This dissertation examines cross-category effects in consumer purchases from the big data and analytics perspectives. It uses data from Nielsen Consumer Panel and Scanner databases for its investigations. With big data analytics it becomes possible to examine the cross effects of many product categories on each other. The number of categories whose cross effects are studied is called category scale or just scale in this dissertation. The larger the category scale the higher the number of categories whose cross effects are studied. This dissertation extends research on models of cross effects by (1) examining the performance of MVP model across category scale; (2) customizing artificial neural network (ANN) techniques for large-scale cross effect analysis; (3) examining the performance of ANN across scale; and (4) developing a conceptual model of spending habits as a source of cross effect heterogeneity. The results provide researchers and managers new knowledge about using the two techniques in large category scale settings The computational capabilities required by MVP models grow exponentially with scale and thus are more significantly limited by computational capabilities than are ANN models. In our experiments, for scales 4, 8, 16 and 32, using Nielsen data, MVP models could not be estimated using baskets with 16 and more categories. We attempted to and could calibrate ANN models, on the other hand, for both scales 16 and 32. Surprisingly, the predictive results of ANN models exhibit an inverted U relationship with scale. As an ancillary result we provide a method for determining the existence and extent of non-linear own and cross category effects on likelihood of purchase of a category using ANN models. Besides our empirical studies, we draw on the mental budgeting model and impulsive spending literature, to provide a conceptualization of consumer spending habits as a source of heterogeneity in cross effect context. Finally, after a discussion of conclusions and limitations, the dissertation concludes with a discussion of open questions for future research.

本文探討大專生的學業成就，如何受到學生本身的外表吸引力以及工讀的型態所影響。本研究使用國立台灣師範大學台灣高等教育資料庫所建構的「九十二學年度大三學生問卷調查」以及「九十三學年度大專畢業生畢業後一年問卷調查」，以univariate probit model進行分析。研究結果發現：一、具外表吸引力的學生，在平均成績超過80分的機率，比外表較不具外表吸引力的學生高出5.6%；二、具外表吸引力的學生，在進入班級排名前10%的機率較不具外表吸引力的學生高出3.7%；三、雖然從事校外工讀對於學業成就有負面影響，不過從事校內工讀反而對於學業成就有正面影響。 接著以內生性分析的結果顯示，外表吸引力以及校外工讀與學業成就之間存在內生性問題。在recursive bivariate probit model估計下，外表吸引力與學業成就之間的關係仍舊為正向顯著，且男學生的外表吸引力對於學業成就之影響高於女學生；至於校外工讀與學業成就之間的關係在recursive bivariate probit model估計下反而轉變為正，表示在考慮內生性問題之後，校外工讀反而對於學業成就具有正向影響。 最後以trivariate probit model探討外表吸引力、校外工讀以及學業成就三者之間的關係，結果發現在控制外表吸引力下，校外工讀對於學業成就的影響差異並不大，工讀的負面效果並不會因為具有外表吸引力而有所減緩。

[pt] A modelagem de dados que qualificam as transações de ativos financeiros, tais como, preço, spread de compra e venda, volume e duração, vem despertando o interesse de pesquisadores na área de finanças, levando a um aumento crescente do número de publicações referentes ao tema. As primeiras propostas se limitaram aos modelos de duração. Mais tarde, o impacto da duração sobre a volatilidade instantânea foi analisado. Recentemente, Manganelli (2002) incluiu dados referentes aos volumes transacionados dentro de um modelo vetorial. Neste estudo, nós estendemos o trabalho de Manganelli através da inclusão do spread de compra e venda num modelo vetorial autoregressivo, onde as médias condicionais do spread, volume, duração e volatilidade instantânea são descritas a partir de uma formulação exponencial chamada Exponential Multivariate Autoregressive Conditional Model (EMACM). Nesta nova proposta, não se fazem necessárias a adoção de quaisquer restrições nos parâmetros do modelo, o que facilita o procedimento de estimação por máxima verossimilhança e permite a utilização de testes de Razão de Verossimilhança na especificação da forma funcional do modelo (estrutura de interdependência). Em paralelo, a questão de antecipar movimentos nos preços de ativos financeiros é analisada mediante a utilização de um procedimento integrado, no qual, além da modelagem de dados financeiros de alta freqüência, faz-se uso de um modelo probit ordenado contemporâneo. O EMACM é empregado com o objetivo de capturar a dinâmica associada às variáveis e sua função de previsão é utilizada como proxy para a informação contemporânea necessária ao modelo de previsão de preços proposto. / [en] The availability of high frequency financial transaction data - price, spread, volume and duration -has contributed to the growing number of scientific articles on this topic. The first proposals were limited to pure duration models. Later, the impact of duration over instantaneous volatility was analyzed. More recently, Manganelli (2002) included volume into a vector model. In this document, we extended his work by including the bid-ask spread into the analysis through a vector autoregressive model. The conditional means of spread, volume and duration along with the volatility of returns evolve through transaction events based on an exponential formulation we called Exponential Multivariate Autoregressive Conditional Model (EMACM). In our proposal, there are no constraints on the parameters of the VAR model. This facilitates the maximum likelihood estimation of the model and allows the use of simple likelihood ratio hypothesis tests to specify the model and obtain some clues about the interdependency structure of the variables. In parallel, the problem of stock price forecasting is faced through an integrated approach in which, besides the modeling of high frequency financial data, a contemporary ordered probit model is used. Here, EMACM captures the dynamic that high frequency variables present, and its forecasting function is taken as a proxy to the contemporaneous information necessary to the pricing model.

