Equilibrium in Continuous‐Time Financial Markets: Endogenously Dynamically Complete Markets

We prove existence of equilibrium in a continuous‐time securities market in which the securities are potentially dynamically complete: the number of securities is at least one more than the number of independent sources of uncertainty. We prove that dynamic completeness of the candidate equilibrium price process follows from mild exogenous assumptions on the economic primitives of the model. Our result is universal, rather than generic: dynamic completeness of the candidate equilibrium price process and existence of equilibrium follow from the way information is revealed in a Brownian filtration, and from a mild exogenous nondegeneracy condition on the terminal security dividends. The nondegeneracy condition, which requires that finding one point at which a determinant of a Jacobian matrix of dividends is nonzero, is very easy to check. We find that the equilibrium prices, consumptions, and trading strategies are well‐behaved functions of the stochastic process describing the evolution of information. We prove that equilibria of discrete approximations converge to equilibria of the continuous‐time economy.     

根茎淀粉植物皮渣中膳食纤维的研究进展

膳食纤维是近年来研究的热门课题。本文综述了根茎淀粉植物皮渣中膳食纤维的生理功能、提取以及改性,并讨论了今后的研究方向。     

Tests of Multivariate Independence for Ordinal Data

Population and sample versions of Kendall and Spearman measures of association suitable for multivariate ordinal data are defined. The latter generalize the indices of dependence of Ruymgaart and van Zuijlen (1978 Ruymgaart , F. H. , van Zuijlen , M. C. A. ( 1978 ). Asymptotic normality of multivariate linear rank statistics in the non-i.i.d. case . Ann. Statist. 6 : 588 – 602 .[Crossref], [Web of Science ®] , [Google Scholar]), Joe (1990 Joe , H. ( 1990 ). Multivariate concordance . J. Multivariate Anal. 35 : 12 – 30 .[Crossref], [Web of Science ®] , [Google Scholar]), and Schmid and Schmidt (2007 Schmid , F. , Schmidt , R. ( 2007 ). Multivariate extensions of Spearman's rho and related statistics . Statist. Probab. Lett. 77 : 407 – 416 .[Crossref], [Web of Science ®] , [Google Scholar]) by allowing atoms in the underlying distribution. The representation of the proposed empirical measures as U-statistics enables to establish their asymptotic normality under general distributions. A special attention is given to tests of independence for multivariate ordinal data, where the power of the new methodologies are investigated under fixed and contiguous alternatives.     

离散事件与外贸序列结构变化——基于中国2000年以来月度数据的实证检验

重大离散事件可能引致进出口贸易时间序列发生结构变化。通过蒙特卡罗模拟得到既定样本结构变化的单边检验值,对2000年以来中国进、出口额月度序列进行结构变化检验,结果显示:2001年加入WTO、2002年爆发SARS疫情、2005年人民币汇率形成机制改革、2010年CAFTA正式启动等离散事件没有使中国进出口贸易产生结构变化;2004年粤港澳CEPA正式实施、2008年金融危机爆发、2011年"欧债"危机加剧等离散事件的出现,则使中国外贸时间序列出现向上或向下漂移。     

Classification Error in Dynamic Discrete Choice Models: Implications for Female Labor Supply Behavior

Two key issues in the literature on female labor supply are (i) whether persistence in employment status is due to unobserved heterogeneity or state dependence, and (ii) whether fertility is exogenous to labor supply. Until recently, the consensus was that unobserved heterogeneity is very important and fertility is endogenous. Hyslop (1999) challenged this. Using a dynamic panel probit model of female labor supply including heterogeneity and state dependence, he found that adding autoregressive errors led to a substantial diminution in the importance of heterogeneity. This, in turn, meant he could not reject that fertility is exogenous. Here, we extend Hyslop (1999) to allow classification error in employment status, using an estimation procedure developed by Keane and Wolpin (2001) and Keane and Sauer (2005). We find that a fairly small amount of classification error is enough to overturn Hyslop's conclusions, leading to overwhelming rejection of the hypothesis of exogenous fertility.     

Market Structure and Multiple Equilibria in Airline Markets

We provide a practical method to estimate the payoff functions of players in complete information, static, discrete games. With respect to the empirical literature on entry games originated by Bresnahan and Reiss (1990) and Berry (1992), the main novelty of our framework is to allow for general forms of heterogeneity across players without making equilibrium selection assumptions. We allow the effects that the entry of each individual airline has on the profits of its competitors, its “competitive effects,” to differ across airlines. The identified features of the model are sets of parameters (partial identification) such that the choice probabilities predicted by the econometric model are consistent with the empirical choice probabilities estimated from the data. We apply this methodology to investigate the empirical importance of firm heterogeneity as a determinant of market structure in the U.S. airline industry. We find evidence of heterogeneity across airlines in their profit functions. The competitive effects of large airlines (American, Delta, United) are different from those of low cost carriers and Southwest. Also, the competitive effect of an airline is increasing in its airport presence, which is an important measure of observable heterogeneity in the airline industry. Then we develop a policy experiment to estimate the effect of repealing the Wright Amendment on competition in markets out of the Dallas airports. We find that repealing the Wright Amendment would increase the number of markets served out of Dallas Love.     

Asymptotic normality of numbers of observations in random regions determined by order statistics

In this paper, we study the joint limiting behaviour of numbers of observations that fall into regions determined by order statistics and Borel sets. We show that suitably centred and normed versions of these numbers are asymptotically multivariate normal under some conditions. We consider two cases: one where the population distribution function is discontinuous and the other where it is continuous and the order statistics are extreme. Finally, we compare results obtained for the two cases with their analogues for absolutely continuous distribution function and central-order statistics.