Nonresponse in dynamic panel data models

To verify whether data are missing at random (MAR) we need to observe the missing data. There are only two exceptions: when the relationship between the probability of responding and the missing variables is either imposed by introducing untestable assumptions or recovered using additional data sources. In this paper, we briefly review the estimation and test procedures for selectivity in panel data. Furthermore, by extending the MAR definition from a static setting to the case of dynamic panel data models, we prove that some tests for selectivity are not verifying the MAR condition.     

Empirical analysis of the impact of cigarette excise taxes on cigarette consumption: estimates from recent state-level data

The adverse health effects from cigarette smoking account for an estimated 443,000 deaths annually in the U.S. Given this circumstance, this study has two objectives. First, it uses a state-level panel data set for a recent time frame to investigate the impact of federal plus state cigarette excise taxes (along with a variety of other factors) on the aggregate consumption of cigarettes. The study adopts a state-level panel data series spanning the period 2002 through 2007, which is the most recent panel for which data for all of the variables are available. Consistent with a number of previous studies, the PLS estimates in this study find that the higher the cigarette excise tax, the lower the aggregate volume of cigarettes consumed. Of course, this outcome does not address the practical problem of the substitution of high nicotine cigarettes for low nicotine cigarettes in the presence of a significant cigarette tax hike. This circumstance leads to the second objective of this study, namely, to propose a general template for a different kind of cigarette excise tax, one that is tied directly to each cigarette brand’s nicotine and tar content.     

The role of fixed capital depreciations for TFP growth: evidence from firm level panel data estimates

The role of accounting depreciation rates and the stocks of fixed capital has been well established in the literature. By exploring available evidence on the value of fixed assets in certain countries, this paper makes use of firm level data on fixed capital depreciations over the period 1990–2008 from a group of OECD countries along with panel data estimations to investigate their role for total factor productivity (TFP) as it is defined through growth accounting, since different capital depreciation profiles imply different rates of capital accumulation and, therefore, different estimates of TFP. The empirical results indicate a positive relationship between the two variables under study.     

The optimal consumption function in a Brownian model of accumulation Part A: The consumption function as solution of a boundary value problem

We consider a neo-classical model of optimal economic growth with c.r.r.a. utility in which the traditional deterministic trends representing population growth, technological progress, depreciation and impatience are replaced by Brownian motions with drift. When transformed to ‘intensive’ units, this is equivalent to a stochastic model of optimal saving with diminishing returns to capital. For the intensive model, we give sufficient conditions for optimality of a consumption plan (open-loop control) comprising a finite welfare condition, a martingale condition for shadow prices and a transversality condition as t→∞. We then replace these by conditions for optimality of a plan generated by a consumption function (closed-loop control), i.e. a function expressing log-consumption as a time-invariant, deterministic function of log-capital . Making use of the exponential martingale formula we replace the martingale condition by a non-linear, non-autonomous second-order o.d.e. which an optimal consumption function must satisfy; this has the form , where . Economic considerations suggest certain limiting values which and should satisfy as , thus defining a two-point boundary value problem (b.v.p.) — or rather, a family of problems, depending on the values of parameters. We prove two theorems showing that a consumption function which solves the appropriate b.v.p. generates an optimal plan. Proofs that a unique solution of each b.v.p. exists are given in a separate paper (Part B).     

The heterogeneous impact of taxation on economic development: New insights from a panel cointegration approach

In this paper, we study the role of taxation on long-run income performance. In the theoretical part of the study, we develop a stylized model based on Barro (1990), in which income taxation has two contradictory roles in the standard Solow (1956) setup: on the one hand, taxation appropriates resources that would otherwise be used for physical capital accumulation, and on the other, it is the source of government spending, which is used to support private production. In the empirical part of the study, the impact of consumption tax, personal income tax, corporate profit tax and property tax on income is estimated using the common correlated effects (CCE) panel cointegration approach, which allows for cross-sectional dependencies and provides both panel- and country-specific results. The panel findings for 30 OECD countries for the period of 1995–2016 indicate that only consumption tax has a statistically significant negative effect on long-run income. However, because the type and sign of the tax coefficients are heterogeneous for the country-specific results, we conclude that taxation has heterogeneous effects on income.     

Organized crime and public spending: a panel data analysis

The aim of this paper is to investigate, empirically, what components of public spending imply a decreasing effect on organized crime and what components create opportunities for organized crime, discussing also the role of government efficiency. Using a panel data analysis, the results show a strikingly consistent pattern for the EU Member States. Organized crime mainly operates in the distribution of government spending for local public goods and public provision of private services. There is a decreasing effect on organized crime of the public expenditure devoted to education and social policy. Government efficiency in public spending is beneficial to limit the opportunities of the organized crime.     

