Estimation and tests for power-transformed and threshold GARCH models

Consider a class of power-transformed and threshold GARCH(p,q)$(p,q)$ (PTTGRACH(p,q)$(p,q)$) model, which is a natural generalization of power-transformed and threshold GARCH(1,1) model in Hwang and Basawa [2004. Stationarity and moment structure for Box–Cox transformed threshold GARCH(1,1) processes. Statistics & Probability Letters 68, 209–220.] and includes the standard GARCH model and many other models as special cases. We first establish the asymptotic normality for quasi-maximum likelihood estimators (QMLE) of the parameters under the condition that the error distribution has finite fourth moment. For the case of heavy-tailed errors, we propose a least absolute deviations estimation (LADE) for PTTGARCH(p,q)$(p,q)$ model, and prove that the LADE is asymptotically normally distributed under very weak moment conditions. This paves the way for a statistical inference based on asymptotic normality for heavy-tailed PTTGARCH(p,q)$(p,q)$ models. As a consequence, we can construct the Wald test for GARCH structure and discuss the order selection problem in heavy-tailed cases. Numerical results show that LADE is more accurate than QMLE for heavy-tailed errors. Furthermore, the theory is applied to the daily returns of the Hong Kong Hang Seng Index, which suggests that asymmetry and nonlinearity could be present in the financial time series and the PTTGARCH model is capable of capturing these characteristics. As for the probabilistic structure of PTTGARCH(p,q)$(p,q)$ model, we give in the appendix a necessary and sufficient condition for the existence of a strictly stationary solution of the model, the existence of the moments and the tail behavior of the strictly stationary solution.     

Consumption and the City,Modern and Postmodern

Whilst consumption has frequently been associated with the postmodern city, insufficient regard has been paid to the systemic logic of consumption. It is argued here that consumption takes on an increasingly significant role in this respect. Specifically, we have been witness to a profound social transformation whereby the active repression once centred on the city as a locus of production has given way to a new mode of social integration, which accords to the logic of seduction. By tracing the development of the modern city in terms of the imposition of the law and its transgression — figured in terms of cognitive space and the ‘spectral presence’ of the stranger — the significance of the postmodern is theorized in terms of the systemic appropriation of an aesthetic space initially traced out by the flâneur. The ludic existence of the flâneur has thus been translated into the general condition of a society oriented around consumption. This condition implies a new form of cybernetic control, governed by the aleatory play of the code, rather than the direct surveillance characteristic of the modern city. As a consequence, urban space has itself undergone a transition, which we might begin to address in terms of a ‘posturban’ hyperspace.     

Technocracy and exclusion

Les thèmes d'authoritarisme bureaucratique servent à expliquer les changements dans l'organisation de la production au Brésil, et l'émergence en conséquence, de nouveaux groupes sociaux et relations de classes. Cet article trace l'impacte du développement économique au Brésil sur la croissance et l'organisation des populations urbaines. Les phases des contrôles sur l'importation qui étaient le véhicule pour l'industrialisation urbaine dépendaient d'un transfer du capital de l'agriculture à l'industrie, du consommateur au producteur, négocié à travers une politique de taux d'échanges et de protection commerciale et d'inflation. Ce développement était associé avec l'incorporation limité d'une classe ouvrière et urbaine croissante dans la structure émergeante de l'état. Cependant, l'éffondrement des contrôles sur l'importation et le développement de l'intervention de l'état et des investissements étrangers créerent le fondement de l'exclusion des revendications économiques et politiques des populations urbaines. Le raisonnement est que cette téchnocracie, produit de ces interventions et investissements, articula à la fois cette exclusion et son intérêt dans l'établissement et l'extension d'un contexte bureaucratique corporatif. Le résultat a été non seulement la suppression directe des revendications populaires, mais aussi l'exclusion de toute impulsion pour un nouveau model économique. Cet article termine en proposant qu'une analyse plus poussée devrait se concentrer plutôt sur les structures et processus organisationnels que sur les intérêts de rôles téchnocratiques particuliers.     

Market Structure and Racial and Gender Discrimination:

The Annual Equal Employment Opportunity Reports and Current Population Survey files are used to examine employment and earnings by race and gender in the telecommunications industry following changes in the industry's affirmative action guidelines and following the divestiture of the American Telephone and Telegraph Company. Nonblack minority men were the only underrepresented group to experience marked employment gains as managers and professional. The relative employment probability of other underrepresented workers remained similar to the levels experienced during the implementation of affirmative action guidelines. Earnings differentials did decline for minority men and white women in the telecommunications industry. However, this finding is only unique to black men as the earnings pattern for white women and nonblack minority men mirror that found for these groups nationally.     

