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The Impact of South-South Trade Agreements on FDI 南南贸易协定对外国直接投资的影响
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2015-03-01 DOI: 10.2139/ssrn.2591308
Mondher Cherif, Christian Dreger
{"title":"The Impact of South-South Trade Agreements on FDI","authors":"Mondher Cherif, Christian Dreger","doi":"10.2139/ssrn.2591308","DOIUrl":"https://doi.org/10.2139/ssrn.2591308","url":null,"abstract":"The integration of emerging markets into the global economy is heavily promoted by foreign direct investment (FDI) inflows. Within the factors driving the location of FDI, regional trade agreements (RTAs) become increasingly relevant for emerging markets. We explore the impact of South-South trade agreements on FDI by dynamic panel models. The MENA countries are compared to the better performing regions in Latin America and Southeast Asia. Several striking results emerge from the analysis. First, agglomeration effects are weaker for the MENA region. Second, the impact of the RTA is important. However, RTAs do not generally rise the attractiveness of the region for foreign investors, as the effect interacts with business-friendly regulations. Third, financial deepening in the host country is a crucial factor, often again in combination with the institutional framework. Furthermore, institutional conditions may not be relevant per se, but only in terms of its interaction with the macroeconomic determinants","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116304782","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Fractionally Integrated Panel Data Systems 部分集成面板数据系统
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2015-02-05 DOI: 10.2139/ssrn.2521050
Yunus Emre Ergemen
{"title":"Fractionally Integrated Panel Data Systems","authors":"Yunus Emre Ergemen","doi":"10.2139/ssrn.2521050","DOIUrl":"https://doi.org/10.2139/ssrn.2521050","url":null,"abstract":"We consider large n, T panel data models with fixed effects, persistent common factors allowing for cross-section dependence, and possibly correlated persistent innovations that are assumed fractionally integrated. In the model, a) persistence in the innovations and the common factor allows for cointegrating relationships in the unobserved idiosyncratic components; b) the vector of innovations, whose elements can be contemporaneously correlated, can also exhibit short-memory dynamics in the form of a finite-order vector autoregressive process; c) deterministic linear and nonlinear trends can be nested. We perform estimations on the defactored observed series where the projections are based on the sample averages of fractionally differenced data. In the estimation, we use a computationally convenient equation-by-equation conditional-sum-of-squares (CSS) criterion, leading to GLS-type estimates for slope parameters. The CSS estimates of individual slope and long-range dependence parameters are root-T consistent while the mean-group slope estimate is root-n consistent, all with centered asymptotic normal distributions, irrespective of cointegration. A study of small-sample performance is carried out showing desirable properties for our estimation method. Finally, an empirical application to the long-run relationship between real GDP and debt is included.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125723180","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Simple New Test for Slope Homogeniety in Panel Data Models with Interactive Effects 具有交互效应的面板数据模型中斜率均匀性的简单新检验
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2014-12-21 DOI: 10.2139/ssrn.2541467
T. Ando, Jushan Bai
{"title":"A Simple New Test for Slope Homogeniety in Panel Data Models with Interactive Effects","authors":"T. Ando, Jushan Bai","doi":"10.2139/ssrn.2541467","DOIUrl":"https://doi.org/10.2139/ssrn.2541467","url":null,"abstract":"We consider the problem of testing for slope homogeneity in high-dimensional panel data models with a factor error structure. We consider the Swamy-type test for slope homogeneity by incorporating interactive fixed effects. We show that the proposed test statistic is asymptotically normal. Our test allows the explanatory variables to be correlated with the unobserved factors, factor loadings, or with both. Monte Carlo simulations demonstrate that the proposed test has good size control and good power.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122260811","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 22
On the Bias of the LSDV Estimator in Dynamic Panel Data Models with Endogenous Regressors 基于内生回归因子的动态面板数据模型中LSDV估计量的偏差
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2014-12-05 DOI: 10.2139/ssrn.2530523
A. Kurennoy
