Threshold Cointegration and the PPP Hypothesis

Self-Exciting Threshold Autoregressive (SETAR) models are a non-linear variant of conventional linear Autoregressive (AR) models. One advantage of SETAR models over conventional AR models lies in its flexible nature in dealing with possible asymmetric behaviour of economic variables. The concept of threshold cointegration implies that the Error Correction Mechanism (ECM) at a particular interval is inactive as a result of adjustment costs, and active when deviations from equilibrium exceed certain thresholds. For instance, the presence of adjustment costs can, in many circumstances, justify the fact that economic agents intervene to recalibrate back to a tolerable limit, as in the case when the benefits of adjustment are superior to its costs. We introduce an approach that accounts for potential asymmetry and we investigate the presence of the relative version of the purchasing power parity (PPP) hypothesis for 14 countries. Based on a threshold cointegration adaptation of the unit root test procedure suggested by Caner & Hansen (2001), we find evidence of an asymmetric adjustment for the relative version of PPP for eight pairs of countries.     

Efficiency of a Linear Combination of the Median and the Sample Mean: The Double Truncated Normal Distribution

Abstract.  We characterize all symmetric location models for which a linear combination of the median and the sample mean is an asymptotically efficient estimator of the location parameter. The resulting model can be understood as a symmetrized or double truncated normal distribution. A simple algorithm to estimate the parameters is given and an application is presented.     

Sexual modes questionnaire: Measure to assess the interaction among cognitions,emotions, and sexual response

The goal of the present article is to present a new measure developed to assess cognitive and emotional factors of sexual function. This instrument was developed especially to test some hypotheses derived from Beck's new theoretical conceptualization (the modes theory; A. T. Beck, 1996). This model, characterized by its systemic and integrated approach, constitutes a remarkable development from a linear to a network perspective of the cognitive‐emotional‐behavioral processes. The new concept of mode, as a composite of schemas (cognitive, emotional, and behavioral) interacting together, is theoretically sound and supported by recent research findings from clinical and experimental sets (see A. T. Beck, 1996, for a revision). Our aim is to develop a new measure specifically created to assess these integrated and interdependent processes in the field of sexuality. The Sexual Modes Questionnaire (SMQ; male and female versions) is a combined measure constituted by three interdependent subscales: automatic thoughts, emotions, and sexual response presented during sexual activity. Psychometric studies showed good reliability and validity results in both versions, and high correlations between several dimensions of the three subscales support the concept of mode and its interactional character. Moreover, the capacity showed by the SMQ to discriminate between sexually functional and dysfunctional subjects and its high correlations with measures of sexual functioning emphasize the role of cognitive‐emotional processes on sexual problems, supporting the clinical value of the measure.     

Improving supply chain responsiveness through Advanced Manufacturing Technology: the mediating role of internal and external integration

Abstract

Responsiveness is one of the key performance factors that firms need to face up to the challenges posed by today’s markets. Many manufacturing firms are investing in advanced manufacturing technology (AMT) with a view to improving competitiveness. However, empirical evidence shows that investments in AMT alone do not lead to improvements in performance. In this study, a model that links AMT implementation and responsiveness through internal integration and external integration is proposed. A sample of 441 Spanish industrial companies was used to test the model through structural equation modelling. The findings highlight that internal integration needs to be supplemented with external integration in order to ensure that the implementation of AMT will result in improved responsiveness. Supply chain managers should focus on integration within the supply chain – firstly internal and later external – to obtain returns on investments in AMT in the form of improved flexibility and more reliable and faster deliveries.     

Curve of Correlation for Time Series

The curve of correlation is a measure of local correlation between two random variables X and Y at the point X = x of the support of this variable. This article studies this local measure using the theory of time series for bivariate and univariate stationary stochastic process. We suggest local polynomial estimators for time series observing their consistency both theoretically and through simulations. For this, different sizes of series, bandwidths, and kernels, besides lags and models’ configurations were used. Applications have also been made using the daily returns of two financial series.     

The Rationality of Under‐employing the Best‐performing Soccer Players

Abstract. This paper analyses the influence of sport performance (productivity) and other variables measuring the economic contribution of soccer players, upon the coach's decision of selecting a particular player. Using as dependent variable the proportion of time that individuals play in the Spanish professional soccer league, the paper concludes that players' economic market value does significantly affect the coach's choice, revealing the existence of other aims different from maximizing sport performance. We also examine the type of discrimination associated with lower chances of playing, which leads to smaller earnings and poorer career opportunities. The empirical evidence does not support discrimination due to nationality.     

Monitoring correlation change in a sequence of random variables

We propose a monitoring procedure to test for the constancy of the correlation coefficient of a sequence of random variables. The idea of the method is that a historical sample is available and the goal is to monitor for changes in the correlation as new data become available. We introduce a detector which is based on the first hitting time of a CUSUM-type statistic over a suitably constructed threshold function. We derive the asymptotic distribution of the detector and show that the procedure detects a change with probability approaching unity as the length of the historical period increases. The method is illustrated by Monte Carlo experiments and the analysis of a real application with the log-returns of the Standard & Poor's 500 (S&P 500) and IBM stock assets.     

On the Strong Consistency of Ridge Estimates

In this article, we establish strong consistency of the ridge estimates using extended results for the strong consistency of the least squares estimates in multiple regression models which discard the usual assumption of null mean value for the errors and only requires them to be i.i.d. with absolute moment of order r (0 < r ? 1).     

PROMETHEE IV through kernel density estimation

ABSTRACT

This paper presents a new version of PROMETHEE IV, which considers the empirical distribution of the criteria through kernel density estimation to evaluate alternatives. The developed method has the ability to treat criteria according to their distribution. The classic PROMETHEE IV can produce divergent integrals, and this could be the cause for its insufficient exploration in literature. The proposed method overcomes this situation since large values have little weight compared to values near the mean.