Estimating the grid of time-points for the piecewise exponential model

One of the greatest challenges related to the use of piecewise exponential models (PEMs) is to find an adequate grid of time-points needed in its construction. In general, the number of intervals in such a grid and the position of their endpoints are ad-hoc choices. We extend previous works by introducing a full Bayesian approach for the piecewise exponential model in which the grid of time-points (and, consequently, the endpoints and the number of intervals) is random. We estimate the failure rates using the proposed procedure and compare the results with the non-parametric piecewise exponential estimates. Estimates for the survival function using the most probable partition are compared with the Kaplan-Meier estimators (KMEs). A sensitivity analysis for the proposed model is provided considering different prior specifications for the failure rates and for the grid. We also evaluate the effect of different percentage of censoring observations in the estimates. An application to a real data set is also provided. We notice that the posteriors are strongly influenced by prior specifications, mainly for the failure rates parameters. Thus, the priors must be fairly built, say, really disclosing the expert prior opinion.     

Modeling interest rate cycles in India

The present study tries to examine the behaviour of various Indian interest rates such as call money rate, and yields on secondary market securities with maturity periods of 15–91 days, 1-year, 5-years and 10-years. In the first stage, the study investigates the determinants of interest rates and finds that although the interest rates depend on some domestic macroeconomic variables such as yield spread and expected exchange rate, they are mainly affected by the movements of international interest rates, although with some lags. The policy variables such as Bank Rate and Federal Funds Rate did not show any significant impact on any of the interest rates. Further, it was found that the interest rates in the very recent period show some cyclical movements similar to that of the developed countries. Future behaviour of interest rates show that the present cycle of each interest rate would peak at different time points. This expected behaviour in domestic interest rates could be due to the integration of the domestic economy with the international money and financial market. This trend may be same in most of the emerging economies of Asia.     

HOW LARGE ARE SEARCH FRICTIONS?

This paper shows that we can normalize job and worker characteristics so that, without frictions, there exists a linear relationship between wages on the one hand and worker and job type indices on the other. However, for five European countries and the United States we find strong evidence for a systematic concave relationship. An assignment model with search frictions provides a parsimonious explanation for our findings. This model yields two restrictions on the coefficients that fit the data well. Allowing for unobserved heterogeneity and measurement error, we find that reservation wages are 25% lower than they would be in a frictionless world. Our results relate to the literature on industry wage differentials and on structural identification in hedonic models. (JEL: J210, J300, J600, J230)     

Tests for assessment of agreement using probability criteria

For the assessment of agreement using probability criteria, we obtain an exact test, and for sample sizes exceeding 30, we give a bootstrap-t$t$ test that is remarkably accurate. We show that for assessing agreement, the total deviation index approach of Lin [2000. Total deviation index for measuring individual agreement with applications in laboratory performance and bioequivalence. Statist. Med. 19, 255–270] is not consistent and may not preserve its asymptotic nominal level, and that the coverage probability approach of Lin et al. [2002. Statistical methods in assessing agreement: models, issues and tools. J. Amer. Statist. Assoc. 97, 257–270] is overly conservative for moderate sample sizes. We also show that the nearly unbiased test of Wang and Hwang [2001. A nearly unbiased test for individual bioequivalence problems using probability criteria. J. Statist. Plann. Inference 99, 41–58] may be liberal for large sample sizes, and suggest a minor modification that gives numerically equivalent approximation to the exact test for sample sizes 30 or less. We present a simple and accurate sample size formula for planning studies on assessing agreement, and illustrate our methodology with a real data set from the literature.     

DIALOGUES OF THE NATIONS: Revisiting Visions and Its Critics

Critics of Visions in this symposium raise three general questions. The question of inclusiveness is addressed by linking pertinent criteria to the book's aims; that of justifying national traditions by reviewing pertinent evidence; and that of the viability of dialogue by arguing that responsive communication does not entail full agreement. A number of particular issues the critics raise are addressed by the book's arguments regarding the relation of the discipline of sociology to its philosophical background, the international setting of early sociology, Durkheim's individualism, Weber's distinction between naturalism and interpretability, Marx's treatment of Feuerbach and of nationalism, and the relation between power and knowledge. This response concludes by explicating the proposal that the time may be ripe to rejoin a number of the elements of Aristotelian social science that had been delegated to various national traditions of social theory in the modern era.     

