Testing Hypotheses in Nonparametric Models of Production

Data envelopment analysis (DEA) and free disposal hull (FDH) estimators are widely used to estimate efficiency of production. Practitioners use DEA estimators far more frequently than FDH estimators, implicitly assuming that production sets are convex. Moreover, use of the constant returns to scale (CRS) version of the DEA estimator requires an assumption of CRS. Although bootstrap methods have been developed for making inference about the efficiencies of individual units, until now no methods exist for making consistent inference about differences in mean efficiency across groups of producers or for testing hypotheses about model structure such as returns to scale or convexity of the production set. We use central limit theorem results from our previous work to develop additional theoretical results permitting consistent tests of model structure and provide Monte Carlo evidence on the performance of the tests in terms of size and power. In addition, the variable returns to scale version of the DEA estimator is proved to attain the faster convergence rate of the CRS-DEA estimator under CRS. Using a sample of U.S. commercial banks, we test and reject convexity of the production set, calling into question results from numerous banking studies that have imposed convexity assumptions. Supplementary materials for this article are available online.     

Heterogeneous credit union production technologies with endogenous switching and correlated effects

Credit unions differ in the types of financial services they offer to their members. This article explicitly models this observed heterogeneity using a generalized model of endogenous ordered switching. Our approach captures the endogenous choice that credit unions make when adding new products to their financial services mix. The model that we consider also allows for the dependence between unobserved effects and regressors in both the selection and outcome equations and can accommodate the presence of predetermined covariates in the model. We use this model to estimate returns to scale for U.S. retail credit unions from 1996 to 2011. We document strong evidence of persistent technological heterogeneity among credit unions offering different financial service mixes, which, if ignored, can produce quite misleading results. Employing our model, we find that credit unions of all types exhibit substantial economies of scale.     

中国商业银行盈利能力的实证分析

商业银行盈利能力的大小是衡量其效率高低的主要指标。近年来,理论界从商业银行的规模经济、成本效率来研究中国商业银行效率的文献较多,而对中国商业银行盈利能力的研究则较少。对中国14家商业银行1994-2003年期间的盈利能力进行财务指标对比分析,发现中国四大国有商业银行的ROE、ROA明显低于10家股份制商业银行;利用计量经济学方法对中国商业银行的盈利能力与市场结构、银行产权性质关系进行回归分析,结果发现中国商业银行的盈利能力与其存款市场份额、存款资产比之间存在负相关关系,与其银行产权性质存在正相关关系。因此,建立和完善中国商业银行法人治理结构是提高其盈利能力的关键。     

A Note on Capacity Utilization and Measurement of Scale Economies

This article investigates the measurement of returns to scale (RTS) via a cost function in the presence of quasi-fixed inputs. Caves, Christensen, and Swanson (CCS) proposed estimation of a variable-cost function and derived a formula for computing RTS from it. This article extends the CCS results by (a) investigating the bias that would result from erroneously using a total-cost function for measuring RTS, (b) indicating that the CCS procedure for measuring scale economies in the presence of quasi-fixed inputs is inconsistent for the case of nonhomothetic production technology, and (c) proposing an alternative procedure that allows one to evaluate RTS at long-run equilibrium points, even when firms in the sample are in disequilibrium. The similarity between this proposed method and the “temporary” equilibrium approach for measuring productivity growth is noted as well. The empirical results on RTS are compared among the three alternative methods (total-cost, CCS variable-cost, and proposed long-run equilibrium methods).     

Measuring and Decomposing Productivity Change

Measuring productivity change with Malmquist indices has become common practice, because they are easily computed using nonparametric programming techniques and can be readily decomposed into technical and efficiency change. However, this approach is nonstochastic and requires a constant returns to scale assumption to construct the reference technology. We propose estimating productivity change using a stochastic input distance frontier, imposing no restrictions on returns to scale. We derive the analogous decomposition of productivity change and develop a generalized method of moments strategy in which outputs or inputs may be endogenous. We compare two methods in an application to electric utilities.     

Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods

The non-Gaussian maximum likelihood estimator is frequently used in GARCH models with the intention of capturing heavy-tailed returns. However, unless the parametric likelihood family contains the true likelihood, the estimator is inconsistent due to density misspecification. To correct this bias, we identify an unknown scale parameter η_f that is critical to the identification for consistency and propose a three-step quasi-maximum likelihood procedure with non-Gaussian likelihood functions. This novel approach is consistent and asymptotically normal under weak moment conditions. Moreover, it achieves better efficiency than the Gaussian alternative, particularly when the innovation error has heavy tails. We also summarize and compare the values of the scale parameter and the asymptotic efficiency for estimators based on different choices of likelihood functions with an increasing level of heaviness in the innovation tails. Numerical studies confirm the advantages of the proposed approach.     

