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Full-Text Articles in Econometrics

Single-Firm Event Studies, Securities Fraud, And Financial Crisis: Problems Of Inference, Andrew Baker May 2016

Single-Firm Event Studies, Securities Fraud, And Financial Crisis: Problems Of Inference, Andrew Baker

Andrew Baker

Lawsuits brought pursuant to section 10(b) of the Securities and Exchange Actdepend on the reliability of a statistical tool called an event study to adjudicate issues ofreliance, materiality, loss causation, and damages. Although judicial acceptance of theevent study technique is pervasive, there has been little empirical analysis of the ability ofevent studies to produce reliable results when applied to a single company’s security.
Using data from the recent financial crisis, this Note demonstrates that the standardmodelevent study used in most court proceedings can lead to biased inferences sanctionedthrough the Daubert standard of admissibility for expert testimony. In particular, in thepresence …


Quantile Regression With Nonadditive Fixed Effects, David Powell Jan 2016

Quantile Regression With Nonadditive Fixed Effects, David Powell

David Powell

This paper introduces a quantile regression estimator for panel data (QRPD) with nonadditive fixed effects, maintaining the nonseparable disturbance term commonly associated with quantile estimation. QRPD estimates the impact of exogenous or endogenous treatment variables on the outcome distribution using ``within" variation in the treatment variables or instruments for identification purposes. Most quantile panel data estimators include additive fixed effects which separates the disturbance term and assumes the parameters vary based only on the time-varying components of the disturbance term. QRPD is consistent for small T and straightforward to implement. The nonadditive fixed effects are never estimated or even specified. …


Embアルゴリズムの新たな応用による多重比率補定(高橋将宜), Masayoshi Takahashi Sep 2015

Embアルゴリズムの新たな応用による多重比率補定(高橋将宜), Masayoshi Takahashi

Masayoshi Takahashi

No abstract provided.


Capital Stock Series Of The Mexican Regions, Vicente German-Soto Jun 2015

Capital Stock Series Of The Mexican Regions, Vicente German-Soto

Vicente German-Soto

Database of the physical capital stock series of the Mexican states industrial sector.


Does Labor Supply Respond To Transitory Income? Evidence From The Economic Stimulus Payments Of 2008, David Powell Jan 2015

Does Labor Supply Respond To Transitory Income? Evidence From The Economic Stimulus Payments Of 2008, David Powell

David Powell

Tax policy is often used to encourage consumer spending in recessions and a growing literature finds evidence that households increase short-term spending in response to receipt of tax rebates. The literature has largely ignored the effect on labor supply as rebates may crowd out labor earnings and households may consume additional leisure. The responsiveness of labor supply to transitory income has been underexplored more broadly so it is difficult to predict this labor supply effect. I exploit the randomized timing of the 2008 economic stimulus payments to study the effects of transitory income on monthly household labor earnings. Rebates can …


Updated Database Of Mexican States Gdp, Vicente German-Soto Jan 2015

Updated Database Of Mexican States Gdp, Vicente German-Soto

Vicente German-Soto

GDP Database of the Mexican States (1940-2013) at constant prices of 1993. They were estimated as in German-Soto (2005) for the 1940-1992 period. Between 1993 and 2006 they are official figures by INEGI: Sistema de Cuentas Nacionales. Since 2006 the base changed to 2008, therefore figures published in this database for 2007 to 2013 were estimated applying the rate of growth of the gross state product in base 2008 (of those years) on series at constant prices of 1993 since 2006. As a result, we have a homogenous database for the period 1940-2013 in prices of 1993. A project to …


Modelling Course Ii, Bryane Michael Jan 2015

Modelling Course Ii, Bryane Michael

Bryane Michael (bryane.michael@stcatz.ox.ac.uk)

Second part of Post It notes for Modelling Course


A Multivariate Analysis Of The Causal Flow Between Renewable Energy Consumption And Gdp In Tunisia, Maamar Sebri, Ousama Ben-Salha Nov 2014

A Multivariate Analysis Of The Causal Flow Between Renewable Energy Consumption And Gdp In Tunisia, Maamar Sebri, Ousama Ben-Salha

Maamar Sebri

This paper examines the causality linkages between economic growth, renewable energy consumption, CO2 emissions and domestic investment in Tunisia between 1971 and 2010. Using the ARDL bounds testing approach to cointegration, long-run relationships between the variables are identified. On the other hand, the Granger causality analysis indicates that there is bi-directional causality between renewable energy consumption and economic growth, which supports the validity of the feedback hypothesis. In addition, the quantity of CO2 emissions collapses as a reaction to an increase in renewable energy consumption. These findings remain robust even when controlling for the presence of structural break. We conclude …


