Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373
http://edoc.hu-berlin.de/18452/86
2024-03-26T18:22:56ZManagervergütung und Unternehmenserfolg
http://edoc.hu-berlin.de/18452/4518
Managervergütung und Unternehmenserfolg
Schwalbach, Joachim; Graßhoff, Ulrike
http://dx.doi.org/10.18452/3866
Die 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.
1995-11-01T00:00:00ZRank Tests for Unit Roots
http://edoc.hu-berlin.de/18452/4517
Rank Tests for Unit Roots
Breitung, Jörg; Gouriéroux, Christian
http://dx.doi.org/10.18452/3865
In 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.
2007-02-21T00:00:00ZRückberechnung des DAX für die Jahre 1955 bis 1987
http://edoc.hu-berlin.de/18452/4516
Rückberechnung des DAX für die Jahre 1955 bis 1987
Stehle, Richard; Maier, Jürgen; Huber, Rainer
http://dx.doi.org/10.18452/3864
1996-01-01T00:00:00ZPenalized quasi-likelihood estimation in partial linear models
http://edoc.hu-berlin.de/18452/4515
Penalized quasi-likelihood estimation in partial linear models
Mammen, Enno; Geer, Sara van de
http://dx.doi.org/10.18452/3863
2007-02-21T00:00:00ZPreisregeln für Auktionen und Ausschreibungen
http://edoc.hu-berlin.de/18452/4514
Preisregeln für Auktionen und Ausschreibungen
Wolfstetter, Elmar
http://dx.doi.org/10.18452/3862
Dieser 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.; This paper comments on a contribution by Güth. Its purpose is twofold: to introduce a simple and easy to interpret solution of the Lambda-auction, which may replace Güths lengthy proof, and to discuss and reject Güths normative defense of the second-price auction.
1995-12-01T00:00:00ZThird- and Higher-Price Auctions
http://edoc.hu-berlin.de/18452/4513
Third- and Higher-Price Auctions
Wolfstetter, Elmar
http://dx.doi.org/10.18452/3861
This 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.
1995-12-01T00:00:00ZSpecific Institutional Aspects of International Cooperation
http://edoc.hu-berlin.de/18452/4512
Specific Institutional Aspects of International Cooperation
Güth, Werner
http://dx.doi.org/10.18452/3860
If 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.
1997-11-07T00:00:00ZQuantile Regression Estimates for a Class of Linear and Partially Linear Errors-in-Variables Models
http://edoc.hu-berlin.de/18452/4511
Quantile Regression Estimates for a Class of Linear and Partially Linear Errors-in-Variables Models
He, Xuming; Liang, Hua
http://dx.doi.org/10.18452/3859
We 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.
2006-06-09T00:00:00ZBootstrap Approximations in a Partially Linear Regression Model
http://edoc.hu-berlin.de/18452/4510
Bootstrap Approximations in a Partially Linear Regression Model
Härdle, Wolfgang Karl; Liang, Hua; Sommerfeld, Volker
http://dx.doi.org/10.18452/3858
2006-06-09T00:00:00ZLarge Sample Theory of the Estimation of the Error Distribution for a Semiparametric Model
http://edoc.hu-berlin.de/18452/4509
Large Sample Theory of the Estimation of the Error Distribution for a Semiparametric Model
Liang, Hua; Härdle, Wolfgang Karl
http://dx.doi.org/10.18452/3857
2006-06-09T00:00:00ZOn adaptive estimation in partial linear models
http://edoc.hu-berlin.de/18452/4508
On adaptive estimation in partial linear models
Golubev, Georgi; Härdle, Wolfgang Karl
http://dx.doi.org/10.18452/3856
The 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.
2006-06-09T00:00:00ZMultivariate Plug-in Bandwidth for Local Linear Regression
http://edoc.hu-berlin.de/18452/4507
Multivariate Plug-in Bandwidth for Local Linear Regression
Yang, Lijian; Tschernig, Rolf
http://dx.doi.org/10.18452/3855
Optimal 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.
1998-03-09T00:00:00ZSemiparametric Modelling of the Cross-Section of Expected Returns in the German Stock Market
http://edoc.hu-berlin.de/18452/4506
Semiparametric Modelling of the Cross-Section of Expected Returns in the German Stock Market
Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker
http://dx.doi.org/10.18452/3854
According 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.
