Changepoint Estimation in a Segmented Linear Regression via Empirical Likelihood

For a segmented regression system with an unknown changepoint over two domains of a predictor, a new empirical likelihood ratio statistic is proposed to test the null hypothesis of no change. Under the null hypothesis of no change, the proposed test statistic is shown empirically to be Gumbel distributed with robust location and scale estimators against various parameter settings and error distributions. A power analysis is conducted to illustrate the performance of the test. Under the alternative hypothesis with a changepoint, the test statistic is utilized to estimate the changepoint between the two domains. A comparison of the frequency distributions between the proposed estimator and two parametric methods indicates that the proposed method is effective in capturing the true changepoint.     

Sourcing with Deferred Payment and Inspection under Supplier Product Adulteration Risk

We study the deferred payment and inspection mechanisms for mitigating supplier product adulteration, with endogenous procurement decision and general defect discovery process. We first derive the optimal deferred payment contract, which reveals that either entire or partial deferral can arise, depending on the moral hazard severity and the information accumulation rate. Because of the supplier's incentive to adulterate, the optimal procurement quantity under deferred payment generally is smaller than the first‐best quantity. We then investigate the inspection mechanism and characterize the equilibrium. We find that under the inspection mechanism, the optimal procurement quantity is no less than the first best. A comparison between these two mechanisms shows that the deferred payment mechanism generally can outperform the inspection mechanism when either the market size is small or the profit margin is low. However, we find that these two mechanisms can also be complementary, for which we characterize a necessary condition.     

信息不对称下医药营销服务外包契约设计

为了缩减销售成本,一些制药企业将营销服务外包给合约销售公司(contract sales organization,CSO).由于CSO的营销努力不可合同化,制药企业需要基于市场销量来激励CSO的营销努力.然而,市场销量受制药企业定价决策的影响,因此CSO将面临制药企业提高定价的道德风险.此外,药品营销难度信息可能是CSO的私人信息,这使得制药企业面临逆向选择问题.当制药企业将营销服务外包给多个CSO时,由于制药企业针对同一药品在不同市场的售价相同,其定价决策对多个CSO所服务市场的销量具有共同的影响.相对绩效的激励契约能够消除共同不确定因素对代理人产出的影响,从而更有利于激励代理人付出高水平的努力.因此依据信息甄别的博弈模型,分析基于个体绩效与基于相对绩效的激励契约的有效性.研究发现:1)药品营销难度信息对称时,基于相对绩效的激励契约占优于基于个体绩效的激励契约,且可以获得全局最优的营销努力和期望利润;2)药品营销难度信息不对称时,两种激励契约均不能获得全局最优的营销努力和期望利润.数值分析表明,药品营销难度的先验概率,市场价格敏感性和高低类型药品营销难度差异的变化会影响制药企业的契约选择,较高的市场价格敏感性和较低的高低类型药品营销难度差异使得基于相对绩效的激励契约更有效.     

英国扩大留学生规模背景下的质量问题及反思

20世纪80年代以来,英国政府将扩大留学生规模作为高等教育国际化发展的重要战略政策。通过对近20年来英国留学生人数、留学生入学标准、优质学位授予比例、生师比、教育生均经费等数据变化趋势的分析,提出在这一经济利益驱动留学生规模扩张的过程中,英国留学生质量要求和标准正在放宽。如何使学生增长速度与优质资源生长速度相匹配、如何在获取短期经济效益的同时寻求高等教育长期可持续性发展的途径,是需要思考和解决的问题。     

A win ratio approach to comparing continuous non‐normal outcomes in clinical trials