Abnormal research and development investments and stock returns

We investigate the relation between abnormal research and development (R&D) investments change and expected stock returns. We provide evidence that firms that abnormally increase their R&D investments (RDI) earn higher returns in comparison to the market portfolio. Specifically, our findings document an economically significant annual positive abnormal RDI returns that ranges from 3.2% to 11.5%. These findings are robust to well-established risk factors in the literature and suggest that the abnormal increases in RDI impacts stock returns.     

Exclusion and Difference along the EU Border: Social and Cultural Markers,Spatialities and Mappings

Both notions elaborated in this article, exclusion and the border, are cultural constructs which can take on different meanings in different milieux. In order to understand socio‐cultural exclusion in the context of EU integration and new centralities created by globalization, the project presented here addressed social, cultural and spatial exclusion in peripheral EU border cities and islands. This article focuses on how borderland residents experience socio‐cultural exclusion of ‘others’ and of themselves, and forge their spatialities and mappings. It makes distinctions on several levels: geographically, between external and internal EU borders, between ‘transborder’ and ‘bounded’ field sites and between variations of spatialities and mappings; culturally, between boundary gateways and walls, and between socio‐cultural and spatial exclusion, isolation and insularity; anthropologically, between social and cultural markers dividing the subject and the ‘other’. Local experiences and spatialities along the border were found to be complex and often in conflict with dominant definitions and preconceptions. This, along with the multiple levels of exclusion and difference found on the EU border, has implications for research priorities and policy restructuring. Les deux notions détaillées dans cet article, exclusion et frontière, sont des concepts culturels qui peuvent prendre un sens différent en fonction du milieu. Afin d’appréhender l’exclusion socioculturelle dans le cadre de l’intégration européenne et des nouvelles centralités créées par la mondialisation, le projet traite l’exclusion sociale, culturelle et spatiale dans les villes et îles situées à la périphérie de l’UE. Il s’attache à la façon dont les résidents frontaliers vivent une exclusion socioculturelle des ‘autres’ et d’eux‐mêmes, tout en établissant leurs spatialités et leurs cartographies. Plusieurs plans sont identifiés: un plan géographique, entre frontières internes et externes de l’UE, entre sites ‘transfrontaliers’ et territoires ‘délimités’, et entre divergences de spatialités et de cartographies; un plan culturel, entre accès et remparts frontaliers, et entre insularité, isolement et exclusion socioculturels et spatiaux; un plan anthropologique, entre les repères sociaux et culturels qui séparent le sujet de ‘l’autre’. Le long de la frontière, spatialités et expériences locales se sont révélées complexes et souvent en opposition avec les définitions et a priori dominants. Cet aspect, allié aux multiples niveaux d’exclusion et de différence découverts sur la frontière européenne, influence les priorités de recherches et la restructuration des politiques.     

Arbitrage and price revelation with asymmetric information and incomplete markets

This paper deals with the issue of arbitrage with differential information and incomplete financial markets, with a focus on information that no-arbitrage asset prices can reveal. Time and uncertainty are represented by two periods and a finite set S of states of nature, one of which will prevail at the second period. Agents may operate limited financial transfers across periods and states via finitely many nominal assets. Each agent i has a private information about which state will prevail at the second period; this information is represented by a subset S_i of S. Agents receive no wrong information in the sense that the “true state” belongs to the “pooled information” set ∩_iS_i, hence assumed to be non-empty.Our analysis is two-fold. We first extend the classical symmetric information analysis to the asymmetric setting, via a concept of no-arbitrage price. Second, we study how such no-arbitrage prices convey information to agents in a decentralized way. The main difference between the symmetric and the asymmetric settings stems from the fact that a classical no-arbitrage asset price (common to every agent) always exists in the first case, but no longer in the asymmetric one, thus allowing arbitrage opportunities. This is the main reason why agents may need to refine their information up to an information structure which precludes arbitrage.     

