bluuebunny/crossref_metadata_2025 huggingface dataset:
Tests for Harmonic Components in the Spectra of Categorical Time Series
Authors: McGee Monnie , Ensor Katherine
Published: March 2003

A test for categorical time series is developed which is based on Fisher’s test for continuous‐parameter time series. Instead of using a test based on the Fourier periodog ram for spectral analysis, we utilize the Walsh–Fourier periodogram for testing purposes. We briefly explain the theory behind Walsh–Fourier analysis and some of its recent applications. Asymptotic results for the distribution of the new test statistic for Walsh–Fourier spectra are presented and compared with a simulated distribution. We also perform power studies in order to assess the detection capability of the test. In the presence of multiple peaks in the spectrum, this test tends to lose power. Therefore, we also explore several alternatives to the test for Walsh–Fourier spectra and apply all of the alternative methods to a realization of geomagnetic reversals
Tests for Change in a Mean Function when the Data are Dependent
Authors: Kim Jaehee H. , Hart Jeffrey D.
Published: March 2003

Detecting changes in the mean of a stochastic process is important in many areas, including quality control. We develop powerful omnibus tests for the null hypothesis that the underlying mean is constant. The proposed tests can be applied to test for any kind of change, whether it be abrupt, smooth or cyclical. Nonparametric function estimation techniques are used in deriving these tests. The test statistics are derived from a Fourier series smoother that minimizes an estimate of mean integrated squared error.

An important example of correlated data is that arising from a stationary time series. To obtain a valid test of mean constancy, it is necessary to estimate the spectrum of the error process, and we consider various methods of doing this. We have found that, in the case of an AR(1) model, the spectrum is well estimated if local linear smoothing is used in conjunction with generalized least squares. A power study of the proposed tests is done by simulation when the errors follow an AR(1) model, and the tests are applied to a set of astronomy data.
Hyperbolic Decay Time Series
Authors: McLeod A. I.
Published: March 2003

Hyperbolic decay time series such as fractional Gaussian noise or fractional autoregressive moving‐average processes exhibit two distinct types of behaviour: strong persistence or antipersistence. Beran (Statistics for Long Memory Processes. London: Chapman and Hall, 1994) characterized the family of strongly persistent time series. A more general family of hyperbolic decay time series is introduced and its basic properties are characterized in terms of the autocovariance and spectral density functions. The random shock and inverted form representations are derived. It is shown that every strongly persistent series is the dual of an antipersistent series and vice versa. The asymptotic generalized variance of hyperbolic decay time series with unit innovation variance is shown to be infinite which implies that the variance of the minimum mean‐square‐error one‐step linear predictor using the last k observations decays slowly to the innovation variance as k gets large.
An Estimating Method for Parametric Spectral Densities of Gaussian Time Series
Authors: Komaki Fumiyasu
Published: March 2003

An estimating method for spectral densities of Gaussian time series that belong to a parametric model is proposed. Spectral density estimators are evaluated by using average Kullback–Leibler divergence from the true spectral density to estimated spectral densities. In the classical approach, unknown spectral densities are estimated by replacing the unknown parameters by asymptotically efficient estimates. In the alternative method introduced in the present paper, spectral density estimates usually do not belong to the model. The alternative spectral density estimators asymptotically dominate the classical ones. The difference in average Kullback–Leibler divergence between them can be regarded as the mixture mean curvature of the model in the space of all spectral densities. The explicit expression for the proposed estimators of spectral densities of autoregressive processes is obtained. The accuracy of prediction can be improved by using predictors that correspond to the alternative spectral density estimators.
Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models
Authors: Pitt Michael K. , Shephard Neil
Published: March 2003

In this paper we obtain a closed form expression for the convergence rate of the Gibbs sampler applied to the unobserved states of a first‐order autoregression plus noise model. The rate is expressed in terms of the parameters of the model, which are regarded as fixed. For the case where the unconditional mean of the states is a parameter of interest we provide evidence that a ‘centred’ parameterization of a state space model is preferable for the performance of the Gibbs sampler. These two results provide guidance when the Gaussianity or linearity of the state space form is lost. We illustrate this by examining the performance of a Markov chain Monte Carlo sampler for the stochastic volatility model.
A Linear Discriminant for Gaussian Time Series
Authors: Dargahi‐Noubary G. R.
Published: March 2003

A simple linear discriminant is introduced for Gaussian time series with fixed deterministic component. It is demonstrated that the discriminant is ‘efficient’ under some general conditions. The proposed procedure is tested using some seismological data.
Asymptotics of Quantiles and Rank Scores in Nonlinear Time Series
Authors: Mukherjee Kanchan
Published: March 2003

