ON THE FIRST–ORDER EFFICIENCY AND ASYMPTOTIC NORMALITY OF MAXIMUM LIKELIHOOD ESTIMATORS OBTAINED FROM DEPENDENT OBSERVATIONS

Abstract. In this paper we study the first–order efficiency and asymptotic normality of the maximum likelihood estimator obtained from dependent observations. Our conditions are weaker than usual, in that we do not require convergences in probability to be uniform or third–order derivatives to exist.
The paper builds on Witting and Nolle's result concerning the asymptotic normality of the maximum likelihood estimator obtained from independent and identically distributed observations, and on a martingale theorem by McLeish.     

On exact D-optimal designs with 2 two-level factors and n autocorrelated observations

In this paper we consider the exact D-optimal designs for estimation of the unknown parameters in the two factors, each at only two-level, main effects model with autocorrelated errors. The vector of the n random errors in the observed responses is assumed to follow a first-order autoregressive model (AR(1)). The exact D-optimal designs seek the optimal combinations of the design levels as well as the optimal run orders, so that the determinant of the information matrix of BLUEs for the unknown parameters is maximized. Bora-Senta and Moyssiadis (1999) gave some conjectures about the exact D-optimal designs based on their experience of several exhaustive searches. In this paper their conjectures are partially proved to be true.Received: January 2003 / Accepted: October 2003Partially supported by the National Science Council of Taiwan, R.O.C. under grant NSC 91-2115-M-008-013.Supported in part by the National Science Council of Taiwan, R.O.C. under grant NSC 89-2118-M-110-003.     

An application of data envelopment analysis to evaluate the efficiency level of the operational cost of Brazilian electricity distribution utilities

This paper shows efficiency indices for 60 Brazilian electricity distribution utilities. The efficiency scores are gauged by three DEA models. For both models, these quantities are evaluated under different contexts. One treats with respect to the regulator perspective. The others examine an alternative approach based on cluster analysis and restrictions on factor weights. It is worth pointing out that these developments can reduce the information asymmetry and improve the regulator's skill to compare the performance of the utilities, a fundamental in incentive regulation schemes.     

中国机构投资者投资分散不足的实证检验——以基金公司为例

从目前各个国家和地区的投资实践来看,大量证据显示,投资者并没有按照标准化的投资组合模型去分散投资,而是表现出明显的“投资分散不足”。文章以基金公司作为机构投资者的代表,对我国投资市场上投资的分布状况进行了研究,证实了在我国的金融市场上投资分散不足现象也是存在的。     

过度金融化产生的道德风险

从更为宏观和历史的眼光看,这次美国金融危机是全球经济过度金融化的后果。所谓金融化,即经济活动的重心从产业部门转向金融部门,集中到金融资产的管理、流动和增值上来,金融资产的增长速度超过甚至远远高于实体经济的发展速度。以美国为例,依托于房地产、股票和债券等金融资产炒作的产业在GDP中的占比从1950年的11．3%上升到2007年的20．67％。     

再谈内需不足的问题

国内有效需求不足,是当前阻碍我国经济快速发展的重要因素。造成内需不足的原因是多方面的,不少专家学者也提出了很多解决问题的办法和措施。试图从市场供求关系方面来分析造成内需不足的结构性因素,并寻求缓解问题的根本性途径。     

基于"制度荒"和"权益荒"的"民工荒"研究

由户籍制度和社会保障制度等多种制度上的欠缺形成的"制度荒"是导致"民工荒"的根本原因,而由农民工合法权益的现实缺失形成的"权益荒"则是出现"民工荒"的直接原因.要深化户籍制度改革,促进城乡融合;完善农民工社会保障体系,确保农民工权益;加强劳动执法监督力度,并弥补《劳动法》相关规定;摆正政府地位,实现政府的有效监管;设立社会中间层,缓和农民工与政府和市场之间的矛盾.     

我国家庭支出阶段性、代际支出循环和消费不足

在生命周期理论、永久收入理论以及预防性储蓄理论的基础上考虑中国深刻的家庭观念,表现为代际之间在经济行为上的利他性,以及现阶段每代人基本相似的大额支出项目,提出了阶段性支出和代际支出循环的概念。并在这两个概念的基础上分析了我国家庭的收支行为以及资产价格、收入和消费率的关系,从新的视角解释了我国消费不足问题,并提出进一步的改革方向。     

激励不足：下岗失业人员小额担保贷款的运行壁垒

小额担保贷款是促进再就业的有效途径之一,但由于其在运行中贷款对象的经营能力与贷款期限的不对称,贷款人的收益与风险的不对称,担保机构的责任与收益不对称,使得三个利益主体都存在激励不足,小额担保贷款在很多地区没能发挥预期作用。针对这一现象,文章作者提出相应的对策以促进小额担保贷款业务的开展,进而从根本上发挥其促进再就业的作用．     

OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES

We consider optimal consumption and portfolio investment problems of an investor who is interested in maximizing his utilities from consumption and terminal wealth subject to a random inflation in the consumption basket price over time. We consider two cases: (i) when the investor observes the basket price and (ii) when he receives only noisy observations on the basket price. We derive the optimal policies and show that a modified Mutual Fund Theorem consisting of three funds holds in both cases. The compositions of the funds in the two cases are the same, but in general the investor's allocations of his wealth into these funds will differ. However, in the particular case when the investor has constant relative risk-aversion (CRRA) utility, his optimal investment allocations into these funds are also the same in both cases.