Suchergebnisse

Forecasting macroeconomic variables using diffusion indexes in short samples with structural change / Anindya Banerjee, Massimiliano Marcellino, Igor Masten -- Predictive inference under model misspecification / Nii Ayi Armah, Norman R. Swanson -- Forecasting persistent data with possible structural breaks : old school and new school lessons using OECD unemployment rates / Walter Enders, Ruxandra Prodan -- What can we learn from comprehensive data revisions for forecasting inflation? Some US evidence / Pierre L. Siklos -- Forecasting annual UK inflation using an econometric model over 1875-1991 / Michael P. Clements, David F. Hendry -- Estimating and forecasting GARCH models in the presence of structural breaks and regime switches / Eric Hillebrand, Marcelo C. Medeiros -- A source of long memory in volatility / Namwon Hyung, Ser-Huang Poon, Clive W.J. Granger -- Forecasting stock return volatility in the presence of structural breaks / David E. Rapach, Jack K. Strauss, Mark E. Wohar -- Forecasting UK inflation : the roles of structural breaks and time disaggregation / Jennifer L. Castle, David F. Hendry -- Financial time series and volatility prediction using NoVaS transformations / Dimitris N. Politis, Dimitrios D. Thomakos -- Modeling foreign exchange rates with jumps / John M. Maheu, Thomas H. McCurdy -- Bagging binary and quantile predictors for time series : further issues / Tae-Hwy Lee, Yang Yang -- Forecasting interest rates : an application of the stochastic unit root and stochastic cointegration frameworks / Robert Sollis -- Bayesian model averaging in the presence of structural breaks / Francesco Ravazzolo, Richard Paap, Dick van Dijk, Philip Hans Franses -- The economic and statistical value of forecast combinations under regime switching : an application to predictable US returns / Massimo Guidolin, Carrie Fangzhou Na -- Forecasting with small macroeconomic VARs in the presence of instabilities / Todd E. Clark, Michael W. McCracken -- Frontiers of economics and globalization / Hamid Beladi, E. Kwan Choi

Equilibrium points in n-person games ; The bargaining problem / John F. Nash, Jr. -- Non-cooperative games / John Nash -- An iterative method of solving a game / Julia Robinson -- Equivalence of games in extensive form / F.B. Thompson -- Extensive games and the problem of information / H.W. Kuhn -- A value for n-person games ; Stochastic games / L.S. Shapley -- Recursive games / H. Everett -- Von Neumann-Morgenstern solutions to cooperative games without side payments / R.J. Aumann and B. Peleg -- A limit theorem on the core of an economy / Gerard Debreu and Herbert Scarf -- The bargaining set for cooperative games / Robert J. Aumann and Michael Maschler -- Existence of competitive equilibria in markets with a continuum of traders / Robert J. Aumann -- The core of an n-person game / Herbert E. Scarf -- Games with incomplete information played by "Bayesian" players. pt. 1. The basic model ; pt. 2. Bayesian equilibrium points ; pt. 3. The basic probability distribution of the game / John C. Harsanyi -- The big match / David Blackwell and T.S. Ferguson -- On market games / Lloyd S. Shapley and Martin Shubik -- Reexamination of the perfectness concept for equilibrium points in extensive games / R. Selten.

In this paper, we compare standard approaches used to handle losses in logarithmic profit models with a simple novel approach. We estimate translog stochastic profit frontiers, and discuss discriminatory power, rank stability and the precision of profit efficiency scores. Contrary to existing methods, our approach does not result in a loss of observations. Our new method enhances rank stability and discriminatory power, and improves the precision of profit efficiency scores.