This paper extends the concept of regression and autoregression quantiles and rank scores to a very general nonlinear time series model. The asymptotic linearizations of these nonlinear quantiles are then used to obtain the limiting distributions of a class of L‐estimators of the parameters. In particular, the limiting distributions of the least absolute deviation estimator and trimmed estimators are obtained. These estimators turn out to be asymptotically more efficient than the widely used conditional least squares estimator for heavy‐tailed error distributions. The results are applicable to linear and nonlinear regression and autoregressive models including self‐exciting threshold autoregressive models with known threshold.
The Influence of Numerical and Observational Errors on the Likelihood of an ARMA Series
Authors: Rao Jammalamadaka S. , Wu Chengou , Wang Weiqung
Published: March 2003

Formulae are established describing how the round‐off and observational errors influence the reduced likelihood function, as a step towards providing guidelines for such likelihood computations in a time series context. Error bounds are set up for Ali's method.
Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers
Authors: Vogelsang Timothy J.
Published: March 2003

This paper presents some results on testing for a unit root in the presence of additive outliers. Two procedures are proposed. The first procedure is to ignore the possibility of additive outliers and use modified Phillips–Perron statistics. The second procedure uses a new and very simple outlier detection statistic to identify outliers and then properly adjust standard Dickey–Fuller unit root tests. Simulations show that these procedures are robust to additive outliers in terms of size and power.
A Stochastic Approximation Algorithm for the Adaptive Control of Time Series Following Generalized Linear Models
Authors: Fokianos Konstantinos , Kedem Benjamin
Published: March 2003

A recursive estimation method for time series models following generalized linear models is developed in two ways. The estimation procedure, suitably modified, gives rise to a stochastic approximation scheme. We use the modified estima‐tion procedure to illustrate a connection between control theory and generalized linear models by employing a logistic regression model.
Bayesian Inference on Periodicities and Component Spectral Structure in Time Series
Authors: Huerta Gabriel , West Mike
Published: March 2003

We detail and illustrate time series analysis and spectral inference in autoregressive models with a focus on the underlying latent structure and time series decompositions. A novel class of priors on parameters of latent components leads to a new class of smoothness priors on autoregressive coefficients, provides for formal inference on model order, including very high order models, and leads to the incorporation of uncertainty about model order into summary inferences. The class of prior models also allows for subsets of unit roots, and hence leads to inference on sustained though stochastically time‐varying periodicities in time series. Applications to analysis of the frequency composition of time series, in both time and spectral domains, is illustrated in a study of a time series from astronomy. This analysis demonstrates the impact and utility of the new class of priors in addressing model order uncertainty and in allowing for unit root structure. Time‐domain decomposition of a time series into estimated latent components provides an important alternative view of the component spectral characteristics of a series. In addition, our data analysis illustrates the utility of the smoothness prior and allowance for unit root structure in inference about spectral densities. In particular, the framework overcomes supposed problems in spectral estimation with autoregressive models using more traditional model‐fitting methods.
Consistent Estimation for Non‐Gaussian Non‐Causal Autoregessive Processes
Authors: Jian Huang , Pawitan Yudi
Published: March 2003

Traditional estimation based on least squares or Gaussian likelihood cannot distinguish between causal and non‐causal representation of a stationary autoregressive (AR) process. Breidt et al. (Maximum likelihood estimation for non‐causal autoregressive processes. J. Multivariate Anal. 36 (1991), 175–98) proved the existence of a consistent likelihood estimation of possibly non‐causal AR processes; however, in this case an existence result is not very useful since the likelihood function generally exhibits multiple maxima. Moreover the method assumes full knowledge of the distribution of the innovation process. This paper shows a constructive proof that a modified L1 estimate is consistent if the innovation process has a stable law distribution with index α∈ (1, 2). It is also shown that neither non‐Gaussianity nor infinite variance is sufficient to ensure consistency.
Regression Models with Time Series Errors
Authors: Lin T. C. , Pourahmadi M. , Schick A.
Published: March 2003

In models of the form Yt = r(Xt) + Zt, where r is an unknown function and {Xt} is a covariate process independent of the stationary error {Zt}, we give conditions under which estimators based on residuals Z1, ..., Zn obtained from linear smoothers are asymptotically equivalent to those based on the actual errors Z1, ..., Zn.
A Median‐Unbiased Estimator of the AR(1) Coefficient
Authors: Zielinski Ryszard
Published: March 2003

A proof is given that the median of the ratios of consecutive observations of a stationary first‐order autoregressive process Xt = αXt−1 + Yt with P(Yt≥ 0) = P(Yt≤ 0) = 1/2 and P(Xt = 0) = 0 is a median‐unbiased estimator of α.
On the Spectral Density of the Wavelet Transform of Fractional Brownian Motion
Authors: Kato Takeshi , Masry Elias
Published: March 2003

We consider the wavelet transform {Wa(t), −∞ < t} < ∞}, at scale a > 0, of a fractional Brownian motion. A simple and mathematically rigorous proof is given to establish the existence of the spectral density fWa(λ) of the wavelet transform and provide an expression for it.
Long‐Memory Errors in Time Series Regressions with a Unit Root
Authors: Lubian Diego
Published: March 2003