本研究主要先探討國內、外對外投資之相關文獻，再以經濟部統計處於2007年所實施的「製造業對外投資實況調查」問卷資料為分析對象，分別由廠商特性、產業特性及投資特性等3方面，運用probit model進行估計，來分析我國製造業廠商在從事對外投資活動後，對國內產品生產規模所產生的影響。經本研究實證發現，就廠商特性而言，「廠商規模」及「研發支出總額」為影響國內產品生產規模擴大的重要因素。在產業特性方面，則以「產業型態」及「對外投資地區」為重要影響因素，而若以投資特性來看，屬擴張型對外投資動機的「當地市場發展潛力大」、由台灣所提供之「原料進貨來源比率」及「零組件與半成品進貨來源比率」等因素為重要影響因素。 / After reviewing literature on outward foreign direct investment, this research conducts an empirical research based on 2007 statistical data from Ministry of Economic Affairs in Taiwan. We employ probit model to analyze the impacts of outward foreign direct investment on output of manufacturing industry in Taiwan. The empirical results show that the ‘firm size’ and ‘R&D expenditure’ categorized into firm characteristics, and ‘type of industry’ and ‘investment area’ classified into industry characteristics are statistically significant. Moreover, the expansionary FDI measured by ‘high potential of local market’, ‘rate of raw material purchased from Taiwan’ and ‘rate of components and semi-finished product purchased from Taiwan’ are also statistically significant.

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.

民國94年7月1日開始施行的勞工退休金條例，是政府近年來對勞工退休規劃的重要施政政策，依據此條例規定，員工超過二百人以上的企業，多了企業年金保險的選項可供選擇。而依據第14條第三款規定，勞工得在其每月工資百分之六範圍內，自願另行提繳退休金。勞工自願提繳部份，得自當年度個人綜合所得稅總額中全數扣除。本研究開始之時適逢勞退新制實施之初，並無企業年金中個人相對提撥之實際資料，因此藉分析個人年金保險保戶之屬性及對年金保險消費型態之探討，推論企業年金中選擇自願提繳之個人因素，供各界參考。 本研究整理與回顧國內外相關之職業退休金制度，並探討OECD各國企業年金的運作方式，以及國內年金市場的結構與產品。在實証模型上，則利用線性迴歸模型（OLS），分析影響年金保險保額的原因，並利用間斷性機率模型Probit Model 探討影響傳統型年金保險或投資型年金保險的因素。 / The Labor Pension Act, one of the major policies for the labor retirement planning of the R.O.C. government, was officially put into practice on July 1st, 2005. Based on the regulation of the Act, companies with more than 200 employees will have the Annuity Insurance as alternatives. According to the Article 14 -3 of the Act, a worker may voluntarily contribute per month, up to 6% of his/her monthly wages to his/her pension fund account. The full amount of the voluntary pension contribution made by a worker may be deducted from the worker's taxable income in the year concerned. Therefore, this research intends to analysis between the attributions and consumption behaviors of the employees joining in the policy of the Annuity Insurance, and then generalizes the factors why the workers choose the voluntary pension contribution policy. In this research, I would compare the pension policies used in different countries, look into the ways that the OECD are running their Enterprise Annuity policies, and evaluate the various pension policies. By using the real diagnosis Model, I would use the OLS to analysis the influences over Annuity Insurance Insured value and then use the Probit Model to explore the influences over traditional Annuity Insurance and the Investment Annuity Insurance.