Between A Rock And A Hard Place -- Kazakhstan’S Approach To Foreign Investment Law And Policy, Hina Manzoor Aug 2014

Between A Rock And A Hard Place -- Kazakhstan’S Approach To Foreign Investment Law And Policy, Hina Manzoor

hina manzoor

Similar to other International Investment Agreements, Preferential Trade Agreements and Bilateral Investment Treaties are increasing more rapidly. Despite the increasing number of BITs, there is no such evidence that shows the impact of BITs on FDI of such a developing country as Kazakhstan. The main purpose of this study is provide the impact of Bilateral Investment Treaties on Foreign Direct Investment flows of Kazakhstan. To narrow the gap, I build up BITsel Index based on the methodology raised by Chaisse and Bellak (2011) for 19 BITs for Kazakhstan. The impact is analyzed by two ways; using BITsel Index and by …


Curriculum Vitae, Ronald R. Kumar Jul 2014

Curriculum Vitae, Ronald R. Kumar

Ronald R Kumar

My updated CV


An Analysis Of The Linkage Between Inflation Rate, Foreign Debt, Unemployment And Economic Growth In Sudan, Yagoub Elryah Dr. Apr 2014

An Analysis Of The Linkage Between Inflation Rate, Foreign Debt, Unemployment And Economic Growth In Sudan, Yagoub Elryah Dr.

Yagoub Elryah (PhD)

After secession of South Sudan, Sudan economy was decline due to losing of oil revenue. The government introduced the austerity measures and fault to recover the economy. The inflation was risen, the unemployment increased among Sudanese. The aim of this article was to analyze the relationship between inflation, unemployment, external debt and economic growth in Sudan. We considered Unit root technique (Augmented Dickey – Fuller Test) to find out long run equilibrium among using time series between 1980 and 2013. We show that all two public debts and unemployment have a direct and significant influence on economic growth. It was …


Use Renewables To Be Cleaner: Meta-Analysis Of The Renewable Energy Consumption-Economic Growth Nexus, Maamar Sebri Jan 2014

Use Renewables To Be Cleaner: Meta-Analysis Of The Renewable Energy Consumption-Economic Growth Nexus, Maamar Sebri

Maamar Sebri

No abstract provided.


That Is The Story Of A Hurricane: Within Country Impacts Of Extreme Weather Events, Martino Pelli, Jeanne Tschopp Jan 2014

That Is The Story Of A Hurricane: Within Country Impacts Of Extreme Weather Events, Martino Pelli, Jeanne Tschopp

Martino Pelli

In this paper, we consider the within-country, across-product impacts of hurricanes on export growth. While hurricanes are thought to exert large costs in terms of development on countries who bare the brunt of such events, there is little consensus on the literature to back up these claims. We argue that one reason for this is that the existing literature fails to take into account the potential for hurricanes to have differential impacts across products (or industries). We show that one important source of heterogeneity is a country’s comparative advantage and demonstrate, using a triple-difference identification strategy, that product lines with …


Cointegration Testing Under Structural Change: Reducing Size Distortions And Improving Power Of Residual Based Tests, Marco Morales Jan 2014

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

Marco Morales

No abstract provided.


Foreign Shocks On Chilean Financial Markets: Spillovers And Comovements Between Bond And Equity Markets, Marco Morales Jan 2014

Foreign Shocks On Chilean Financial Markets: Spillovers And Comovements Between Bond And Equity Markets, Marco Morales

Marco Morales

No abstract provided.


Cartel Detection And Collusion Screening: An Empirical Analysis Of The London Metal Exchange, Danilo Samà Jan 2014

Cartel Detection And Collusion Screening: An Empirical Analysis Of The London Metal Exchange, Danilo Samà

Dr. Danilo Samà

Cartel detection and collusion screening: an empirical analysis of the London Metal Exchange
Author:Dr Danilo Samà (LUISS “Guido Carli” University, Law & Economics LAB)
Abstract:In order to fight collusive behaviors, the best scenario for competition authorities would be the possibility to analyze detailed information on firms’ costs and prices, being the price-cost margin a robust indicator of market power. However, information on firms’ costs is rarely available. In this context, a fascinating technique to detect data manipulation and rigged prices is offered by an odd phenomenon called Benford’s law, otherwise known as First-digit law, which has been successfully …


