Stochastic and infinite dimensional analysis

This volume presents a collection of papers covering applications from a wide range of systems with infinitely many degrees of freedom studied using techniques from stochastic and infinite dimensional analysis, e.g. Feynman path integrals, the statistical mechanics of polymer chains, complex networks, and quantum field theory. Systems of infinitely many degrees of freedom create their particular mathematical challenges which have been addressed by different mathematical theories, namely in the theories of stochastic processes, Malliavin calculus, and especially white noise analysis. These proceedings are inspired by a conference held on the occasion of Prof. Ludwig Streit’s 75th birthday and celebrate his pioneering and ongoing work in these fields.

Water production function of maize for Northeast Brazil.

Estudou-se atraves de um experimento em blocos ao acaso, os efeitos de quatro niveis de nitrogenio, em diferentes condicoes de umidade, sobre os estagios de crescimento, embonecamento, formacao de graos e prdutividade do milho (Zea mays L.) e as relacoes entre a produtividade e os tres primeiros estagios. Os fatores da resposta de producaobaseados na equacao de Doorenbos e Kassam variaram acentuadamente, nao so com os diferentes estatios de crescimento, mas tambem com diferentes niveis de nitrogenio e os diferentes niveis de agua. Assim, esta equacao nao pareceu ser valida para explicar a resposta de produtividade a niveis de agua. Sugeriu-se um equacao linear modificada. Nesta equacao, a intercessao K1 e inclinacao K2 sao os fatores da resposta de producao. Estes fatores para a cultura do milho foram desenvolvidos para todos os quatro estagios de crescimento e nveis de nitrogenio. Pode-se obter uma eficiencia media do uso de agua, em termos de produtividade, de, aproximadamente, 57,5 kg/ha-cm de agua, sendo, contudo, pequeno o incremento, em face dos niveis crescentes de nitrogenio aplicado ate 120 kg/ha. Os coeficientes de cutura (Kc) calculados estao muito abaixo da estimativa da FAO, para todos os niveis de nitrogenio. Por essa razao, deve haver consideravel economica de agua se estes coeficientes forem usados em lugar da estimativa da FAO. A informacao mostradapode imediatamente ser utilizada para turno de irrigacao e para projetos de irrigacao suplementar planejado para as condicoes doe Nordeste do Brasil.

Estimating the Impact on Efficiency of the Adoption of a Voluntary Environmental Standard: An Empirical Study of the Global Copper Mining Industry

This paper uses data on the world's copper mining industry to measure the impact on efficiency of the adoption of the ISO 14001 environmental standard. Anecdotal and case study literature suggests that firms are motivated to adopt this standard so as to achieve greater efficiency through changes in operating procedures and processes. Using plant level panel data from 1992-2007 on most of the world's industrial copper mines, the study uses stochastic frontier methods to investigate the effects of ISO adoption. The variety of models used in this study find that adoption either tends to improve efficiency or has no impact on efficiency, but no evidence is found that ISO adoption decreases efficiency.

Profitability and technical efficiency of aquaculture systems in Pampanga, Philippines

We evaluate the profitability and technical efficiency of aquaculture in the Philippines. Farm-level data are used to compare two production systems corresponding to the intensive monoculture of tilapia in freshwater ponds and the extensive polyculture of shrimps and fish in brackish water ponds. Both activities are very lucrative, with brackish water aquaculture achieving the higher level of profit per farm. Stochastic frontier production functions reveal that technical efficiency is low in brackish water aquaculture, with a mean of 53%, explained primarily by the operator's experience and by the frequency of his visits to the farm. In freshwater aquaculture, the farms achieve a mean efficiency level of 83%. The results suggest that the provision of extension services to brackish water fish farms might be a cost-effective way of increasing production and productivity in that sector. By contrast, technological change will have to be the driving force of future productivity growth in freshwater aquaculture.

A evolução da produtividade total de fatores na economia brasileira: uma análise do período pós-real

A presente pesquisa aplica o modelo de fronteira estocástica de produção para as indústrias de transformação e da construção civil, assim como para o comércio e os serviços no Brasil, de forma a identificar as fontes de crescimento dos principais setores de atividade da economia brasileira, quais sejam: acumulação de capital físico, emprego da mão-de-obra, e produtividade total de fatores (PTF). Conforme Kumbhakar (2000), a evolução da PTF é decomposta em progresso técnico, mudanças da eficiência técnica, mudanças da eficiência alocativa e efeitos de escala. O estudo parte de dados de 1996 a 2000 das principais pesquisas anuais do IBGE realizadas com firmas: PAIC, PIA, PAC e PAS.