This paper is concerned with estimation and inference in univariate time series regression with a unit root when the error sequence exhibits long‐range temporal dependence. We consider generating mechanisms for the unit root process which include models with or without a drift term and we study the limit behavior of least squares statistics in regression models without drift and trend, with drift but no time trend, and with drift and time trend. We derive the limit distribution and rate of convergence of the ordinary least squares (OLS) estimator of the unit root, the intercept and the time trend in the three regression models and for the two different data‐generating processes. The limiting distributions for the OLS estimator differ from those obtained under the hypothesis of weakly dependent errors not only in terms of the limiting process involved but also in terms of functional form. Further, we characterize the asymptotic behavior of both the t statistics for testing the unit root hypothesis and the t statistic for the intercept and time trend coefficients. We find that t ratios either diverge to infinity or collapse to zero. The limiting behavior of Phillips's Zα and Zt semiparametric corrections is also analyzed and found to be similar to that of standard Dickey– Fuller tests. Our results indicate that misspecification of the temporal dependence features of the error sequence produces major effects on the asymptotic distribution of estimators and t ratios and suggest that alternative approaches might be more suited to testing for a unit root in time series regression.
Correlational Properties of Chebyshev Chaotic Sequences
Authors: Kohda Tohru , Tsuneda Akio , Lawrance Anthony J.
Published: March 2003

We evaluate dependence of a chaotic real‐valued trajectory generated by the Chebyshev map of degree k (≥ 2) by using the kth‐order dependency moments. We find that a real‐valued trajectory generated by the Chebyshev map of degree k has the kth‐order correlated property and the ek(N)‐delay correlated property to be defined here. Results for other well‐known maps with the equidistributivity property defined in our previous paper are also given briefly.
A Robust Algorithm in Sequentially Selecting Subset Time Series Systems Using Neural Networks
Authors: Penm J. H. W. , Brailsford T. J. , Terrell R. D.
Published: March 2003

In this paper a numerically robust lattice‐ladder learning algorithm is presented that sequentially selects the best specification of a subset time series system using neural networks. We have been able to extend the relevance of multilayered neural networks and so more effectively model a greater array of time series situations. We have recognized that many connections between nodes in layers are unnecessary and can be deleted. So we have introduced inhibitor arcs, reflecting inhibitive synapses. We also allow for connections between nodes in layers which have variable strengths at different points of time by introducing additionally excitatory arcs, reflecting excitatory synapses. The resolving of both time and order updating leads to optimal synaptic weight updating and allows for optimal dynamic node creation/deletion within the extended neural network. The paper presents two applications that demonstrate the usefulness of the process.
Testing for the Presence of a Random Walk in Series with Structural Breaks
Authors: Busetti Fabio , Harvey Andrew
Published: March 2003

We consider tests for the presence of a random walk component in a stationary or trend stationary time series and extend them to series that contain structural breaks. The locally best invariant (LBI) test is derived and the asymptotic distribution is obtained. Then a modified test statistic is proposed. The advantage of this statistic is that its asymptotic distribution is not dependent on the location of the break point and its form is that of the generalized Cramer–von Mises distribution, with degrees of freedom depending on the number of break points. The performance of this modified test is shown, via some simulation experiments, to be comparable with that of the LBI test. An unconditional test, based on the assumption that there is a single break at an unknown point, is also examined. The use of the tests is illustrated with data on the flow of the Nile and US gross national product.
Sample Cross‐correlations for Moving Averages with Regularly Varying Tails
Authors: Meerschaert Mark M. , Scheffler Hans‐Peter
Published: March 2003

We compute the asymptotics of the sample cross‐correlation between two scalar moving averages whose IID innovations have regularly varying probability tails with different tail indices.
Large Sample Properties of Parameter Estimates for Periodic ARMA Models
Authors: Basawa I. V. , Lund Robert
Published: March 2003

This paper studies the asymptotic properties of parameter estimates for causal and invertible periodic autoregressive moving‐average (PARMA) time series models. A general limit result for PARMA parameter estimates with a moving‐average component is derived. The paper presents examples that explicitly identify the limiting covariance matrix for parameter estimates from a general periodic autoregression (PAR), a first‐order periodic moving average (PMA(1)), and the mixed PARMA(1,1) model. Some comparisons and contrasts to univariate and vector autoregressive moving‐average sequences are made.
A Nonparametric Prewhitened Covariance Estimator
Authors: XIAO ZHIJIE , LINTON OLIVER
Published: March 2003

