Showing papers by "HEC Montréal published in 1997"

Model assisted survey sampling

Abstract: PART I: Principles of Estimation for Finite Populations and Important Sampling Designs: Survey Sampling in Theory and Practice. Basic Ideas in Estimation from Probability Samples. Unbiased Estimation for Element Sampling Designs. Unbiased Estimation for Cluster Sampling and Sampling in Two or More Stages. Introduction to More Complex Estimation Problems.- PART II: Estimation through Linear Modeling, Using Auxiliary Variables: The Regression Estimator. Regression Estimators for Element Sampling Designs. Regression Estimators for Cluster Sampling and Two-Stage Sampling.- PART III: Further Questions in Design and Analysis of Surveys: Two-Phase Sampling. Estimation for Domains. Variance Estimation. Searching for Optimal Sampling Designs. Further Statistical Techniques for Survey Data.- PART IV: A Broader View of Errors in Surveys: Nonsampling Errors and Extensions of Probability Sampling Theory. Nonresponse. Measurement Errors. Quality Declarations for Survey Data.- Appendix A - D.- References.

BIONJ: an improved version of the NJ algorithm based on a simple model of sequence data.

Abstract: We propose an improved version of the neighbor-joining (NJ) algorithm of Saitou and Nei. This new algorithm, BIONJ, follows the same agglomerative scheme as NJ, which consists of iteratively picking a pair of taxa, creating a new mode which represents the cluster of these taxa, and reducing the distance matrix by replacing both taxa by this node. Moreover, BIONJ uses a simple first-order model of the variances and covariances of evolutionary distance estimates. This model is well adapted when these estimates are obtained from aligned sequences. At each step it permits the selection, from the class of admissible reductions, of the reduction which minimizes the variance of the new distance matrix. In this way, we obtain better estimates to choose the pair of taxa to be agglomerated during the next steps. Moreover, in comparison with NJ's estimates, these estimates become better and better as the algorithm proceeds. BIONJ retains the good properties of NJ--especially its low run time. Computer simulations have been performed with 12-taxon model trees to determine BIONJ's efficiency. When the substitution rates are low (maximum pairwise divergence approximately 0.1 substitutions per site) or when they are constant among lineages, BIONJ is only slightly better than NJ. When the substitution rates are higher and vary among lineages,BIONJ clearly has better topological accuracy. In the latter case, for the model trees and the conditions of evolution tested, the topological error reduction is on the average around 20%. With highly-varying-rate trees and with high substitution rates (maximum pairwise divergence approximately 1.0 substitutions per site), the error reduction may even rise above 50%, while the probability of finding the correct tree may be augmented by as much as 15%.

BIONJ: An Improved Version of the NJ Algorithm Based on a Simple Model of Sequence Data

Abstract: We propose an improved version of the neighbor-joining (NJ) algorithm of Saitou and Nei. This new algorithm, BIONJ, follows the same agglomerative scheme as NJ, which consists of iteratively picking a pair of taxa, creating a new mode which represents the cluster of these taxa, and reducing the distance matrix by replacing both taxa by this node. Moreover, BIONJ uses a simple first-order model of the variances and covariances of evolutionary distance estimates. This model is well adapted when these estimates are obtained from aligned sequences. At each step it permits the selection, from the class of admissible reductions, of the reduction which minimizes the variance of the new distance matrix. In this way, we obtain better estimates to choose the pair of taxa to be agglomerated during the next steps. Moreover, in comparison with NJ's estimates, these estimates become better and better as the algorithm proceeds. BIONJ retains the good properties of NJ--especially its low run time. Computer simulations have been performed with 12-taxon model trees to determine BIONJ's efficiency. When the substitution rates are low (maximum pairwise divergence approximately 0.1 substitutions per site) or when they are constant among lineages, BIONJ is only slightly better than NJ. When the substitution rates are higher and vary among lineages,BIONJ clearly has better topological accuracy. In the latter case, for the model trees and the conditions of evolution tested, the topological error reduction is on the average around 20%. With highly-varying-rate trees and with high substitution rates (maximum pairwise divergence approximately 1.0 substitutions per site), the error reduction may even rise above 50%, while the probability of finding the correct tree may be augmented by as much as 15%.

Bank performance and executive compensation: a managerial discretion perspective

Abstract: This study investigates how the relationship between bank performance and executive compensation is affected by the degree of an executive's managerial discretion. Managerial discretion is captured by two industry-specific attributes: a bank's strategic domain, and its regulatory environment. Executive compensation is found to be more related to bank performance in a context of high managerial discretion than in a context of low managerial discretion. ? 1997 by John Wiley & Sons, Ltd. In recent years, the relationship between firm performance and executive compensation has increasingly come under the scrutiny of stockholders, analysts and regulatory agencies, such as the Securities and Exchange Commission (SEC). While performance-based executive compensation is prescribed by agency theory (Jensen and Murphy, 1990) as well as by strategic management considerations (Balkin and Gomez-Mejia, 1987; Zajac, 1990), empirical evidence justifying it is weak at best (see Pavlik, Scott, and Tiessen, 1994, for a review).