Cálculo da eficiência na prestação de serviço usando o método de fronteira estocástica para a atividade de imunização e controle de pragas 2005-2008.

A falta de eficiência das organizações compromete no longo prazo o desenvolvimento de toda a economia. No caso do mercado de saúde ambiental, uma maior coordenação entre os programas públicos e privados aumentaria a universalização do serviço de controle de endemias para a sociedade. A falta do domínio da tecnologia (como produzir; como atender à preferência do consumidor; como obter ganho de escala; como coordenar e motivar os públicos envolvidos e como fortalecer as instituições de longo prazo) gera perdas de até 49% segundo esta estimativa. Para contribuir com a hipótese acima e para incentivar e promover a eficiência das empresas deste setor, este trabalho calcula a eficiência na prestação de serviço com o método de fronteira estocástica de produção com dados em painel (2005-2008) para a atividade de imunização e controle de pragas. A fronteira de produção retraiu-se neste período. As variáveis: idade da empresa, foco da formação do líder e meta de lucratividade mostram-se significativas para a eficiência da amostra.

Caratteristiche ed efficienza economica del Distretto agroalimentare del Pecorino Romano DOP

Una delle realtà economiche più importanti della Sardegna è la produzione di Pecorino Romano DOP. Il contesto nel quale è nato e si è sviluppato ingloba molte delle precondizioni che favoriscono la nascita di un distretto. Il principale obiettivo di questo studio è verificare se il comparto lattiero caseario della Sardegna, focalizzato nella produzione di Pecorino Romano DOP, può creare un effetto distretto. Ciò potrebbe suggerire l'esistenza dello stesso distretto anche se atipico. Per verificare questa ipotesi, in primo luogo è stata esaminata l'efficienza produttiva delle imprese trasformatrici di Pecorino Romano utilizzando il metodo della Frontiera stocastica di produzione. Successivamente sono state cercate le cause delle differenze. Lo studio mostra che i livelli di efficienza osservati sono quasi interamente attribuibili agli input di produzione utilizzati, in particolare al latte. Risulta chiaro che il sistema delle cooperative funziona e che tali aziende ottengono sistematicamente margini di efficienza migliori rispetto alle non cooperative. Le variabili analizzate non permettono di concludere che esiste un "effetto distretto".

Measured daily precipitation sums over Central Sulawesi for the period 1981-1999

Data compiled within the IMPENSO project. The Impact of ENSO on Sustainable Water Management and the Decision-Making Community at a Rainforest Margin in Indonesia (IMPENSO), http://www.gwdg.de/~impenso, was a German-Indonesian research project (2003-2007) that has studied the impact of ENSO (El Nino-Southern Oscillation) on the water resources and the agricultural production in the PALU RIVER watershed in Central Sulawesi. ENSO is a climate variability that causes serious droughts in Indonesia and other countries of South-East Asia. The last ENSO event occurred in 1997. As in other regions, many farmers in Central Sulawesi suffered from reduced crop yields and lost their livestock. A better prediction of ENSO and the development of coping strategies would help local communities mitigate the impact of ENSO on rural livelihoods and food security. The IMPENSO project deals with the impact of the climate variability ENSO (El Niño Southern Oscillation) on water resource management and the local communities in the Palu River watershed of Central Sulawesi, Indonesia. The project consists of three interrelated sub-projects, which study the local and regional manifestation of ENSO using the Regional Climate Models REMO and GESIMA (Sub-project A), quantify the impact of ENSO on the availability of water for agriculture and other uses, using the distributed hydrological model WaSiM-ETH (Sub-project B), and analyze the socio-economic impact and the policy implications of ENSO on the basis of a production function analysis, a household vulnerability analysis, and a linear programming model (Sub-project C). The models used in the three sub-projects will be integrated to simulate joint scenarios that are defined in collaboration with local stakeholders and are relevant for the design of coping strategies.

