Gini’s nuclear family

The purpose of this paper is to justify the use of the Gini coefficient and two close relatives for summarizing the basic information of inequality in distributions of income. To this end we employ a specific transformation of the Lorenz curve, the scaled conditional mean curve, rather than the Lorenz curve as the basic formal representation of inequality in distributions of income. The scaled conditional mean curve is shown to possess several attractive properties as an alternative interpretation of the information content of the Lorenz curve and furthermore proves to yield essential information on polarization in the population. The paper also provides asymptotic distribution results for the empirical scaled conditional mean curve and the related family of empirical measures of inequality.      

Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory

Nonlinear functions of multivariate financial time series can exhibit long memory and fractional cointegration. However, tools for analysing these phenomena have principally been justified under assumptions that are invalid in this setting. Determination of asymptotic theory under more plausible assumptions can be complicated and lengthy. We discuss these issues and present a Monte Carlo study, showing that asymptotic theory should not necessarily be expected to provide a good approximation to finite-sample behavior.     

Bayesian analysis of elapsed times in continuous‐time Markov chains

The authors consider Bayesian analysis for continuous‐time Markov chain models based on a conditional reference prior. For such models, inference of the elapsed time between chain observations depends heavily on the rate of decay of the prior as the elapsed time increases. Moreover, improper priors on the elapsed time may lead to improper posterior distributions. In addition, an infinitesimal rate matrix also characterizes this class of models. Experts often have good prior knowledge about the parameters of this matrix. The authors show that the use of a proper prior for the rate matrix parameters together with the conditional reference prior for the elapsed time yields a proper posterior distribution. The authors also demonstrate that, when compared to analyses based on priors previously proposed in the literature, a Bayesian analysis on the elapsed time based on the conditional reference prior possesses better frequentist properties. The type of prior thus represents a better default prior choice for estimation software.     

我国房地产市场财富效应的实证分析

本文应用格兰杰因果关系检验和协整分析方法,对我国房地产市场的财富效应作了实证分析。实证结果表明,我国房地产市场不具有财富效应而仅具有替代效应。     

上海股市周日历效应及长期记忆研究

运用ARMA-GARCH-M、EGARCH-M及FIGARCH-M模型对上海股市A股指数收益率及其波动性的周日历效应进行联合检验;另外还检验了成交量的周日历效应。研究结果表明:(1)风险溢价系数为正值,上海股市的风险传递机制正在发挥作用;(2)股市收益率序列存在显著的周日历效应,并且其异常收益并非来自风险溢价;(3)波动性过程同时存在周日历效应和长期记忆效应;(4)股市交易量同时存在周日历效应和长期记忆效应。最后利用混合分布假说进行了解释,信息可能是周日历效应形成的重要原因。     

战略阻绝效应对战略联盟决策的影响分析

本文将对战略联盟决策的分析纳入SCP范式,并通过构造在位者和潜在进入者之间的三阶段博弈模型来分析战略阻绝效应对战略联盟决策的影响.本文认为:在位者的合适的战略联盟行为具有战略阻绝效应,可以通过改变潜在进入者的进入预期、影响进入者的行为并促进在位者的支付,这种支付的改变将拓宽战略联盟的决策空间,在位者将在更高的联盟成本或更低的固定边际成本下降程度上建立战略联盟.     

BATHTUB-TYPE CURVES IN RELIABILITY AND BEYOND

Finding optimal, or at least good, maintenance and repair policies is crucial in reliability engineering. Likewise, describing life phases of human mortality is important when determining social policy or insurance premiums. In these tasks, one searches for distributions to fit data and then makes inferences about the population(s). In the present paper, we focus on bathtub‐type distributions and provide a view of certain problems, methods and solutions, and a few challenges, that can be encountered in reliability engineering, survival analysis, demography and actuarial science.     

An alternative to model selection in ordinary regression

The weaknesses of established model selection procedures based on hypothesis testing and similar criteria are discussed and an alternative based on synthetic (composite) estimation is proposed. It is developed for the problem of prediction in ordinary regression and its properties are explored by simulations for the simple regression. Extensions to a general setting are described and an example with multiple regression is analysed. Arguments are presented against using a selected model for any inferences.     

A simple estimator for a shared frailty regression model

Summary. We propose a simple estimation procedure for a proportional hazards frailty regression model for clustered survival data in which the dependence is generated by a positive stable distribution. Inferences for the frailty parameter can be obtained by using output from Cox regression analyses. The computational burden is substantially less than that of the other approaches to estimation. The large sample behaviour of the estimator is studied and simulations show that the approximations are appropriate for use with realistic sample sizes. The methods are motivated by studies of familial associations in the natural history of diseases. Their practical utility is illustrated with sib pair data from Beaver Dam, Wisconsin.     

影响企业内部控制效果的三个重要因素

企业管理者出于企业长远利益考虑,必然对如何提高内部控制效果予以充分关注。通常来说,内部控制效果可分为制度效果和实际效果。在现实经济生活中,影响它们的因素很多,比较重要的有内部控制制度、员工素质和公司治理结构等。为了提高内部控制效果,企业应协调内部控制制度与员工素质,建立、健全公司治理结构。