Intertemporal data and travel cost analysis

This paper considers the use of multi-year data in travel cost analysis. To exploit the information embedded within intertemporal data, two broad approaches are examined: multiple year cross sections and panel models. Multiple year cross sections can be used to detect trends, and to test for stability of behavior. Panel models can be used to control for unobservable factors that are individual specific. Unfortunately, the low intertemporal variability of travel cost data sets weakens the power of panel estimators. Using aggregate data from the Boundary Waters Canoe Area, the stability of demand processes over the 1980–1986 period is investigated, as well as the problems inherent in using panel estimators in travel cost analysis.     

True versus spurious state dependence in firm performance

This paper analyzes the persistence of firms’ exporting behavior in a panel of German manufacturing firms using dynamic binary choice models. We distinguish between true and spurious state dependence in exports and apply fixed effects methods that allow us to verify the robustness of our results to critical assumptions on firms’ initial export status. We find robust evidence of state dependence in the current export status of firms. We also document an important role of unobserved permanent firm heterogeneity (spurious state dependence) and quantify the relative importance of different export determinants. Our results, which are consistent with the findings of previous studies on firms in developing countries and in the United States, show the presence of important sunk costs in export market entry and a depreciation of knowledge and experience in export markets. This paper benefitted substantially from three anonymous referees and Bernd Fitzenberger, one of the editors of this journal. The authors wish to thank the Centre for European Economic Research (ZEW), Mannheim, for its hospitality during the time this study was carried out. Both authors gratefully acknowledge helpful comments received at a workshop hosted by the Centre for Applied Microeconometrics, University of Copenhagen workshop, especially those from Bo Honoré. Useful discussions with Georg Licht also lead to improvements of this paper. We thank Ken Chay for sharing Gauss codes used in parts of the paper. Lastly, we would like to thank Bettina Peters, a member of the ZEW team that compiles the data set used in this study, for data guidance and numerous helpful comments. The activities of the Centre for Applied Microeconometrics are financed by a grant from the Danish National Research Foundation.     

Patents,R&;D and lag effects: evidence from flexible methods for count panel data on manufacturing firms

This paper investigates the relationship between patents and research and development expenditures using new longitudinal patent data at the firm level for the U.S. manufacturing sector from 1982 to 1992. The paper also develops a new class of count panel data models based on series expansion of the distribution of individual effects. Estimation results from various distributed lag and dynamic multiplicative panel count data models show that the contemporaneous relationship between patenting and R&D expenditures continues to be strong, accounting for over 60% of the total R&D elasticity. The lag effects are higher than have previously been found for the 1970s data. We would like to thank Chris Bollinger, Bronwyn Hall and Paula Stephan for useful comments on the previous version of the paper. Earlier versions were presented at the 11th International Conference on Panel Data, Texas A&M University, the Midwest Econometrics Group Meeting, and the Annual Conference of the Southern Economic Association.     

Unemployment Hysteresis in Australian States and Territories: Evidence from Panel Data Unit Root Tests

This article tests for hysteresis by applying panel data unit root tests to quarterly unemployment rates for Australian states and territories between 1982:2 and 2002:1. Panel tests proposed by Levin and Lin (1992) using ordinary least squares and O'Connell (1998) using feasible generalised least squares (which assume that under the alternative hypothesis of stationarity, all labour markets revert to the natural rate at the same speed) provide evidence in support of the natural rate hypothesis. However, the panel test proposed by Im, Pesaran and Shin (1997), which does not assume that all cross‐sectional units converge towards the equilibrium value at the same speed under the alternative and is therefore less restrictive than the other two panel tests, finds evidence of hysteresis. Given the advantages of the Im et al. (1997) test over the other two panel tests the results can be interpreted as being consistent with the existence of hysteresis in unemployment     

The Sun Also Rises: Productivity Convergence Between Japan and the USA

The growth process for a technological leader is different from that of a follower. While followers can grow through imitation and capital deepening, a leader must undertake original research. This suggests that as the gap between the leader and the follower narrows, the follower must undertake more genuinely innovative R&D and possibly face a slower overall growth rate. The results of a dynamic panel equilibrium-correction model of productivity growth suggest that the productivity gap with the USA had a strong effect on the growth of Japanese manufacturing, and that changes in R&D intensity also made a significant contribution. Moreover, the effect of the productivity gap was significantly higher in industries that had higher R&D intensities, higher levels of human capital, and were more open to exports. This paper is based upon Chapter 5 of my D.Phil. thesis at the University of Oxford. It was partly written while I was a Visiting Scholar at the Foundation for Advanced Information & Research, Tokyo, and was supported by a Sanwa Bank Foundation Research Fellowship and ESRC grants R000234954 and R000237500.     

Competition and Costs: Evidence from Competitive Tendering in the Scottish National Health Service

This paper estimates the impact of competitive tendering on cleaning costs in Scottish National Health Service hospitals. Unlike previous studies, which have relied on cross‐sectional data, a five‐year balanced panel of 176 hospitals is used to estimate a series of fixed effects regression models. These panel estimates suggest that previous studies have likely over‐estimated the cost‐savings associated with competitive tendering. The findings also suggest that the lower costs associated with competitive tendering have more to do with auction theory than with any intrinsic efficiency of the private sector.     

Partial identification of distributional and quantile treatment effects in difference-in-differences models

In this paper, we supplement the identification results for the mean treatment effect for the treated in the difference-in-differences framework studied by Abadie (2005) by establishing partial identification results for the distribution and quantile of the counterfactual outcome and of the treatment effect for the treated. Unlike the mean treatment effect which is identifiable from either the panel or the repeated cross sectional data, we show that the distribution/quantile of either the counterfactual outcome or of the treatment effect is only partially identified and in general the identified interval is tighter with panel than with the repeated cross sectional data. We further illustrate this gain from the panel via a numerical example.     