Can Capital Markets Create Incentives for Pollution Control

Abstract: Private firms reluctant to invest in pollution abatement when the penalty for noncompliance falls short of the cost of abatement may be more willing to invest in pollution abatement when enforcement is tougher or when information is released that allows capital markets to react to ranking of firms in terms of their environmental performance. After weighing the costs and benefits of pollution control, profit-maximizing firms sometimes choose not to invest in pollution abatement because the penalty they expect regulators to impose for noncompliance falls short of the cost of abatement. To improve incentives for pollution control, regulators have recently embarked on a strategy to release information to communities and markets (investors and consumers) about firms' environmental performance. Drawing on evidence from American and Canadian studies, Lanoie, Laplante, and Roy report that capital markets do react to the release of such information. The evidence suggests that heavy polluters are affected more significantly than minor polluters. And firms whose market values are hurt most by the release of this information are most likely to invest in pollution abatement. The firms' greater willingness to invest in pollution abatement seems to result from the regulators' willingness to undertake strong enforcement actions combined with the possibility of capital markets reacting to public ranking of firms in terms of their environmental performance. This paper - a product of the Environment, Infrastructure, and Agriculture Division, Policy Research Department - is part of a larger effort in the department's ongoing work on industrial pollution and also to study whether capital markets in developing countries can provide the incentives needed for pollution control. The study was funded by the Bank's Research Support Budget under the research project Incentives for Pollution Control in Developing Countries: The Role of Capital Markets (RPO 680-76).

Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples

Abstract: This paper reconsiders several recently published but controversial results about the behaviour of exchange rates. In particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected the conclusions of recent research.

Welfare Benefits, Minimum Wage Rate and the Duration of Welfare Spells: Evidence from a Natural Experiment in Canada

Abstract: In this paper we analyze the impact of benefits on the length of welfare spells. It introduces a "natural experiment" approach of comparing the length of welfare spells before and after a major reform of the welfare program that took place in the Province of Quebec in August 1989. An important feature of this reform was the abolishment of discrimination based on age that applied to the benefits single individuals and childless couples below the age of 30 were entitled to. With the reform, their monthly benefits rose from $173 (1986) to $425, an increase of over 145%. To analyze the impact of the reform, we utilize a semi-parametric duration model with time-varying covariates such as welfare benefits, minimum wage rate, unemployment rate, etc. We find that benefits have an important impact on spell duration of individuals below 30 years of age. We also find that the minimum wage rate has an adverse effect on the duration of individuals in the 18-24 age group but a positive effect on those in the 25-29 age group. Finally, our estimates suggest that the reform increased the expected duration on welfare from 2 to 4.5 months.

Fads or Bubbles

Abstract: This paper tests between fads and bubbles using a new empirical strategy (based on switching-regression econometrics) for distinguishing between competing asset-pricing models. By extending the Blanchard and Watson (1982) model, we show how stochastic bubbles can lead to regime-switching in stock market returns. By incorporating state-dependent heteroscedasticity into the Cutler, Poterba, and Summers (1991) fads model, we show that it can also lead to regime-switching. Two main features of the bubbles model distinguish it from the fads model. First, the bubbles model implies that returns are drawn from two distinct regimes. Second, the bubbles model implies that deviations from fundamental price will help predict regime switches. Using U.S. data for 1926-89, we find evidence that is consistent with the fads model even when we allow for variation in expected dividend growth rates and expected discount rates. However, the restrictions that the fads model implies for a more general switching model are rejected. The rejections point in the direction of the bubbles model, although not all the implications of the bubbles model are supported by the data.

Effects of circadian orientation, time of day, and arousal on consumers' depth of information processing of advertising.

Abstract: Since depth of information processing, as defined by MacInnis and Jaworski in 1989 has been shown to influence the strength of the relation between the intent to purchase and the attitudes toward the advertisement, this paper focused on the interactive effects of three antecedents of information processing, arousal, circadian orientation, and time of day (Morning vs Evening). Analysis indicated that deeper information processing is reached by 65 morning-oriented consumers who are exposed to advertisements in the morning and by 52 relaxed consumers who are exposed to advertisements in the evening. Theoretical explanations and managerial implications are proposed.

Information Technology and Middle Management Downsizing: A Tale of Two Cities

Abstract: Information Technology and Middle Management Downsizing: A Tale of Two Cities CRITO Working Paper URB-115 Alain Pinsonneault Ecole des Hautes Etudes Commerciales 3000 Cote Ste-Catherine Montreal, Quebec Canada H3T 2A7 alain.pinsonneault@hec.ca Telephone (514) 340-6489 Fax (514) 340-6132 Kenneth L. Kraemer Center for Research on Information Technology Graduate School of Management University of California, Irvine 3200 Berkeley Place Irvine, CA 92697-4650 kkraemer@uci.edu Telephone (714) 824-5246 Fax (714) 824-8091 Acknowledgments. This research was supported by grants from the Social Sciences and Humanities Research Council of Canada, the Fonds pour la Formation de Chercheurs et l'Aide a la Recherche du Quebec, and the CISE Division of the U.S. National Science Foundation.

The Extent of Labor Specialization in the Extended Family: A Theoretical and Empirical Analysis

Abstract: In this paper we present a simple model of labour supply that is cast within the framework of an extended family. The model emphasizes a ricardian division of labour whereby the specialization is solely driven by marginal productivity and value of time differentials. The empirical implications of the model are derived and tested using data that was collected in France to study the extent of trade within the family network. We find evidence that the extent of specialization is sensitive to the value of time differentials.