This paper proposes a new nonparametric spectral density estimator for time series models with general autocorrelation. The conventional nonparametric estimator that uses a positive kernel has mean squared error no better than n−4/5. We show that the best implementation of our estimator has mean squared error of order n−8/9, provided there is sufficient smoothness present in the spectral density. This is, of course, achieved by bias reduction; however, unlike most other bias reduction methods, like the kernel method with higher‐order kernels, our procedure ensures a positive definite estimate. Our method is a generalization of the well‐known prewhitening method of spectral estimation; we argue that this can best be interpreted as multiplicative bias reduction. Higher‐order expansions for the proposed estimator are derived, providing an improved bandwidth choice that minimizes the mean squared error to the second order. A simulation study shows that the recommended prewhitened kernel estimator reduces bias and mean squared error in spectral density estimation.
The Skilled Wage Premium and the Growth of Small Firms in UK Manufacturing
Authors: Haskel Jonathan
Published: March 2003

We document the role of small firms in explaining the growth of the skilled/unskilled wage premium in UK manufacturing over the 1980s. Our major findings are (i) the share of manufacturing employment in small firms' (0–99) employees has risen by 35 percent over this period; (ii) small firms pay more unequal wages than do large firms: the non‐manual/manual wage premium is 1.53 in small firms and 1.50 in firms of over 1,500 workers; (iii) the growth in small firms over the period explains about 20 percent of the rise in the skilled/unskilled wage premium.
Bargains Rejected? Developing Country Trade Policy on Used Equipment
Authors: Navaretti Giorgio Barba , Soloaga Isidro , Takacs Wendy
Published: March 2003

Many developing countries restrict imports of second‐hand goods. These policies appear contrary to the optimal choice of technique in developing countries, where low wages, small markets, and scarce technical skills would appear to call for use of more labor intensive smaller scale, and lower‐tech machines. This paper examines data on US exports of new and used metalworking machine tools by type and by country of destination to investigate the determinants of used versus new machinery trade. The results indicate that technological factors, skill constraints, and market size may be more important than factor prices in determining the choice of machine. Trade restrictions on used machinery distort firms' investment decisions.
Collective Wage Agreements and Firms’ Employment Policies
Authors: Kaiser Ulrich , Pfeiffer Friedhelm
Published: March 2003

This paper provides evidence on the way collective wage agreements affect the adjustment of employment, working hours and other production factors when service‐sector firms are faced with demand shocks. The estimation results indicate that collective wage agreements significantly influence firms’ employment policies. It is shown that recruitment is a widespread instrument for service firms to cope with demand fluctuations which are negatively affected by collective wage agreements. The employment of freelance workers is also negatively affected by collective wage agreements, while their effect on using short‐term employment contracts as a reaction to demand shocks is positive.
Macroeconomic Determinants of Equilibrium Unemployment Insurance
Authors: Carneiro Francisco G. , Faria João Ricardo
Published: March 2003

This paper proposes a new modeling strategy as regards the definition of an optimal level of unemployment benefits. While the traditional methodology privileges labor market equilibrium to derive optimal employment, wage and unemployment benefit levels, we present a model in which the optimal level of unemployment benefits is a function of the government’s macroeconomic objectives in terms of inflation and output fluctuations. In a second stage, the model allows for the investigation of unemployment insurance effects on labor market equilibrium.
The Contribution of Phonological Skills and Letter Knowledge to Early Reading Development in a Multilingual Population
Authors: Muter Valerie , Diethelm Kay
Published: March 2003

Fifty‐five children from multilingual backgrounds being educated in English were studied longitudinally over a two‐year period, with measures taken of their phonological skill, vocabulary and letter knowledge. Phonological segmentation ability and letter knowledge proved significant predictors of both concurrent and later reading achievement a year later, irrespective of the children's native language. In contrast, rhyming measures were not significant predictors of reading skill. The findings are discussed in terms of theoretical notions about the structure of phonological awareness and its impact on early reading development.
An Investigation of Moral Suasion and Vertical Equity Arguments on Intended Taxpayer Noncompliance
Authors: Hite Peggy A.
Published: March 2003

A statewide telephone survey was used to obtain data on self‐reports of hypothetical prize income. One‐third of the subjects were read a moral argument, one‐third were read information on the level of taxes paid by the “wealthy,” and one‐third of the subjects were treated as the control group. Both the moral and the wealthy‐pay arguments increased compliance for some of the subjects. There was no apparent backlash effect from the moral argument as suggested by Tittle and Rowe (1973). The wealthy‐pay strategy was effective for taxpayers with tax balances due rather than for those receiving tax refunds. The study also provides evidence on how college education moderates the effects of tax balances due as well as evidence on how a moral argument can negate the noncompliance effects of tax balances due.
Legal Procedure and Participation by the Public: Germany’s 1990 Genetic Engineering Act
Authors: Bora Alfons
Published: March 2003

