Digital Commons Network^™

Asimmetria Del Rischio Sistematico Dei Titolo Immobiliari Americani: Nuove Evidenze Econometriche, Paola De Santis, Carlo Drago

Carlo Drago

In questo lavoro riscontriamo un aumento del rischio sistematico dei titoli del mercato immobiliare americano nell’anno 2007 seguito da un ritorno ai valori iniziali nell’anno 2009 e si evidenzia la possibile presenza di break strutturali. Per valutare il suddetto rischio sistematico è stato scelto il modello a tre fattori di Fama e French ed è stata studiata la relazione tra l’extra rendimento dell’indice REIT, utilizzato come proxy dell’andamento dei titoli immobiliari americani, e l’extra rendimento dell’indice S&P500 rappresentativo del rendimento del portafoglio di mercato. I risultati confermano la presenza di un “Asymmetric REIT Beta Puzzle” coerentemente con alcuni precedenti studi …

Cointegration Testing Under Structural Change: Reducing Size Distortions And Improving Power Of Residual Based Tests, Marco Morales

Marco Morales

No abstract provided.

Spread And Backwash Effects For Non-Metropolitan Communities In The U.S., Joanna Ganning, Kathy Baylis, Bumsoo Lee

Kathy Baylis

Few studies empirically estimate the effects of metropolitan growth on non-metropolitan communities at a national scale. This paper estimates the growth effects of 276 MSAs on population in 1,988 non-metropolitan communities in the United States from 2000-2007. We estimate the distance for growth spillovers from MSAs to non-metropolitan communities and test the assumption that a single MSA influences growth. We compare three methods of weighting cities’ influence: nearest city only, inverse-distance and relative commuting flow to multiple cities. We find the inverse-distance approach provides slightly more reliable and theoretically supportable results than the traditional nearest city approach.

Estimating The Narcotic Effect Of Public Sector Impasse Procedures, Richard J. Butler, Ronald G. Ehrenberg

Ronald G. Ehrenberg

This paper first describes in a relatively nontechnical fashion several econometric techniques that the authors believe should be useful to industrial relations researchers. Those techniques are then applied to an analysis of whether public sector impasse procedures create a "narcotic effect," that is, a tendency for the bargaining parties, once they use the procedures, to become increasingly reliant on them in future negotiations. The authors reanalyze data from Thomas Kochan and Joan Baderschneider’s study of the impasse experience of police and firefighters under New York State’s Taylor Law during the 1968-76 period and find that while a narcotic effect did …

Income Inequality And Economic Incentives: Is There An Equity-Efficiency Tradeoff?, Lonnie K. Stevans

Lonnie K. Stevans

What is the basis and direction of relationship between income inequality and economic growth? The equity versus efficiency dictum which predicts a positive relationship between inequality, capital formation, and real GDP growth—emphasizes the importance of economic incentives. Subsequently, this was challenged by the incomplete markets and political outcomes theories, because of increasing empirical evidence of an inverse relationship between income inequality and economic growth. In this paper, a further explanation of the basis and nature of the inequality–capital–growth relationship is presented, which emphasizes the divergence between savings and investment. For the United States, over the period 1970–2006, we have found …

Panel Count Data Analysis Of Determinants Of Cigarette Smoking: Evidence From British Household Panel Survey, 2001-2009,, Muhammad Anees

Muhammad Anees

Count Datasets contain relatively larger number of realizations of nonnegative integer-valued random variable. The nature necessitates application of regression models based on binomial probability distributions including Poisson, Zero-Inflated Poisson or Zero-Inflated Negative Binomial distributions to infer valid predictions. This paper will use micro-dataset from the British Household Panel Survey (Abbreviated and Well-known as BHPS) to identify factors determining the participation decisions to smoke at the individual level. It is evident from the results that the educated and married person’s participation to smoke is lower than the participation of divorced and separated individuals. Congruent participation to smoke of unemployed or newly …

Correlates Of Economic Growth In Developing Countries: A Panel Cointegration Approach, Lonnie K. Stevans, James P. Neelankavil, Francisco L. Roman

