Surveillance of the interaction parameter of the ising model

Surveillance to detect changes of spatial patterns is of interest in many areas such as environmental control and regional analysis. Here the interaction parameter of the Ising model, is considered. A minimal sufficient statistic and its asymptotic distribution are used. It is demonstrated that the convergence to normal, distribution is rapid. The main result is that when the lattice is large, all approximations are better in several respects. It is shown that, for large lattice sizes, earlier results on surveillance of a normally distributed random variable can be used in cases of most interest. The expected delay of alarm at a fixed level of false alarm probability is examined for some examples.     

Hierarchische Planung für industrielle Logistikdienstleister

In this paper a planning and control system for logistics service providers (called LPS system) is developed under consideration of their specific flexibility potentials. Due to the complexity of such planning decisions (different planning levels and data quality of these levels as well as time horizons etc.), a multi-stage, hierarchical planning system is proposed which minimizes the relevant costs under consideration of the flexibilities. The advantage of a hierarchical planning concept consists in a limited planning complexity because otherwise data collection and solution development would lead to unsolvable problems in practice. The results of using LPS systems for a real-life case show a significant pay-off for logistics service providers due to the remarkable cost savings by applying a hierarchical planning concept.     

Estimating German overqualification with stochastic earnings frontiers

We estimate individual potential income with stochastic earnings frontiers to measure overqualification as the ratio between actual income and potential income. To do this, we remove a drawback of the IAB employment sample, the censoring of the income data, by multiple imputation. The measurement of overqualification by the income ratio is also a valuable addition to the overeducation literature because the well-established objective or subjective overeducation measures focus on some ordinal matching aspects and ignore the metric income and efficiency aspects of overqualification.     

Good Job,Good Life? Working Conditions and Quality of Life in Europe

Cross-national comparisons generally show large differences in life satisfaction of individuals within and between European countries. This paper addresses the question of whether and how job quality and working conditions contribute to the quality of life of employed populations in nine strategically selected EU countries: Finland, Sweden, the UK, the Netherlands, Germany, Portugal, Spain, Hungary, and Bulgaria. Using data from the European Quality of Life Survey 2003, we examine relationships between working conditions and satisfaction with life, as well as whether spillover or segmentation mechanisms better explain the link between work domain and overall life satisfaction. Results show that the level of life satisfaction varies significantly across countries, with higher quality of life in more affluent societies. However, the impact of working conditions on life satisfaction is stronger in Southern and Eastern European countries. Our study suggests that the issue of security, such as security of employment and pay which provides economic security, is the key element that in a straightforward manner affects people’s quality of life. Other working conditions, such as autonomy at work, good career prospects and an interesting job seem to translate into high job satisfaction, which in turn increases life satisfaction indirectly. In general, bad-quality jobs tend to be more ‘effective’ in worsening workers’ perception of their life conditions than good jobs are in improving their quality of life. We discuss the differences in job-related determinants of life satisfaction between the countries and consider theoretical and practical implications of these findings.     

Specification and testing of multiplicative time-varying GARCH models with applications

In this article, we develop a specification technique for building multiplicative time-varying GARCH models of Amado and Teräsvirta (2008, 2013). The variance is decomposed into an unconditional and a conditional component such that the unconditional variance component is allowed to evolve smoothly over time. This nonstationary component is defined as a linear combination of logistic transition functions with time as the transition variable. The appropriate number of transition functions is determined by a sequence of specification tests. For that purpose, a coherent modelling strategy based on statistical inference is presented. It is heavily dependent on Lagrange multiplier type misspecification tests. The tests are easily implemented as they are entirely based on auxiliary regressions. Finite-sample properties of the strategy and tests are examined by simulation. The modelling strategy is illustrated in practice with two real examples: an empirical application to daily exchange rate returns and another one to daily coffee futures returns.     

Book review

W.G.Cochran: Sampling Techniques, 3rd. Ed. John Wiley & Sons, New York-Santa Barbara-London-Sydney-Toronto 1977. 428 S., £ 12.50; $21.50.

H.Toutenburg: Vorhersage in linearen Modellen. Akademie-Verlag, Berlin 1975, VIII, 176b S., 3 Tab., 28,– M.

O.Kallenberg: Random Measure. Akademie-Verlag, Berlin 1975; Academic Press, London 1976. 104 pp., 28,– M.     

F?rdern aktienkursbasierte Vergütungsinstrumente langfristig orientierte Unternehmensentscheidungen? Lehren aus der Kreditkrise

The question whether stock-based management incentives encourage long-term oriented management decisions is the topic of a controversial public debate. Also, the existing academic literature provides no clear picture, mainly due to endogeneity problems. In this paper, we reexamine the issue in the context of the recent credit crises, which allows us to solve the endogeneity problem. In the empirical analysis we find that firms, which have awarded stock-based incentives to their executives prior or during the financial crises, face substantially lower cuts in investment spending. These firms also show higher levels of R&D investments during the financial crises. Overall, our results suggest that stock based long-term incentives promote long-term oriented management decisions.     

On the use of partial confounding for the construction of alternative regular two-level blocked fractional factorial designs

In this paper, we consider experimental situations in which a regular fractional factorial design is to be used to study the effects of m two-level factors using n=2^m−k experimental units arranged in 2^p blocks of size 2^m−k−p. In such situations, two-factor interactions are often confounded with blocks and complete information is lost on these two-factor interactions. Here we consider the use of the foldover technique in conjunction with combining designs having different blocking schemes to produce alternative partially confounded blocked fractional factorial designs that have more estimable two-factor interactions or a higher estimation capacity or both than their traditional counterparts.