Bayesian Nonparametric Instrumental Variables Regression Based on Penalized Splines and Dirichlet Process Mixtures

We propose a Bayesian nonparametric instrumental variable approach under additive separability that allows us to correct for endogeneity bias in regression models where the covariate effects enter with unknown functional form. Bias correction relies on a simultaneous equations specification with flexible modeling of the joint error distribution implemented via a Dirichlet process mixture prior. Both the structural and instrumental variable equation are specified in terms of additive predictors comprising penalized splines for nonlinear effects of continuous covariates. Inference is fully Bayesian, employing efficient Markov chain Monte Carlo simulation techniques. The resulting posterior samples do not only provide us with point estimates, but allow us to construct simultaneous credible bands for the nonparametric effects, including data-driven smoothing parameter selection. In addition, improved robustness properties are achieved due to the flexible error distribution specification. Both these features are challenging in the classical framework, making the Bayesian one advantageous. In simulations, we investigate small sample properties and an investigation of the effect of class size on student performance in Israel provides an illustration of the proposed approach which is implemented in an R package bayesIV. Supplementary materials for this article are available online.     

基于广义随机Petri网的重大传染病传播演化模型研究

本文采用多案例分析方法提取重大传染病疫情事件的属性,从"事件类型、关键属性、从属属性、环境属性和危害评估属性"对其进行结构化描述。在此基础上,分析重大传染病疫情发展演化事件链中关联事件的相关属性,利用基于广义随机Petri网的建模分析方法,根据广义随机Petri网与马尔科夫链的同构关系,得到重大传染病传播演化的广义Petri网模型和等价马尔科夫链模型。最后,通过马尔科夫链及相关数学方法分析其中的均衡状态及其变动规律,并对系统评估和改进提出建议,可为有效监控和应对疫情发展提供有力决策支持。     

基于马尔可夫转换模型的违约风险溢价预测研究

针对违约风险溢价变化依赖于经济波动状态以及市场、宏观经济变量依赖于经济周期时变因素的阶段,基于马尔可夫转换阶段的具体特征,构建马尔可夫违约风险溢价预测转换模型,并以香港恒生指数信用违约互换波动为例,测算因时变系数波动的指数息差、宏观经济变量等概率,通过实证算例剖析股市、宏观经济变量与违约风险溢价之间的内在联动关系和信用违约风险溢价变化的转换机制,以期实现对违约风险溢价能够进行有效预测,实证仿真结果说明了模型的有效性。     

Bayesian bandwidth estimation for a functional nonparametric regression model with mixed types of regressors and unknown error density

We investigate the issue of bandwidth estimation in a functional nonparametric regression model with function-valued, continuous real-valued and discrete-valued regressors under the framework of unknown error density. Extending from the recent work of Shang (2013 Shang, H.L. (2013), ‘Bayesian Bandwidth Estimation for a Nonparametric Functional Regression Model with Unknown Error Density’, Computational Statistics &; Data Analysis, 67, 185–198. doi: 10.1016/j.csda.2013.05.006[Crossref], [Web of Science ®] , [Google Scholar]) [‘Bayesian Bandwidth Estimation for a Nonparametric Functional Regression Model with Unknown Error Density’, Computational Statistics &; Data Analysis, 67, 185–198], we approximate the unknown error density by a kernel density estimator of residuals, where the regression function is estimated by the functional Nadaraya–Watson estimator that admits mixed types of regressors. We derive a likelihood and posterior density for the bandwidth parameters under the kernel-form error density, and put forward a Bayesian bandwidth estimation approach that can simultaneously estimate the bandwidths. Simulation studies demonstrated the estimation accuracy of the regression function and error density for the proposed Bayesian approach. Illustrated by a spectroscopy data set in the food quality control, we applied the proposed Bayesian approach to select the optimal bandwidths in a functional nonparametric regression model with mixed types of regressors.     

Acquisition Management Under Fluctuating Raw Material Prices

We study a continuous‐review acquisition problem, in which the raw material price follows a discrete‐state Markov process and demand is compound Poisson. We show that one optimal policy is of the order‐up‐to type. Under our mean reversion and time continuity conditions, we further show that the order‐up‐to levels are decreasing at the current price level. At the same time, our computational study verifies that both conditions are indispensable for the monotonicity result. The study also hints at the connection between discrete‐ and continuous‐state price processes.     