In German law, administrative procedures concerning high‐risk technologies generally involve an element of public participation. This form of “participation for all” often causes a great deal of contention. A well‐known example of this development can be found in the Genetic Engineering Act of 1990, which provided for citizen participation at a public hearing (Ero¨rterungstermin) whenever someone applied for a license to release genetically modified plants. Four years later, as a consequence of the experience gained while implementing the law, this provision was removed in the 1994 First Amendment to the Genetic Engineering Law (Bundestag‐Drucksache 720/93). Decisions on deliberate release are now made on the basis of written submissions. This article will argue that while there had certainly been good theoretical reasons for implementing a direct, oral form of public participation, in this case failure was predestined by the facts of the situation. In conclusion, the article makes a special plea for continued empirical research into the circumstances of the hearings, in order to explore better the possibilities for implementing functional equivalents to this form of public participation.
Ethnic Law and Minority Rights in China: Progress and Constraints
Authors: Sautman Barry
Published: March 2003

Western discourse on human rights in China typically assumes that China’s minority rights law must be a sham because China is an authoritarian state. In the 1980s and 1990s, however, China has articulated an “ethnic law” that elaborates rights and preferences that minorities value. At the same time, People’s Republic of China ethnic law is inadequate to grant the idealized range of minority rights claimed by the Chinese state, and some rights are being eroded by the marketization of China’s political economy. The most notable weaknesses in the ethnic law system include the failure to enlarge the scope of ethnic regional autonomy, a lack of preferential policies sufficient to offset the growth of the economic gap between Han and minority areas, and an inadequate program for overcoming antiminority bias. While an emerging minority elite is a stabilizing factor in minority‐state relations, additional measures to expand minority rights are required, some of which are suggested by the policies of other Asian states.
Unit Roots and British Industrial Growth, 1923–92
Authors: Greasley David , Oxley Les
Published: March 2003

The statistical properties and historical characteristics of British industrial production are examined. Since 1923 production appears to follow a segmented trend stationary process. Prior historical information and recursive searching are used to identify discontinuities in 1973 and 1979. The wartime shift to fuller employment was accompanied by a productivity crash, and trend industrial growth changed little. The major shift in production trend was at the time of the 1973 oil shock. Discontinuity around 1979 took the form of a crash, and accelerating productivity contributed to industrial employment collapsing to levels not experienced since the nineteenth century.
A Note on the Role of Ambiguity in a Monetary Policy Game
Authors: Denicolò Vicenzo
Published: March 2003

This paper shows that a policymaker may deliberately choose not to minimize monetary variability. The policymaker has an incentive to create unexpected inflation so as to stimulate economic activity via a Lucas supply curve. In equilibrium, however, the public correctly anticipates the monetary policy and therefore the economy settles to the natural rate of employment with positive inflation. The equilibrium is socially inefficient. Since the slope of the Lucas supply curve is inversely related to the variance of monetary shocks, a positive variance of money growth reduces the policymaker’s incentive to inflate, and therefore may be welfare improving.
Measuring Technical Efficiency in Australian Credit Unions
Authors: Worthington Andrew C.
Published: March 2003

Credit unions are small, cooperative, not‐for‐profit institutions—facts which usually distinguish them from other financial intermediaries. Whilst respecting the unique organizational and institutional features of credit unions, the present study also accepts the need for rigorous efficiency assessment. Using a sample of 233 Australian credit unions the study uses non‐parametric techniques to measure efficiency, followed by parametric techniques to attribute variation in efficiency. The results indicate that a large number of credit unions are best‐practice efficient, and any efficiencies found appear to flow from X‐inefficiencies rather than from the selection of an inappropriate scale of operations. All other things being equal, credit unions formed on the basis of a community bond, with a large asset base, and an orientation towards commercial loans will be relatively more efficient.
The Dynamic Effects of Aggregate Demand, Supply and Oil Price Shocks—A Comparative Study
Authors: Bjørnland Hilde Christiane
Published: March 2003

This paper analyses the dynamic effects of aggregate demand, supply and oil price shocks on GDP and unemployment in Germany, Norway, the UK and the USA, and establishes the role of the different shocks in explaining output fluctuations over time. Symmetries of economic fluctuations across countries are also examined. The different shocks are identified by imposing dynamic restrictions on a structural vector autoregression model. For all countries except Norway, oil price shocks have significant negative effects on output. However, whereas the oil price shock in 1973–74 triggered off a global recession, the recession in the early 1980s was largely caused by other disturbances.
Heterogeneity, Efficiency and Asset Allocation with Endogenous Labor Supply: The Static Case
Authors: Bianconi Marcelo
Published: March 2003

We study the implications of consumption and labor allocations with ex ante efficiency and possibly ex post inefficiency on international/interregional portfolio diversification. The answers we obtain depend crucially on the market regime relative to unemployment insurance. If there are complete markets for unemployment insurance, changes in asset allocation are small in the presence of ex post inefficiency, but if there are incomplete markets for unemployment insurance, changes in asset allocation can be large. The direction of the asset movement is towards more diversification.
On The Geometrical Representation of Allocations and Matrix Games
Authors: Farebrother Richard William
Published: March 2003

