# Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373

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Fortlaufende Reihe des inzwischen abgeschlossenen Sonderforschungsbereichs 373 "Quantification and Simulation of Economic Processes"

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Publication 1995-11-01BuchManagervergütung und UnternehmenserfolgSchwalbach, Joachim; Graßhoff, UlrikeDie Agency-Theorie verweist darauf, daß die Trennung von Eigentum und Kontrolle in Unternehmen zu einem Interessenskonflikt führen kann, wenn Informationsasymmetrien und opportunistisches Verhalten beobachtet werden. Gleichzeitig bildet die Agency-Theorie den theoretischen Bezugsrahmen für die empirische Analyse der Vergütung von Top-Managern. Dabei stehen die Ermittlung der Vergütungselastizitäten in Bezug auf den Unternehmenserfolg und die Unternehmensgröße im Mittelpunkt. Der Beitrag knüpft an die Tradition anglo-amerikanischer Vergütungsstudien an und soll zeigen, ob die Analyse der auf Konsensbildung ausgelegte Unternehmensverfassung deutscher Unternehmen andere Ergebnisse hervorbringt als Studien, in denen das amerikanische Board-Modell mit einem dominanten Chief Executive Officer (CEO) zugrunde lag. Die empirische Analyse basiert auf zwei sehr unterschiedlichen Datensätzen und kommt zu ähnlichen Ergebnissen wie internationale Studien, wonach die Managervergütung von der Unternehmensgröße und von Brancheneffekten stark beeinflußt wird. Demgegenüber üben die Gewinn- und Marktwertraten nur einen sehr geringen Einfluß aus. Die Ergebnisse bestätigen die vorherrschende Ansicht, wonach die Vergütungsstrukturen des Top-Managements zu wenig leistungsorientiert ausgerichtet sind.Publication 2007-02-21BuchRank Tests for Unit RootsBreitung, Jörg; Gouriéroux, ChristianIn order to obtain exact distributional results without imposing restrictive parametric assumptions, several rank counterparts of the Dickey-Fuller statistic are considered. In particular, a rank counterpart of the score statistic is suggested which appears to have attractive theoretical properties. Assuming i.i.d. errors, an exact test is obtained for a random walk model with drift and under assumptions similar to Phillips & Perron (1988) the test is asymptotically valid. In a Monte Carlo study the rank tests are compared with their parametric counterparts.Publication 1996-01-01BuchRückberechnung des DAX für die Jahre 1955 bis 1987Stehle, Richard; Maier, Jürgen; Huber, RainerPublication 2007-02-21BuchPenalized quasi-likelihood estimation in partial linear modelsMammen, Enno; Geer, Sara van dePublication 1995-12-01BuchPreisregeln für Auktionen und AusschreibungenWolfstetter, ElmarDieser Diskussionsbeitrag kommentiert Güths axiomatische Begründung der Zweit-Preis-Auktion. In diesem Zusammenhang wird auch Güths umfangreiche Analyse der Lambda-Auktion durch eine einfache und anschaulich interpretierbare Lösung ersetzt.Publication 1995-12-01BuchThird- and Higher-Price AuctionsWolfstetter, ElmarThis paper solves the equilibrium bid functions of third- and higher-price auctions for a large class of distribution functions of bidders’ valuations, assuming the symmetric independent private values framework, and risk neutrality. In all these auctions, equilibrium bids exceed bidders’ valuations, and bidders raise their bids when one moves to a higher price auction, and lower bids when the number of bidders is increased.Publication 1997-11-07BuchSpecific Institutional Aspects of International CooperationGüth, WernerIf one abstracts from specially organized markets like stock or commodity exchanges, (international) trade relies on bargaining between the interested parties. Whereas earlier the results of bargaining were seen as unpredictable or determined by an at most vaguely defined concept of (relative) bargaining power, it is simply a field of application in view of game theory. Our discussion tries to elaborate the specific institutional aspects of international bargaining with interacting parties from different countries. Especially, we concentrate on the problem when contracts resulting from international bargaining are unenforceable.Publication 2006-06-09BuchQuantile Regression Estimates for a Class of Linear and Partially Linear Errors-in-Variables ModelsHe, Xuming; Liang, HuaWe consider the problem of estimating quantile regression coefficients in errors-in-variables models. When the error variables for both the response and the manifest variables have a joint distribution that is spherically symmetric but otherwise unknown, the regression quantile estimates based on orthogonal residuals are shown to be consistent and asymptotically normal. We also extend the work to partially linear models when the response is related to some additional covariate.Publication 2006-06-09BuchBootstrap Approximations in a Partially Linear Regression ModelHärdle, Wolfgang Karl; Liang, Hua; Sommerfeld, VolkerPublication 2006-06-09BuchLarge Sample Theory of the Estimation of the Error Distribution for a Semiparametric ModelLiang, Hua; Härdle, Wolfgang KarlPublication 2006-06-09BuchOn adaptive estimation in partial linear modelsGolubev, Georgi; Härdle, Wolfgang KarlThe problem of estimation of the finite dimensional parameter in a partial linear model is considered. We derive upper and lower bounds for the second minimax order risk and show that the second order minimax estimator is a penalized maximum likelihood estimator. It is well known that the performance of the estimator is depending on the choice of a smoothing parameter. We propose a practically feasible adaptive procedure for the penalization choice.Publication 1998-03-09BuchMultivariate Plug-in Bandwidth for Local Linear RegressionYang, Lijian; Tschernig, RolfOptimal bandwidths for local polynomial regression usually involve functionals of the derivatives of the unknown regression function. In the multivariate case, estimates of these functionals are not readily available, primarily because estimating multivariate derivatives is complicated. In this paper, an estimator of multivariate second