Measuring science: An exploration

This paper examines the available United States data on academic research and development (R&D) expenditures and the number of papers published and the number of citations to these papers as possible measures of “output” of this enterprise. We look at these numbers for science and engineering as a whole, for five selected major fields, and at the individual university field level. The published data in Science and Engineering Indicators imply sharply diminishing returns to academic R&D using published papers as an “output” measure. These data are quite problematic. Using a newer set of data on papers and citations, based on an “expanding” set of journals and the newly released Bureau of Economic Analysis R&D deflators, changes the picture drastically, eliminating the appearance of diminishing returns but raising the question of why the input prices of academic R&D are rising so much faster than either the gross domestic product deflator or the implicit R&D deflator in industry. A production function analysis of such data at the individual field level follows. It indicates significant diminishing returns to “own” R&D, with the R&D coefficients hovering around 0.5 for estimates with paper numbers as the dependent variable and around 0.6 if total citations are used as the dependent variable. When we substitute scientists and engineers in place of R&D as the right-hand side variables, the coefficient on papers rises from 0.5 to 0.8, and the coefficient on citations rises from 0.6 to 0.9, indicating systematic measurement problems with R&D as the sole input into the production of scientific output. But allowing for individual university field effects drives these numbers down significantly below unity. Because in the aggregate both paper numbers and citations are growing as fast or faster than R&D, this finding can be interpreted as leaving a major, yet unmeasured, role for the contribution of spillovers from other fields, other universities, and other countries.

Productivity change using growth accounting and frontier-based approaches:evidence from a Monte Carlo analysis

This study presents some quantitative evidence from a number of simulation experiments on the accuracy of the productivitygrowth estimates derived from growthaccounting (GA) and frontier-based methods (namely data envelopment analysis-, corrected ordinary least squares-, and stochastic frontier analysis-based malmquist indices) under various conditions. These include the presence of technical inefficiency, measurement error, misspecification of the production function (for the GA and parametric approaches) and increased input and price volatility from one period to the next. The study finds that the frontier-based methods usually outperform GA, but the overall performance varies by experiment. Parametric approaches generally perform best when there is no functional form misspecification, but their accuracy greatly diminishes otherwise. The results also show that the deterministic approaches perform adequately even under conditions of (modest) measurement error and when measurement error becomes larger, the accuracy of all approaches (including stochastic approaches) deteriorates rapidly, to the point that their estimates could be considered unreliable for policy purposes.

Estimating variable returns to scale production frontiers with alternative stochastic assumptions

Two stochastic production frontier models are formulated within the generalized production function framework popularized by Zellner and Revankar (Rev. Econ. Stud. 36 (1969) 241) and Zellner and Ryu (J. Appl. Econometrics 13 (1998) 101). This framework is convenient for parsimonious modeling of a production function with returns to scale specified as a function of output. Two alternatives for introducing the stochastic inefficiency term and the stochastic error are considered. In the first the errors are added to an equation of the form h(log y, theta) = log f (x, beta) where y denotes output, x is a vector of inputs and (theta, beta) are parameters. In the second the equation h(log y,theta) = log f(x, beta) is solved for log y to yield a solution of the form log y = g[theta, log f(x, beta)] and the errors are added to this equation. The latter alternative is novel, but it is needed to preserve the usual definition of firm efficiency. The two alternative stochastic assumptions are considered in conjunction with two returns to scale functions, making a total of four models that are considered. A Bayesian framework for estimating all four models is described. The techniques are applied to USDA state-level data on agricultural output and four inputs. Posterior distributions for all parameters, for firm efficiencies and for the efficiency rankings of firms are obtained. The sensitivity of the results to the returns to scale specification and to the stochastic specification is examined. (c) 2004 Elsevier B.V. All rights reserved.

