Abstract Generally speaking, when dealing with some data, our analysis will be limited because of the given data was incompletely or hidden. And these kinds of errors in calculation will arrive at a statistics answer. This thesis adopts an analysis based on the Gibbs sampling trying to recover the part of hidden data. Since we found out whether time series is unit root or not, the effects of the simulated series will be similar to the true value. After observing the differences between the hidden data and the recovered data in unit root, we noticed that the hidden data has a bigger size and a weakened power over the recovered data. Finally, as an example, we give the unsecured loans at the Japanese money market to prove our issues by analyzing the data from January, 1999 to July, 2004. Since we found out that the numerical value of loan is zero at several months these past several years. In order to observe the Japanese money market, if we substitute the data of zero loan and use the traditional way to inspect unit root without taking model of average value into account, the result will be I(0). And if we simulate the hidden data with Gibbs sampling and substitute the data to inspect the Japanese money market without taking model of average value into account, the result will be I(0) also. But if we take model of average value into account, the of the Japanese Money Market will be I(1). And if we simulate the hidden data with Gibbs sampling and substitute the data to inspect the Japanese money market, the result will be I(I) also.

Neste trabalho estudou-se a existência de viés de gênero nas escolhas familiares em gastar recursos na educação dos filhos e filhas. Foi obtida uma amostra de 11386 famílias da Pesquisa de Orçamentos Familiares - POF 2002-2003 do Instituto Brasileiro de Geografia e Estatística (IBGE). As famílias tinham filhos e filhas entre 7 e 20 anos de idade, com pelo menos um deles matriculado e sem que outro membro da família, pais ou outros parentes, também estivesse matriculado. Curvas de Engel para as despesas com educação e para gastos com grupos de itens de despesas educacionais foram estimadas. Entre as variáveis explicativas estão o número de filhos e número de filhas matriculados e o número de filhos e o número de filhas não matriculados segundo faixas etárias. Outras variáveis socioeconômicas e demográficas controlaram as demais características familiares. Como 2066 famílias não apresentaram despesas com educação, as curvas de Engel foram estimadas com a utilização de modelos Tobit. As curvas de Engel também foram estimadas por Mínimos Quadrados e os resultados comparados com os obtidos pelos modelos Tobit. A igualdade entre os parâmetros estimados do número de filhos e filhas matriculados em cada faixa etária foi verificada com testes de Wald, isto para os dois procedimentos de estimação utilizados. Os resultados econométricos foram consistentes com a hipótese do trade-off quantidade qualidade existente nas decisões familiares de alocar recursos para a prole, pois o número total de filhos e filhas pressionou as despesas com educação a taxas decrescentes. As análises das despesas com educação, realizadas com os dois procedimentos de estimação, indicaram diferenças significativas no impacto causado por filhos e filhas matriculados nas faixas etárias de 7 a 10 anos e de 15 a 20 anos, com viés pró-feminino. A análise dos gastos com mensalidades escolares com modelos Tobit indicou diferenças significativas para duas faixas etárias, de 11 a 14 anos e de 15 a 20 anos, com viés pró-feminino na última faixa. Com Mínimos Quadrados houve viés pró-feminino na faixa de 15 a 20 anos, nas demais faixas não houve diferenças significativas. Quando foram analisados os gastos com cursos não regulares com um modelo Tobit, foram observadas diferenças significativas de 7 a 10 anos e de 11 a 14 anos, as duas pró-femininas. Ao analisar os gastos com cursos não regulares por Mínimos Quadrados, detectou-se viés pró-masculino na faixa etária de 11 a 14 anos e viés pró-feminino nas demais faixas. Entre as demais estimativas não houve diferenças significativas ou elas foram pró-femininas, independente do procedimento de estimação. Os resultados indicam que a formação das jovens não sofreu discriminação no que tange à disposição das famílias de gastarem com a formação de sua prole, salvo as duas exceções mencionadas. Estes resultados mostraram-se consistentes com o cenário favorável à escolarização feminina no Brasil já apontado em outros estudos. / This study investigated the gender bias presence within the family choices about spending resourses with their children\'s education. A sample of 11386 families was obtained from Household Budget Survey - POF 2002-2003, of the Brazilian Institute of Geography and Statistic - IBGE. The families had children between 7 and 20 years old, with at least one of them enrolled, considering that no other member of the family, parents or relatives, was enrolled. Engel curves for the overall expenses and for expenditures with educational item groups were estimated. The number of sons and daughters enrolled and the number of sons and daughters not enrolled according to age level are among the explanatory variables. Other socioeconomics and demographic variables controlled the rest of the family characteristics. As 2066 families did not showed expenses with education, the Engel curves were estimated using Tobit models. The Engel curves were also estimated by the method of Least Squares and the results were compared to the ones obtained by Tobit model. The equity between the estimated parameters of the number of sons and daughters enrolled in each age level was verified with Wald test for both the estimation procedures used. The econometric results were consistent with the hypothesis of quantity-quality trade-off which exists within the family decisions when allocating resourses for their children because the total number of children pressed the educational expenditures at decreasing rates. The analysis of total expenses with education, accomplished by both the estimation procedures, indicated significant differences in the impact caused by sons and daughters enrolled at the age level from 7 to 10 and from 15 to 20 with pro-female bias. The analysis of the expenditures with school monthly fees with Tobit models indicated significant differences for both age levels, from 11 to 14 and from 15 to 20, with a pro-female bias in the latter level. With the Minimum Square method there was a pro-female bias in the level of age from 15 to 20 years old, in the other levels there were no significant differences. When the expenditures with non regular courses were analyzed with Tobit model, significant differences were observed from 7 to 10 and from 11 to 14 years old, both pro-female. When the expenditures with non regular courses were analyzed with the Minimum Square method a pro-male bias was detected in the age level from 11 to 14 and a pro-female bias in the other levels. Among the other estimations there were no significant differences or they were pro-female, despite the estimation procedure. The results show that the young girls\' education did not suffer any discrimination related to the family disposition of spending with their children\'s education, apart from the two exceptions mentioned. These results are consistent with the favorable scenario to the female education in Brazil already pointed out in other studies.

