金融危机对金融机构的冲击及政府救助分析

使用基于非对称双指数分布的跳-扩散模型,以资产治理结构理论为框架对金融危机爆发前后以及危机中政府救助前后的债务平均到期时间、冲击到来频率以及违约资产损失率进行设定,从而对金融机构债务/资产比率在不同情况下的变化趋势进行数值模拟,以此分析金融危机对金融机构的冲击以及政府救助金融机构的效果.模拟分析结果发现,金融危机中金融机构的脆弱性主要来自债务/资产比率过高、中短期债务过多以及资产质量过低;政府对危机中金融机构的救助措施以低频大幅注资辅以购买短期债务和劣质资产最为有效.     

Improving the Numerical Performance of Static and Dynamic Aggregate Discrete Choice Random Coefficients Demand Estimation

The widely used estimator of Berry, Levinsohn, and Pakes (1995) produces estimates of consumer preferences from a discrete‐choice demand model with random coefficients, market‐level demand shocks, and endogenous prices. We derive numerical theory results characterizing the properties of the nested fixed point algorithm used to evaluate the objective function of BLP's estimator. We discuss problems with typical implementations, including cases that can lead to incorrect parameter estimates. As a solution, we recast estimation as a mathematical program with equilibrium constraints, which can be faster and which avoids the numerical issues associated with nested inner loops. The advantages are even more pronounced for forward‐looking demand models where the Bellman equation must also be solved repeatedly. Several Monte Carlo and real‐data experiments support our numerical concerns about the nested fixed point approach and the advantages of constrained optimization. For static BLP, the constrained optimization approach can be as much as ten to forty times faster for large‐dimensional problems with many markets.     

DUAL-RESOURCE PARALLEL QUEUES WITH SERVER TRANSFER AND INFORMATION ACCESS DELAYS*

Dual-resource constrained queuing systems contain fewer servers than service facilities. This study uses computer simulation to evaluate several server assignment procedures in a dual-resource system. A field study serves as the basis for developing a model with two service facilities in parallel, a single server, and deterministic information access and transfer delays that can be applied to job shops, computer operating systems, and elevators. Several findings, useful in server assignment decision making, resulted from the study. If first-come, first-served sequencing is used, delaying server assignment at a facility until all jobs are completed reduces both the mean and the variance of job flow time. If shortest-process-time-first sequencing is used, an assignment rule is tested that delays a server at a facility until a sufficiently short job is estimated to have arrived elsewhere. This rule performs best overall in terms of both the mean and variance of flow time. Methods to implement this decision rule easily are discussed.     

AN EVALUATION OF SEQUENCING RULES FOR AN ASSEMBLY SHOP

Research relating to sequencing rules in simple job shops has proliferated, but there has not been a corresponding proliferation of research evaluating similar sequencing rules in more complex assembly job shops. In a simple job shop, all operations are performed serially; but an assembly shop encompasses both serial and parallel operations. As a result of the increased complexity of assembly shops, the results associated with the performance of sequencing rules in simple job shops cannot be expected for an assembly shop. In this paper, 11 sequencing rules (some of which are common to simple job shops and some decigned specifically for assembly shops) are evaluated using a simulation analysis of a hypothetical assembly shop. The simulation results are analyzed using an ANOVA procedure that identifies significant differences in the results of several performance measures. Sensitivity analysis also is performed to determine the effect of job structure on the performance of the sequencing rules.     

Statistical Properties of Generalized Gini Coefficient with Application to Health Inequality Measurement

In this article, we report statistical properties of two classes of generalized Gini coefficients (G1 and G2). The theoretical results were assessed via Monte Carlo simulations. Further, we used G1 and G2 on life expectancy to measure health inequalities among the provinces of China and the states of the United States. For China, the results indicated that there was statistically significant health inequality by both G1 and G2. However, for the US, the results showed that there was significant health inequality by G1 but no statistical significance was found in health inequality by G2. Overall, from our study, China has higher health inequality than the United States.     

An efficient integrated nonparametric entropy estimator of serial dependence

ABSTRACT

We propose an efficient numerical integration-based nonparametric entropy estimator for serial dependence and show that the new entropy estimator has a smaller asymptotic variance than Hong and White’s (2005 Hong, Y., White, H. (2005). Asymptotic distribution theory for nonparametric entropy measures of serial dependence. Econometrica 73:837–901.[Crossref], [Web of Science ®] , [Google Scholar]) sample average-based estimator. This delivers an asymptotically more efficient test for serial dependence. In particular, the uniform kernel gives the smallest asymptotic variance for the numerical integration-based entropy estimator over a class of positive kernel functions. Moreover, the naive bootstrap can be used to obtain accurate inferences for our test, whereas it is not applicable to Hong and White’s (2005 Hong, Y., White, H. (2005). Asymptotic distribution theory for nonparametric entropy measures of serial dependence. Econometrica 73:837–901.[Crossref], [Web of Science ®] , [Google Scholar]) sample averaging approach. A simulation study confirms the merits of our approach.     

The effect of the mechanism and amount of missingness on subset correspondence analysis

The application of subset correspondence analysis is a relatively new technique to deal with the analysis of categorical data with missingness. A simulation study is used to test the effects of Little and Rubin's missingness mechanisms, as well as missingness up to 50% on subset correspondence analysis. Missingness was simulated across 18 different scenarios and each scenario was repeated 10 times, with outcomes averaged across the 10 simulations. In this application, it was found that while missingness in excess of 30% has some effect on certain outcomes, there is no evidence to suggest that the missingness mechanism significantly affects results.     

A simulation based method for assessing the statistical significance of logistic regression models after common variable selection procedures

Classification models can demonstrate apparent prediction accuracy even when there is no underlying relationship between the predictors and the response. Variable selection procedures can lead to false positive variable selections and overestimation of true model performance. A simulation study was conducted using logistic regression with forward stepwise, best subsets, and LASSO variable selection methods with varying total sample sizes (20, 50, 100, 200) and numbers of random noise predictor variables (3, 5, 10, 15, 20, 50). Using our critical values can help reduce needless follow-up on variables having no true association with the outcome.     

THE EFFECTIVENESS OF EXTENDING THE HORIZON IN ROLLING PRODUCTION SCHEDULING

In recent work, Baker [1] has investigated the use of rolling schedules for multiperiod production scheduling problems. One of his results is that the longest possible forecast horizon is not necessarily the best. He also found that the rolling schedules' effectiveness fluctuates widely depending upon the length of the forecast horizon. To smooth these fluctuations we have investigated use of forecasting to extend the problem horizon. Some of our results confirm the previous conclusions, but other results support the position that “the more information the better.”