1997-12-01T00:00:00ZA Nonparametric Analysis of Regional Unemployment Dynamics in Britain
http://edoc.hu-berlin.de/18452/4505
A Nonparametric Analysis of Regional Unemployment Dynamics in Britain
Bianchi, Marco; Zoega, Gylfi
http://dx.doi.org/10.18452/3853
This 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.
2006-06-09T00:00:00ZOrder Selection in Testing for the Cointegrating Rank of a VAR Process
http://edoc.hu-berlin.de/18452/4504
Order Selection in Testing for the Cointegrating Rank of a VAR Process
Lütkepohl, Helmut; Saikkonen, Pentti
http://dx.doi.org/10.18452/3852
The 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.
1997-11-27T00:00:00ZA Money Demand System for M3 in the Unified Germany
http://edoc.hu-berlin.de/18452/4503
A Money Demand System for M3 in the Unified Germany
Lütkepohl, Helmut; Wolters, Jürgen
http://dx.doi.org/10.18452/3851
A 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.
1997-11-25T00:00:00ZMöglichkeiten und Ansätze der Analyse dreimodaler Daten für die Marktforschung
http://edoc.hu-berlin.de/18452/4502
Möglichkeiten und Ansätze der Analyse dreimodaler Daten für die Marktforschung
Hildebrandt, Lutz; Klapper, Daniel
http://dx.doi.org/10.18452/3850
1997-10-24T00:00:00ZOn Robustness of Model-Based Bootstrap Schemes in Nonparametric Time Series Analysis
http://edoc.hu-berlin.de/18452/4501
On Robustness of Model-Based Bootstrap Schemes in Nonparametric Time Series Analysis
Neumann, Michael H.
http://dx.doi.org/10.18452/3849
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.
2006-06-08T00:00:00ZStrong Approximation of Density Estimators from Weakly Dependent Observations by Density Estimators from Independent Observations
http://edoc.hu-berlin.de/18452/4500
Strong Approximation of Density Estimators from Weakly Dependent Observations by Density Estimators from Independent Observations
Neumann, Michael H.
http://dx.doi.org/10.18452/3848
2006-06-08T00:00:00ZProblems Related to Bootstrapping Impulse Responses of Autoregressive Processes
http://edoc.hu-berlin.de/18452/4499
Problems Related to Bootstrapping Impulse Responses of Autoregressive Processes
Benkwitz, Alexander; Lütkepohl, Helmut; Neumann, Michael H.
http://dx.doi.org/10.18452/3847
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.
1997-10-17T00:00:00ZTrend Adjustment Prior to Testing for the Cointegrating Rank of a VAR Process
http://edoc.hu-berlin.de/18452/4498
Trend Adjustment Prior to Testing for the Cointegrating Rank of a VAR Process
Saikkonen, Pentti; Lütkepohl, Helmut
http://dx.doi.org/10.18452/3846
Testing the cointegrating rank of a vector autoregressive process which may have a deterministic linear trend is considered. Previous proposals for dealing with such a situation are either to allow for a deterministic trend term in computing a suitable test statistic or else remove the linear trend first and then derive the test statistic from the trend-adjusted data. In this study the latter approach is considered and a new, simple method for trend removal is proposed which is based on estimating the trend parameters under the null hypothesis. LR (likelihood ratio) and LM (Lagrange multiplier) type test statistics are derived on the basis of the trend-adjusted data and their asymptotic distributions are considered under the null hypothesis and under local alternatives. A simulation comparison with other proposals is performed which demonstrates the potentially superior small sample performance of the new tests.
1997-10-22T00:00:00ZThe Term Structure of Interest Rates when the Growth Rate is Unobservable
http://edoc.hu-berlin.de/18452/4497
The Term Structure of Interest Rates when the Growth Rate is Unobservable
Riedel, Frank
http://dx.doi.org/10.18452/3845
The effect of incomplete information on the term structure of interest rates is examined in the framework of a pure exchange economy under uncertainty. When the growth rate of the aggregate endowment is known, the term structure is flat and deterministic. When agents do not observe the (constant) growth rate, interest rates are stochastic and the term structure turns out to be linearly decreasing. As a possible explanation of this astonishing fact, we suggest that rational and risk-averse investors consider long-term bonds as a good hedge against unfavorable realizations of the growth rate.
