Stochastic frontier analysis by means of maximum likelihood and the method of moments

The stochastic frontier analysis (Aigner et al., 1977, Meeusen and van de Broeck, 1977) is widely used to estimate individual efficiency scores. The basic idea lies in the introduction of an additive error term consisting of a noise and an inefficiency term. Most often the assumption of a half-normal distributed inefficiency term is applied, but other distributions are also discussed in relevant literature. The natural estimation method seems to be Maximum Likelihood (ML) estimation because of the parametric assumptions. But simulation results obtained for the half normal model indicate that a method of moments approach (MOM) (Olson et al., 1980) is superior for small and medium sized samples in combination with inefficiency not strongly dominating noise (Coelli, 1995). In this paper we provide detailed simulation results comparing the two estimation approaches for both the half-normal and the exponential approach to inefficiency. Based on the simulation results we obtain decision rules for the choice of the superior estimation approach. Both estimation methods, ML and MOM, are applied to a sample of German commercial banks based on the Bankscope database for estimation of cost efficiency scores. --stochastic frontier,Maximum Likelihood,Method of moments,Bank efficiency

EU-WIDE FARM TYPES SUPPLY IN CAPRI - HOW TO CONSISTENTLY DISAGGREGATE SECTOR MODELS INTO FARM TYPE MODEL

EU-wide farm supply analysis, highest posterior density estimator, CAPRI, Research Methods/ Statistical Methods,

Robust unit commitment with n - 1 security criteria

The short-term unit commitment and reserve scheduling decisions are made in the face of increasing supply-side uncertainty in power systems. This has mainly been caused by a higher penetration of renewable energy generation that is encouraged and enforced by the market and policy makers. In this paper, we propose a two-stage stochastic and distributionally robust modeling framework for the unit commitment problem with supply uncertainty. Based on the availability of the information on the distribution of the random supply, we consider two specific models: (a) a moment model where the mean values of the random supply variables are known, and (b) a mixture distribution model where the true probability distribution lies within the convex hull of a finite set of known distributions. In each case, we reformulate these models through Lagrange dualization as a semi-infinite program in the former case and a one-stage stochastic program in the latter case. We solve the reformulated models using sampling method and sample average approximation, respectively. We also establish exponential rate of convergence of the optimal value when the randomization scheme is applied to discretize the semi-infinite constraints. The proposed robust unit commitment models are applied to an illustrative case study, and numerical test results are reported in comparison with the two-stage non-robust stochastic programming model

Advancing health promotion theory: Case study of physical activity in the school food garden

physical activity and inform the further development of Health Promotion theory. It addresses two related research questions: 1. Do food gardens in schools have the potential to increase physical activity? 2. What advances to school setting Health Promotion theory can be made using structuration and institutional development approaches? A Mixed Methods case study was conducted using the methods of accelerometery, ethnographic observation, qualitative observation of video and time-lapse photography and interview data analysed thematically. Empirical data informed development of a concept of physical activity from a Health Promotion perspective and two theoretical models. Previous studies of food gardens in schools have reported changes in physical activity with the introduction of a garden program; a need remained to describe the physical activity of garden sessions and make comparisons across alternative school day sessions. This study confirmed that school food gardens are a site for physical activity and the physical activity of garden sessions varies. Three potentials for school food gardens to increase physical activity were identified: regular attendance; timetabling sessions to avoid high activity break times; and regulating the relative length of session duration for garden and kitchen components of the program. The study identified the variability between schools of garden sessions, especially in the comparison of garden sessions to the other school day segments. Local measures to increase physical activity from garden programs are evident but generalisations across school sites are not recommended. The importance of light intensity activity of 3-4 MET to total volume of physical activity was identified and it was noted a significant volume of movement goes unrecognised because of assumptions about intensity and its relationship to health outcomes

VI Workshop on Computational Data Analysis and Numerical Methods: Book of Abstracts

The VI Workshop on Computational Data Analysis and Numerical Methods (WCDANM) is going to be held on June 27-29, 2019, in the Department of Mathematics of the University of Beira Interior (UBI), Covilhã, Portugal and it is a unique opportunity to disseminate scientific research related to the areas of Mathematics in general, with particular relevance to the areas of Computational Data Analysis and Numerical Methods in theoretical and/or practical field, using new techniques, giving especial emphasis to applications in Medicine, Biology, Biotechnology, Engineering, Industry, Environmental Sciences, Finance, Insurance, Management and Administration. The meeting will provide a forum for discussion and debate of ideas with interest to the scientific community in general. With this meeting new scientific collaborations among colleagues, namely new collaborations in Masters and PhD projects are expected. The event is open to the entire scientific community (with or without communication/poster)