农民专业合作社规模经济和范围经济研究——基于山西省不同资产规模下的调研数据

采用广义超越对数成本函数模型及确定效应(Fix Period) SUR法,对山西省15个县市44家果蔬农民专业合作社的生产经营进行调研分析.为避免规模差异过大造成的异方差问题,以资产规模200万元为界,将样本合作社分成两组,分别计算其规模经济和范围经济.两组样本合作社总体上具有规模经济和范围经济,但特定产品规模经济(范围经济)各不相同,结论为:第一组样本合作社不能盲目扩大其规模,第二组相对具有竞争优势,各个多样化产出之间的联合生产能节约总成本.     

Flexible modeling of conditional distributions using smooth mixtures of asymmetric student t densities

A general model is proposed for flexibly estimating the density of a continuous response variable conditional on a possibly high-dimensional set of covariates. The model is a finite mixture of asymmetric student t densities with covariate-dependent mixture weights. The four parameters of the components, the mean, degrees of freedom, scale and skewness, are all modeled as functions of the covariates. Inference is Bayesian and the computation is carried out using Markov chain Monte Carlo simulation. To enable model parsimony, a variable selection prior is used in each set of covariates and among the covariates in the mixing weights. The model is used to analyze the distribution of daily stock market returns, and shown to more accurately forecast the distribution of returns than other widely used models for financial data.     

规模报酬不变还是递增？——来自中国以及五个OECD国家的实证分析

规模报酬不变还是规模报酬递增,往往是许多理论模型的研究假设前提。在一般的经济增长理论与模型基础上对规模报酬问题进行了分析,并对中国1978～2004年的规模报酬进行了检验,并采用PanelData模型检验了五个OECD国家的规模报酬问题。研究表明,规模报酬不变的假设前提将导致要素实际贡献额估计有偏。规模报酬不变的假设不适合分析现代经济发展,这也正是许多理论模型解释现实遇到困难的原因之一。     

Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution

Value at Risk (VaR) forecasts can be produced from conditional autoregressive VaR models, estimated using quantile regression. Quantile modeling avoids a distributional assumption, and allows the dynamics of the quantiles to differ for each probability level. However, by focusing on a quantile, these models provide no information regarding expected shortfall (ES), which is the expectation of the exceedances beyond the quantile. We introduce a method for predicting ES corresponding to VaR forecasts produced by quantile regression models. It is well known that quantile regression is equivalent to maximum likelihood based on an asymmetric Laplace (AL) density. We allow the density's scale to be time-varying, and show that it can be used to estimate conditional ES. This enables a joint model of conditional VaR and ES to be estimated by maximizing an AL log-likelihood. Although this estimation framework uses an AL density, it does not rely on an assumption for the returns distribution. We also use the AL log-likelihood for forecast evaluation, and show that it is strictly consistent for the joint evaluation of VaR and ES. Empirical illustration is provided using stock index data. Supplementary materials for this article are available online.     

基于面板数据的中国供电行业 规模收益分析

 公共事业企业的规模收益关系到政府监管策略的选择。近年有关中国电力行业运营规模与效率的研究主要集中在电力需求和电价调整方面，本文利用具有面板数据模型形式的成本函数，分析资本和劳动力要素投入对企业规模收益及经营效率的影响程度。主要结论是，电力供应机制的运行受劳动力因素的制约较大，企业规模收益呈递增趋势；劳动力价格对成本的长期影响明显大于短期。     

Quantile Plots,Partial Orders,and Financial Risk

Quantile-quantile plots are most commonly used to compare the shapes of distributions, but they may also be used in conjunction with partial orders on distributions to compare the level and dispersion of distributions that have different shapes. We discuss several easily recognized patterns in quantile-quantile plots that suffice to demonstrate that one distribution is smaller than another in terms of each of several partial orders. We illustrate with financial applications, proposing a quantile plot for comparing the risks and returns of portfolios of investments. As competing portfolios have distributions that differ in level, dispersion, and shape, it is not sufficient to compare portfolios using measures of location and dispersion, such as expected returns and variances; however, quantile plots, with suitable scaling, do aid in such comparisons. In two plots, we compare specific portfolios to the stock market as a whole, finding these portfolios to have higher returns, greater risks or dispersion, thicker tails than their greater dispersion alone would justify. Nonetheless, investors in these risky portfolios are more than adequately compensated for the risks undertaken.     

中国生猪养殖业规模化影响因素研究

在中国农业产业中,养殖业率先进入规模化发展阶段。基于1998-2011年省际面板数据,运用FGLS法考察生猪养殖规模化的决定因素,发现技术进步、规模经济效益、饲料加工业发育、城乡猪肉消费、交通条件、劳动力非农化、劳动力文化水平以及财政支持政策对规模化具有显著影响。进一步利用回归分解法识别关键因子,结果表明,规模化发展主要取决于四股力量,其中市场拉力是主要的源动力,而交通条件和劳动力文化素质则是重要支撑力,生产扶持政策也形成一定推力,四者的贡献率分别为27%、19%、10%和3%。     