Urban redevelopment and grassroots action in Chicago and Sheffield: themes,variations and uncertain legacies

In the Uptown area of Chicago and Sheffield, England’s Sharrow neighborhood, redevelopment initiatives in the late 1960s and early 1970s produced a significant degree of community conflict. Throughout the 1970s and 1980s a variety of grassroots movements appeared in each community. The legacy of redevelopment-derived conflict and community-based organizing in the two communities suggests that there is more variation in neighborhood grassroots politics — even in communities with comparable public policy and organizing histories — than prevailing explanations of neighborhood mobilization tend to acknowledge. However, with the 1990s a convergence in the Uptown and Sharrow experiences has appeared: the narrowing of their grassroots organizations’ political agendas, which can be attributed to national shifts in political discourse and public policy. Dans le quartier de Uptown à Chicago et le quartier de Sharrow à Sheffield en Angleterre, les initiatives de redéveloppement à la fin des années soixante et le début des années soixante-dix ont causé un degré significatif de conflit dans la communauté. Durant les années soixante-dix et quatre-vingt divers mouvements populaires sont apparus dans ces communautés. Dans les deux communautés, le résultat des conflits dûs au redéveloppement et de l'organisation basée dans la communauté suggère qu'il y a plus de variation dans les politiques populaires des quartiers — même dans les communautés qui ont des politiques publiques et un passé d'organisation similaires — que les explications dominantes de la mobilisation de quartier tendent à reconna^tre. Cependant, dans les années quatre-vingt-dix, une convergence entre les expériences de Uptown et Sharrow est apparue: le rétrécissement des programmes politiques de leurs organisations populaires qui peut être attribué aux changements nationaux du discours politique et de la politique publique.     

Agglomeration and Trade with Input–Output Linkages and Capital Mobility

Abstract

This paper proposes a nesting ‘New Trade, New Economic Geography’ model in which agglomeration is driven by input–output linkages among firms, trade in goods and capital mobility. The New Economic Geography sub-model exhibits the same positive and dynamic properties as a wide class of models based on other agglomeration mechanisms. Its normative implications are nuanced: equity and efficiency do not necessarily conflict. When input–output linkages are strong, agglomeration might Pareto-dominate dispersion because agglomeration lowers producer prices. When vertical linkages are weak, the market is biased in favour of agglomeration if the planer has a strong aversion to inequalities.

RÉSUMÉ

Accumulation et commerce avec intégration amont-aval et mobilité du capital.

Cet article décrit un modèle, qui a donné naissance au modèle commercial de Flam et Helpman (1987), et de Martin et Rogers (1995) et à un modèle original à la Krugman « Nouvelle Géographie Economique » (1991). L'accumulation se produit par l'intégration amont-aval des sociétés entre elles et par la mobilité du capital. L'auteur étudie les conséquences positives puis normatives du modèle. Dans le domaine des conséquences positives, le modèle NGE montre les mêmes propriétés dynamiques que les autres modèles fondés sur d'autres mécanismes d'accumulation (migration du travail, accumulation de capital humain). Donc, ce modèle est bien adapté pour étudier les questions de localisation des industries, du commerce des biens et de la mobilité du capital. En ce qui concerne les conséquences normatives, lorsque l'intégration amont- aval est forte, l'accumulation peut l'emporter sur la dispersion de Pareto, parce que l'accumulation conduit à une diminution des prix du producteur: l'efficacité et la valeur n'entrent pas forcément en conflit dans ce modèle. Quand l'intégration verticale est faible, le marché est orienté en faveur de l'accumulation si le décideur montre une grande aversion aux inégalités.

RESUMEN

Aglomeración y comercio con enlaces de entrada–salida y movilidad de capital

En este artículo expongo un modelo que atrapa el modelo comercial de Flam y Helpman (1987), de Martin y Rogers (1995) y de un modelo original según la teoría la ‘Nueva Geografía Económica’ de Krugman (1991). La aglomeración está impulsada por enlaces de entrada–salida entre las sociedades y por la movilidad de capital. Aquí analizo las implicaciones positivas y normativas del modelo. En términos de implicaciones positivas, el modelo NEG expone las mismas propiedades dinámicas como una amplia clase de modelos basados en otros mecanismos de aglomeración (migración laboral, acumulación de capital humano). De este modo, el modelo encaja bien para estudiar cuestiones en cuanto a la ubicación de la industria, el comercio de mercancías y la movilidad de capital. Con respecto a las implicaciones normativas, cuando son sólidos los enlaces de entrada–salida, la aglomeración podría dominar la dispersión en el diagrama de Pareto debido a que la aglomeración hace disminuir los precios de los productores: en este modelo la eficiencia y la equidad no necesariamente están en conflicto. Cuando los enlaces verticales son débiles, el mercado es sesgado a favor de la aglomeración si el planificador tiene una fuerte aversión a las desigualdades.     

