Production Frontiers and Panel Data

Value at risk (VaR) is the standard measure of market risk used by financial institutions. Interpreting the VaR as the quantile of future portfolio values conditional on current information, the conditional autoregressive value at risk (CAViaR) model specifies the evolution of the quantile over time using an autoregressive process and estimates the parameters with regression quantiles. Utilizing the criterion that each period the probability of exceeding the VaR must be independent of all the past information, we introduce a new test of model adequacy, the dynamic quantile test. Applications to real data provide empirical support to this methodology.     

Successes,Failures and Prospects for the Common Transport Policy

The paper reviews the development of the Common Transport Policy from a historical perspective and assesses its successes and failures as measured by its direct outputs, i.e. the regulatory, economic and other measures established to achieve its objectives. Despite significant progress with regard to the removal of barriers to competition either through positive regulation - the harmonization of social and technical standards - or through negative regulation - the liberalization and harmonization of the criteria for market access - several problems remain and solutions are outstanding with regard to the main challenges posed by sustainable mobility, namely environmental protection and social cohesion. In relevant action areas the Common Transport Policy is reluctant about following through as strict a regime of policy formulation and implementation as that adopted with regard to market-access-related regulations since 1985. The main reason, the authors argue, has to do with the implications of this for national sovereignty and for subsidiarity as currently interpreted. In the absence of a suitable regulatory framework the approach taken is that of negotiation and incremental improvement. Whether this is appropriate to the challenges faced remains an open question.     

Attitudes towards foreigners and Jews in Germany: identifying the determinants of xenophobia in a large opinion survey

The ultimate aim of opinion surveys is the provision of information on the distribution of preferences and perceptions at the individual level. Yet, eliciting this information from the data is typically difficult. This paper uses a structural model to explain the answers on a set of questions regarding the perception of foreigners and Jews by native Germans. In this model it is assumed that in addition to observable individual characteristics there exists an underlying unobserved attitude towards minorities which drives the distribution of answers by native respondents. This latent variable in turn is assumed to be influenced by a set of observable socio-economic characteristics of the individuals. In order to estimate this model it is necessary to impose strong identification restrictions. Estimation results show that education is the key correlate of the perception of foreigners and Jews in Germany.     

Reconsidering the common ratio effect: the roles of compound independence,reduction, and coalescing

Common ratio effects should be ruled out if subjects’ preferences satisfy compound independence, reduction of compound lotteries, and coalescing. In other words, at least one of these axioms should be violated in order to generate a common ratio effect. Relying on a simple experiment, we investigate which failure of these axioms is concomitant with the empirical observation of common ratio effects. We observe that compound independence and reduction of compound lotteries hold, whereas coalescing is systematically violated. This result provides support for theories which explain the common ratio effect by violations of coalescing (i.e., configural weight theory) instead of violations of compound independence (i.e., rank-dependent utility or cumulative prospect theory).     

Subset Selection in Linear Regression using Sequentially Normalized Least Squares: Asymptotic Theory

This article examines the recently proposed sequentially normalized least squares criterion for the linear regression subset selection problem. A simplified formula for computation of the criterion is presented, and an expression for its asymptotic form is derived without the assumption of normally distributed errors. Asymptotic consistency is proved in two senses: (i) in the usual sense, where the sample size tends to infinity, and (ii) in a non‐standard sense, where the sample size is fixed and the noise variance tends to zero.     

A minimum variance adaptive technique for parameter estimation and hypothesis testing

This report presents numerical results of an approach for parameter estimation and hypothesis testing that does not rely on specific assumptions about the underlying distribution of errors in the measured data. This approach combines robust estimation procedures, the bootstrap method for estimation of parameter uncertainties, permutation techniques for hypothesis testing, and adaptive approaches to estimation in order to obtain the minimum variance estimator or test statistic (within a predefined class) for the data under consideration. The technique produces efficient estimators of central tendency and powerful test statistics, even for small sample sizes. (Portions of this work have been presented in preliminary form (Turkheimer et al., 1996)).     

Gender Mainstreaming: An Assessment of Its Conceptual Value for Gender Equality

Evaluations of gender mainstreaming show that there has been limited change to gender equality and it has been very fragmented across EU countries. Therefore, the purpose of this article is to evaluate the heuristic and conceptual value of the term gender mainstreaming as a metaphor for gender equality. Our results from applying an image‐schematic model of metaphor evaluation show that gender mainstreaming represents a nonsensical metaphor for gender equality. We conclude with recommendations for reconceptualizing gender mainstreaming.