Essays On Economic Analysis Of Competition Law: Theory And Practice (Ph.D. Dissertation Defence), Dr. Danilo Samà Jan 2014

Essays On Economic Analysis Of Competition Law: Theory And Practice (Ph.D. Dissertation Defence), Dr. Danilo Samà

Dr. Danilo Samà

Essays on economic analysis of competition law: theory and practice
Author:Dr Danilo Samà (LUISS “Guido Carli” University, Law & Economics LAB)
Abstract:The Ph.D. dissertation, submitted to LUISS “Guido Carli” University of Rome in fulfillment of the requirements for the Degree of Doctor of Philosophy in Economic Analysis of Competition Law (XXV cicle), is the result of a scientific research in the field of the economic analysis of competition law developed through academic experiences at the Erasmus Rotterdam University in the Netherlands, the Ghent University in Belgium, the University of Hamburg in Germany and the Toulouse School of Economics in …


Essays On Economic Analysis Of Competition Law: Theory And Practice, Danilo Samà Jan 2014

Essays On Economic Analysis Of Competition Law: Theory And Practice, Danilo Samà

Dr. Danilo Samà

Essays on economic analysis of competition law: theory and practice
Author:Dr Danilo Samà (LUISS “Guido Carli” University, Law & Economics LAB)
Abstract:The Ph.D. dissertation, submitted to LUISS “Guido Carli” University of Rome in fulfillment of the requirements for the Degree of Doctor of Philosophy in Economic Analysis of Competition Law (XXV cicle), is the result of a scientific research in the field of the economic analysis of competition law developed through academic experiences at the Erasmus Rotterdam University in the Netherlands, the Ghent University in Belgium, the University of Hamburg in Germany and the Toulouse School of Economics …


A Multivariate Analysis Of The Causal Flow Between Renewable Energy Consumption And Gdp In Tunisia, Maamar Sebri, Ousama Ben Salha Dec 2013

A Multivariate Analysis Of The Causal Flow Between Renewable Energy Consumption And Gdp In Tunisia, Maamar Sebri, Ousama Ben Salha

Maamar Sebri

No abstract provided.


On The Causal Dynamics Between Economic Growth, Renewable Energy Consumption, Co2 Emissions And Trade Openness: Fresh Evidence From Brics Countries, Maamar Sebri Dec 2013

On The Causal Dynamics Between Economic Growth, Renewable Energy Consumption, Co2 Emissions And Trade Openness: Fresh Evidence From Brics Countries, Maamar Sebri

Maamar Sebri

The current study investigates the causal relationship between economic growth and renewable energy consumption in the BRICS countries over the period 1971–2010 within a multivariate framework. The ARDL bounds testing approach to cointegration and vector error correction model (VECM) are used to examine the long-run and causal relationships between economic growth, renewable energy consumption, trade openness and carbon dioxide emissions. Empirical evidence shows that, based on the ARDL estimates, there exist long-run equilibrium relationships among the competing variables. Regarding the VECM results, bi-directional Granger causality exists between economic growth and renewable energy consumption, suggesting the feedback hypothesis, which can explain …


Supplementary Material To "Age Effects, Unobserved Characteristics And Hedonic Price Indexes: The Spanish Car Market In The 1990'S", Xosé-Luís Varela-Irimia Dec 2013

Supplementary Material To "Age Effects, Unobserved Characteristics And Hedonic Price Indexes: The Spanish Car Market In The 1990'S", Xosé-Luís Varela-Irimia

Xosé-Luís Varela-Irimia

This supplement presents all the results of the paper "Age effects, unobserved characteristics and hedonic price indexes: The Spanish car market in the 1990's".


A Smooth Transition Sem Approach To Measure Contagion In International Markets\, Anjeza Kadilli, Jaya Krishnakumar Oct 2013

A Smooth Transition Sem Approach To Measure Contagion In International Markets\, Anjeza Kadilli, Jaya Krishnakumar

Anjeza Kadilli

There is extensive empirical evidence that market linkages strengthen during crises. Understanding market contagion can be of great importance for policy and portfolio diversification decisions, especially during the recent turmoil periods. The aim of this paper is to investigate in an asset-pricing perspective the cross-asset and the cross-country contagion in the sovereign Credit Default Swap market and in the banking sector for the euro area, U.S., U.K. and Switzerland. Based on the nonlinear Simultaneous Equation Model of Pesaran and Pick (2007) we formulate a more flexible setting in which the contagion effect is transmitted in a smooth manner. Our model …