Predictability and Reflexivity

Abstract . Reflexive predictions are self-defeating or self-fulfilling. However, it was shown that in most cases of self defeating public predictions of social events conceptually at least one correct prediction exists. Unfortunately the term “reflexive prediction” is applied in the literature to quite distinct phenomena. A. Grünbaum, moreover, argued that reflexive prediction occurs also in the natural sciences using as example the fire-control system which “obeys only natural laws.” The purpose of this paper is two fold: first, it clarifies the terminological confusion. Second, it argues that every man-made tool (fire-control systems are tools) obeys natural laws and so does the person. The question of a person's higher functions, such as expectation and decision is only acknowledged. The conclusions are (1) that there is a fundamental difference between reaction to public (predictive) utterances and reaction to discriminatory behavior based on private ptediciion. (2) The reflexivity of public prediction is a phenomenon characteristic of the social sciences. at least as long as these disciplines are set apart from the natural sciences.     

Urban and regional theory and case studies: two examples

Book reviewed in this article: Gottdiener, M. 1977: Planned sprawl: private and public interests in suburbia. Lineberry, R. L. 1977: Equality and urban policy: the distribution of municipal public services. Abrams, P. and Wrigley, E. A. , editors, 1978: Towns in societies: essays in economic history and historical sociology. Beirne, P. 1977: Fair rent and legal fiction. Holloway, J. and Picciotto, S. , editors, 1978: State and capital: a marxist debate. Léveillée, J. 1978: Dévelopment urbain et politiques gouvernementales urbaines dans l'agglomération montréalaise Long, N. 1977: An introduction to the sociology of rural development. Massey, D. and Catalano, A. 1978: Capital and land: landownership by capital in Great Britain. Pretecille, E. 1974: Jeux, modèles et simulations: critique des jeux urbains. Redclift, M. R. 1978: Agrarian reform and peasant organization on the Ecuadorian Coast. Sussman, C. , editor, 1976: Planning the Fourth Migration: the neglected vision of the Regional Planning Association of America. Vance, J. A. 1977: This scene of man: the role and structure of the city in the geography of western civilisation. Wirth, J. D. and Jones, R. L. , editors, 1978: Manchester and São Paulo: problems of rapid urban growth. Young, K. and Kramer, J. 1978: Strategy and conflict in metropolitan housing—suburbia versus the Greater London Council 1965–75.     

Stratification,the relation between states and urban and regional development

L'intention de cet essai est de provoquer une discussion sur une perspective comparative de l'éeconomie politique. Un compte rendu est fait des contributions récentes de Poulantzas et de Runciman sur les systèmes de pouvoir et de conflit dans l'état-nation contemporain. Une attention particulière est donnée à la typologie de Runciman de six sociétés idéales types. A titre de contraste, la théorie marxiste de l'état est perçue comme étant circulaire et ne pouvant pas confronter d'une manière satisfaisante les problèmes posés par les sociétés de l'Europe de i'Est, et aussi par la gamme de variations à l'intérieur du monde capitaliste. Dans la sphère du développement urbain et régional, la variation de buts et de résultats est en partie déterminée par les relations entre états. Les contraintes imposées par le marché mondial, par la disposition et la circulation inégales de materiaux et de denrées, sont structurées plus par la détermination des états à accroǐtre la production matérielle que par le mode de production dominant dans une formation sociale donnée. Cet acharnement à accroǐtre la production matérielle n'est visiblement pas moins fort dans les sociétés de type ‘socialiste’ ou ‘révolutionnaire’. La théorie marxiste semble accepter l'expansion inévitable de la production matérielle sans se soucier des limites écologiques. De la méme façon qu'il y a un besoin net pour une typologie du pouvoir et des formes de contrǒle social, il y a aussi besoin d'une analyse urbaine et régionale détaillée dans les formations sociales particulières qui pourrait égaler présuppositions théoriques avec résultats empiriques. Les questions pratiques en ce qui concerne qui reçoit quoi, qui détermine qui reçoit quoi, qu'est-ce qui détermine qui reçoit quoi, ne sont pas en mesure d'ětre repondues d'une façon monocausale.     