Neste trabalho estudou-se a existência de viés de gênero nas escolhas familiares em gastar recursos na educação dos filhos e filhas. Foi obtida uma amostra de 11386 famílias da Pesquisa de Orçamentos Familiares - POF 2002-2003 do Instituto Brasileiro de Geografia e Estatística (IBGE). As famílias tinham filhos e filhas entre 7 e 20 anos de idade, com pelo menos um deles matriculado e sem que outro membro da família, pais ou outros parentes, também estivesse matriculado. Curvas de Engel para as despesas com educação e para gastos com grupos de itens de despesas educacionais foram estimadas. Entre as variáveis explicativas estão o número de filhos e número de filhas matriculados e o número de filhos e o número de filhas não matriculados segundo faixas etárias. Outras variáveis socioeconômicas e demográficas controlaram as demais características familiares. Como 2066 famílias não apresentaram despesas com educação, as curvas de Engel foram estimadas com a utilização de modelos Tobit. As curvas de Engel também foram estimadas por Mínimos Quadrados e os resultados comparados com os obtidos pelos modelos Tobit. A igualdade entre os parâmetros estimados do número de filhos e filhas matriculados em cada faixa etária foi verificada com testes de Wald, isto para os dois procedimentos de estimação utilizados. Os resultados econométricos foram consistentes com a hipótese do trade-off quantidade qualidade existente nas decisões familiares de alocar recursos para a prole, pois o número total de filhos e filhas pressionou as despesas com educação a taxas decrescentes. As análises das despesas com educação, realizadas com os dois procedimentos de estimação, indicaram diferenças significativas no impacto causado por filhos e filhas matriculados nas faixas etárias de 7 a 10 anos e de 15 a 20 anos, com viés pró-feminino. A análise dos gastos com mensalidades escolares com modelos Tobit indicou diferenças significativas para duas faixas etárias, de 11 a 14 anos e de 15 a 20 anos, com viés pró-feminino na última faixa. Com Mínimos Quadrados houve viés pró-feminino na faixa de 15 a 20 anos, nas demais faixas não houve diferenças significativas. Quando foram analisados os gastos com cursos não regulares com um modelo Tobit, foram observadas diferenças significativas de 7 a 10 anos e de 11 a 14 anos, as duas pró-femininas. Ao analisar os gastos com cursos não regulares por Mínimos Quadrados, detectou-se viés pró-masculino na faixa etária de 11 a 14 anos e viés pró-feminino nas demais faixas. Entre as demais estimativas não houve diferenças significativas ou elas foram pró-femininas, independente do procedimento de estimação. Os resultados indicam que a formação das jovens não sofreu discriminação no que tange à disposição das famílias de gastarem com a formação de sua prole, salvo as duas exceções mencionadas. Estes resultados mostraram-se consistentes com o cenário favorável à escolarização feminina no Brasil já apontado em outros estudos. / This study investigated the gender bias presence within the family choices about spending resourses with their children\'s education. A sample of 11386 families was obtained from Household Budget Survey - POF 2002-2003, of the Brazilian Institute of Geography and Statistic - IBGE. The families had children between 7 and 20 years old, with at least one of them enrolled, considering that no other member of the family, parents or relatives, was enrolled. Engel curves for the overall expenses and for expenditures with educational item groups were estimated. The number of sons and daughters enrolled and the number of sons and daughters not enrolled according to age level are among the explanatory variables. Other socioeconomics and demographic variables controlled the rest of the family characteristics. As 2066 families did not showed expenses with education, the Engel curves were estimated using Tobit models. The Engel curves were also estimated by the method of Least Squares and the results were compared to the ones obtained by Tobit model. The equity between the estimated parameters of the number of sons and daughters enrolled in each age level was verified with Wald test for both the estimation procedures used. The econometric results were consistent with the hypothesis of quantity-quality trade-off which exists within the family decisions when allocating resourses for their children because the total number of children pressed the educational expenditures at decreasing rates. The analysis of total expenses with education, accomplished by both the estimation procedures, indicated significant differences in the impact caused by sons and daughters enrolled at the age level from 7 to 10 and from 15 to 20 with pro-female bias. The analysis of the expenditures with school monthly fees with Tobit models indicated significant differences for both age levels, from 11 to 14 and from 15 to 20, with a pro-female bias in the latter level. With the Minimum Square method there was a pro-female bias in the level of age from 15 to 20 years old, in the other levels there were no significant differences. When the expenditures with non regular courses were analyzed with Tobit model, significant differences were observed from 7 to 10 and from 11 to 14 years old, both pro-female. When the expenditures with non regular courses were analyzed with the Minimum Square method a pro-male bias was detected in the age level from 11 to 14 and a pro-female bias in the other levels. Among the other estimations there were no significant differences or they were pro-female, despite the estimation procedure. The results show that the young girls\' education did not suffer any discrimination related to the family disposition of spending with their children\'s education, apart from the two exceptions mentioned. These results are consistent with the favorable scenario to the female education in Brazil already pointed out in other studies.