A Note On Dummies For Policies In Gravity Models: A Montecarlo Experiment, Claudio Vicarelli, Maria Pina Cipollina, Luca Salvatici, Luca De Benedictis Sep 2013

A Note On Dummies For Policies In Gravity Models: A Montecarlo Experiment, Claudio Vicarelli, Maria Pina Cipollina, Luca Salvatici, Luca De Benedictis

Claudio Vicarelli

The use of the gravity model to evaluate the effect of policies in a cross-country framework is largely predominant in the international economics empirical literature. This literature usually implements importer and exporter fixed effects to account for the theoretical Multilateral Trade Resistances, while preferential trade policies are approximated through the use of dummy variables. Results from a Monte Carlo experiment confirms that the identification of trade policy impact using a gravity equation including fixed effects is severely limited. Moreover, the consequences of the error in measurement of the policy variable are magnified by the fixed effects control for unobserved heterogeneity.


Especialización Industrial Y Crecimiento Urbano En México, Isaac L. Sánchez-Juárez, Rosa M. García-Almada Sep 2013

Especialización Industrial Y Crecimiento Urbano En México, Isaac L. Sánchez-Juárez, Rosa M. García-Almada

Isaac Sánchez-Juárez

La temática abordada es la especialización industrial y el crecimiento urbano en México. Hacemos uso del análisis econométrico retrospectivo, esperando que el estudio del pasado ayude a entender lo que ocurre en el presente. Consideramos que la investigación que ponemos en sus manos puede ser de utilidad para aquellos investigadores ocupados en entender la reestructuración productiva del territorio mexicano, particularmente a partir de la operación del TLCAN.


Environmental In Services, Massimiliano Mazzanti Jul 2013

Environmental In Services, Massimiliano Mazzanti

Massimiliano Mazzanti

No abstract provided.


Exito Económico Y Volatilidad ¿Existen Los Almuerzos Gratis?, Francisco Carlos Ruiz Diaz Jun 2013

Exito Económico Y Volatilidad ¿Existen Los Almuerzos Gratis?, Francisco Carlos Ruiz Diaz

Francisco Carlos Ruiz Diaz

El crecimiento sostenido es factible, pero debe sustentarse en el sacrificio social (ahorro para promover la acumulación de capital físico, humano e innovaciones). No existen los milagros, ni los almuerzos gratis. Para crecer sostenidamente se debe transpirar. Paraguay viene experimentando algunos años en que el PIB crece a tasas elevadas. Esto es porque el país ha comenzado a producir, a escala intensiva, bienes con fuerte demanda mundial y precios elevados. Estos productos son de origen agropecuarios y la venta al extranjero se da en estado natural o con escaso valor agregado. Este hecho transformó la dinámica productiva del país dado …


Overview And Guidance Documents For Public Health Pbrns, Glen P. Mays May 2013

Overview And Guidance Documents For Public Health Pbrns, Glen P. Mays

Glen Mays

This brief provides an inventory of guidance documents and tools for use in developing, implementing, and evaluating practice-based research networks (PBRNs) in public health settings.


The Value Of Public Health Financial Data, Glen P. Mays Apr 2013

The Value Of Public Health Financial Data, Glen P. Mays

Glen Mays

Effective policy and administrative decision-making in public health requires reliable information on the amount of resources invested in governmental public health programs and how these resouces are allocated and used across the U.S. public health system. This session examines current and potential uses of public health financial data in the U.S., and considers expanded roles for research in informing policy and administrative decisions.


Vital Statistics: The State Of The Public Health Pbrn Program, Glen Mays Apr 2013

Vital Statistics: The State Of The Public Health Pbrn Program, Glen Mays

Glen Mays

The Robert Wood Johnson Foundation's Public Health PBRN Program has continued to expand during the 2013 program year with new networks, new research projects, and expanded translation and dissemination initiatives. The program plays an increasingly powerful role in helping to transform the U.S. public health enterprise into a rapid-learning system for health improvement.


Testing Integrated Primary Care And Public Health Models For Prevention Delivery, Glen Mays Apr 2013

Testing Integrated Primary Care And Public Health Models For Prevention Delivery, Glen Mays

Glen Mays

Improving the delivery of evidence-tested prevention interventions to populations at greatest risk requires strong coordination between primary care providers and public health organizations. This presentation reviews current research on models for integrated delivery of primary care and public health services, and identifies emerging research needs and opportunities. Of particular interest are the roles that practice-based research networks (PBRNs) can play in building this evidence.