ERN: Panel Data Models (Multiple) (Topic)最新文献

{"title":"Residual-Based Rank Specification Tests for AR-GARCH Type Models","authors":"Elena Andreou, B. Werker","doi":"10.2139/ssrn.2295906","DOIUrl":"https://doi.org/10.2139/ssrn.2295906","url":null,"abstract":"This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. For these tests we show that, generally, no size correction is needed in the asymptotic test distribution when applied to AR-GARCH type residuals obtained through QMLE estimation. To be precise, we give exact expressions for the limiting null distribution of the test statistics applied to residuals, and find that standard critical values often lead to conservative tests. For this result, we give simple sufficient conditions. Simulations show that our asymptotic approximations work well for a large number of AR-GARCH models and parameter values. We also show that the rank-based tests often, though not always, have superior power properties over the classical tests, even if they are conservative. We thereby provide a useful extension to the econometrician's toolkit. An empirical application illustrates the relevance of these tests to the AR-GARCH models for the weekly stock market return indices of some major and emerging countries.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123835149","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}

{"title":"Messung von Ausmaß, Intensität und Konzentration des Einkommens-und Vermögensreichtums in Deutschland (Measuring the Extent, Intensity and Concentration at the Upper Edge of the Income and Wealth Distribution in Germany)","authors":"M. Rosemann, Anita Tiefensee","doi":"10.2139/ssrn.2416732","DOIUrl":"https://doi.org/10.2139/ssrn.2416732","url":null,"abstract":"German abstract: In diesem Beitrag wird der obere Rand der Einkommens-und Vermogensverteilung in Deutschland mit Daten des Sozio‐oekonomischen Panels (SOEP) analysiert. In Anlehnung an das von Sen (1976) fur die Armutsmessung vorgeschlagene Vorgehen werden zunachst unterschiedliche Schwellenwerte definiert, oberhalb derer eine Person zum reichen Teil der Gesellschaft gehort. Anschliesend wird untersucht, wie viele Menschen uber diesen Schwellen liegen (Ausmas), uber wie viel Einkommen oder Vermogen diese im Durchschnitt verfugen (Intensitat) und wie diese finanziellen Mittel zwischen den reichen Personen verteilt sind (Konzentration). Eine simultane Analyse von Ausmas, Intensitat und Konzentration ermoglicht ein breites Verstandnis des oberen Rands der Einkommens- und Vermogensverteilung sowie dessen Dynamik. Zum Beispiel ergeben die Untersuchungen, dass im Vergleich zum Durchschnitt in Deutschland Beamte sowohl beim Einkommen als auch beim Vermogen ein hohes Ausmas, aber eine geringe Intensitat aufweisen. Zudem sind ihre finanziellen Ressourcen weniger konzentriert als im deutschen Durchschnitt.English Abstract: In this paper we analyze the upper edge of income and wealth distribution in Germany with data from the German Socio-Economic Panel (SOEP). According to Sen's (1976) recommendation for the poverty measurement, we first define different thresholds above which a person belongs to the rich part of society. Then we examine how many people are above these thresholds (extent), how much income or wealth they have on average (intensity), and how these financial resources are distributed among the rich persons (concentration). Analyzing extent, intensity and concentration simultaneously gives a broader understanding of the dynamics of the upper edge of income and wealth distribution. For example, we find that in comparison to the average in Germany, civil servants are more often above the defined thresholds but receive on average less income and own less wealth. In addition, their financial resources are less concentrated then the German average.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127801124","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}