Lonnie K. Stevans

The inflow of foreign direct investment (FDI) has been found to play a crucial role in the economic growth of receiving countries. Using panel cointegration techniques, this perception was found to be mitigated by an empirical approach that yields different results from previous studies. While the growth in real FDI has an influence on real GDP growth across developing countries in the short-run, year-to-year periods, it does not explain real GDP in the long-run. Rather, it appears to be the economic factors internal to a country that have the most influence on real GDP over time: human capital (measured by …

Regression Anatomy, Revealed, Valerio Filoso

Valerio Filoso

The Regression Anatomy (RA) theorem (Angrist and Pischke 2009) is an alternative formulation of the Frisch-Waugh-Lovell (FWL) theorem (Frisch and Waugh 1933; Lovell 1963), a key finding in the algebra of OLS multiple regression models. In this paper, we present a command, reganat, to implement graphically the method of RA. This addition complements the built-in Stata command avplot in the validation of linear models, producing bidimensional scatterplots and regression lines obtained controlling for the other covariates, along with sev- eral fine-tuning options. Moreover, the article provides (1) a fully worked-out proof of the RA theorem and (2) an explanation of …

On The Measurement Of Total Factor Productivity: A Latent Variable Approach, Marco Morales, Rodrigo Fuentes

Marco Morales

No abstract provided.

Transmisión De Shocks Y Acoplamiento Con Mercados Accionarios Externos: Efectos Asimétricos Y Quiebre Estructural, Marco Morales, Maria Jose Melendez, Guillermo Yáñez

Marco Morales

No abstract provided.

Men In Black: The Impact Of New Contracts On Football Referees’ Performances, Babatunde Buraimo, Alex Bryson, Rob Simmons

Dr Babatunde Buraimo

No abstract provided.

Effects Of Globalization In Welfare, Philadelphia University

Philadelphia University, Jordan

No abstract provided.

Participation And Engagement In Sport: A Double Hurdle Approach For The United Kingdom, Babatunde Buraimo, Brad Humphreys, Rob Simmons

Dr Babatunde Buraimo

This paper uses pooled cross-section data from four waves of the United Kingdom’s Taking Part Survey, 2005 to 2009, in order to investigate determinants of probability of participation and levels of engagement in sports. The two rival modelling approaches considered here are the double-hurdle approach and the Heckman sample selection model. The Heckman model proves to be deficient in several key respects. The double-hurdle approach offers more reliable estimates than the Heckman sample selection model, at least for this particular survey. The distinction is more than just statistical nuance as there are substantive differences in qualitative results from the two …

Lag Order Selection For An Optimal Autoregressive Covariance Matrix Estimator, Marco Morales

Marco Morales

No abstract provided.

The Real Yield Curve And Macroeconomic Factors In The Chilean Economy, Marco Morales

Marco Morales

No abstract provided.

Econometric Studies Of Higher Education, Ronald G. Ehrenberg

Ronald G. Ehrenberg

[Excerpt] The economics of higher education goes back at least to Adam Smith, who suggested over 200 years ago in the Wealth of Nations that professors should get paid based upon the number of students enrolled in their classes. The econometrics of higher education is of much more recent vintage and emerged from the development of human capital theory and the efforts to estimate rates of return to education in the 1960s and 1970s. In the sections that follow, I survey the various strands of the literature on the econometrics of higher education that have developed during the last 40 …

The Relationship Between Poverty And Economic Growth Revisited, Lonnie K. Stevans, David N. Sessions

Lonnie K. Stevans

It has been shown in prior research that increased economic growth reduces poverty. Authors have also found that the effect of growth in GDP on poverty growth has either diminished or remained unchanged over time and the 1980s economic expansion in the U.S. had no affect on poverty. Using a formal error-correction model, we find that increases in economic growth are significantly related to reductions in the poverty rate for all families. Specifically, GDP growth was found to have a more pronounced effect on poverty during the expansionary periods of the 1960s, 1970s, 1980s, 1990s, and 2000s. Other findings include …

