Dependencies in multilevel models at the second level have never been thoroughly examined. For certain designs first-level subjects are independent over time, but the second level subjects may exhibit nonzero covariances over time. Following a review of revelant literature the first study investigated which widely used computer programs adequately take into account these dependencies in their analysis. This was accomplished through a simulation study with SAS, and examples of analyses with Mplus and LISREL. The second study investigated the impact of two different missing data techniques for such designs in the case where data is missing at the first level with a simulation study in SAS. The first study simulated data produced in a multiyear study varying the numbers of subjects in the first and second levels, the number of data waves, the magnitude of effects at both the first and second level, and the magnitude of the second level covariance. Results showed that SAS and the MULTILEV component in LISREL analyze such data well while Mplus does not. The second study compared two missing data techniques in the presence of a second level dependency, multiple imputation (MI) and full information maximum likelihood (FIML). They were compared in a SAS simulation study in which the data was simulated with all the factors of the first study and the addition of missing data varied in amounts and patterns (missing completely at random or missing at random). Results showed that FIML is superior to MI because it produces lower bias and correctly estimates standard errors

No description available.

利用小型開放經濟體系下寡佔理論模型的建立，以民國78年到85年台灣中游石化業的實證資料為依據，利用完全訊息最大概似法(Full Information Maximum Likelihood Method)對產業獲利率與產業集中度兩條聯立方程式進行估計，結果本文發現，產業集中度對產業獲利率的影響為正但並不具有顯著性；而加權匯率的影響為負但也不具有顯著性；又關稅與產能利用率對產業獲利率則呈現顯著正面的影響；以及進口比例與出口運輸成本對其的影響則為負向且在統計上呈現顯著性。另一方面，產業獲利率、進口比例與進口運輸成本對產業集中度產生顯著正面的影響；而市場規模則呈現顯著負面的影響。

In this thesis an optimal stopping problem related to the classical secretary problem is studied. The theory of optimal stopping represents a special branch of stochastic optimization. Here the socalled full information best choice problem with a known number of offers is generalized by maximizing the probability of selecting an r-candidate, where an offer is called r-candidate if it is not lower than the maximal offer reduced by function r. In the first part discrete time is investigated. For this optimal stopping problem to select an r-candidate an optimal stopping time is indicated, the suboptimal myopic stopping time is displayed and threshold rules are studied including asymptotic behaviour. The basis of this optimal stopping problem is displayed in a general setting where the payoff depends on the prophet´s choiceand on the maximal offer, i.e. the value of the prophet. As a further application the mean of the ratio of the gambler´s choice and prophet´s value is investigated. Then in the second part offers arrive in continuous time. Offers are presented according to random arrival times and the horizon terminating the period of choosing is taken to be fixed and random. Here stress is layed on the geometric and on the exponential distribution, i.e. the Poisson process. In the final part the optimal stopping problem of maximizing the duration of owning a sufficiently good offer is applied to the concept of an r-candidate. A distinction between an overall and a temporary r-candidate is made. The duration of owning an r-candidate is investigated for a finite number of offers with regard to recall. The duration problem with discounted epochs is resolved. Finally the duration of owning an r-candidate is considered regarding the Poisson process where the horizon is fixed and exponentially distributed.

This dissertation attempts to provide a comprehensive examination on the non-market valuation of the effect of open space amenities and local public infrastructure on the value of urban land and housing with both spatial heterogeneity and project heterogeneity. The demand for raw land is a derived demand for housing built on it. Therefore, we need to examine the land market and the housing market together. On the one hand, we estimate the value of urban land in a market that does not satisfy the usual assumptions of a competitive market structure as well as incentive incompatibility issues for transaction participants, with an application to a Chinese regional wholesale land market. These two violations to the traditional hedonic theory also generate two separate valuations on land with differentiated characteristics. On the other hand, we utilize the relative plane coordinates system, the three-dimensional distances, as well as the aggregate weight matrix, to implement the spatial hedonic estimation on the high-rise residential buildings in the same regional housing retail market in China. After these two steps, this dissertation, therefore, focuses on the profit maximization behavior of the property developer, which is the key role to link the factor market (i.e., the land market) and the commodity market (i.e., the housing market) together. Two methods are then employed to implement the hypothesis test on the hedonic price estimation including both inputs and outputs. First, a set of partial derivatives of the profit function with respect to various characteristics gives us the relationship between the marginal valuations in the land market and in the housing market. Second, we introduce a joint estimation approach that we call the spatial full information maximum likelihood (SFIML), which considers the land market, the housing market, and the property developer's profit maximization behavior all together in the estimation. Finally, we conduct a hypothesis test in both of these two scenarios to examine the validity of our linked markets assumption on the hedonic price estimation.

No description available.

No description available.

本研究目的欲探討實施費率自由化第一及第二階段後之情形，即在2006年第二階段實施後，台灣產物保險公司及各險種個別之資金成本，以檢視兩階段自由化實施後是否顯著影響國內產險業。而資金成本為公司每段期間內應支付資金提供者之期望報酬，故以此可做為日後公司經營之參考指標。研究期間為2002年至2008年，分別由一因子模型及多因子模型解釋台灣產物保險業之資金成本，及系統風險(β)的變化是否會影響其資金成本之變動。利用資本資產定價模型(Capital Asset Pricing Model, CAPM)及Fama-French三因子模型(Fama-French Three-Factor Model, FF3F)求得公司資金成本，再透過完備資訊方法(The Full-information Industry Beta Method, FIB)了解不同險種間之系統風險及資金成本。實證結果顯示： 1. 無論在整體產險公司或是不同險種間，由FF3F模型所估計之資金成本均高於由CAPM模型所估計之資金成本。說明CAPM模型無法反映公司規模及財務危機因子(淨值市價比因子)之溢酬，而造成資金成本之低估。 2. 經CAPM模型及FF3F模型之估計，顯示台灣產險業之資金成本均低於國外產險業之資金成本，如美國。說明台灣產險業於資本市場之融資成本較低，造成其資本效率偏低，投資人變相縱容產險公司從事高風險性資產之投資。 本研究由台灣實證資料，顯示現行產險業資金取得成本低，導致其資本效率偏低，且投資人無法由市場資訊檢視其保險本業是否根據成本之考量來定價，故主管機關應於費用完全自由化後，加強產險業經營之監理，導正產險市場經營模式，避免因核保循環(underwriting cycle)而影響公司財務穩健。 關鍵詞：費率自由化、資金成本、資本資產定價模型、Fama-French三因子模型、完備資訊方法。