我國全面開放保險市場後，壽險業所面臨市場競爭更加激烈，經營風險亦隨之增加，甚至影響其經營績效。本文以資料包絡分析法（DEA）評估2002年至2004年我國人壽保險公司的經營效率，並找出相對無效率壽險公司改善空間,再以Tobit截斷迴歸模型探討可能造成壽險公司之間經營效率差異的影響因素。其中由DEA技術效率評估結果發現：(一) 壽險公司整體技術效率平均值介於50.98﹪與70.15﹪之間，代表我國壽險公司在投入資源運用與配置上仍存有改善空間，在產出不變下，平均而言，可以節省29.85%至49.02%的資源使用量。（二）純技術效率值大於規模效率平均值，顯示造成壽險公司技術無效率之來源，資源浪費及生產規模不適當所造成的情況均有，但大部分來自於前者。迴歸實證結果顯示：（一）外勤兼職人員比率與技術效率具正向關係，顯示壽險公司僱用兼職人員招攬業務，相對專職人員可減少人事成本，可提昇經營績效。（二）國外投資比例與技術效率具正向關係，即壽險公司因國外投資商品多樣化選擇，可靈活運用資金，提昇技術效率。（三）佣金率與技術效率具正向關係，代表壽險公司支付業務員佣金及津貼愈高，愈能激勵業務員積極招攬業務，增進公司業務績效，以提高技術效率。（四）逾期放款比率與技術效率為負向關係，即壽險公司逾期放款比率愈高，績營效率愈差。（五）市場占有率與技術效率為正向關係，顯示壽險公司市場占有率愈高，對市場的控制能力較佳，在產品銷售亦具有規模經濟，可提昇經營效率。（六）外內勤人員比例與技術效率為負向關係，表示外內勤人員比例愈高，壽險公司易忽略內勤行政人員在核保、理賠及客服等作業品質，將影響公司產品創新及保戶後續權益等，不利公司經營績效。

In this thesis, we consider the problem of estimating the regression function in location-scale regression models. This model assumes that the random vector (X,Y) satisfies Y = m(X) + s(X)e, where m(.) is an unknown location function (e.g. conditional mean, median, truncated mean,...), s(.) is an unknown scale function, and e is independent of X. The response Y is subject to random right censoring, and the covariate X is completely observed. In the first part of the thesis, we assume that m(x) = E(Y|X=x) follows a polynomial model. A new estimation procedure for the unknown regression parameters is proposed, which extends the classical least squares procedure to censored data. The proposed method is inspired by the method of Buckley and James (1979), but is, unlike the latter method, a non-iterative procedure due to nonparametric preliminary estimation. The asymptotic normality of the estimators is established. Simulations are carried out for both methods and they show that the proposed estimators have usually smaller variance and smaller mean squared error than the Buckley-James estimators. For the second part, suppose that m(.)=E(Y|.) belongs to some parametric class of regression functions. A new estimation procedure for the true, unknown vector of parameters is proposed, that extends the classical least squares procedure for nonlinear regression to the case where the response is subject to censoring. The proposed technique uses new `synthetic' data points that are constructed by using a nonparametric relation between Y and X. The consistency and asymptotic normality of the proposed estimator are established, and the estimator is compared via simulations with an estimator proposed by Stute in 1999. In the third part, we study the nonparametric estimation of the regression function m(.). It is well known that the completely nonparametric estimator of the conditional distribution F(.|x) of Y given X=x suffers from inconsistency problems in the right tail (Beran, 1981), and hence the location function m(x) cannot be estimated consistently in a completely nonparametric way, whenever m(x) involves the right tail of F(.|x) (like e.g. for the conditional mean). We propose two alternative estimators of m(x), that do not share the above inconsistency problems. The idea is to make use of the assumed location-scale model, in order to improve the estimation of F(.|x), especially in the right tail. We obtain the asymptotic properties of the two proposed estimators of m(x). Simulations show that the proposed estimators outperform the completely nonparametric estimator in many cases.

