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.     

Friedman, Harsanyi, Rawls, Boulding – or somebody else? An experimental investigation of distributive justice

This paper investigates distributive justice using a fourfold experimental design: The ignorance and the risk scenarios are combined with the self-concern and the umpire modes. We study behavioral switches between self-concern and umpire mode and investigate the goodness of ten standards of behavior. In the ignorance scenario, subjects became, on average, less inequality-averse as umpires. A within-subjects analysis shows that about one half became less inequality-averse, one quarter became more inequality-averse and one quarter remained unchanged as umpires. In the risk scenario, subjects became on average more inequality-averse in their umpire roles. A within-subjects analysis shows that about half became more inequality-averse, one quarter became less inequality-averse, and one quarter remained unchanged as umpires. As to the standards of behavior, several prominent ones (leximin, leximax, Gini, Cobb-Douglas) were not supported, while expected utility, Boulding’s hypothesis, the entropy social welfare function, and randomization preference enjoyed impressive acceptance. For the risk scenario, the tax standard of behavior joins the favorite standards of behavior.Financial Support of the European Commission under TMR Contract No. ERBFMRXCT98-0248 is gratefully acknowledged. We are indebted to Serge-Christophe Kolm, Alf Erling Risa, Peter Zweifel, two anonymous referees and an editor of Social Choice and Welfare for helpful comments. We thank Marc Paolella for improving our English writing style. The usual disclaimer applies. The experimental data can be obtained from the authors (e-mail: traub@bwl.uni-kiel.de).     

ADJUSTMENT TO PRODUCTION UNCERTAINTY AND THE THEORY OF THE FIRM: A COMMENT

This paper reconsiders the model presented by Flacco and Kroetch [1986]. It shows that with additive technological uncertainty the firm will produce and contract to sell the same output as under certainty. When the Flacco/Kroetch model is generalized to allow the firm to select contract commitments and planned output ex ante, no simple comparisons with certainty are possible. These results are broadly consistent with those obtained by Mills [1959; 1962] for demand uncertainty.     

The capacity to parent: A self psychological approach to parent—child psychotherapy

Clinicians who work with dysfunctional parent-child relationships face the dilemma of evaluating and effectively treating the psychopathology of parenting, which is often elusive and difficult to extrapolate from behavioral reports or social statistics alone. Fundamental concepts of the self psychological theory of development, particularly empathy and the self-selfobject matrix, are especially useful for elucidating the complexities of parenting because they explain the psychological components of the interaction as well as its intrapsychic significance. These concepts will be applied to the process of parent-child psychotherapy. A case is presented to illustrate the explanatory advantages of a self psychological conceptualization.This work was conducted while both authors were employed as CoDirectors, Infant Development Project at the Juvenile Protective Association, Chicago, Illinois.The Infant Development Project is funded by a grant from the Kate Maremont foundation, Chicago, Illinois.     

Mortality and fertility in Arctic Communities Greenland - A case study

Summary The purpose of this paper is to estimate the present level of mortality and fertility as well as its history amongst the indigenous population of Greenland during the period 1834-1953 on the basis of a series of censuses taken during that time. Mortality and fertility parameters have been estimated by techniques particularly suited for the analysis of incomplete demographic data - e.g. stable population analysis. During the period studied Greenland was a Danish colony. It did not become constitutionally part of Denmark until 1953. The paper shows that even though the importance of Danish - and other European - influence should not be underestimated, the socio-economic structure of Greenland was relatively stable until 1953. The results show an extremely high mortality and a correspondingly high fertility. There is also evidence that mortality fluctuated considerably during the period. This might also be true of fertility, but it is impossible to establish this by means of the techniques used. These results are supported by an analysis of registrations of births and deaths for part of the period. The paper concludes with an evaluation of the validity of the techniques of estimation, having regard to the nature of the Greenland censuses. It is pointed out that the empirical material from which model stable populations must have been constructed varies somewhat from that applicable to an Arctic population.     

Bayesian spatio‐temporal models based on discrete convolutions

Abstract: The authors consider a class of models for spatio‐temporal processes based on convolving independent processes with a discrete kernel that is represented by a lower triangular matrix. They study two families of models. In the first one, spatial Gaussian processes with isotropic correlations are convoluted with a kernel that provides temporal dependencies. In the second family, AR(p) processes are convoluted with a kernel providing spatial interactions. The covariance structures associated with these two families are quite rich. Their covariance functions that are stationary and separable in space and time as well as time dependent nonseparable and nonisotropic ones.     

Berry esséen type bounds for nonlinear models

Berry Esséen type bounds for the distribution of the nonlinear least-squares estimator as well as of a certain statistic useful for testing a hypothesis on a subset of the parameter vector are derived.