{"title":"Trade, Diaspora and Migration to New Zealand","authors":"David Law, Murat Genç, John R. Bryant","doi":"10.1111/twec.12035","DOIUrl":"https://doi.org/10.1111/twec.12035","url":null,"abstract":"NZIER has always had a strong interest in understanding the way in which the New Zealand economy interacts with the rest of the world. We have a long history of producing research into trade liberalisation and globalisation. As the global economy becomes ever more complex, we are now turning our attention to issues such as services, investment, technology transfer and the role of people movement in promoting economic growth and productivity. NZIER is delighted to continue this tradition by funding this important and innovative piece of research by David Law, Murat Gen and John Bryant into the links between trade flows and the movement of people across borders. This research was funded by NZIER in celebration of our 50th Anniversary in 2008. During this very challenging period for the global economy, there has been a tendency for policy makers to implement inwards-focused policies aimed to protecting domestic jobs and promoting domestic economic activity. Such policies are politically popular, but can be economically inefficient and often come at the expense of deeper economic integration between countries. One particularly topical area of policy discussion is the role of immigration in promoting economic growth. New Zealand has long been reliant on immigration to boost its population and to fill gaps in the labour market. And many Kiwis love to travel overseas to gain life and work experience. Given these continual inflows and outflows, it is interesting to consider how people movements might affect the New Zealands exports and imports of goods and services, and thus how immigration policy might be used as a policy lever to boost our international linkages. The paper uses empirical techniques to investigate the links between trade, migration and New Zealands diaspora. It clearly shows that inwards and outwards migration has a positive effect on goods and tourism trade. This suggests that policy makers could design immigration policy with these links in mind in order to maximise the economic potential of migrants. If trade follows migration flows, then an important avenue for boosting New Zealands integration with the global economy may be encouraging migrants from important trading partners.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115821650","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}

{"title":"The Impact of Housing Markets on Consumer Debt: Credit Report Evidence from 1999 to 2012","authors":"Meta S. Brown, Sarah Stein, basit. zafar","doi":"10.2139/ssrn.2266545","DOIUrl":"https://doi.org/10.2139/ssrn.2266545","url":null,"abstract":"We investigate the impact of large swings in the housing market on nonmortgage borrowing, including student, credit card, auto, and home equity debts. For this purpose, we use CoreLogic geographic house price variation, matched with rich data on consumer liabilities from the Equifax-sourced FRBNY Consumer Credit Panel. The length and timing of our panel allow us to study the consumer debt portfolio response to house price changes during a boom-and-bust cycle of historic magnitude as well as during more ordinary times. In first-differenced instrumental variables estimation, we find that during 1999-2001, homeowners substituted out of nonhousing (largely credit card) debt and into home equity-based debt at a nearly dollar-for-dollar rate in response to house price increases. During the housing boom of 2002-06, however, homeowners abandoned the practice of substituting into less costly debt as equity grew, and instead increased obligations across the board. From 2007-12, sample homeowners experienced a 23 percent average house price decline, and withdrew from home equity debt without adding to non-housing debt. We observe substantial heterogeneity in this pattern: Substitution in both 1999-2001 and 2007-12 ranges from 50 cents to more than dollar-for-dollar for older and prime borrowers, while the decidedly nonprime borrow more modestly, show less evidence of substitution, and shed large amounts of all types of debt from 2007-12. Finally, difference-in-differences and FD-IV estimates are consistent with both 1) a 2012 relative debt overhang of at least $1,800 on average, despite little remaining home equity advantage, for homeowners who experienced a more pronounced boom-and-bust cycle and 2) little substitution out of home equity debt into student loans in response to recent house price declines.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122437105","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}

{"title":"Migrants’ Remittances and Financial Development: Macro‐ and Micro‐Level Evidence of a Perverse Relationship","authors":"Richard P.C. Brown, F. Carmignani, G. Fayad","doi":"10.1111/twec.12016","DOIUrl":"https://doi.org/10.1111/twec.12016","url":null,"abstract":"Financial development and financial literacy in developing countries are commonly identified as important conditions for attaining higher rates of investment and economic growth. It has also been argued that migrants’ remittances stimulate financial development in the receiving economy, contributing indirectly to economic growth. Past research has been based almost exclusively on the macro-level relationship between remittances and financial depth. To explore this relationship further, we combine macroeconomic analysis using a cross-country panel dataset with micro-level analysis of households’ uses of financial sector services. From the macroeconomic analysis we find evidence of a negative relationship between remittances and financial deepening in developing countries, once we control for the countries’ legal origin. At the microeconomic level we use household survey data from a recent study of migrants’ remittances in two transition economies, resource rich and relatively more financially developed Azerbaijan, and Kyrgyzstan, to test the relationship between remittances and financial literacy among remittance-receiving households. While we find some supportive evidence, albeit weak, for Kyrgyzstan, in Azerbaijan, the relatively more financially-developed economy, we uncover a strong perverse relationship. Remittances appear to deter the use of formal banking services. Possible reasons are explored and areas for further investigation identified.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126825658","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}

