Finite sample properties of maximum likelihood and quasi-maximum likelihood estimators of egarch models

In this paper I examine finite sample properties of the maximum likelihood and quasi-maximum likelihood estimators of EGARCH(1,1) processes using Monte Carlo methods. I use response surface methodology to summarize the results of a wide array of experiments which suggest that the maximum likelihood estimator has reasonable finite sample properties. The Gaussian quasi-maximum likelihood estimator has poor finite sample properties when the data generating process has conditional excess kurtosis. Some of these poor properties appear to be asymptotic in nature.     

“思想道德修养与法律基础”主体性教学实证研究

本文以主体性教学为研究视角,以“思想道德修养与法律基础”课实施主体性教学实效性为切入点,通过教学实验,比较主体性教学班与传统教学班学生对于陈述性知识和探究性知识掌握程度,证实主体性教学是有利于“思修”课实效性特别是隐形效果实现的一种现代教学理念。     

Supplier Selection Behavior Under Uncertainty: Contextual and Cognitive Effects on Risk Perception and Choice

Buyers often make supplier selection decisions under conditions of uncertainty. Although the analytical aspects of supplier selection are well developed, the psychological aspects are less so. This article uses supply chain management and behavioral decision theories to propose that attributes of the purchasing situation (category difficulty, category importance, and contingent pay) affect cognition that, in turn, affects a supply manager's choice. We conducted a supplier selection behavioral experiment with practicing managers to test the model's hypotheses. When the context involves an important or difficult sourcing category, higher risk perceptions exist that increase preference for a supplier with more certain outcomes, even when that choice has a lower expected payoff. However, the presence of contingent pay decreases risk perceptions through higher perceived supplier control. We also find that a manager's risk propensity increases preferences for a supplier with less certain outcomes regardless of perceived risk. Our model and results provide a theoretical framework for further study into the cognitive aspects of supplier selection behavior and provide insight into biases that influence practicing supply chain managers.     

朦胧诗后先锋诗歌概观

朦胧诗后先锋诗歌的历史充满反叛性,它的反叛破坏大于建设,疏离多于超越;它对意象与象征艺术的解构、日常性叙述的重视、多元技巧的综合调试,刷新了新诗的本质内涵;它的民刊策略和边缘立场,在保证先锋性同时,表明自身还存在着典型的亚文化特征。     

Risk taking and information aggregation in groups

We report a controlled laboratory experiment examining risk-taking and information aggregation in groups facing a common risk. The experiment allows us to examine how subjects respond to new information, in the form of both privately observed signals and signals reported from others. We find that a considerable number of subjects exhibit ‘reverse confirmation bias’: they place less weight on information from others that agrees with their private signal and more weight on conflicting information. We also find a striking degree of consensus when subjects make decisions on behalf of the group under a random dictatorship procedure. Reverse confirmation bias and the incidence of consensus are considerably reduced when group members can share signals but not communicate.     

Fatal shortcomings of stationary AR (1) exogeneous variables in econometric monte carlo tudies of estimators

The paper first shows that the stationary normal AR(1) process (SNAR1), the most frequently used process for generating exogenous variables in econometric Monte Carlo studies, cannot generate realistic exogenous variables, which are generally trended and similar to those generated by ARIMA (p,d,q) process withd≧1 and positive drift (trend). Then, it illustrates that in the context of AR(1) disturbances,trends in exogenous variables can frequently alter the very ranking of two competing estimators, the ordinary least squares estimator (OLS) and the Cochrane-Orcutt estimators (CO). For three common econometric models—a standard regression model, a dynamic model (i.e., a model with a lagged dependent variable), and a seemingly unrelated regression model, OLS becomes superior in many cases. This is so in spite of the fact that the CO estimator in the study utilizes the true value of the first-order autocorrelation coefficient of the disturbances. The message to be derived from these findings should be ccear. If one accepts the fact that most if not all economic time series are trended, and endorses a proposition that the fundamental if not sole purpose of Monte Carlo studies in econometrics should be to provide useful guidelines to practicing econometricians, then, he must not employ SNARl (nor anyother artificially created nontrended series) as a generator of exogenous variables in a Monte Carlo study, at least in the econometrics of autocorrelated disturbances. Alternative methods of generating stochastic exogenous variables that are trended are suggested in the paper. For almost four decades, the principle of the autoregressive transformation of a regression model with first-order autocorrelated disturbances (the Coestimation priciple) has been taken for granted as a method of correcting for the autocorrelation in the disturbances—be it in the two-stage Cochrane—Orcutt estimator, the iterative Cochrane-Orcutt estimator, or an estimator utilizing nonlinear techniques or search procedures. (Comitting the first observation due to transformation is not considered very crucial in general.) The results of the pertinent Monte Carlo studies appear to justify such a procedure only because most studies have employed SNARl exogenous variables, not trended ones. Thus, Monte Carlo experimenters must be blamed, at least partially, for this prevailining malpractice. It is hoped that they will not commit additional sins by not using realistic data in their future experiments.     

Sector-dependent framing effects of corporate social responsibility messages: An experiment with non-alcoholic and alcoholic drinks

Corporate social responsibility (CSR) communications can be paradoxical in their effect on consumers attitudes and skepticism toward an organization, buying intentions and the organization's reputation. In this research, we investigated the effects of sector dependence and the framing of CSR messages. A 2 × 3 between-subjects experiment was used with six advertisements for two fictional organizations: one in the alcohol industry (a so-called socially stigmatized industry) and one in a non-alcohol industry. The experiment included 188 participants. The results show that the framing effects of CSR messages are sector specific: in the non-alcohol sector, CSR messages and frames had a positive effect on consumers, whereas in the alcohol sector, they had a negative effect on consumers.     

Do negative emotions explain punishment in power-to-take game experiments?

An important branch of economic research on emotions has used power-to-take game experiments to study the impact of negative emotions, such as anger, irritation and contempt, on the decision to punish. We investigate experimentally the role that the specific punishment technology adopted plays in this context, and test to what extent punishing behavior can be truly attributed to negative emotions. We find that a large part (around 70%) of the punishment behavior observed in previous PTTG studies is explained by the technology of punishment adopted instead of negative emotions. Once this effect is removed, negative emotions do still play an important role, but the efficiency costs associated to them are much smaller.     

Reputations in mixed-role markets: A theory and an experimental test

The traditional understanding of reputation systems is that they secure trust between strangers by publicly calling out cheaters. In modern, online markets, it is increasingly common for providers of a good to also act as consumers, and vice versa. We argue that in such mixed-role markets, reputation systems serve a second important function: They allow providers who lend out their possessions (such as their house, car or tools) to earn reputational credits that can be spent on future borrowing, especially when lending lacks monetary compensation. In an experiment that introduces a new game, “the Lending Game”, we show that, consistent with our argument, information on past lending leads subjects to lend to those who have themselves lent before, increasing overall lending. However, when lending is financially compensated, this mechanism of reciprocal lending ceases to operate.     

The Fragility of a Nudge: the power of self-set norms to contain a social dilemma

Can self-set normative goals restrain free-riding in a social dilemma? In a first experimental study, we test the effect of two different types of self-set normative goals on people’s willingness to cooperate in a public good game. Focusing on the level of contributions that one can at least be expected to make proves effective at restraining the material incentive to free-ride. Yet in two later studies, with only a minimal change in the wording of the goal, the effect does not replicate. The mental process is still present. But if the overall level of cooperation is higher, the effect is not strong enough to significantly increase contributions. The nudge does not work if the context is too cooperative in the first place.