{"title":"On the Bias of the LSDV Estimator in Dynamic Panel Data Models with Endogenous Regressors","authors":"A. Kurennoy","doi":"10.2139/ssrn.2530523","DOIUrl":"https://doi.org/10.2139/ssrn.2530523","url":null,"abstract":"This paper studies the behaviour of the bias corrected LSDV estimator and GMM-based estimators in dynamic panel data models with endogenous regressors. We obtain an expansion of the conditional bias of the LSDV estimator with the leading term coinciding with the one in the expansion from (Kiviet, 1995) and (Kiviet, 1999). Nevertheless, our simulations suggest that in the presence of endogenous regressors the performance of the corrected LSDV estimator can be low. This indicates that although the bias has similar structure whether or not the exogeneity assumption holds, the approximation technique that the LSDVc estimator is based on can work poorly in the endogenous case. GMM-based estimators also have low performance in our experiment.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122683077","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
A Further Look at Modified ML Estimation of the Panel AR(1) Model with Fixed Effects and Arbitrary Initial Conditions. 具有固定效应和任意初始条件的面板AR(1)模型的改进ML估计的进一步研究。
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2014-10-24 DOI: 10.2139/ssrn.2559784
H. Kruiniger
{"title":"A Further Look at Modified ML Estimation of the Panel AR(1) Model with Fixed Effects and Arbitrary Initial Conditions.","authors":"H. Kruiniger","doi":"10.2139/ssrn.2559784","DOIUrl":"https://doi.org/10.2139/ssrn.2559784","url":null,"abstract":"In this paper we consider two kinds of generalizations of Lancaster's (Review of Economic Studies, 2002) Modified ML estimator (MMLE) for the panel AR(1) model with fixed effects and arbitrary initial conditions and possibly covariates when the time dimension, T, is fixed. When the autoregressive parameter ρ=1, the limiting modified profile log-likelihood function for this model has a stationary point of inflection and ρ is first-order underidentified but second-order identified. We show that the generalized MMLEs exist w.p.a.1 and are uniquely defined w.p.1. and consistent for any value of ρ≥-1. When ρ=1, the rate of convergence of the MMLEs is N^{1/4}, where N is the cross-sectional dimension of the panel. We then develop an asymptotic theory for GMM estimators when one of the parameters is only second-order identified and use this to derive the limiting distributions of the MMLEs. They are generally asymmetric when ρ=1. One kind of generalized MMLE depends on a weight matrix W_{N} and we show that a suitable choice of W_{N} yields an asymptotically unbiased MMLE. We also show that Quasi LM tests that are based on the modified profile log-likelihood and use its expected rather than observed Hessian, with an additional modification for ρ=1, and confidence regions that are based on inverting these tests have correct asymptotic size in a uniform sense when |ρ|≤1. Finally, we investigate the finite sample properties of the MMLEs and the QLM test in a Monte Carlo study.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"277 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116217491","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Quantitative Easing and Bank Lending: A Panel Data Approach 量化宽松与银行贷款:面板数据方法
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2014-08-22 DOI: 10.2139/ssrn.2487793
Michael A. S. Joyce, Marco Spaltro
{"title":"Quantitative Easing and Bank Lending: A Panel Data Approach","authors":"Michael A. S. Joyce, Marco Spaltro","doi":"10.2139/ssrn.2487793","DOIUrl":"https://doi.org/10.2139/ssrn.2487793","url":null,"abstract":"Studies of the Bank of England’s quantitative easing (QE) policy have tended to focus on its impact on financial markets and the broader macroeconomy. Less attention has been given to the effect on banks’ balance sheets and bank lending. In this paper we use a new non-publicly available panel data set of UK banks to address this question. Based on the historical bank-level relationship between deposits and bank lending, our analysis suggests that the first round of the Bank’s QE purchases during 2009-10 may have led to a small but statistically significant increase in bank lending growth. These effects appear more important for small rather than large banks. Our evidence also suggests that QE had weaker effects on lending because of low levels of bank capital.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126014413","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 44
Personality Has Minor Effects on Panel Attrition 性格对小组减员的影响较小
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2014-08-01 DOI: 10.2139/ssrn.2493087
D. Richter, Denise Sassenroth, John L. Körtner