{"title":"The Brazilian Electoral Panel Studies (Beps): Brazilian Public Opinion in the 2010 Presidential Elections","authors":"B. Ames, Fabiana Machado, Lucio R. Rennó, David J. Samuels, A. Smith, Cesar Zucco","doi":"10.2139/SSRN.2330160","DOIUrl":"https://doi.org/10.2139/SSRN.2330160","url":null,"abstract":"This report presents sample characteristics and summary statistics from the Brazilian Electoral Panel Study (BEPS) project. The survey, composed of three waves, was conducted in Brazil in 2010, a presidential election year, and is composed of 4,611 interviews with 2,669 voting-age Brazilians.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123369734","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}

{"title":"How Costly is Exporting: An Empirical Assessment of Trade Model with Heterogeneous Firms?","authors":"N. Volchkova","doi":"10.2139/ssrn.2243135","DOIUrl":"https://doi.org/10.2139/ssrn.2243135","url":null,"abstract":"Foreign market access cost, explored by Melitz (2003) in the heterogeneous firm model of international trade, is one of the essential assumptions that ensure a nice fit of model results to stylized facts. Selection of more productive firms into exporters is guaranteed by the ex‐ cess of export fixed costs, adjusted for variable trade costs, over fixed costs of production. While there is empirical evidence on export cost structure at the level of firms, there has been no evaluation of the overall size of these costs. This paper aims at filling the gap. First, the model of Melitz (2003) is extended to allow asymmetries between trading countries. Then, the parametric relation between aggregated economic parameters is derived, which allows estimating the ratio of fixed costs. Then the relation is estimated empirically for the universe of Russian firms from 2014 to 2019, and results indicate that the foreign market access costs are comparable to the fixed cost of production in this setting. These findings provide evidence of the empirical relevance of the partitioning condition.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127688264","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}

{"title":"Some Important Factors that Determine Market Capitalization: A Panel Data Analysis for the Industrialized World","authors":"M. Georgiou","doi":"10.2139/ssrn.2211893","DOIUrl":"https://doi.org/10.2139/ssrn.2211893","url":null,"abstract":"In the present paper an empirical analysis will point out that in the industrialized world Government Debt as a percentage of GDP has a negative impact on Market Value as a percentage of GDP, while FDI has a positive impact on Market Value as a percentage of GDP, and finally GDP growth does not matter. Data are taken from World Bank. The elaboration of these panel data is made feasible by means of the Eviews software package. Present paper in a combination of author’s previous papers.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"129 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131701718","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}

{"title":"The Effect of ESCOs on Energy Use","authors":"W. Fang, S. Miller, Chih-Chuan Yeh","doi":"10.2139/ssrn.2138975","DOIUrl":"https://doi.org/10.2139/ssrn.2138975","url":null,"abstract":"Energy saving can importantly help prevent greenhouse gas emissions and, thus, climate change. Energy service companies (ESCOs) provide a crucial instrument for delivering improved energy efficiency and potentially contributing to substantial energy savings in the public and private sectors. This paper investigates empirically the effect of ESCO activities on energy use. Based on a dynamic IPAT model, using a panel data of 94 countries over the period 1981 to 2007, we provide significant evidence that ESCOs reduce energy use. This finding proves robust to different dates of the first ESCO. The negative ESCO effect increases over time. The dynamic adjustment process produces small effects in the short run, but large effects in the long run. Moreover, the long-run ESCO effect differs across the stages of development. That is, for the high- and low-income countries, the short-run ESCO effect remains negative, but the long-run effects differ, remaining negative in high-income countries, but becoming positive in low-income countries. Finally, we discuss energy policy implications.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133375012","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}

{"title":"Panel Conditioning and Self-Reported Satisfaction: Evidence from International Panel Data and Repeated Cross-Sections","authors":"B. van Landeghem","doi":"10.2139/ssrn.2146594","DOIUrl":"https://doi.org/10.2139/ssrn.2146594","url":null,"abstract":"Using data from three European countries, this paper investigates whether self-reported satisfaction data are subject to panel conditioning or a panel effect, that is, whether answers depend on whether one has previously participated in the panel. The analysis proposes a way to account for panel attrition in cases where the attrition rate is substantial, and finds international evidence for a negative panel effect. This result can be of importance e.g. in the current debate on trends in life satisfaction over time), and might stimulate further research into panel conditioning for other economic data gathered via household surveys.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"177 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124227748","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}