1997-09-23T00:00:00ZWild Bootstrap Versus Moment-Oriented Bootstrap
http://edoc.hu-berlin.de/18452/4496
Wild Bootstrap Versus Moment-Oriented Bootstrap
Sommerfeld, Volker
http://dx.doi.org/10.18452/3844
We investigate the relative merits of a “moment-oriented” bootstrap method of Bunke (1997) in comparison with the classical wild bootstrap of Wu (1986) in nonparametric heteroscedastic regression situations. The “moment-oriented” bootstrap is a wild bootstrap based on local estimators of higher order error moments that are smoothed by kernel smoothers. In this paper we perform an asymptotic comparison of these two dierent bootstrap procedures. We show that the moment-oriented bootstrap is in no case worse than the wild bootstrap. We consider the cases of bandwidths with MISE-optimal rates and of bandwidths with rates that perform an optimal bootstrap approximation. When the regression function has the same amount of smoothness as the second and the third order error moment, then it turns out that, in the former case, our method better approximates the distribution of the pivotal statistic than the usual wild bootstrap does. The reason for this behavior is the unavoidable bias in nonparametric regression estimation that permits only a suboptimal amount of smoothing in the classical wild bootstrap case. In the latter case we need more smoothness of the error moments to make the moment-oriented bootstrap better than wild bootstrap. These results are applied to the construction of pointwise confidence intervals where we prove that our bootstrap has a superior behavior for equal smoothness of the regression function and error moments.
1997-09-10T00:00:00ZKursrelevante Ereignisse bei Unternehmensübernahmen
http://edoc.hu-berlin.de/18452/4495
Kursrelevante Ereignisse bei Unternehmensübernahmen
Böhmer, Ekkehart; Löffler, Yvonne
http://dx.doi.org/10.18452/3843
Wir untersuchen Übernahmen deutscher Unternehmen zwischen 1985 und 1993 im Hinblick auf ihren Einfluß auf den Marktwert des Käufers. In Erweiterung bisheriger Studien analysieren wir insbesondere, welche Ereignisse den größten Informationsgehalt haben und damit zu den deutlichsten Kursanpassungen führen. Wie frühere Studien dokumentieren wir eine Steigerung des Marktwertes des Käufers bei Erwerb von Mehrheitsbeteiligungen an anderen Unternehmen. Wir zeigen jedoch, daß dies ausschließlich auf Transaktionen in konjunkturstarken Jahren zurückzuführen ist. Weiterhin dokumentieren wir, daß der Zeitpunkt der Kapitalmarktreaktion sehr stark vom Ausmaß der Kontrolle durch das Bundeskartellamt abhängt: Je stärker die Kontrolle, desto umfassender sind die Informationspflichten der beteiligten Unternehmen und desto früher gelangen Informationen über den Zusammenschluß an den Kapitalmarkt.
1997-08-22T00:00:00ZThe Efficiency of Bias-Corrected Estimators for Nonparametric Kernel Estimation Based on Local Estimating Equations
http://edoc.hu-berlin.de/18452/4494
The Efficiency of Bias-Corrected Estimators for Nonparametric Kernel Estimation Based on Local Estimating Equations
Kauermann, Göran; Müller, Marlene; Carroll, Raymond J.
http://dx.doi.org/10.18452/3842
Stuetzle and Mittal (1979) for ordinary nonparametric kernel regression and Kauermann and Tutz (1996) for nonparametric generalized linear model kernel regression constructed estimators with lower order bias than the usual estimators, without the need for devices such as second derivative estimation and multiple bandwidths of different order. We derive a similar estimator in the context of local (multivariate) estimation based on estimating functions. As expected, this lower order bias is bought at a cost of increased variance. Surprisingly, when compared to ordinary kernel and local linear kernel estimators, the bias-corrected estimators increase variance by a factor independent of the problem, depending only on the kernel used. The variance increase is approximately 40% and more for kernels in standard use. However, the variance increase is still less than that incurred when undersmoothing a local quadratic regression estimator.
1997-06-02T00:00:00Z