开放式创新条件下企业创新资源获取机制的拓展——基于Teece理论框架的改进

以TEECE创建的技术创新资源获取机制理论框架为研究起点,进行了开放式创新背景下的拓展。根据其对技术资源与商业化资源的划分,运用"占有机制"与"合约交易"2个关键变量,分别揭示在封闭式创新模式向开放式创新模式转变过程中,创新资源获取机制本质由创新资源控制权拓展为创新资源联合共享,具体表现为2个方面:一是技术资源占有机制由正式制度拓展为正式制度与非正式制度的集合,从而其作用机理从环境决定的外生变量,拓展为企业内生性的战略选择;二是商业化资源交易契约从合约交易拓展为合约交易与嵌入式交易。     

Private Ownership versus Institutional Ownership: Exclusion Pricing of Initial Public Offerings

The authors examine the literature with respect to the pricing of initial public offerings and focus upon the relationship of pricing to the structure and conduct of the investment banking industry. Using a data base of all share offerings undertaken in the United States over a two and a half year period, the authors find that there is considerable evidence for the proposition that large, prestigious, and well capitalised investment banks tend to price their share offerings at a higher absolute level than those not meeting such characteristics. Using classical statistical methods, the authors find that the pricing strategy of investment banks is connected to their affiliation with investment funds and unit trusts. The motives for such pricing strategies, the authors argue, lie with the affiliation of investment banks with investment funds, suggesting that the pricing of new share offerings may be a means of excluding retail investors from participating in the strong returns such issues exhibit. The authors raise legal and regulatory implications of their findings in the context of the general consolidation observed within the investment banking industry. This revised version was published online in July 2006 with corrections to the Cover Date.     

PSYCHOLOGICAL DETERMINANTS OF BOUNDED RATIONALITY: IMPLICATIONS FOR DECISION-MAKING STRATEGIES

In this paper the implications of cognitive strain for decision-making effectiveness are explored. Literature concerning the psychological processes of decisionmakers which underlie the operation of cognitive strain and which predispose them to the effects of cognitive strain, is reviewed. Next, the impact of cognitive strain on narrowly constraining or “bounding” rational decision-making is examined, and the choice strategies of satisficing and incrementalizing are criticized as failing to broaden the bounds of rational decision-making. Finally, elements of an eclectic choice strategy designed to assist decision-makers handle the informational demands of complex decision problems are discussed.     

Evaluation case histories as a parallel to legal case histories: Accumulating knowledge and experience in the evaluation profession

Legal case histories are a basic and essential part of the law. It is proposed that evaluation case histories would be valuable to the evaluation profession in that they would serve both to accumulate knowledge and experience and as examples of how to do evaluations. Part I of the paper is a discussion of the nature, place and use of case histories in law. The format of a reported case, the use of cases by attorneys and how case decisions are reported and categorized are also discussed. Part II of the paper tries to envision the nature and use of evaluation case histories as a parallel to legal case histories. Matters discussed include the possible function and use of evaluation case histories, the difference between an evaluation report and an evaluation case history, information an evaluation case history could contain, and how case histories might be reported and categorized.     

Estimation of the parameters of symmetric stable ARMA and ARMA–GARCH models

In this article, we first propose the modified Hannan–Rissanen Method for estimating the parameters of autoregressive moving average (ARMA) process with symmetric stable noise and symmetric stable generalized autoregressive conditional heteroskedastic (GARCH) noise. Next, we propose the modified empirical characteristic function method for the estimation of GARCH parameters with symmetric stable noise. Further, we show the efficiency, accuracy and simplicity of our methods with Monte-Carlo simulation. Finally, we apply our proposed methods to model the financial data.