self-adjoint case as well; the eigenfunctions and adjoint functions are expressed in terms of Hermite polynomials. We demonstrate that the method is efficient for pricing caps, floors, and swaptions, if time to maturity is 1 year or more. We also consider subordination of the same class of models, and show that in the framework of the eigenfunction expansion approach, the subordinated models are (almost) as simple as pure Gaussian models. We study the dependence of Black implied volatilities and option prices on the type of non-Gaussian innovations.     

中国城市化与经济增长关系实证分析

利用中国1987-2008年的省际面板数据,结合联立方程和分布滞后模型,考察了中国城市化与经济增长之间的相互影响。研究发现:城市化与经济增长的相互促进作用在短期内存在;从累积效应来看,城市化对经济增长呈现显著的负面影响,同时经济增长对城市化也呈现显著的负面影响;从长期来看,中国的经济增长与城市化相互促进的良性循环机制并未形成。