Biases,variances and covariances of raking ratio estimators for marginal and cell totals and averages of observed characteristics

Summary On the basis of a simple random sample from a population, on which a cross-classification is defined with known marginal frequenciesN _i. andN _.j , one wishes to estimate the cell frequenciesN _ij , as well as cell totalsY _ij , marginal totalsY _i. andY _.j , and the grand totalY for characteristics measured on the units. Various authors have discussed so-called raking ratio estimators, which are built up from the estimated cell values by addition. They have given the bias and variance of this estimator ofY. This paper derives biases, variances and covariances for the corresponding estimators of the cell and marginal totals and of the corresponding marginal averages.     

Regression analysis and dependence

In this paper we study the relationship between regression analysis and a multivariate dependency measure. If the general regression model Y=f() holds for some function f, where 1i₁< i₂<···i_m k, and X₁,...,X_k is a set of possible explanatory random variables for Y. Then there exists a dependency relation between the random variable Y and the random vector (). Using the dependency statistic defined below, we can detect such dependency even if the function f is not linear. We present several examples with real and simulated data to illustrate this assertion. We also present a way to select the appropriate subset among the random variables X₁,X₂,...,X_k, which better explain Y.     

Entrepreneurship and economic growth: Evidence from emerging and developed countries

This paper presents an extension to the economic growth model developed by Wong, Ho, and Autio (2005 Autio, E. 2005. 2005 report on high-expectation entrepreneurship, Toronto: GEM Consortium.  [Google Scholar]), to reflect differences in the economic effects of opportunity and necessity-based entrepreneurship in both emerging and developed countries. Data from 44 countries for the years 2004 and 2005, as collected by Global Entrepreneurship Monitor (GEM) research and Global Competitiveness Report (GCR) research, are used to identify predictors of GDP growth for emerging and developed nations. The GEM data are used to determine the effect of different types of entrepreneurship on GDP growth. The GCR data operationalize additional control variables suggested by three economic growth theories: new economic geography, endogenous growth theory and national systems of innovation. This contribution to the literature suggests that, in developed countries, a significant portion of economic growth rates can be attributed to high-expectation entrepreneurs exploiting national investments in knowledge creation and regulatory freedom. However, in emerging countries this effect is absent. It is hypothesized that a threshold exists for entrepreneurs to gain access to the formal economy, below which entrepreneurial contributions act through informal mechanisms.     

Export Processing Zones and Economic Development in Asia: A Review and Reassessment of a Means of Promoting Growth and Jobs

Abstract . Nearly every developing country in Asia has established export processing (EPZs) and free trade zones (FTZs) to promote economic development. EPZs and FTZs have created new employment, generated foreign exchange, expanded national revenues and increased export flows. But not all have thus benefited. Adverse effects of these industrial enclaves, not offset by national benefits, are varied. The zones mostly have high construction and maintenance costs, primarily employ low-wage, unskilled female labor, offer an unstable employment base, generate little domestic added value, develop few labor or managerial skills, transfer little modern technology or know-how and have weak links to domestic manufacturers. Large EPZs may promote undesirable in-migration from rural areas, produce more dependence on foreign-owned firms that tend to move or cut back production when wages, costs or international trends change. Policy options to prevent or mitigate adverse effects are presented.     

Personality similarities and differences between Mexican and American business leaders

A study was conducted to investigate personality similarities and differences for a group of 200 business leaders, 100 each from Southern Mexico and the United States. Mexican and American leaders were administered the Sixteen Personality Factor Questionnaire (16PF) in their native language (Spanish or English). A demographic questionnaire solicited information about age, education, and gender. These variables were used as covariates in some analyses. After controlling for the effects of age, gender, and education level, the authors found that Mexican leaders scored higher than their American counterparts on the warmth, emotional stability, social boldness, and openness to change scales. American leaders scored higher on the abstractedness and self‐reliance scales. On scales related to leadership there were between‐nationality differences on emotional stability, social boldness, abstractedness, and self‐reliance. Additional studies are suggested to illuminate cross‐nationality similarities and differences.     

Notes and Comments: Stochastic demand correspondences and their aggregation properties

Abstract Mathematics Subject Classification (2000): 91B06, 91B16 Journal of Economic Literature Classification: D11