Intro -- Preface -- Contents -- Chapter 1: Executive Summary -- 1.1 Features of the Book -- 1.2 Structure of the Book -- 1.3 Contributions of the Book -- 1.4 Notes on the Book -- 1.4.1 Geographical Units and Data for Analysis -- 1.4.2 Approaches for Analysis -- 1.4.3 On Regional Hierarchy -- Appendix: Japan´s National Land Plan -- References -- Part I: Regional Economic Structure and Productivity -- Chapter 2: Regional Economic Structure in Japan -- 2.1 Introduction -- 2.2 Regional Economic Structure -- 2.3 Theories on Regional Disparities -- 2.4 Determinants of Economic Catching Up -- 2.4.1 Social Overhead Capital -- 2.4.2 Industrial Structure -- 2.4.3 Fiscal Transfer -- 2.5 Conclusions -- Appendix 1: Measurement of the Mono-/Polycentricity of Japan´s National Land Structure -- Appendix 2: Conventional Theories on Regional Economic Disparities -- Neoclassical Theory -- Cumulative Causation Theory -- Appendix 3: Active Job Openings to Applicants Ratio by Prefecture -- References -- Chapter 3: Regional Productivity and Convergence -- 3.1 Introduction -- 3.2 Total Factor Productivity -- 3.2.1 Methods of Measurement -- 3.2.2 Data -- 3.2.3 Measurement Results -- 3.3 Statistical Test on Regional Convergence -- 3.3.1 Stochastic Convergence Model -- 3.3.2 Panel Unit Root Test -- 3.4 Conclusions -- References -- Chapter 4: Regional Productivity and Determinants -- 4.1 Introduction -- 4.2 Methods -- 4.2.1 Stochastic Frontier Model of the TFP Index -- 4.2.2 Data -- 4.3 Results and Discussion -- 4.4 Conclusions -- References -- Part II: Inter-regional Network Economies -- Chapter 5: Inter-regional Networks and Productivity Dynamics -- 5.1 Introduction -- 5.2 The Concept of Inter-regional Network Economies -- 5.3 Methods -- 5.3.1 Partial Adjustment Model of TFP Index -- 5.3.2 Data -- 5.4 Results and Discussion -- 5.5 Conclusions -- References.

This book focuses on the application of newly innovated analytical tools for sustainable development on regional economic and environmental issues in Korea. With a range of case studies, the authors explore a series of theoretical models and empirical methods including spatial CCE Model, multiregional Input-Output and econometric analysis, logit model, contingent valuation method, GIS, sample selection model, machine learning technique, stochastic frontier analysis, and panel analysis. These models and methods are tailored to spatial development issues such as agglomeration, clustering and industrial innovation, human capital and labor market, education and R & D investments and economic resilience for regional economies and unexpected disaster, and natural resources for environmental markets. Quantitative Regional Economic and Environmental Analysis for Sustainability in Korea is of particular interest to policy makers and practitioners, as well as research scholars active in sustainability science.

Analysis of managerial efficiency in sport economics typically focuses on evaluating coach decisions instead of assessing the organization as a whole. This paper studies the relative importance of variables related to power and managerial decisions by estimating stochastic production frontiers models for the Chilean and Italian football. We find the presence of technical inefficiencies in both cases. However, managerial decisions play a more significant role in the Italian league. This difference can be explained by a less open and balanced competition in the Chilean case, that could be due to a lower demand and/or financial constraints faced by small clubs in that country.