Τις τρεις τελευταίες δεκαετίες, η Ευρωπαϊκή Επιτροπή έχει δημιουργήσει τρόπους ευαισθητοποίησης των βιομηχανιών για περιβαλλοντικά ζητήματα, προάγοντας την εταιρική κοινωνική ευθύνη (ΕΚΕ). Στην παρούσα διπλωματική εργασία εξετάζουμε εμπειρικά τη σχέση ανάμεσα στην υιοθέτηση περιβαλλοντικής καινοτομίας από τις ελληνικές επιχειρήσεις, οι οποίες δραστηριοποιούνται στον τομέα της Έρευνας και Τεχνολογικής Ανάπτυξης (ΕΤΑ). Η συγκεκριμένη οικονομετρική μελέτη βασίστηκε σε δεδομένα που δημιουργήθηκαν μέσω ερωτηματολογίου που συμπληρώθηκε από επιχειρήσεις που βρίσκονται στον κλάδο των Χημικών και των Μεταλλικών. Αναφορικά με τη θεωρητική προσέγγιση, η εργασία μας εστιάζει στις αντικρουόμενες προσεγγίσεις της υπόθεσης αμοιβαίου οφέλους (win-win) του Porter, 1991 και των Porter και Van der Linde, 1995 με την νεοκλασική θεωρία, που είχε ως κύριους εκφραστές της, τους Jaffe και Palmer 1995,1997. Σύμφωνα με την οικονομετρική ανάλυση η πιθανότητα μια επιχείρηση να υιοθετήσει περιβαλλοντικές πρακτικές, στα πλαίσια ΕΤΑ, επηρεάζεται θετικά από την συνεχή εξαγωγική δραστηριότητα της τελευταίας δεκαετίας καθώς και από το μέγεθος της επιχείρησης. Ωστόσο, η οικονομετρική ανάλυση έδειξε επίσης ότι άλλοι παράγοντες που είχαν προταθεί στη βιβλιογραφία, όπως ο τρόπος εξαγωγών της επιχείρησης και οι γραφειοκρατικές διαδικασίες που ακολουθεί, έχουν μη στατιστικά σημαντική επίδραση ως προς την περιβαλλοντική καινοτομία. Τέλος, η πιθανότητα υιοθέτησης περιβαλλοντικής καινοτομίας επηρεάζεται αρνητικά από τη μεγάλη δυσκολία που συναντούν οι επιχειρήσεις λόγω της αυστηρότητας των νομοθετικών ρυθμίσεων. / The three last decades the European Commission has been placing an emphasis on promoting the CSR that aims to support the industry’s realization of environmental innovations in order to achieve a reduction of all environmental impacts. The present study investigates the realization of environmental innovation by companies involved in Research and Development, which belong to chemical and metal industry. This study is based on a unique firm level data set of the Greek industry. A theoretical approach of Porter Hypothesis has been developed. According to the econometric analysis, the probability of a firm to adopt environmental technologies under R&D activities is positively affected by the continuing export activity in the last ten years and the size of the firm. However, the econometric analysis also showed that other factors that have been suggested in literature, such as the export method of the company and bureaucratic procedures do not have significant effect on environmental innovation. Finally, the probability of the adoption of environmental innovation is negatively affected by the great difficulty faced by firms due to the stringency of regulation.

Doctor of Philosophy / Civil Engineering / Sunanda Dissanayake / Safe and efficient flow of traffic through work zones must be established by improving work zone conditions. Therefore, identifying the factors associated with the severity and the frequency of work zone crashes is important. According to current statistics from the Federal Highway Administration, 2,372 fatalities were associated with motor vehicle traffic crashes in work zones in the United States during the four years from 2010 to 2013. From 2002 to 2014, an average of 1,612 work zone crashes occurred in Kansas each year, making it a serious concern in Kansas. Objectives of this study were to analyze work zone crash characteristics, identify the factors associated with crash severity and frequency, and to identify recommendations to improve work zone safety. Work zone crashes in Kansas from 2010 to 2013 were used to develop crash severity models. Ordered probit regression was used to model the crash severities for daytime, nighttime, multi-vehicle and single-vehicle work zone crashes and for work zones crashes in general. Based on severity models, drivers from 26 to 65 years of age were associated with high crash severities during daytime work zone crashes and driver age was not found significant in nighttime work zone crashes. Use of safety equipment was related to reduced crash severities regardless of the time of the crash. Negative binomial regression was used to model the work zone crash frequency using work zones functioned in Kansas in 2013 and 2014. According to results, increased average daily traffic (AADT) was related to higher number of work zone crashes and work zones in operation at nighttime were related to reduced number of work zone crashes. Findings of this study were used to provide general countermeasure ideas for improving safety of work zones.

The input collected from warranty claims data links customer feedback with product quality. Results from warranty claim analysis can potentially improve product quality, customer relationships and positively affect business. However working on warranty claims data holds many challenges that requires a significant share of time devoted to data cleaning and data processing. The purpose of warranty claims analysis is to get the comprehensive overview of the reliability, costs and quality of household appliances produced by ASKO. While there are different ways to approach this problem, we will focus on non-parametric and semi-parametric methods, by using Kaplan-Meier estimators and Cox proportional hazard model respectively. These kinds of models are time dependent and therefore used for prediction of household appliance reliability. Even though non-parametric models are quite informative they cannot handle additional characteristics about observable product hence the semi-parametric Cox proportional hazard model was proposed. Apart from the reliability analysis, we will also predict warranty costs with probit model and observe inequality in household appliances part failures as a part of quality control analysis. Described methods were selected due to the fact that the warranty claims analysis will be practiced in future by ASKO’s quality department and therefore straight forward methods with very informative results are needed.

Kyoto University (京都大学) / 0048 / 新制・課程博士 / 博士(工学) / 甲第16379号 / 工博第3460号 / 新制||工||1523(附属図書館) / 29010 / 京都大学大学院工学研究科都市社会工学専攻 / (主査)教授 小林 潔司, 教授 川﨑 雅史, 准教授 松島 格也 / 学位規則第4条第1項該当