We describe the geometrical representation of allocations of quantities of goods, votes or probabilities between two or more persons, parties or strategies. We are particularly concerned with the representation of the time‐varying allocation of votes between three political parties and with the time‐invariant allocation of probabilities between the three strategies available to one of the participants in some matrix games.
Delegation in a Vertically Differentiated Duopoly
Authors: Barros Fatima , Grilo Isabel
Published: March 2003

In a context of vertical product differentiation we analyze the effect of delegation on quality levels. We consider a duopoly where firms can delegate the quality‐determining activities to an agent. The realization of the random cost associated with the quality level is known, at no cost, by the firm or the agent that undertakes these activities. By delegating, a firm faces an asymmetry of information since the owner cannot observe the realization of the random variable, which is the agent’s private information. When one firm delegates and the other does not, we find two equilibria that mimic the full information situation, and two equilibria which display quality levels for the delegating firm lower than the full information ones. When the delegation decision is endogenous there are equilibrium configurations with zero, one and two delegating firms.
Old Wine in New Bottles: Testing Causality between Savings and Growth
Authors: Mavrotas George , Kelly Roger
Published: March 2003

The paper uses the methodology of Toda and Yamamoto to test for causality between growth and savings in order to avoid problems and possible misleading inferences associated with the asymptotic nature of Granger causality testing in time‐series studies. The relationship between gross domestic product, gross domestic savings and private savings was examined for India and Sri Lanka. We found no causality between GDP growth and private savings in India, while it appears that there is bidirectional causality between private savings and growth in Sri Lanka. We conclude that existing ‘evidence’ on the subject should be treated with caution, given the inappropriateness of the econometric methodology adopted in most of the previous empirical studies using time‐series data.
A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
Authors: Sandmann Klaus , Sondermann Dieter
Published: March 2003

The lognormal distribution assumption for the term structure of interest is the most natural way to exclude negative spot and forward rates. However, imposing this assumption on the continuously compounded interest rate has a serious drawback: rates explode and expected rollover returns are infinite even if the rollover period is arbitrarily short. As a consequence, such models cannot price one of the most widely used hedging instruments on the Euromoney market, namely the Eurodollar futures contract.

The purpose of this note is to show that the problems with lognormal models result from modeling the wrong rate, namely the continuously compounded rate. If instead one models the effective annual rate these problems disappear.
No Arbitrage in Discrete Time Under Portfolio Constraints
Authors: Carassus Laurence , Pham Huye^n , Touzi Nizar
Published: March 2003

In frictionless securities markets, the characterization of the no‐arbitrage condition by the existence of equivalent martingale measures in discrete time is known as the fundamental theorem of asset pricing. In the presence of convex constraints on the trading strategies, we extend this theorem under a closedness condition and a nondegeneracy assumption. We then provide connections with the superreplication problem solved in Föllmer and Kramkov (1997).
Optimal Portfolios with Bounded Capital at Risk
Authors: Emmer Susanne , Klüppelberg Claudia , Korn Ralf
Published: March 2003

We consider some continuous‐time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the constraint of an upper bound for the capital at risk. In a Black–Scholes setting we obtain closed‐form explicit solutions and compare their form and implications to those of the classical continuous‐time mean‐variance problem. We also consider more general price processes that allow for larger fluctuations in the returns.
A Generalized Cameron–Martin Formula with Applications to Partially Observed Dynamic Portfolio Optimization
Authors: Zohar Gady
Published: March 2003

The optimal dynamic allocation problem for a Bayesian investor is addressed when the stock's drift—modeled as a linear mean‐reverting diffusion—is not observed directly but only via the measurement process. Adopting a martingale approach, an appropriate generalization of the Cameron–Martin (1945) formula then enables computation of both the optimal dynamic allocation and the value function for a general utility function, in terms of an inverse Laplace transform of an explicit expression. Moreover, closed‐form formulas are provided in the case of power utility.
Computer Ethics and Moral Methodology
Authors: Van Den Hoven Jeroen
Published: March 2003

In computer ethics, as in other branches of applied ethics, the problem of the justification of moral judgment is still unresolved. I argue that the method which is referred to as “The Method of Wide Reflective Equilibrium” (WRE) offers the best solution to it. It does not fall victim to the false dilemma of having to choose either case‐based particularist or principle‐based universalist approaches to the problem of moral justification. I claim that WRE also provides the best model of practical moral reasoning available for computer ethics. It does not pretend to provide quasi‐algorithmic procedures for moral decision‐making, but neither does it abandon the regulative ideal of communicative transparency in discursive public justification.
Hypocrisy, Change of Mind, and Weakness of Will: How to Do Moral Philosophy with Examples
Authors: Szabados Béla , Soifer Eldon
Published: March 2003

