Qiying Wang  Peter C. B. Phillips 《Econometrica : journal of the Econometric Society》2009,77(6):1901-1948

Nonparametric estimation of a structural cointegrating regression model is studied. As in the standard linear cointegrating regression model, the regressor and the dependent variable are jointly dependent and contemporaneously correlated. In nonparametric estimation problems, joint dependence is known to be a major complication that affects identification, induces bias in conventional kernel estimates, and frequently leads to ill‐posed inverse problems. In functional cointegrating regressions where the regressor is an integrated or near‐integrated time series, it is shown here that inverse and ill‐posed inverse problems do not arise. Instead, simple nonparametric kernel estimation of a structural nonparametric cointegrating regression is consistent and the limit distribution theory is mixed normal, giving straightforward asymptotics that are useable in practical work. It is further shown that use of augmented regression, as is common in linear cointegration modeling to address endogeneity, does not lead to bias reduction in nonparametric regression, but there is an asymptotic gain in variance reduction. The results provide a convenient basis for inference in structural nonparametric regression with nonstationary time series when there is a single integrated or near‐integrated regressor. The methods may be applied to a range of empirical models where functional estimation of cointegrating relations is required.  相似文献   

    

Ian R. Gordon  Peter Hall 《Australian & New Zealand Journal of Statistics》2009,51(4):449-460

In some statistical problems a degree of explicit, prior information is available about the value taken by the parameter of interest, θ say, although the information is much less than would be needed to place a prior density on the parameter's distribution. Often the prior information takes the form of a simple bound, ‘θ > θ₁ ’ or ‘θ < θ₁ ’, where θ₁ is determined by physical considerations or mathematical theory, such as positivity of a variance. A conventional approach to accommodating the requirement that θ > θ₁ is to replace an estimator, , of θ by the maximum of and θ₁. However, this technique is generally inadequate. For one thing, it does not respect the strictness of the inequality θ > θ₁ , which can be critical in interpreting results. For another, it produces an estimator that does not respond in a natural way to perturbations of the data. In this paper we suggest an alternative approach, in which bootstrap aggregation, or bagging, is used to overcome these difficulties. Bagging gives estimators that, when subjected to the constraint θ > θ₁ , strictly exceed θ₁ except in extreme settings in which the empirical evidence strongly contradicts the constraint. Bagging also reduces estimator variability in the important case for which is close to θ₁, and more generally produces estimators that respect the constraint in a smooth, realistic fashion.  相似文献   

    

Helen Connolly  Peter Gottschalk 《LABOUR》2008,22(1):1-22

Abstract. Wage cuts are often presumed to reflect an adverse change in economic constraints. However, several theoretical models have shown they can be a form of investment in future wage growth. This paper provides empirical evidence of the latter by explicitly modeling the worker's job choice when the job offer consists of both a starting wage and expected future wage growth. We use our analytical model to estimate the distribution of job offers faced by workers who are searching across jobs differing in both initial wage and expected wage growth. For females, roughly one‐third of job changes that result in immediate wage cuts are transitions to jobs that have a higher value function than the existing job. For males, the corresponding value is one‐fifth.  相似文献   

    

Peter Berling  Johan Marklund 《Production and Operations Management》2006,15(2):294-310

In this paper, we investigate a one‐warehouse multiple‐retailer system, where the inventory control decisions are coordinated using a near optimal induced backorder cost, β*. All installations use continuous review installation‐stock (R, Q) policies. The analysis builds on an approximation model where the stochastic warehouse delays are replaced by their correct averages. The contributions include insights as to how β* is influenced by system parameters, and the determination of simple closed form β* estimates. The latter offering a practical means to achieve coordinated control of large size systems.  相似文献   

    

Peter Taylor-Gooby  Jens O. Zinn 《Risk analysis》2006,26(2):397-411

This article reviews the main approaches to risk in psychology and sociology and considers recent developments. It shows that research continues from a wide range of perspectives. Some developments in psychological thinking have recently acknowledged the importance of the cultural framing of risk perceptions and responses and the positive power of emotions to manage uncertainties, while some streams of work in sociology have moved toward more individualist approaches. These converging processes open opportunities for cross-fertilization and for using insights from both disciplines in the development of research.  相似文献   

    

Vincent-Wayne Mitchell  David Lennard  Peter McGoldrick 《英国管理杂志》2003,14(2):173-187

The debate continues over whether prescribed quantities or unit pricing offers the best method to enable consumers to make value-for-money comparisons. In theory, the 'informed' consumer should benefit from being given unit-price information to identify optimum purchases; in practice, however, it would appear that many consumers do not use the data. Although unit pricing can reduce the level of confusion caused by large product ranges and large numbers of unique size–price combinations, results of a survey of over 1000 people showed that: 31% of the sample did not understand how unit pricing was meant to help them compare products; 35% could not be bothered to look at unit prices and 28% stated that unit pricing was too difficult to use. Those least likely to look at unit prices are women, the least educated and consumers aged 18–34. The research investigated why consumers do not use unit-price information and found: some consumers do not possess the cognitive ability to process the information and feel unit pricing is too complicated to use; some products are not comparable, which makes unit prices misleading; many shops do not provide unit-price information; unit-price information was felt unnecessary when evaluating products with few or no alternative sizes or brands; unit-price comparisons take too much time; consumers use simpler strategies for getting value for money, e.g. volume discount heuristic, own brands, special offers, x% free, reward points, etc. The paper explores policy and retailer implications for unit pricing and examines recommendations for government.  相似文献   

    

Jens Suedekum  Peter Ruehmann 《LABOUR》2003,17(1):47-62

What effect does employment protection through severance payments have on the behaviour of employed workers? We analyse this issue within a stochastic two–period framework where workers decide on human capital investments and find two competing effects: severance payments imply higher job security that fosters human capital formation. At the same time, a lay–off is perceived by the workers to be a weaker penalty if severance payments are provided. This incentive lowers their optimal amount of firm–specific investments. Which effect prevails on balance depends on the distribution of investment returns among firm and workers. For strong positive reactions, employment protection is also in the interests of the firm.  相似文献   

    

Peter Carstensen 《Risk analysis》2004,24(4):917-919

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R Bradley MacKay  Peter McKiernan 《European Management Review》2004,1(1):69-77

Abstract Strategic management literatures have contributed significantly to our understanding of strategic decision‐making, strategy formulation, strategy content and process. However, research into strategy context has been spasmodic, less interrogative and non‐systemic. Hence, the relationship between context and both the content and process dimensions is not well understood. Recently, many organizations have been turning to scenario thinking methodologies to explore, facilitate and foster a linkage that enables better strategy content to develop. Scenario thinking has enhanced environmental sense‐making in many organizations. But, such processes have come under increasing criticism for missing weak signals and emerging patterns in the underlying drivers of future change. This paper examines the reasons for these flaws by reference to recent developments in the cognitive psychology literature. It then investigates the strengths and weaknesses of using counterfactual reasoning as a tool for reducing the main biases that lead to foresightful thinking failures.  相似文献   

    

Thomas Blsche  Roger J. Bowden  Peter N. Posch 《Stat》2014,3(1):250-257

Kernel smoothing and filtering techniques are undemanding in their data generation assumptions but have limitations where special interest attaches to more recent observations. A methodology is developed that addresses contingencies such as end correction and the kernel term structure within the same technology, namely scale invariant kernel compression. The framework is built around an entropic transformation of the standard uniform moving average, augmented with kernel compressions utilizing entropic weight redistribution. The techniques are illustrated with data drawn from climate change. Copyright © 2014 John Wiley & Sons, Ltd.  相似文献