Economias de escala em centros hospitalares

RESUMO - Perante o actual contexto de contenção de gastos no sector da saúde e consequente preocupação com a eficiência do sistema, tem‐se assistido a mudanças várias no modelo de gestão e organizacional do sistema de saúde. Destaca‐se a alteração da estrutura hospitalar, com vista à racionalização dos seus recursos internos, onde as fusões hospitalares têm assumido um papel determinante. Em Portugal, nos últimos 10 anos, assistiu‐se a uma significativa redução do número de hospitais (de sensivelmente 90 para 50 unidades), exclusivamente através das fusões e sem quaisquer alterações no número de estruturas físicas existentes. Não obstante os argumentos justificativos desta reforma, a avaliação dos objectivos implícitos é insuficiente. Neste âmbito, pretendeu‐se com este estudo contribuir para a análise do impacte da criação de centros hospitalares na redução de gastos, isto é, verificar se a consolidação e consequente reengenharia dos processos produtivos teve consequencias ao nível da obtenção de economias de escala. Para esta análise usou‐se uma base de dados em painel, onde se consideraram 75 hospitais durante 7 anos (2003‐2009), número que foi reduzindo ao longo do período em análise devido às inúmeras fusões já referidas. Para avaliar os ganhos relativos às fusões hospitalares, ao nível da eficiência técnica e das economias de escala, recorreu‐se à fronteira estocástica especificada função custo translog. Estimada a fronteira, foi possível analisar três centros hospitalares específicos, onde se comparou o período pré‐fusão (2005‐2006) com o período após a fusão (2008‐2009). Como variáveis explicativas, relativas à produção hospitalar, considerou‐se o número de casos tratados e os dias de internamento (Vita, 1990; Schuffham et al., 1996), o número de consultas e o número de urgências, sendo estas variáveis as mais comuns na literatura (Vita, 1990; Fournier e Mitchell, 1992; Carreira, 1999). Quanto à variável dependente usou‐se o custo variável total, que compreende o total de custos anuais dos hospitais excepto de imobilizado. Como principais conclusões da investigação, em consequência da criação dos centros hospitalares, são de referir os ganhos de escala na fusão de hospitais de reduzida dimensão e com mais serviços complementares. --------ABSTRACT - Driven by the current pressure on resources induced by budgetary cuts, the Portuguese Ministry of Health is imposing changes in the management model and organization of NHS hospitals. The most recent change is based on the creation of Hospital Centres that are a result of administrative mergers of existing hospitals. In less than 10 years the number of hospitals passed from around 90 to around 50, only due to the mergers and without any change in the existing number of physical institutions. According to the political discourse, one of the main goals expected from this measure is the creation of synergies and more efficiency in the use of available resources. However, the merger of the hospitals has been a political decision without support or evaluation of the first experiments. The aim of this study is to measure the results of this policy by looking at economies of scale namely through reductions in the expenditures, as expected and sought by the MoH. Data used covers 7 years (2003‐2009) and 75 hospitals, number that has been reduced my the enoumerous mergers during the last decade. This work uses a stochastic frontier analysis through the translog cost function to examine the gains from mergers, which were decomposed into technical efficiency and economies of scale. It was analised these effects by the creation of three specific hospital centers, using a longitudinal approach to compare the period pre‐merger (2003‐2006) with the post‐merger period (2007‐09). To measure changes in inpatient hospital production volume and length of stay are going to be considered as done by Vita (1990) and Schuffham et al. (1996). For outpatient services the number of consultations and emergencies are going to be considered (Vita, 1990; Fournier e Mitchell, 1992; Carreira, 1999). Total variable cost is considered as the dependent variable explained the aforementioned ones. After a review of the literature results expected point to benefits from the mergers, namely a reduction in total expenditures and in the number of duplicated services. Results extracted from our data point in the same direction, and thus for the existence of some economies of scale only for small hospitals.

Benchmarking in primary health care: An application of the stochasticd frontier analysis and the grades of membership approach to Portuguese family health units

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

The Estimation of Technical Efficiency Effects Models with an Example Applied to the Thai Manufacturing Sector

This paper does two things. First, it presents alternative approaches to the standard methods of estimating productive efficiency using a production function. It favours a parametric approach (viz. the stochastic production frontier approach) over a nonparametric approach (e.g. data envelopment analysis); and, further, one that provides a statistical explanation of efficiency, as well as an estimate of its magnitude. Second, it illustrates the favoured approach (i.e. the ‘single stage procedure’) with estimates of two models of explained inefficiency, using data from the Thai manufacturing sector, after the crisis of 1997. Technical efficiency is modelled as being dependent on capital investment in three major areas (viz. land, machinery and office appliances) where land is intended to proxy the effects of unproductive, speculative capital investment; and both machinery and office appliances are intended to proxy the effects of productive, non-speculative capital investment. The estimates from these models cast new light on the five-year long, post-1997 crisis period in Thailand, suggesting a structural shift from relatively labour intensive to relatively capital intensive production in manufactures from 1998 to 2002.

Provision of environmental output within a multi-output distance function approach

This paper redefines technical efficiency by incorporating provision of environmental goods as one of the outputs of the farm. The proportion of permanent and rough grassland to total agricultural land area is used as a proxy for the provision of environmental goods. Stochastic frontier analysis was conducted using a Bayesian procedure. The methodology is applied to panel data on 215 dairy farms in England and Wales. Results show that farm efficiency rankings change when provision of environmental outputs by farms is incorporated in the efficiency analysis, which may have important political implications.