Political determinants of fiscal transparency: a panel data empirical investigation

The investigation of the determinants of fiscal transparency has been mostly performed on cross-sectional data, and it has produced mixed results. This paper improves the existing literature by performing a static and dynamic panel analysis of the effect of a set of political variables on the level of fiscal transparency in 36 democratic countries. By using a recent measure of fiscal transparency based on IMF Governance Finance Statistics and available from 2003 to 2013, we find strong links between political environments and the dynamics of fiscal disclosure. Our results show that government control over the legislature exerts some negative effect on fiscal transparency, while the effect of government ideology is shown to be at least fragile. Furthermore we find that legislature fragmentation exerts a negative effect on fiscal transparency, which suggests that competition within the parliaments does not increase fiscal transparency, but instead it induces governments to react by reducing accessibility to information.     

The impact of patents and standards on macroeconomic growth: a panel approach covering four countries and 12 sectors

Based on the assumption that codified technological know-how contributes to economic growth, this paper presents the estimation of a Cobb–Douglas production function, pooling data from four European countries and 12 sectors. The empirical results confirm that both the stock of patents and the stock of technical standards contribute significantly to economic growth in the 1990s. Whereas the results of the country models are rather similar, we observe significant differences between the sector models, which indicate that standards are more important for growth in less R&D-intensive industries and patents in R&D-intensive industries.

Technical efficiency in competing panel data models: a study of Norwegian grain farming

Estimation of technical efficiency is widely used in empirical research using both cross-sectional and panel data. Although several stochastic frontier models for panel data are available, only a few of them are normally applied in empirical research. In this article we chose a broad selection of such models based on different assumptions and specifications of heterogeneity, heteroskedasticity and technical inefficiency. We applied these models to a single dataset from Norwegian grain farmers for the period 2004–2008. We also introduced a new model that disentangles firm effects from persistent (time-invariant) and residual (time-varying) technical inefficiency. We found that efficiency results are quite sensitive to how inefficiency is modeled and interpreted. Consequently, we recommend that future empirical research should pay more attention to modeling and interpreting inefficiency as well as to the assumptions underlying each model when using panel data.     

Estimates of technical inefficiency in stochastic frontier models with panel data: generalized panel jackknife estimation

Estimates of technical inefficiency based on fixed effects estimation of the stochastic frontier model with panel data are biased upward. Previous work has attempted to correct this bias using the bootstrap, but in simulations the bootstrap corrects only part of the bias. The usual panel jackknife is based on the assumption that the bias is of order T ⁻¹ and is similar to the bootstrap. We show that when there is a tie or a near tie for the best firm, the bias is of order T ^−1/2, not T ⁻¹, and this calls for a different form of the jackknife. The generalized panel jackknife is quite successful in removing the bias. However, the resulting estimates have a large variance.     

Estimating efficiency effects in a panel data stochastic frontier model

Journal of Productivity Analysis - This paper proposes a panel data based stochastic frontier model which accommodates time-invariant unobserved heterogeneity along with efficiency effects. The...     

Developed stock market reaction to political change: a panel data analysis

This paper utilized panel data to examine the effects of political change in developed stock market. According to Hausman test, we capture the stock return by the fixed-effect model to fit the stock market. Political change was originally intended as an incumbent party impetus to create opportunities for progress. However, this has caused great political party distress, creating political change with an inverse stock return relationship in developed countries.     

基于生命周期的企业价值评估方法研究

随着中国市场经济结构不断完善和企业优化竞争速率的激增,企业价值评估的重要作用日渐凸显,企业价值评估方法封市场定价和企业价值观有着重要的导向作用。不同生命周期阶段,影响企业创造价值的因素不同,企业价值评估方法也应不同。本文依据企业生命周期理论,以现金流量模型为基础,结合企业所处的生命周期阶段,补充现金流量模型在评估企业价值时的不足之处,为企业寻找更加合理的价值评估方法。     

A panel data approach to economic forecasting: The bias-corrected average forecast

In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the (feasible) bias-corrected average forecast. Using panel-data sequential asymptotics we show that it is potentially superior to other techniques in several contexts. In particular, it is asymptotically equivalent to the conditional expectation, i.e., has an optimal limiting mean-squared error. We also develop a zero-mean test for the average bias and discuss the forecast-combination puzzle in small and large samples. Monte-Carlo simulations are conducted to evaluate the performance of the feasible bias-corrected average forecast in finite samples. An empirical exercise, based upon data from a well known survey is also presented. Overall, these results show promise for the feasible bias-corrected average forecast.     

Testing for a unit root in a random coefficient panel data model

This paper proposes new unit root tests in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distributions of the test statistics are derived and simulation results are provided to suggest that they perform very well in small samples.