虚拟企业、虚拟价值链及其与价值链的逻辑关系

价值链包括物质空间的物质价值链即传统价值链和网络空间的虚拟价值链。虚拟企业可以理解为一种闭合的价值链,是企业间的以某个特定的市场机会为基础而建立的动态组织结构,虚拟价值链不同于虚拟企业,它将传统的实物价值链以信息的形式反映出来,是信息产品和信息服务的载体。在介绍虚拟企业与虚拟价值链的概念及其理论背景之后,对比分析了虚拟价值链与传统价值链之间以及虚拟企业与价值链之间的区别,并根据各自的特点描述了它们之间的共性、差别与对企业的战略意义。     

The Decision of the Supply Chain Executive to Support or Impede Supply Chain Integration: A Multidisciplinary Behavioral Agency Perspective*

Applying the behavioral agency model developed by Wiseman and Gomez‐Mejia (1998) , this article analyzes human resource factors that induce supply chain executives (SCEs) to make decisions that foster or hinder supply chain integration. We examine two internal sources (compensation and employment risk) and one external source (environmental volatility) of risk bearing that can make SCEs more reluctant to make the decision to promote supply chain integration. We argue and empirically confirm the notion that an employment and compensation system that increases SCE risk bearing reduces the SCE's willingness to make risky decisions and thus discourages supply chain integration. We also reveal that this negative relationship becomes stronger under conditions of high environmental volatility. In addressing the “so what?” question, we found empirical support for the hypothesis that supply chain integration positively influences operational performance. Even though this decision has a positive value for the firm, we showed that SCEs discourage supply chain integration when they face higher risk bearing. Hypotheses are tested using a combination of primary survey data and archival measures in a sample of 133 Spanish firms.     

The Use of Flexible Manufacturing Capacity in Pharmaceutical Product Introductions*

This work considers the value of the flexibility offered by production facilities that can easily be configured to produce new products. We focus on technical uncertainty as the driver of this value, while prior works focused only on demand uncertainty. Specifically, we evaluate the use of process flexibility in the context of risky new product development in the pharmaceutical industry. Flexibility has value in this setting due to the time required to build dedicated capacity, the finite duration of patent protection, and the probability that the new product will not reach the market due to technical or regulatory reasons. Having flexible capacity generates real options, which enables firms to delay the decision about constructing product‐specific capacity until the technical uncertainty is resolved. In addition, initiating production in a flexible facility can enable the firm to optimize production processes in dedicated facilities. The stochastic dynamic optimization problem is formulated to analyze the optimal capacity and allocation decisions for a flexible facility, using data from existing literature. A solution to this problem is obtained using linear programming. The result of this analysis shows both the value of flexible capacity and the optimal capacity allocation. Due to the substantial costs involved with flexibility in this context, the optimal level of flexible capacity is relatively small, suggesting products be produced for only short periods before initiating construction of dedicated facilities.     

Supply Chain Strategy,Product Characteristics,and Performance Impact: Evidence from Chinese Manufacturers*

Supply chain management has become one of the most popular approaches to enhance the global competitiveness of business corporations today. Firms must have clear strategic thinking in order to effectively organize such complicated activities, resources, communications, and processes. An emerging body of literature offers a framework that identifies three kinds of supply chain strategies: lean strategy, agile strategy, and lean/agile strategy based on in‐depth case studies. Extant research also suggests that supply chain strategies must be matched with product characteristics in order for firms to achieve better performance. This article investigates supply chain strategies and empirically tests the supply chain strategy model that posits lean, agile, and lean/agile approaches using data collected from 604 manufacturing firms in China. Cluster analyses of the data indicate that Chinese firms are adopting a variation of lean, agile, and lean/agile supply chain strategies identified in the western literature. However, the data reveal that some firms have a traditional strategy that does not emphasize either lean or agile principles. These firms perform worse than firms that have a strategy focused on lean, agile, or lean/agile supply chain. The strategies are examined with respect to product characteristics and financial and operational performance. The article makes significant contributions to the supply chain management literature by examining the supply chain strategies used by Chinese firms. In addition, this work empirically tests the applicability of supply chain strategy models that have not been rigorously tested empirically or in the fast‐growing Chinese economy.