Forecasting macroeconomic variables using diffusion indexes in short samples with structural change / Anindya Banerjee, Massimiliano Marcellino, Igor Masten -- Predictive inference under model misspecification / Nii Ayi Armah, Norman R. Swanson -- Forecasting persistent data with possible structural breaks : old school and new school lessons using OECD unemployment rates / Walter Enders, Ruxandra Prodan -- What can we learn from comprehensive data revisions for forecasting inflation? Some US evidence / Pierre L. Siklos -- Forecasting annual UK inflation using an econometric model over 1875-1991 / Michael P. Clements, David F. Hendry -- Estimating and forecasting GARCH models in the presence of structural breaks and regime switches / Eric Hillebrand, Marcelo C. Medeiros -- A source of long memory in volatility / Namwon Hyung, Ser-Huang Poon, Clive W.J. Granger -- Forecasting stock return volatility in the presence of structural breaks / David E. Rapach, Jack K. Strauss, Mark E. Wohar -- Forecasting UK inflation : the roles of structural breaks and time disaggregation / Jennifer L. Castle, David F. Hendry -- Financial time series and volatility prediction using NoVaS transformations / Dimitris N. Politis, Dimitrios D. Thomakos -- Modeling foreign exchange rates with jumps / John M. Maheu, Thomas H. McCurdy -- Bagging binary and quantile predictors for time series : further issues / Tae-Hwy Lee, Yang Yang -- Forecasting interest rates : an application of the stochastic unit root and stochastic cointegration frameworks / Robert Sollis -- Bayesian model averaging in the presence of structural breaks / Francesco Ravazzolo, Richard Paap, Dick van Dijk, Philip Hans Franses -- The economic and statistical value of forecast combinations under regime switching : an application to predictable US returns / Massimo Guidolin, Carrie Fangzhou Na -- Forecasting with small macroeconomic VARs in the presence of instabilities / Todd E. Clark, Michael W. McCracken -- Frontiers of economics and globalization / Hamid Beladi, E. Kwan Choi. - Forecasting in the presence of structural breaks and model uncertainty are active areas of recent research with crucial implications for practical problems in forecasting. Forecasting in the Presence of Structural Breaks and Model Uncertainty presents findings from the recent literature and new findings in a way that will be very useful to academic researchers and practitioners alike.Each chapter includes detailed empirical applications that demonstrate the usefulness (and limitations) of different methods for generating forecasts when structural breaks and model uncertainty are of significant concern. The authors describe in detail their methods and their results, and the data and programs are made available on a web site devoted to the book. The volume addresses forecasting variables from both Macroeconomics and Finance, and considers many different methods of dealing with model instability and model uncertainty when forming forecasts.Authors are leading experts in the topics they survey and extend. This book is supported by a website detailing the data and programs used

AbstractLarge lending in the banking industry has sparked concerns about banks' efficiency performance, particularly, if it is related to their credit risk, as trade credit, provided by large, creditworthy firms. We provide evidence of a rather neglected issue regarding the impact of large lending on banks' efficiency using cost and profit stochastic functions. A unique dataset was constructed concerning all US banks collected from the Statistics on Depository Institutions report compiled by the Federal Deposit Insurance Corporation. Our sample contains US banks tracked yearly for the period 2010–2017, creating an unbalanced panel of year observations. An econometric framework based on nested non‐neutral frontiers was developed to estimate the influence and the decomposition of large lending on the three banks' performance aspects. Moreover, different types of frontiers aiming at the cost and profit sides have been investigated, and the associated elasticities have been calculated. We notice that large lending plays a crucial role in banks' technical efficiency. Variations among different frontier models, type of bank and size, banks' ownership structure, and macroeconomic conditions appear to be present. By considering all capital adequacy asset quality management earnings liquidity parameters, we notice that banks' financial strength affects banks' efficiency.

I: Frontiers in Forecasting and Econometric Modelling -- 1. Combinations of High and Low Frequency Data in Macroeconometric Models -- 2. Stochastic Simulation, Prediction and Validation of Nonlinear Models -- 3. An Integrated Exhaustible Resource Model of Copper Market Dynamics -- II: Trade, Debt, and Development -- 4. The Impact of Commodity Price Instability: Experiments with a General Equilibrium Model for Indonesia -- 5. Commodity Price Contractions, Debt and Economic Growth in Developing Countries: The Venezuelan Case -- 6. Income and Price Elasticities of Foreign Trade Flows: Econometric Estimation and Analysis of the US Trade Deficit -- III: Industrial Organisation and Government Policy -- 7. Previous Cartel Experience: Any Lessons for OPEC? -- 8. The Implications for Future Contingency Planning of the 1979 Gasoline Shortage -- 9. International Trade, Investment, and American Cities and Regions.

One -- 1 A Comparison of Alternative Approaches to the Measurement of Productive Efficiency -- 2 A Comparison of DEA and Translog Estimates of Production Frontiers Using Simulated Observations from a Known Technology -- Two -- 3 Stochastic Frontier Inefficiency and Firm Size for Selected Industries of the Belgian Manufacturing Sector: Some New Evidence -- 4 Sources of Differences in Agricultural Productivity Growth Among Socialist Countries -- 5 Cost Pressures and Relative Productivity in Canadian Telecommunications Firms -- 6 Allocative Inefficiency in the Airline Industry: A Case for Deregulation -- 7 Capacity Utilization and Productivity Measurement: An Application to the U.S. Automobile Industry -- 8 The Effect of Shifts in the Composition of Employment on Labor Productivity Growth: Canada 1971–1979 -- Three -- 9 Measuring Shadow Price Efficiency -- 10 General Homothetic Production Correspondences -- 11 Efficiency in Production and Consumption -- Index, author -- Index, subject.