What are the differences between hypocrisy, change of mind, and weakness of will? Each typically involves a gap between word and deed, yet they do not seem morally equivalent. Moreover, they are intuitively different concepts, even though the conceptual boundaries between them are fuzzy. This paper explores diverse examples, attempting to identify elements which may be distinctive of each concept, with special attention to hypocrisy. It also provides a discussion of the appropriateness of such use of examples in moral philosophy.
Interpretation and its “Metaphysical” Entanglements
Authors: Krausz Michael
Published: March 2003

Singularism is the view that for a given object of interpretation there must be one and only one admissible interpretation of it. And multiplism is the view that for a given object of interpretation there may be more than one admissible interpretation of it. My book, Rightness and Reasons, argued that singularism and multiplism are logically detachable from the ontological theories of realism and constructivism. This paper extends the range of ontologies to include constructive realism, whose versions include those of Joseph Margolis, Rom Harré, Paul Thom, and Hilary Putnam. They all disagree with both realism and constructivism. But their ontologies are also logically detachable from singularism and multiplism. Finally, the detachability of these ontologies from singularism and multiplism does not preclude wider “metaphysical” considerations (such as intentionality) in a ramified theory of interpretation.
A Holistically Deweyan Feminism
Authors: Duran Jane
Published: March 2003

The argument that a holistic analysis of Dewey's work, drawing not only on the major portions subject to extensive commentary (such as Experience and Nature) but also on his aesthetics, provides fuel for feminist theorizing is sustained by advertence to the standard commentary and also to new work in aesthetic feminism itself. Sleeper, Rorty, Hickman and Russell are cited, and the recent resurgence of interest in developing the intersection between analytic aesthetics and feminist aesthetics is alluded to. It is concluded that the enterprising feminist theorist may suffer from an embarrassment of riches in attempting to approach Dewey but that such an approach is well worth the effort.
Does Capital Punishment Deter Homicide?: A Case Study Of Epistemological Objectivity
Authors: Simson Rosalind S.
Published: March 2003

This paper uses the debate about whether capital punishment deters homicide as a case study for examining the claim, made by many feminists and others, that the traditional ideal of objectivity in seeking knowledge is misguided. According to this ideal, knowledge seekers should strive to gather and assess evidence independently of any influences exerted by either their individual and societal circumstances or their moral values. This paper argues that, although the traditional ideal rests on some valid precepts, it is neverthelesss untenable. the author goes on to propose an alternative epistemological ideal – one that retains these valid precepts but also recognizes an important and legitimate role for people's circumstances and moral values in their efforts to find knowledge.
Problems for Linguistic Solutions to the Paradox of Analysis
Authors: Cobb Jeffrey
Published: March 2003

G. E. Moore opined that the paradox of analysis might be avoided if it could be shown that sentences expressing conceptual analyses convey information not only about concepts, but also about the expressions they use. If so, “to be a brother is to be a male sibling” and “to be a brother is to be a brother” might express the same proposition, and yet not be identical in information value as the paradox suggests. How sentences might do this, Moore could not see. Many philosophers have pointed out an obvious way in which sentences might be said to convey information about the expressions they use. Some have suggested this information might be used to develop Moore's intuition and resolve the paradox of analysis. I argue that this approach fails. I present a version of the paradox of analysis that resists this sort of solution.
On the Very Idea of Continental (or for that Matter Anglo–American) Philosophy
Authors: May Todd
Published: March 2003

For most of the past century, philosophers on the Continent and those in the United States and Britain have taken themselves to be working in very different, even mutually exclusive, philosophical traditions. Although that may have been true until recently, it is no longer so. This piece surveys ten different proposed distinctions that have been offered between the two traditions, and it shows that none of them works, as there are major thinkers on both sides of each proposed distinction that do not neatly fit the proposal. The upshot of this is that it no longer makes sense to uphold the idea of two traditions, and that it is time we all dropped the mutual suspicion and denigration that have characterized relationships between us for the past hundred years.
Capital Allocation Under a Financial Constraint: The Classical Investment Function
Authors: Duménil Gérard , Lévy Dominique
Published: March 2003

In the modern literature on investment, a distinction is normally made between neo‐Classical and Keynesian theories of investment. An earlier original approach can, however, be located in the works of Smith, Ricardo, and Marx. In this Classical tradition, investment is subject to a capital constraint, and capitalists allocate their capital according to the relative profitability of the various industries. We show that this behaviour is rational in a model in which capitalists optimize over an infinite horizon and form rational expectations: inter‐industry mobility can be expressed as an adjustment behaviour such that investments, ΔKi are proportional to profitability differentials: ΔKi = Ai (r¯i−r¯)
Combining Rational Choice and Evolutionary Dynamics: The Indirect Evolutionary Approach
Authors: Konigstein Manfred , Muller Wieland
Published: March 2003