Correlations in the Charged-Particle Multiplicity Distribution

In this thesis, we perform an analysis on e+e- hadronic Z decays recorded in 1994 and 1995 by the L3 detector of LEP at center-of-mass energy corresponding to the Z mass. The analysis is performed in parallel for all hadronic events and for selected b-quark and light-quark events. The distribution of two variables, the charged-particle multiplicity and the inclusive charged-particle momentum are measured, from which all the analysis is carried out. From the measurement of the charged-particle multiplicity distribution, it is possible to extract information concerning the dynamics of the interaction. Using moments, one can obtain informations on particle correlation. We measure the Hq moments of the charged-particle multiplicity distribution which give the relative amount of genuine q-particle correlation order q. An oscillatory pattern is observed when the H_q moments are plotted versus the order q. Comparisons with different theoretical approaches are discussed.Comment: PhD thesis, 151 pages, 162 figure

Corporate Governance, Disclosure Content and Shareholder Value: Impacts and Interrelationships from the US Banking Sector

The recent financial crisis was the largest shock to the financial system in decades. Its implications on banks' performance, corporate image and stakeholders' trust are of a high concern for all interested parties. Banks market capitalisation dropped significantly, risk levels increased and stakeholders’ confidence was shaken. This raises the importance of researching this particular area of primary concern to seek potential approaches intended to help banks to recover through increased disclosures, helping to rebuild trust and manage risk levels. Acknowledging societal needs and having effective dialogue with shareholders and stakeholders regarding banks' social profile as well as risk management practices is likely to reduce the uncertainty gap, shape banks' image and manage trust. These are indeed valuable in the wake of the financial crisis for bank continuity and enhancing shareholder value. I argue that effective corporate governance is likely to encourage more corporate social responsibility (CSR) and risk management (RM) disclosure, which in turn is expected to improve stock prices and reduce return volatility. The study examines potential solutions that assist in the management of the increasing risk levels, shaken confidence and falling market values resulting from the recent financial crisis. It contributes toward better understanding to the influence of internal corporate governance mechanisms on CSR and RM disclosure content and their substantive consequences on shareholder value. Examining a sample of US national commercial banks in the wake of the financial crisis indicates that boards with larger size, higher independence and CEO duality are inclined toward reporting a wider range of CSR and RM disclosures in annual reports, aiming to benefit the bank’s transparency and stakeholders’ long-term mutual relationship. Contrary to CSR disclosures, the number of audit committee financial experts was found to encourage better RM disclosure content implying the difference in influence on voluntary and mandatory disclosures. Insights into the desirable consequences CSR and RM disclosures content have on shareholder value are also evidenced. The study finds evidence supporting the association between CSR disclosure content and stock return indicating investors’ interest in, and consideration of, CSR information when valuing assets and building their trading decisions. The results also suggest that higher RM disclosure score reduces uncertainties of bank risk environment and provides investors with valuable information to assess financial assets and monitor management practices. This was reflected as an improvement to stock return and reduction to return volatility. Thus, effective corporate governance is more tending to enhance shareholder value through encouraging better CSR and RM disclosure content. Corporate governance should sponsor and introduce the perception of doing business responsibly and benefit from RM disclosure as a preventive tool assisting in the management of agency problems and bank risks. The economic consequences of CSR and RM disclosures imply that CSR engagement and reporting is an investment rather than an expense, and RM disclosure is a preventive tool rather than an exercise to comply with legislation requirement. Consequently, considering their content is important for better shareholder value

Entrepreneurial Literary Theory: A Debate on Research and the Future of Academia

Across the world at present, researchers and teachers are being exhorted to become entrepreneurial. Universities are being restructured accordingly. The debate presented in this book considers what that involves and portends for academia. Literary studies are often regarded as the most resistant to – unfit for – entrepreneurial purposes. Literary research is therefore taken as a baseline for this debate. The uneasy place of literary research within profit-driven academia is revealing of the prevailing conditions for scholarship in all areas. Questions that are raised and discussed here include: What does doing research for the public good mean? What is the relationship between profits and benefits from research? What are applied and basic research? Are concepts of academic freedom and disinterestedness meaningful? What is the relationship between corporate and academic research? Are skills and knowledge different? Can pursuits like close reading and text interpretation be made profitable? What is literary value and how can it be measured? Can the literary system be modelled to profitable ends? Can university teaching be automatized? What are the differences between a standard publication agreement and a scholarly publication agreement? How can digital and open-access academic publication be made profitable? Does the academic monograph have a future? What sorts of knowledge and skills inform entrepreneurial leadership