Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility

In this paper, we consider the deterministic trend model where the error process is allowed to be weakly or strongly correlated and subject to non‐stationary volatility. Extant estimators of the trend coefficient are analysed. We find that under heteroskedasticity, the Cochrane–Orcutt‐type estimator (with some initial condition) could be less efficient than Ordinary Least Squares (OLS) when the process is highly persistent, whereas it is asymptotically equivalent to OLS when the process is less persistent. An efficient non‐parametrically weighted Cochrane–Orcutt‐type estimator is then proposed. The efficiency is uniform over weak or strong serial correlation and non‐stationary volatility of unknown form. The feasible estimator relies on non‐parametric estimation of the volatility function, and the asymptotic theory is provided. We use the data‐dependent smoothing bandwidth that can automatically adjust for the strength of non‐stationarity in volatilities. The implementation does not require pretesting persistence of the process or specification of non‐stationary volatility. Finite‐sample evaluation via simulations and an empirical application demonstrates the good performance of proposed estimators.     

Efficient Estimation in Heteroscedastic Partially Linear Varying Coefficient Models

This article considers statistical inference for the heteroscedastic partially linear varying coefficient models. We construct an efficient estimator for the parametric component by applying the weighted profile least-squares approach, and show that it is semiparametrically efficient in the sense that the inverse of the asymptotic variance of the estimator reaches the semiparametric efficiency bound. Simulation studies are conducted to illustrate the performance of the proposed method.     

Price bias and common practice in option pricing

Generally, the semiclosed-form option pricing formula for complex financial models depends on unobservable factors such as stochastic volatility and jump intensity. A popular practice is to use an estimate of these latent factors to compute the option price. However, in many situations this plug-and-play approximation does not yield the appropriate price. This article examines this bias and quantifies its impacts. We decompose the bias into terms that are related to the bias on the unobservable factors and to the precision of their point estimators. The approximated price is found to be highly biased when only the history of the stock price is used to recover the latent states. This bias is corrected when option prices are added to the sample used to recover the states' best estimate. We also show numerically that such a bias is propagated on calibrated parameters, leading to erroneous values. The Canadian Journal of Statistics 48: 8–35; 2020 © 2019 Statistical Society of Canada     

Conditional time-dependent nonparametric estimators with an application to healthcare production function

ABSTRACT

By using the probabilistic framework of production efficiency, the paper develops time-dependent conditional efficiency estimators performing a non-parametric frontier analysis. Specifically, by applying both full and quantile (robust) time-dependent conditional estimators, it models the dynamic effect of health expenditure on countries’ technological change and technological catch-up levels. The results from the application reveal that the effect of per capita health expenditure on countries’ technological change and technological catch-up is nonlinear and is subject to countries’ specific income levels.     

不同冷链服务模式下生鲜农产品供应链决策

基于单物流服务商、单供应商和单零售商构成的生鲜农产品供应链，构建3种冷链服务模式：承诺模式、提前要求模式与延后要求模式，探讨不同冷链服务模式对定价与冷链服务水平、企业绩效的影响。研究发现：某种冷链服务模式是否有利于消减数量与质量损耗依赖于产品易腐性、冷链服务成本及其分担比例。供应链成员无法在承诺模式与提前要求模式下形成统一的模式偏好。当物流服务商承担的冷链服务成本比例较低时，相比于提前要求模式，供应商偏好承诺模式，否则，偏好提前要求模式。承诺模式比提前要求模式更有利于物流服务商，然而对于零售商，结果正好相反。数值实验表明，虽然供应链成员无法对冷链服务模式形成整体的一致性偏好，但仍可实现局部的一致性偏好。     

经济全球化与证券市场监管研究

证券市场开放是一国融入全球化世界经济体系的必然结果,通过分析WTO条件下对成员国证券市场开放的基本要求,指出了入世后证券市场监管将面临的严峻挑战,并提出了一些今后证券市场监管的新思路。     

试论强化国家创新体系

我国现有的国家创新系统存在效率低下和创新活力不强的问题。强化我国的创新工作应该采取适应市场 ,及时调整创新系统中各因素的角色 ;实现创新组织网络化达到资源共享 ;政府推动创新文化建设 ,营造创新氛围这三项措施 ,从而提高我国整体创新能力和国家创新系统效率。     

土地利用管制制度效率探讨

对于公共管理,管制是重要的管理手段。文章用经济学的观点阐述管制政策的效率原理,并在此基础上分析我国土地利用管制政策的效率,最后提出我国管制政策改进的建议和实施的条件。     

绍兴市贷款产出效率分析

通过对1991-2004年绍兴市实现的GDP与占用贷款变动关系的统计分析,指出贷款产出效率持续走低存在的问题,在分析了贷款产出效率下降的主要原因后,提出了相应的对策建议.     

家族企业上市研究及其治理对策

证券发行核准制的实施为我国家族企业的进一步发展创造了难得的发展机遇 ,通过发行上市 ,家族企业在筹措到巨额发展资金的同时 ,又出现了新的“一股独大”现象 ,并由此滋生了许多亟待规范和完善的问题。