The performance of alternative estimators for the probit model with first-order serial correlation 1

The purpose of the paper is to evaluate the relative performance of two generalized conditional moment (GCM) estimators in terms of their mean squared errors, for the Probit model with first-order serial correlation. The first estimator is a linearized one-step estimator described by Poirier and Ruud (1988). The second one is defined in the present paper. Monte Car10 experiments suggest that the GCM estimators outperform the ordinary Probit estimator. The two GCM estimators do almost equally well, except that the second one may be easier to calculate, especially in large samples.     

学习迁移的系统理论:PPEE理论模型的建构和意义

学习是人类社会永恒的主题。为了更好地利用过去的经验，增强学习效果，个人和组织进行学习迁移具有重要意义。学习迁移是指将在以往通过学习或解决问题所获得的经验，用于解决之后所遇到的问题。本文力图建立系统的学习迁移理论，研究人、问题、环境的因素对于学习迁移的影响。本文采用理论推导的研究方法，在前人研究的基础上，提出相应的理论模型。本文运用系统的观点，构建了学习迁移的PPEE理论模型，认为人的因素、问题的因素、人和问题的交互作用、以及环境的调节作用，会共同影响学习迁移的效果。本理论主要从五个方面论述学习迁移的机制。首先，将人的因素按照不同层面划分为后端基本能力、中端心理过程、前端知识结构，讨论了其各自对学习迁移效果的直接影响。其次，将问题的因素划分为形象相似性和抽象相似性，并根据这两个维度构建了四种问题间关系类型，并探究了其与学习迁移效果之间的关系。第三，同时考虑人的因素和问题的因素，研究了二者之间的互动对于学习迁移效果的影响。第四，将环境因素划分为时间紧迫性和空间重要性两个维度，探讨了人和环境，以及问题和环境之间的互动对学习迁移效果的影响。第五，基于系统整体的方面，研究人、问题、环境三者之间的互动对学习迁移效果的交互影响。本文还认为，该模型不仅适用于个人，也同样适用于团队、组织、地区、甚至国家和社会等各个层面，影响各个层面主体的学习迁移。本文最后总结了研究的理论和实践贡献，并提出了未来研究课题。本文对丰富学习理论、特别是学习迁移理论，以及推动教育和管理实践的发展进步具有重要的意义。     

Results concerning the generalized partially linear single-index model

The central topic of this article is the estimation of parameters of the generalized partially linear single-index model (GPLSIM). Two numerical optimization procedures are presented and an S-plus program based on these procedures is compared to a program by Wand in a simulation setting. The results from these simulations indicate that the estimates for the new procedures are as good, if not better, than Wand's. Also, this program is much more flexible than Wand's since it can handle more general models. Other simulations are also conducted. The first compares the effects of using linear interpolation versus spline interpolation in an optimization procedure. The results indicate that by using spline interpolation one gets more stable estimates at a cost of increased computational time. A second simulation was conducted to assess the performance of a method for estimating the variance of alpha. A third set of simulations is carried out to determine the best criterion for testing that one of the elements of alpha is equal to zero. The GPLSIM is applied to a water quality data set and the results indicate an interesting relationship between gastrointestinal illness and turbidity (cloudiness) of drinking water.     

Tests for generalized exponential laws based on the empirical Mellin transform

Recently, many standard families of distributions have been generalized by exponentiating their cumulative distribution function (CDF). In this paper, test statistics are constructed based on CDF–transformed observations and the corresponding moments of arbitrary positive order. Simulation results for generalized exponential distributions show that the proposed test compares well with standard methods based on the empirical distribution function.     

Bayesian analysis of multivariate stochastic volatility with skew return distribution

Multivariate stochastic volatility models with skew distributions are proposed. Exploiting Cholesky stochastic volatility modeling, univariate stochastic volatility processes with leverage effect and generalized hyperbolic skew t-distributions are embedded to multivariate analysis with time-varying correlations. Bayesian modeling allows this approach to provide parsimonious skew structure and to easily scale up for high-dimensional problem. Analyses of daily stock returns are illustrated. Empirical results show that the time-varying correlations and the sparse skew structure contribute to improved prediction performance and Value-at-Risk forecasts.     

Inferences on functions of Pareto parameters with application to income inequality measures

The Theil, Pietra, Éltetö and Frigyes measures of income inequality associated with the Pareto distribution function are expressed in terms of parameters defining the Pareto distribution. Inference procedures based on the generalized variable method, the large sample method, and the Bayesian method for testing of, and constructing confidence interval for, these measures are discussed. The results of Monte Carlo study are used to compare the performance of the suggested inference procedures from a population characterized by a Pareto distribution.     

Ridge Regression and Generalized Maximum Entropy: An improved version of the Ridge–GME parameter estimator

In this article, the Ridge–GME parameter estimator, which combines Ridge Regression and Generalized Maximum Entropy, is improved in order to eliminate the subjectivity in the analysis of the ridge trace. A serious concern with the visual inspection of the ridge trace to define the supports for the parameters in the Ridge–GME parameter estimator is the misinterpretation of some ridge traces, in particular where some of them are very close to the axes. A simulation study and two empirical applications are used to illustrate the performance of the improved estimator. A MATLAB code is provided as supplementary material.     

On the enumeration of rectangular (0, 1)-matrices

The construction and enumeration of (0, 1)-matrices with given line-sums is described for the rectangular cases often encountered in applications. Improved approximations are provided for the number of such matrices. Some new enumeration results for semi-regular bipartite graphs are included, and the related category of the quasi-semiregular bipartite graphs is recognized. The range of certain elements of products of a (0, I)-matrix is considered as a function of the line-sums. This, in turn, is related to the range in the numbers of interchanges available. Improvements in statistical practice that come from these constructions and enumerations are described.