An Extended Single‐index Model with Missing Response at Random

An extended single‐index model is considered when responses are missing at random. A three‐step estimation procedure is developed to define an estimator for the single‐index parameter vector by a joint estimating equation. The proposed estimator is shown to be asymptotically normal. An algorithm for computing this estimator is proposed. This algorithm only involves one‐dimensional nonparametric smoothers, thereby avoiding the data sparsity problem caused by high model dimensionality. Some simulation studies are conducted to investigate the finite sample performances of the proposed estimators.     

Wird die Relevanz von Ertragsteuern für die Unternehmensrechnung nach rechtlichen oder ökonomischen Kriterien beurteilt?

Textbooks in the areas of Management Accounting, Finance and Valuation treat taxes very differently. Finance and Valuation increasingly consider tax effects. Management Accounting considers taxes only if they meet certain legal “cost” criteria. These criteria follow tax law rules, but not economic rules and primarily consider tax effects of the local business tax only. This view is also reflected in recent cost accounting regulations. We present evidence from a survey of managers and chambers of commerce, according to which practitioners’ views of whether the local business tax is a cost are heterogeneous. The majority of managers do not consider the local business tax as a cost and do not pass it on to customers. The chambers of commerce however still consider the local business tax as a cost.     

Analysis of Deviance for Hypothesis Testing in Generalized Partially Linear Models

In this study, we develop nonparametric analysis of deviance tools for generalized partially linear models based on local polynomial fitting. Assuming a canonical link, we propose expressions for both local and global analysis of deviance, which admit an additivity property that reduces to analysis of variance decompositions in the Gaussian case. Chi-square tests based on integrated likelihood functions are proposed to formally test whether the nonparametric term is significant. Simulation results are shown to illustrate the proposed chi-square tests and to compare them with an existing procedure based on penalized splines. The methodology is applied to German Bundesbank Federal Reserve data.     

A combinatorial study of two-periodic random walks

Two-periodic random walks have up-steps and down-steps of one unit as usual, but the probability of an up-step is α after an even number of steps and β = 1 ? α after an odd number of steps, and reversed for down-steps. This concept was studied by Böhm and Hornik^{[2 Böhm, W.; Hornik, K. On two-periodic random walks with boundaries. Stoch. Models 2010, 26, 165–194.[Taylor &; Francis Online], [Web of Science ®] , [Google Scholar]]}. We complement this analysis by using methods from (analytic) combinatorics. By using two steps at once, we can reduce the analysis to the study of Motzkin paths, with up-steps, down-steps, and level-steps. Using a proper substitution, we get the generating functions of interest in an explicit and neat form. The parameters that are discussed here are the (one-sided) maximum (already studied by Böhm and Hornik^{[2 Böhm, W.; Hornik, K. On two-periodic random walks with boundaries. Stoch. Models 2010, 26, 165–194.[Taylor &; Francis Online], [Web of Science ®] , [Google Scholar]]}) and the two-sided maximum. For the asymptotic evaluation of the average value of the two-sided maximum after n random steps, more sophisticated methods from complex analysis (Mellin transform, singularity analysis) are required. The approach to transfer the analysis to Motzkin paths is, of course, not restricted to the two parameters under consideration.     

Affine LIBOR models driven by real-valued affine processes

The class of affine LIBOR models is appealing since it satisfies three central requirements of interest rate modeling. It is arbitrage-free, interest rates are nonnegative, and caplet and swaption prices can be calculated analytically. In order to guarantee nonnegative interest rates affine LIBOR models are driven by nonnegative affine processes, a restriction that makes it hard to produce volatility smiles. We modify the affine LIBOR models in such a way that real-valued affine processes can be used without destroying the nonnegativity of interest rates. Numerical examples show that in this class of models, pronounced volatility smiles are possible.     

A pilot intervention to promote walking and wellness and to improve the health of college faculty and staff

There is a need to investigate novel interventions that promote worksite physical activity and wellness. OBJECTIVE: The authors' purpose in this study was to evaluate the effectiveness of a 12-week walking program supplemented with a pedometer, computer educational program, and weekly e-mails. METHODS: College faculty and staff participated in a one-group pre-posttest study to determine whether the 12-week walking intervention had an effect on body mass index (BMI), blood pressure, blood glucose, and cholesterol. The authors also determined participant-perceived wellness effects. RESULTS: The authors observed differences between baseline and follow-up in BMI (p = .024), blood glucose (p = .06), and total cholesterol (p = .09). The program had a moderate effect on fitness, mood, health awareness, nutrition, and health. CONCLUSIONS: It is incumbent that experts develop innovative worksite physical activity and wellness programs. A pedometer-monitored walking program is one way that a worksite health initiative can improve the health and wellness of its employees and simultaneously reduce health-care costs.     

Bayesian estimation of the efficient frontier

In this paper, we consider the estimation of the three determining parameters of the efficient frontier, the expected return, and the variance of the global minimum variance portfolio and the slope parameter, from a Bayesian perspective. Their posterior distribution is derived by assigning the diffuse and the conjugate priors to the mean vector and the covariance matrix of the asset returns and is presented in terms of a stochastic representation. Furthermore, Bayesian estimates together with the standard uncertainties for all three parameters are provided, and their asymptotic distributions are established. All obtained findings are applied to real data, consisting of the returns on assets included into the S&P 500. The empirical properties of the efficient frontier are then examined in detail.     

Building a health communication brand for University of Texas System tobacco control

Objective: Despite declining cigarette smoking rates in the US, there is a continued need for tobacco prevention education campaigns to reach young adults. Recognizing the need for improved tobacco control messaging, the University of Texas (UT) System engaged The University of Texas at Austin Center for Health Communication to develop a brand and message that would strengthen tobacco control efforts at its 14 institutions. Methods: This article describes the iterative process involved in creating a brand for tobacco control, including an environmental scan, identifying potential message themes, and creating and refining logos. Results: This article highlights the process of developing a system-wide tobacco control brand. Specifically, the process included coordinating an interdisciplinary team with content and design experts, and presenting ideas to stakeholders for serial feedback and refinement, among others. Conclusions: Ultimately, this project offers a model for other systems of higher education interested in pursuing similar initiatives.