This dissertation consists of four papers, each with an application of a discrete dependent variable model, censored regression or duration model to a credit market phenomenon or monetary policy question. The first three essays deal with bank lending policy, while the last one studies interest rate policy by Central Banks. In the first essay, a bivariate probit model is estimated to contrast the factors that influence banks’ loan granting decision and individuals’ risk of default. This model is used as a tool to construct a Value at Risk measure of the credit risk involved in a portfolio of consumer loans and to investigate the efficiency of bank lending policy. The second essay takes the conclusions from the first paper as a starting point. It investigates if the fact that banks do not minimize default risk can be explained by the existence of return maximization policy. For this purpose, a Tobit model with sample selection effects and variable censoring limits is developed and estimated on the survival times of consumer loans. The third paper focuses on dormancy, instead of default risk or survival time, as the most important factor affecting risk and return in bank lending. By means of a duration model the factors determining the transition from an active status to dormancy are studied. The estimated model is used to predict the expected durations to dormancy and to analyze the expected profitability for a sample loan applicants. In the fourth paper, the discrete nature of Central Bank interest rate policy is studied. A grouped data model, that can take the long periods of time without changes in the repo rate by the Central Bank into account, is estimated on weekly Swedish data. The model is found to be reasonably good at predicting interest rate changes. / Diss. (sammanfattning) Stockholm : Handelshögsk.

This thesis studies the Second-order Least Squares (SLS) estimation method in regression models with and without measurement error. Applications of the methodology in general quasi-likelihood and variance function models, censored models, and linear and generalized linear models are examined and strong consistency and asymptotic normality are established. To overcome the numerical difficulties of minimizing an objective function that involves multiple integrals, a simulation-based SLS estimator is used and its asymptotic properties are studied. Finite sample performances of the estimators in all of the studied models are investigated through simulation studies. / February 2009

This thesis studies the Second-order Least Squares (SLS) estimation method in regression models with and without measurement error. Applications of the methodology in general quasi-likelihood and variance function models, censored models, and linear and generalized linear models are examined and strong consistency and asymptotic normality are established. To overcome the numerical difficulties of minimizing an objective function that involves multiple integrals, a simulation-based SLS estimator is used and its asymptotic properties are studied. Finite sample performances of the estimators in all of the studied models are investigated through simulation studies.

This thesis studies the Second-order Least Squares (SLS) estimation method in regression models with and without measurement error. Applications of the methodology in general quasi-likelihood and variance function models, censored models, and linear and generalized linear models are examined and strong consistency and asymptotic normality are established. To overcome the numerical difficulties of minimizing an objective function that involves multiple integrals, a simulation-based SLS estimator is used and its asymptotic properties are studied. Finite sample performances of the estimators in all of the studied models are investigated through simulation studies.

本研究依據2003年「行政院新聞局廣播電視白皮書」、「公開上市、上櫃資訊觀測網站有線電視系統業者財務報告書」等文獻資料，先以資料包絡分析法評估個別系統業者的技術效率，再應用Tobit截斷迴歸方法，探討影響台灣有線電視系統業者經營效率的因素。 評估結果顯示，造成個別有線電視系統業者經營技術無效率的因素，主要歸咎於浪費資源所造成之無效率，而非因生產規模不適當所造成之無效率，迴歸結果發現，營業收入與技術效率間具正向關係，而頻道數、廣告密集度、經營區面積、集團化及業務集中度對技術效率間具負向關係。 / Based on the information of 2003 “The Broadcasting television paper of Government Information Office of Executive Yuan” and “Finance Statements of The Cable System Operators of Listed Companies and OTC Listed Companies from Market Observation Post System in Taiwan”, this study first uses DEA to assess technical efficiency of cable system operators, and then applies the Tobit censored regression technique to investigate the determinants of technical efficiency. The efficiency-evaluating result shows that the main factor, which causes inefficient management, is an ineffective use of resource; an improper production scale has less impact on it. The regression result also shows that the revenue has a positive impact on technical efficiency, but the number of channels, Area, the density of advertisement, conglomeration, and business focus has negative impacts on technical efficiency.