In this study we propose a formal framework for the indirect evolutionary approach initiated by Guth and Yaari. It allows us to endogenize preferences and to study their evolution. We define two‐player indirect evolutionary games with observable types and show how to incorporate symmetric as well as asymmetric situations. We show how to apply solution concepts that are well known from game theory and evolutionary game theory to solve these games. For illustration we include two examples.
Recycling and Landfilling in a Dynamic Sraffian Model: Application of the Corn–guano Model to a Waste Treatment problem
Authors: Hosoda Eiji
Published: March 2003

Landfill sites may be regarded as input for a waste treatment process. Considering landfill as an exhaustible resource, we apply a basic corn–guano model to a waste treatment problem. We show how dynamic substitution between landfilling and recycling occurs. Namely, in an early stage, landfill disposal is adopted as waste treatment and a recycling process is not activated. Once an economy faces exhaustion of landfill, a recycling process is activated as a backstop technology. We refer to the possibility that an economy may be unstable after exhaustion of landfill, even if it enjoys stable growth at the early stage.
Endogenous Cycles and Menu Costs: A Dynamic Macroeconomic Model of Monopoly
Authors: Ralf Kirsten
Published: March 2003

We present a dynamic model of price setting in which price adjustments are costly for the monopolist. The general price level changes endogenously due to welfare changes. For the resulting two‐dimensional dynamical system the existence of a continuum of stationary points is proven. Furthermore, simulations show that endogenous cycles of output can occur.
Pluralism, Public Choice, and the State in the Emerging Paradigm in Health Systems
Authors: Chernichovsky Dov
Published: March 2003

The conceptualization of medicine as a unique field of endeavor is swiftly changing, and the change involves complex social and technological factors. The concept of “medicine” is dynamic: the range of ailments dealt with by medical care changes, as does the range of therapeutic options. In addition, with the growth in income and education, consumers—especially those in the middle‐ and upper‐income brackets who are self‐reliant and stress individualism—expect an increasing diversity of medical care and ins‐titutions to supply it (Antonovsky 1987; Schneider, Dennerlein, Kose, et al. 1992; Williams and Calnan 1996). Hence, the character of the product or service offered and demanded is becoming more difficult to determine, especially in socioeconomically advanced communities.

In developed nations, the absence of a correlation between a country's expenditures on medical care and the population's health as measured by morbidity and mortality complicates the issue further, since the association between health and the level of investment in medical care is not always as might be expected (OECD 1990).
Beyond Managing Medicaid Costs: Restructuring Care
Authors: Stuart Mary E. , Weinrich Michael
Published: March 2003

The apparent success of managed care plans in controlling medical costs has made the prospect of managed care for Medicaid recipients attractive for state health policy makers. However, because the principles upon which managed care was created do not apply to the most costly segments of the Medicaid population, efforts to address their needs through traditional managed care strategies are likely to be self‐defeating. The Maryland Medicaid database was used to review and analyze the successes and failures of managed care Medicaid initiatives to date. This review led to the suggestion that the integration of specialized systems for specific subgroups of the Medicaid population into managed care, in conjunction with broader public policies, could lead to improved quality and lower costs.
Ethics Review for Sale? Conflict of Interest and Commercial Research Review Boards
Authors: Lemmens Trudo , Freedman Benjamin
Published: March 2003

Research review boards, established to protect the rights and welfare of human research subjects, have to ensure that conflicts of interest do not interfere with the ethical conduct of medical research. Private, commercial review boards, which increasingly review research protocols, are themselves affected by a structural conflict of interest. Within the regulatory setting, procedural conflict‐of‐interest rules are essential because of the absence of clear substantive rules in research review and the reliance on the fairness and good judgment of institutional review board members. Current guidelines and regulations lack adequate conflict‐of‐interest rules and provide insufficient details on the substantive rules. Because commercial review boards are similar to administrative courts and tribunals, rules of administrative law on bias are applied to determine when a conflict of interest jeopardizes the purposes of research review; administrative law has always judged financial conflicts of interest severely. The structure of private review tends to breach a core principle of administrative law and procedural justice. Reform of the research review system will reinforce public trust in the process.
Improving the Quality of Workers' Compensation Health Care Delivery: The Washington State Occupational Health Services Project
Authors: Wickizer Thomas M. , Franklin Gary , Plaeger‐Brockway Roy , Mootz Robert D.
Published: March 2003

Researchers and health policy analysts in Washington State set out to determine the extent to which administrative process changes and delivery system interventions within workers' compensation affect quality and health outcomes for injured workers. This research included a pilot project to study the effects of providing occupationally focused health care through managed care arrangements on health outcomes, worker and employer satisfaction, and medical and disability costs. Based on the results, a new initiative was developed to incorporate several key delivery system components. The Washington State experience in developing a quality improvement initiative may have relevance for health care clinicians, administrators, policymakers, and researchers engaged in similar pursuits within the general medical care arena.