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.

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。

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.