金融机构尾部风险溢出效应———基于改进非对称CoVaR模型的研究

为准确度量我国金融机构对金融系统的尾部风险溢出,本文改进了基于CoVaR 方法的分位数回归模型。基于极值理论和ARMA-GARCH模型拟合收益率边缘分布,构建了改进的非对称CoVaR模型,从系统性金融风险贡献绝对值(△CoVaR)和相对值(%CoVaR)两方面详细考察了2002年7月1日至2018年12月28日我国42家上市金融机构的尾部风险溢出效应。结果表明:在q=0.01的情况下,不同类型金融机构对金融市场的系统性金融风险贡献有显著差异,银行类与保险类机构的系统性金融风险值得重点关注;金融机构的系统性金融风险贡献相对值与在险价值存在显著联系,自身风险最低的银行类机构具有最大的风险溢出强度,是我国系统性金融风险防范的核心对象,尤其是国有控股银行。研究结论对于有效防范我国系统性金融风险具有重要的理论价值和现实意义。     

人力资本投资的社会收益估算

人力资本的社会收益是各国政治家、经济学家和发展战略家都十分关注的问题,但由于人力资本的不可触摸性、投资和收益的长期性,及其数据支撑的缺乏性,我国并未对此问题展开卓有成效的实证研究。本文从人力资本价值估算的成本法和收入法寻找到新的数据来源支撑人力资本社会收益估算,并将内部收益率法和净现值结合,修正了内部收益率法,提出了"差分回报"计算人力资本社会收益的方法。估算了1995-2009年全国及代表性省份的人力资本收益总额及其收益率水平。结果表明,15年来全国及各省份人力资本投资收益额只有小幅增长,而收益率则呈下降趋势,全国及代表省份人力资本投资收益额与GDP之比的下降幅度更为显著。     

基于SFA的中国银行业成本效率实证研究

本文基于随机边界模型,假定成本误差项服从截断正态分布的前提下,估算我国18家银行2001-2007年的成本效率。结果显示我国商业银行成本效率总体偏低,经营绩效落后于美国银行业,且在观测期内没有明显改善;样本银行成本效率与资产规模等因素没有显著联系,国有银行平均效率水平与股份制银行大致持平,均低于合资银行;各银行成本效率随时间推移而趋同,集中化趋势明显。     

Power-law scaling behavior analysis of financial time series model by voter interacting dynamic system

We investigate the power-law scaling behaviors of returns for a financial price process which is developed by the voter interacting dynamic system in comparison with the real financial market index (Shanghai Composite Index). The voter system is a continuous time Markov process, which originally represents a voter's attitude on a particular topic, that is, voters reconsider their opinions at times distributed according to independent exponential random variables. In this paper, the detrended fluctuation analysis method is employed to explore the long range power-law correlations of return time series for different values of parameters in the financial model. The findings show no indication or very weak long-range power-law correlations for the simulated returns but strong long-range dependence for the absolute returns. The multiplier distribution is studied to demonstrate directly the existence of scale invariance in the actual data of the Shanghai Stock Exchange and the simulation data of the model by comparison. Moreover, the Zipf analysis is applied to investigate the statistical behaviors of frequency functions and the distributions of the returns. By a comparative study, the simulation data for our constructed price model exhibits very similar behaviors to the real stock index, this indicates somewhat rationality of our model to the market application.     

Forecast Combination Across Estimation Windows

In this article we consider combining forecasts generated from the same model but over different estimation windows. We develop theoretical results for random walks with breaks in the drift and volatility and for a linear regression model with a break in the slope parameter. Averaging forecasts over different estimation windows leads to a lower bias and root mean square forecast error (RMSFE) compared with forecasts based on a single estimation window for all but the smallest breaks. An application to weekly returns on 20 equity index futures shows that averaging forecasts over estimation windows leads to a smaller RMSFE than some competing methods.     

Bayesian density regression for discrete outcomes

We develop Bayesian models for density regression with emphasis on discrete outcomes. The problem of density regression is approached by considering methods for multivariate density estimation of mixed scale variables, and obtaining conditional densities from the multivariate ones. The approach to multivariate mixed scale outcome density estimation that we describe represents discrete variables, either responses or covariates, as discretised versions of continuous latent variables. We present and compare several models for obtaining these thresholds in the challenging context of count data analysis where the response may be over‐ and/or under‐dispersed in some of the regions of the covariate space. We utilise a nonparametric mixture of multivariate Gaussians to model the directly observed and the latent continuous variables. The paper presents a Markov chain Monte Carlo algorithm for posterior sampling, sufficient conditions for weak consistency, and illustrations on density, mean and quantile regression utilising simulated and real datasets.     

中国商业银行规模经济与技术进步效应实证研究

运用超越对数成本函数对中国四大国有商业银行和10家股份制商业银行的总体规模经济、特定产品的规模经济及技术进步效应进行了实证研究,结果发现四大国有商业银行存在轻微的总体规模不经济、特定产品存在规模经济,10家股份制商业银行存在总体规模经济和特定产品规模经济;技术进步对降低14家商业银行成本具有比较显著的作用。首次对中国商业银行的规模经济与产权性质进行了回归分析,发现其规模经济系数与产权性质呈负相关关系。