Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives

The problem of estimating an unknown change-point in the mean vector or covariance matrix of a sequence of independent multivariate Gaussian random variables is considered. Adapting the estimation methodology that Hinkley pursued for the case of abrupt changes, we develop theory for deriving the asymptotic distribution of the maximum likelihood estimator of the change-point when the amount of change is a function of the sample size and goes to zero in a smooth fashion as the sample size goes to infinity, yielding a contiguous change-point model. Simulations have been performed to illustrate the closeness of the asymptotic distribution with the empirical distribution, and to evaluate its robustness to departures from normality for reasonable sample sizes as well as parameter changes. Finally, we apply the methodology to estimate the change-point in the daily log-returns data of BLS (BellSouth) and VZ (Verizon) from NYSE.     

Estimation and decomposition of productivity change when production is not efficient: a paneldata approach

This paper addresses estimation and decomposition of productivity change, which is mostly identified as technical change under constant (unitary) returns to scale (CRS). If the CRS assumption is not made, productivity change is decomposed into technical change and scale effects.Furthermore, if inefficiency exists, it also contributes to productivity change. Here we decompose productivity change into efficiency change, technical change, and scale effects. Three alternative approaches using parametric production, cost, and profit functions, which differ in terms of behavioral assumptions on the producers and data requirements, are considered.     

Archimedean copulae for risk measurement

In this paper some Archimedean copula functions for bivariate financial returns are studied. The choice of this family is due to their ability to capture the tail dependence, which is an association measure we can detect in many bivariate financial time-series. A time-varying version of these copulae is also investigated. Finally, the Value-at-Risk is computed and its performance is compared across different copula specifications.     

Leveraging corporate influence

Movement scholars have become increasingly interested in the way in which social movement actors target non-state entities, particularly corporations. The reason for this is quite simple: globalization, neoliberal policies adopted by the state, and new legal protections via court rulings have allowed businesses to exert considerable influence across all facets of society. In light of these changes, movements have found targeting the state less effective than directly pressuring business interests. Scholarship suggests that one of the most effective ways to ensure that corporations attend to movement concerns is through market pressures. While negatively impacting stock returns is perhaps the most effective means of achieving such pressure, there is surprisingly little empirical research linking stock price outcomes to movement success. Here, we use Qualitative Comparative Analysis and examine 35 labor strikes to determine if the ability of the union to negatively impact stock price affected their ability to win new gains for members (or, to prevent concessions). Our findings reveal that it is the characteristics of the targeted firm, not the actions of the unions themselves, that is most closely associated with success.     

对结果加重犯构成的再认识

当前结果加重犯的核心问题在于没有厘清结果加重犯的本质特征,陷入了“复合形态论”的误区。与“复合形态论”相对,在犯罪类型上结果加重犯应当是危险犯的实害形态。具体而言,在客观方面,结果加重犯中的基本犯罪行为具有加重结果发生的内在危险性或现实可能性;加重结果与基本结果均是同类法益;基本犯罪的侵害对象与加重结果的受害对象必须同一。在主观方面,行为人对于加重结果存在危险故意。     

农户家庭教育收益率的测量及其影响因素

利用甘肃省14个贫困村的入户调查数据,通过建立与拓展明瑟收入方程对农户家庭教育收益率进行了测算,在此基础上建立OLS回归模型和分位数回归模型进一步分析农户家庭教育收益率的影响因素。研究结论：农户家庭的教育收益率整体显著,农户家庭年均教育收益率随着家庭平均教育年限的提高而递增;OLS回归结果表明家庭约束、家庭经济资本、家庭社会资本、家庭文化资本对农户家庭教育收益率有一定影响;进一步分位数回归显示,家庭约束、家庭经济资本、家庭社会资本、家庭文化资本对不同教育收益率分布段的影响程度存在显著差异。     

中国股票市场行业与地区效应分析

根据国家行业分类,参照地区的远近和经济发达程度,把中国股票市场的股票划分为21个行业、12个地区。依据中国股票市场从1995年7月到2001年6月的股票回报率月数据,利用约束回归分析法对回报率的行业和地区效应进行了横截面和时间序列分析,表明中国股票市场具有明显的行业和地区效应,并且行业效应大于地区效应。     

高增长主因：快速技术进步，还是高投资

改革开放30年，是中国经济快速发展的30年，这种“中国模式”引起了世界各国的热切关注，高投资、高消耗是西方世界得出的主要结论，并由此而延伸成为金融危机、全球变暖的主要原因。针对这种不切实际、别有用心的论调，从“资本边际报酬递减”的经济学规律入手进行分析、批驳，认为：快速技术进步是过去高速增长的主因，高投资把快速技术进步的成果加以物化，今后阶段中国需要努力保持一定的技术进步速度，而不使之快速下滑。     

法律视角下电子商务退货运费险费率问题

退货运费险是随着电子商务发展而出现的新型保险方式，首先对退货运费险进行界定，分析了卖家退货运费险和买家退货运费险在保险费率上存在的问题，并对现存问题进行法律上的分析并提出可行建议。     

国内外油脂期货市场溢出效应及信息传导关系

采用多元 VAR（1）-GARCH（1,1）-BEKK 模型研究了中国的棕榈油、豆油和菜籽油以及美国豆油、加拿大油菜籽五个期货市场之间的收益和波动溢出效应,进而通过协整检验和误差修正模型分析了市场间的信息传导关系。研究发现：美国豆油和加拿大油菜籽对中国三个油脂期货市场均有单向的收益溢出,中国的三大油脂期货表现为豆油对棕榈油、棕榈油对菜籽油存在单向的收益溢出;除了中国的豆油、棕榈油对菜籽油期货市场存在单向的波动溢出外,其他市场间均存在双向的波动溢出效应;五个市场间存在稳定的协整关系并具有相同的信息传导效率。上述研究结果表明美国芝加哥豆油期货市场和加拿大油菜籽期货市场分别是世界豆油和菜籽油的定价中心,大连期货市场是国内的油脂产品定价中心。