derivative is obtained via local quadratic regression with cross terms left out. This estimator has the optimal rate of convergence but is simpler and uses a lot less computing time than the full local quadratic estimator. Using this as a pilot estimator, an estimator of the integrated squared Laplacian of a multivariate regression function is obtained which leads to a plug-in formula of the optimal bandwidth for multivariate local linear regression. This bandwidth has good theoretical properties as well as satisfactory performance in our simulation study. It is also recommended for variable selection methods.Publication 1997-12-01BuchSemiparametric Modelling of the Cross-Section of Expected Returns in the German Stock MarketStehle, Richard; Bunke, Olaf; Sommerfeld, VolkerAccording to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the cross-sectional variation of US stock returns better than other combinations of two variables. They report also that in the 1963-1990 period beta has virtually no explanatory power. This paper looks at a comparable data set for Germany for the time period 1968-1990. We analyze this data set in order to identify a “best” nonlinear model for the relationship between rates of return, beta, size and book-to-market. The model and corresponding regression estimates are chosen by “cross-validation” among a very rich class of parametric, semiparametric and nonparametric alternatives. The coefficients in the model are estimated each year. The major result is that the parametric model proposed by Fama/French for US stock returns is almost the best one in Germany. The book-to-market-ratio turns out to be the variable with highest partial correlation with the stock return. In most of the annual regressions the corresponding coefficients have the correct sign and are statistically significant.Publication 2006-06-09BuchA Nonparametric Analysis of Regional Unemployment Dynamics in BritainBianchi, Marco; Zoega, GylfiThis paper estimates the probability distribution of relative county unemployment in Britain for the years 1981-1995. We find that the distribution is unimodal in all years, with a falling variance between 1989 and 1994. We use bootstrap methods to determine critical values for the two tails of the distribution, and analyse intra-distribution dynamics. An unemployment transition is defined as a move between a tail and the centre of the distribution (and vice versa). We calculate transition probabilities and find that the probability of leaving any given state is very low. We also find that high (low) unemployment regions have a higher probability of entering a state of lower (higher) unemployment than a state of higher (lower) unemployment.Publication 1997-11-27BuchOrder Selection in Testing for the Cointegrating Rank of a VAR ProcessLütkepohl, Helmut; Saikkonen, PenttiThe impact of the choice of the lag length on tests for the number of cointegration relations in a vector autoregressive (VAR) process is investigated. It is shown that the asymptotic distribution of likelihood ratio (LR) tests for the cointegrating rank remains unchanged if the true data generation process (DGP) is of finite order and a consistent model selection criterion is used for choosing the lag length. A similar result also holds if the true DGP is an in finite order VAR. In a simulation study we find that small sample power and size of LR cointegration tests strongly depend on the choice of the lag order.Publication 1997-11-25BuchA Money Demand System for M3 in the Unified GermanyLütkepohl, Helmut; Wolters, JürgenA small macroeconomicmodel is constructed starting from a German money demand relation for M3 based on quarterly, seasonally unadjusted data for the period from 1976 to 1996. In contrast to previous studies we build a vector error correction model for M3, GNP, an inflation rate and an interest rate spread variable to represent opportunity costs of holding money. Furthermore, import price ination is added as an exogenous variable. The model is used to analyze the relation between money growth and ination by means of an impulse response analysis.Publication 1997-10-24BuchMöglichkeiten und Ansätze der Analyse dreimodaler Daten für die MarktforschungHildebrandt, Lutz; Klapper, DanielPublication 2006-06-08BuchOn Robustness of Model-Based Bootstrap Schemes in Nonparametric Time Series AnalysisNeumann, Michael H.Theory in time series analysis is often developed in the context of finite-dimensional models for the data generating process. Whereas corresponding estimators such as those of a conditional mean function are reasonable even if the true dependence mechanism is of a more complex structure, it is usually necessary to capture the whole dependence structure asymptotically for the bootstrap to be valid. However, certain model-based bootstrap methods remain valid for some interesting quantities arising in nonparametric statistics. We generalize the well-known “whitening by windowing” principle to joint distributions of nonparametric estimators of the autoregression function. As a consequence, we obtain that model-based nonparametric bootstrap schemes remain valid for supremum-type functionals as long as they mimic the corresponding finite-dimensional joint distributions consistently. As an example, we investigate a finite order Markov chain bootstrap in the context of a general stationary process.Publication 2006-06-08BuchPublication 1997-10-17BuchProblems Related to Bootstrapping Impulse Responses of Autoregressive ProcessesBenkwitz, Alexander; Lütkepohl, Helmut; Neumann, Michael H.Bootstrap confidence intervals for impulse responses computed from autoregressive processes are considered. A detailed analysis of the methods in current use shows that they are not very reliable in some cases. In particular, there are theoretical reasons for them to have actual coverage probabilities which deviate considerably from the nominal level in some situations of practical importance. For a simple case alternative bootstrap methods are proposed which provide correct results asymptotically.