Clinical trials are often designed to compare continuous non‐normal outcomes. The conventional statistical method for such a comparison is a non‐parametric Mann–Whitney test, which provides a P‐value for testing the hypothesis that the distributions of both treatment groups are identical, but does not provide a simple and straightforward estimate of treatment effect. For that, Hodges and Lehmann proposed estimating the shift parameter between two populations and its confidence interval (CI). However, such a shift parameter does not have a straightforward interpretation, and its CI contains zero in some cases when Mann–Whitney test produces a significant result. To overcome the aforementioned problems, we introduce the use of the win ratio for analysing such data. Patients in the new and control treatment are formed into all possible pairs. For each pair, the new treatment patient is labelled a ‘winner’ or a ‘loser’ if it is known who had the more favourable outcome. The win ratio is the total number of winners divided by the total numbers of losers. A 95% CI for the win ratio can be obtained using the bootstrap method. Statistical properties of the win ratio statistic are investigated using two real trial data sets and six simulation studies. Results show that the win ratio method has about the same power as the Mann–Whitney method. We recommend the use of the win ratio method for estimating the treatment effect (and CI) and the Mann–Whitney method for calculating the P‐value for comparing continuous non‐Normal outcomes when the amount of tied pairs is small. Copyright © 2016 John Wiley & Sons, Ltd.     

A股上市公司变相财务操纵对行业估值的影响

关于上市公司利润操控的相关研究主要是将净利润作为一个事关操控的敏感指标,但在监管与被监管双方努力的博弈下,其可被操纵的潜力已被充分挖掘。从实证角度关注上市公司财务操纵的其他可操作途径,其中就包括一些看似合理的变相财务操纵手段。按照2001年中国证监会公布的《上市公司行业分类指引》,把我国上市企业分为13个行业,对不同行业内企业2003—2013年部分主观可操控的财务指标与其所在行业的平均市盈率进行格兰杰因果检验和回归分析,结果表明,一些行业内企业的部分财务指标与其所在行业的平均市盈率存在领先与滞后关系,并且影响作用显著。     

Subgroup Analysis with Time‐to‐Event Data Under a Logistic‐Cox Mixture Model

Subgroup detection has received increasing attention recently in different fields such as clinical trials, public management and market segmentation analysis. In these fields, people often face time‐to‐event data, which are commonly subject to right censoring. This paper proposes a semiparametric Logistic‐Cox mixture model for subgroup analysis when the interested outcome is event time with right censoring. The proposed method mainly consists of a likelihood ratio‐based testing procedure for testing the existence of subgroups. The expectation–maximization iteration is applied to improve the testing power, and a model‐based bootstrap approach is developed to implement the testing procedure. When there exist subgroups, one can also use the proposed model to estimate the subgroup effect and construct predictive scores for the subgroup membership. The large sample properties of the proposed method are studied. The finite sample performance of the proposed method is assessed by simulation studies. A real data example is also provided for illustration.     

Testing Overdispersion in CUBE Models

A practical problem with large-scale survey data is the possible presence of overdispersion. It occurs when the data display more variability than is predicted by the variance–mean relationship. This article describes a probability distribution generated by a mixture of discrete random variables to capture uncertainty, feeling, and overdispersion. Specifically, several tests for detecting overdispersion will be implemented on the basis of the asymptotic theory for maximum likelihood estimators. We discuss the results of a simulation experiment concerning log-likelihood ratio, Wald, Score, and Profile tests. Finally, some real datasets are analyzed to illustrate the previous results.     

Intraday Serial Correlation,Volatility, and Jump: Evidence from China's Stock Market

In this article, we investigate the relationships among intraday serial correlation, jump-robust volatility, positive and negative jumps based on Shanghai composite index high frequency data. We implement variance ratio test to quantify intraday serial correlation. We also measure the continuous part of realized volatility using jump-robust MedRV estimator and disentangle positive and negative jumps using Realized Downside Risk Measure and Realized Upside Potential Measure proposed by Bi et al., (2013 Bi, T., Zhang, B., Wu, H. (2013). Measuring downside risk using high frequency data–realized downside risk measure. Communications in Statistics–Simulation and Computation 42(4):741–754.[Taylor &; Francis Online], [Web of Science ®] , [Google Scholar]). We find that intraday serial correlation are positively correlated with jump-robust volatility and negatively correlated with negative jumps which confirm the LeBaron effect.     

Comparison of hazard rates for dependent random variables

In this paper, we define and study a new notion for the comparison of the hazard rates of two random variables taking into account their mutual dependence. Properties, applications and the comparison for a data set are given.