Gone In 60 Seconds: The Absorption Of News In A High-Frequency Betting Market, Babatunde Buraimo, David Peel, Rob Simmons

Dr Babatunde Buraimo

This paper tests for efficiency in a betting market that offers high-frequency data, the Betfair betting exchange for wagering on outcomes of English Premier League soccer matches. We find clear evidence of rapid adjustment of prices to large disturbances (news). Full adjustment takes place within a one minute interval after the news. This suggests that this particular wagering market is not just efficient at pre-match prices but is also efficient in the face of events within games.

An Empirical Analysis Of The Annuity Rate In Chile, Marco Morales, Roberto Rocha, Craig Thorburn

Marco Morales

No abstract provided.

Heckman’S Selection Model, Endogenous And Exogenous Switching Models, A Survey, Laure C. Dutoit

Laure C Dutoit

The purpose of this paper is to explore switching-regression and selection models and to compare their use in econometric practice. We show how they can be described through a common framework highlighting their differences and similarities. We also present the estimation methods currently available to the practitioner in each case. We finally show that there are unambiguous econometric differences between the three frameworks and that they cannot be substituted for each other, except under strict conditions.

An Analysis Of Money's Worth Ratios In Chile, Marco Morales, Roberto Rocha, Craig Thorburn

Marco Morales

No abstract provided.

Unit Roots And Cointegration, Lonnie K. Stevans

Lonnie K. Stevans

No abstract provided.

Investigating Omitted Variable Bias In Regression Parameter Estimation: A Genetic Algorithm Approach, Lonnie K. Stevans, David N. Sessions

Lonnie K. Stevans

Bias in regression estimates resulting from the omission of a correlated relevant variable is a well known phenomenon. In this study, we apply a genetic algorithm to estimate the missing variable and, using that estimated variable, demonstrate that significant bias in regression estimates can be substantially corrected with relatively high confidence in effective models. Our interest is restricted to the case of a missing binary indicator variable and the analytical properties of bias and MSE dominance of the resulting dependent error generated vector process. These findings are compared to prior results for the independent error proxy process. Simulations are run …

Aggregate Consumption Spending, The Stock Market, And Asymmetric Error Correction, Lonnie K. Stevans

Lonnie K. Stevans

In this study, we show how changes in wealth resulting from unanticipated changes in the value of equity holdings begin a process whereby households alter consumption growth in order to close the gap between actual and target spending. Because of changing uncertainty or equity price volatility over the stock market cycle, we found the time path of this adjustment to exhibit near random walk behavior during stock market downturns. Conversely, during “boom” periods, e.g. when the value of equities held by households was greater than the threshold, the growth in consumer spending was quick to eliminate the disparity between actual …

Myopia Of Health-Care Reform Using Business Models, Macinnes Kenneth, Vivian C. Mcalister

Vivian C. McAlister

Background: Health-care institutions have looked to business for models to respond to the requirement for reform. This has changed the perspective of institutions that were founded on charitable principles, and managed with liberal employment policies and deficit budgeting. Using lesions from supply-side management, hospitals are fragmenting into independent programs with demands to balance budgets regardless of the source of cost.

Methods: Costs from the institution’s perspective are compared with those of the payer (province) using an example of a proposal to reduce costs in the surgical program by buying disposable drapes.

Results: The actual cost of disposable drapes bought from …

The Impact Of Omitting Promotion Variables On Simulation Experiments, David A. Weiskopf

David A Weiskopf

No abstract provided.

Pages Per Term In The United States Reports And Converting Supreme Court Citations To Term Announced: A Statistical Research Tool, Donald J. Kochan

Donald J. Kochan

This short article presents a valuable statistical research tool for those involved in analysis of U.S. Supreme Court opinions. Researchers are made available the data regarding the number of pages that the Supreme Court has written each term and provides an easier basis for identifying this page count with the term announced, which is not otherwise immediately evident from the volume number of the U.S. Reports.