This paper provides empirical evidence on the impact on
technical inefficiency of smallholder dairy producers when they formally
participate in a milk supply chain. Here the stochastic production
frontier and technical inefficiency effects model are estimated based on
the data gathered from 800 smallholder dairy farms in Pakistan. The
results suggest that the technical inefficiency of the participating
farms is significantly reduced. A strong impact of the supply chain is
also detected in reducing technical inefficiency of farms that are
located in remote areas and on those that have larger herd-size.
Experienced farmers upto the age of 36 years have the advantage of
reducing technical inefficiency. The remaining differences in relative
inefficiency of dairy farms are accounted for by severe long-term
depressive disorders. JEL classification: D24, Q12, Q13, Q18 Keywords:
Agri-food Supply Chain, Production Frontiers, Dairy Efficiency, Food
Policy, Pakistan

Immigrants in Germany display a poor earnings performance relative to natives. Arguing that human capital endowments identify earnings potentials rather than actual earnings, this paper estimates a stochastic earnings frontier and searches for systematic differences between natives and migrants in terms of distance to the frontier. GSOEP-Data of the year 2000 is used for estimation. The empirical results clearly support the frontier assumption, but - surprisingly - find natives and immigrants at about the same distance to the frontier. Assuming a halfnormal distribution of the wage-inefficiency term, both groups transformed on average a modest 81% share of their potential income into market earnings. Due to the similar positions of natives and immigrants relative to the frontier, the wage discrimination hypothesis is rejected. Actually, human capital differentials are clearly the most important source for wage inequality. The earnings frontiers of immigrants from Eastern Europe as well as from Turkey are steeper than the respective frontier of natives, which supports the assimilation hypothesis. No assimilation is found for migrants from the European Union and from the former Yugoslavia.

Immigrants in Germany display a poor earnings performance relative to natives. Arguing that human capital endowments identify earnings potentials rather than actual earnings, this paper estimates a stochastic earnings frontier and searches for systematic differences between natives and migrants in terms of distance to the frontier. GSOEP-Data of the year 2000 is used for estimation. The empirical results clearly support the frontier assumption, but – surprisingly – find natives and immigrants at about the same distance to the frontier. Assuming a half-normal distribution of the wage-inefficiency term, both groups trans­formed on average a modest 81% share of their potential income into market earnings. Due to the similar positions of natives and immigrants relative to the frontier, the wage discrimination hypothesis is rejected. Actually, human capital differentials are clearly the most important source for wage inequality. The earnings frontiers of immigrants from Eastern Europe as well as from Turkey are steeper than the respective frontier of natives, which supports the assimilation hypothesis. No assimilation is found for migrants from the European Union and from the former Yugoslavia.

In this paper several cumulative sum (CUSUM) charts for the mean of a multivariate time series are introduced. We extend the control schemes for independent multivariate observations of crosier [Technometrics (1988) Vol. 30, pp. 187–194], pignatiello and runger [Journal of Quality Technology (1990) Vol. 22, pp. 173–186], and ngai and zhang [Statistica Sinica (2001) Vol. 11, pp. 747–766] to multivariate time series by taking into account the probability structure of the underlying stochastic process. We consider modified charts and residual schemes as well. It is analyzed under which conditions these charts are directionally invariant. In an extensive Monte Carlo study these charts are compared with the CUSUM scheme of theodossiu [Journal of the American Statistical Association (1993) Vol. 88, pp. 441–448], the multivariate exponentially weighted moving‐average (EWMA) chart of kramer and schmid [Sequential Analysis (1997) Vol. 16, pp. 131–154], and the control procedures of bodnar and schmid [Frontiers of Statistical Process Control (2006) Physica, Heidelberg]. As a measure of the performance, the maximum expected delay is used.