Multivariate extreme value analysis and its relevance in a metallographical application

Motivated from extreme value (EV) analysis for large non-metallic inclusions in engineering steels and a real data set, the benefit of choosing a multivariate EV approach is discussed. An extensive simulation study shows that the common univariate setup may lead to a high proportion of mis-specifications of the true EV distribution, as well as that the statistical analysis is considerably improved when being based on the respective data of r largest observations, with r appropriately chosen. Results for several underlying distributions and various values of r are presented along with effects on estimators for the parameters of the generalized EV family of distributions.     

Minimum Size Survival Analysis Sampling Plans for Comparing Multiple Treatment Groups to a Single Control Group

We develop a sample size methodology that achieves specified Type-1 and Type-2 error rates when comparing the survivor functions of multiple treatment groups versus a control group. The designs will control family-wise Type-1 error rate. We assume the family of Weibull distributions adequately describes the underlying survivor functions, and we separately consider three of the most common study scenarios: (a) complete samples; (b) Type-1 censoring with a common censoring time; and (c) Type-1 censoring with an accrual period. A mice longevity study comparing the effect on survival of multiple low-calorie diets is used to motivate our work on this problem.     

Adaptive confidence intervals of desired length and power for normal means

In all empirical or experimental sciences, it is a standard approach to present results, additionally to point estimates, in form of confidence intervals on the parameters of interest. The length of a confidence interval characterizes the accuracy of the whole findings. Consequently, confidence intervals should be constructed to hold a desired length. Basic ideas go back to Stein (1945) and Seelbinder (1953) who proposed a two-stage procedure for hypothesis testing about a normal mean. Tukey (1953) additionally considered the probability or power a confidence interval should possess to hold its length within a desired boundary. In this paper, an adaptive multi-stage approach is presented that can be considered as an extension of Stein's concept. Concrete rules for sample size updating are provided. Following an adaptive two-stage design of O’Brien and Fleming (1979) type, a real data example is worked out in detail.     

国有控股上市公司高级管理人员薪酬影响因素的实证研究

在对国有控股上市公司高级管理人员的薪酬激励效果进行理论分析的基础上,利用2006年沪深两市422家A股国有控股上市公司的年报数据,对国有控股上市公司高级管理人员薪酬的各类影响因素进行了实证分析。研究结果表明:企业业绩、公司规模、企业中是否有机构投资者、企业所处地区等因素对上市公司高级管理人员的薪酬激励效果有显著的影响,公司的成长性对上市公司高级管理人员的薪酬影响较小,高级管理人员持股总数、公司风险、国家股比例、流通股比例等因素对国有控股上市公司高级管理人员薪酬没有明显的影响。     

赫哲族发展与其人口规模的关系

赫哲族人口60年来,从不足400人,增长到近5000人,由于人口规模小,面临的经济结构的变迁也非常迅速,城镇化的推进与社会事业的发展成效显著。但同时,传统文化在快速流失,渔猎业在衰退。     

The impact of government expenditure on economic growth: How sensitive to the level of development?

Previous studies generally find mixed empirical evidence on the relationship between government spending and economic growth. In this paper, we re-examine the causal relationship between government expenditure and economic growth by conducting the panel Granger causality test recently developed by (Hurlin, 2004) and (Hurlin, 2005) and by utilizing a richer panel data set which includes 182 countries that cover the period from 1950 to 2004. Our empirical results strongly support both Wagner's law and the hypothesis that government spending is helpful to economic growth regardless of how we measure the government size and economic growth. When the countries are disaggregated by income levels and the degree of corruption, our results also confirm the bi-directional causality between government activities and economic growth for the different subsamples of countries, with the exception of the low-income countries. It is suggested that the distinct feature of the low-income countries is likely owing to their inefficient governments and inferior institutions.     

市场结构、政府行为与技术创新关系研究

市场结构和政府行为是影响企业技术创新的重要因素,一直受到经济学家们的关注。市场集中度、企业规模和进入退出壁垒作为衡量市场结构的静态和动态指标,体现了市场结构对创新活动的作用机制,同时技术创新对市场结构又存在动态影响,是产业组织结构演进的重要动力之一。当完全依赖于市场体系的技术创新投入不足时,政府应采取适当方式介入其中,且其干预方式应随着产业结构、技术机会等变量的变化而做出相应调整。     

残差块形自助法在非对称单位根检验中的适用性

非对称单位根检验已成为时间序列分析中重要研究领域之一。而当随机干扰项之间具有一般性的自相关时,非对称单位根检验式中,由于不同的滞后阶会对统计量检验势产生至关重要的影响,因此采用残差块形自助法（RBB）对非对称单位根EG检验进行有效的改进研究,并对RBB法的适用性进行了模拟。结果表明：RBB法不仅在一定程度上降低了检验水平扭曲,而且大大提高了EG法的检验势。     

Sample size calculation for an agreement study

It is often necessary to compare two measurement methods in medicine and other experimental sciences. This problem covers a broad range of data. Many authors have explored ways of assessing the agreement of two sets of measurements. However, there has been relatively little attention to the problem of determining sample size for designing an agreement study. In this paper, a method using the interval approach for concordance is proposed to calculate sample size in conducting an agreement study. The philosophy behind this is that the concordance is satisfied when no more than the pre‐specified k discordances are found for a reasonable large sample size n since it is much easier to define a discordance pair. The goal here is to find such a reasonable large sample size n. The sample size calculation is based on two rates: the discordance rate and tolerance probability, which in turn can be used to quantify an agreement study. The proposed approach is demonstrated through a real data set. Copyright © 2009 John Wiley & Sons, Ltd.     

中国上市公司“规模效应”的实证研究

本文回顾了异象中公司规模效应的研究历程,分别基于流通值和总市值对深市和沪市的规模效应进行实证分析,研究表明:①作为市值度量的流通值和总市值的选择对不同规模组合收益率的排序没有本质的影响。②深市无论是从总市值还是流通市值的规模排序,其组合呈现出“规模效应”即收益率与规模成反比;而沪市的中盘股投资组合收益率明显好于其它两个组合。③深、沪两市收益率均不存在“季节效应”。