{"title":"Personality Has Minor Effects on Panel Attrition","authors":"D. Richter, Denise Sassenroth, John L. Körtner","doi":"10.2139/ssrn.2493087","DOIUrl":"https://doi.org/10.2139/ssrn.2493087","url":null,"abstract":"In light of the recent interest in using longitudinal panel data to study personality development, it is important to know if personality traits are related to panel attrition. We analyse the effects of personality on panel drop-out separately for an ‘older’ subsample (started in 1984), a relatively ‘young’ subsample (started in 2000), and a ‘new’ subsample (started in 2009) of the German Socio-Economic Panel (SOEP) study. We found that openness slightly decreases the probability of panel drop-out in all three samples. For the ‘older’ subsample only, we found a small negative effect of agreeableness on panel drop-out. We control for age, sex, education, migration background, and the number of inhabitants in the region of the respondents.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125913462","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 16
Mass Retail Sales Modeling with Price and Trade Investment 考虑价格和贸易投资的大众零售模型
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2014-03-12 DOI: 10.2139/ssrn.2408145
José Pinheiro, Elias Soukiazis
{"title":"Mass Retail Sales Modeling with Price and Trade Investment","authors":"José Pinheiro, Elias Soukiazis","doi":"10.2139/ssrn.2408145","DOIUrl":"https://doi.org/10.2139/ssrn.2408145","url":null,"abstract":"Several sales models for a consumer’s goods manufacturer firm are developed and tested. A panel data approach is used to model aggregate sales across three countries, using mainly price and trade investment. We show how useful can be different panel data models to understand sales across relatively heterogeneous markets, by comparing the fixed effects model, the IV model, and the dynamic panel data model. We also use a simultaneous equation framework to investigate further relations among the variables. The main conclusion is that price and trade investment are the main determinants explaining sales in this sector.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131969689","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Causal Evidence on Regular Internet Use and Stock Market Participation 经常使用互联网与股票市场参与的因果证据
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2013-12-23 DOI: 10.2139/ssrn.2021158
M. Glaser, Alexander Klos
{"title":"Causal Evidence on Regular Internet Use and Stock Market Participation","authors":"M. Glaser, Alexander Klos","doi":"10.2139/ssrn.2021158","DOIUrl":"https://doi.org/10.2139/ssrn.2021158","url":null,"abstract":"Stock market participation rates have been quite stable or even dropped over the last years although more households regularly use the Internet. This observation contradicts earlier scientific evidence that the advent of the Internet increased stock market participation rates. Based on representative data from household panel surveys and with the help of two instruments for Internet usage we show that the Internet indeed has a positive and causal effect on stock market participation. Additionally, we present a solution of the puzzling observation above by showing that the positive effect of Internet usage on stock market participation is driven by households with a high degree of financial literacy and new Internet adopters were financially illiterate on average in recent years.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127774264","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
A General Approach to Longitudinal Set-Theoretic Research in Management 管理学纵向集论研究的一般方法
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2013-10-30 DOI: 10.2139/ssrn.2347340
Roberto García-Castro, Miguel Angel Ariño
{"title":"A General Approach to Longitudinal Set-Theoretic Research in Management","authors":"Roberto García-Castro, Miguel Angel Ariño","doi":"10.2139/ssrn.2347340","DOIUrl":"https://doi.org/10.2139/ssrn.2347340","url":null,"abstract":"Management research based on general linear statistical models has been rapidly moving toward a greater and richer use of longitudinal (panel data) econometric methods able to cope with critical issues such as endogeneity and reverse causality. By contrast, set-theoretic empirical research in management, despite its growing diffusion, has been solely focused on cross-sectional analysis to date. This article covers this void in longitudinal set-theoretic research. We provide a general framework in which consistency and coverage can be assessed both cross-sectionally and across time. The suggested approach is based on the distinction between pooled, between and within consistency and coverage, which can be computed using panel data. We use KLD’s panel (1991-2005) to illustrate how this approach can be applied in the context of longitudinal research.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"138 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123218817","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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