A REVISIT TO THE STATIONARITY OF OECD INFLATION: EVIDENCE FROM PANEL UNIT‐ROOT TESTS AND THE COVARIATE POINT OPTIMAL TEST*

This paper re‐examines the stationarity of inflation rates in 19 Organisation for Economic Cooperation and Development countries with the use of cross‐sectional information. We employ the panel unit‐root tests that allow for cross‐sectional dependency and the covariate point optimal test. These tests have high power in common due to the exploitation of cross‐sectional information, and they can assist mutually to draw a concrete conclusion on inflation dynamics for all series in the panel. Our empirical results show that allowing for cross‐sectional dependency rejects the null hypothesis that all series in the panel have a unit root, implying that there is at least one stationary series in the panel. With the help of the results of the covariate test, we can distinguish the panel into a group of stationary and a group of non‐stationary series. For robustness, the two groups of series are re‐confirmed by the panel tests. Our results reveal evidence of mean reversion in inflation for 15 of 19 countries, which is significantly stronger as compared to that obtained by the state‐of‐the‐art univariate unit‐root tests.     

Model selection when estimating and predicting consumer demands using international,cross section data

This paper assesses the ability of five structural demand systems to predict demands when estimated with cross sectional data spanning countries with widely varying per capita expenditure levels. Results indicate demand systems with less restrictive income responses are superior to demand systems with more restrictive income effects. Among the least restrictive demand systems considered, An Implicitly, Directly Additive Demand System (AIDADS) and Quadratic Almost Ideal Demand System (QUAIDS) seem roughly tied for best, while the Quadratic Expenditure System (QES) is a close second. Given differences in the characteristics of AIDADS and QUAIDS, it is concluded the former is better suited to instances where income exhibits wide variation and the latter to cases when prices exhibit considerable variation. First Version Received: November 2000/Final Version Received: February 2002 RID="*" ID="*"  The authors acknowledge the insightful comments of two journal referees and Baldev Raj. Bettina Aten kindly provided the data used in this study. Any errors or omissions remain the responsibility of the authors. Partial financial support of the United States Department of Agriculture – National Research Initiative Grant #97-35400-4752 and the Purdue Research Foundation is gratefully acknowledged. An expanded version of this paper is available from the authors upon request. RID="**" ID="**"  Contact author     

Topologies of social interactions

Summary. The paper extends the Brock-Durlauf social interactions model to richer social structures modelled with arbitrary interaction topologies and examines in detail the star, the wheel and the path. It explores Nash equilibria when agents act on the basis of expectations over, and, alternatively, actual knowledge their neighbors’ decisions. It links social interactions with econometrics of systems of simultaneous equations. The local dynamics near steady states combine spectral properties of the adjacency matrix and of the nonlinearities of reaction functions. For regular interaction topologies, adjustment exhibit relative persistence. Cyclical interaction is associated with endogenous spatial oscillations and islands of conformity.Received: 12 August 2004, Revised: 20 May 2005, JEL Classification Numbers: C35, C45, C00, D80.I am grateful to a referee and the editor for very insightful comments and suggestions, and to the National Science Foundation and the John D. and Catherine T. MacArthur Foundation for generous research support. I thank Frank Alexander, Costas Azariadis, Kenneth J. Arrow, Jean-Pierre Aubin, Rob Axtell, Marcelo Bianconi, Larry Blume, Buz Brock, Marcelo Coca-Perraillon, Steven Durlauf, Glenn D. Ellison, Roland Fryer, Hans Haller, Anna Hardman, Alan Kirman, Alexandros Kyrtsis, Chuck Manski, Costas Meghir, Sharun Mukand, Lynne Pepall, Apostolis Philippopoulos, Danny T. Quah, Bertrand Roehner, Jose A. Scheinkman, Adriaan Soetevent, Dimitri Vayanos, Peyton Young, Gerard Weisbuch, Jeff Zabel and other participants in presentations of earlier versions at the joint Brookings and MacArthur Research Network on Social Interactions and Economic Inequality, the Athens University of Economics and Business, the University of Texas-Austin, ASSET 2001 in Rethymno, the Connectionist Complexity Workshop, Institut Henri Poincaré, Paris, 2003, and the North American meeting of the Econometric Society, San Diego, CA., 2004.     

Using Quality of Interview Information to Assess Nonrandom Attrition Bias in Developing-Country Panel Data

Panel data often provide an understanding of household behavior not possible with cross‐sectional information alone. However, a disturbing feature of such data is that there can be substantial, nonrandom attrition and many analysts share the concern that this inhibits the ability to make accurate inferences. The author examines attrition in the KwaZulu–Natal Income Dynamics Study 1993–1998, assesses the extent of attrition bias for a specific empirical example, and proposes and implements a selection correction methodology using quality of first round interview variables as identifying instruments. The results show that attrition does lead to statistical bias in the “behavioral” coefficients in estimation of household‐level expenditure functions. Since it is typically difficult to determine the bias for a particular analysis a priori, and such bias is by its nature model‐specific, it behooves researchers using panel data to evaluate the effects of attrition in their analyses.     

Bertrand-Edgeworth duopoly with unit cost asymmetry

Summary This paper characterizes the set of Nash equilibria in a price setting duopoly in which firms have limited capacity, and in which unit costs of production up to capacity may differ. Assuming concave revenue and efficient rationing, we show that the case of different unit costs involves a tractable generalization of the methods used to analyze the case of identical costs. However, the supports of the two firms' equilibrium price distributions need no longer be connected and need not coincide. In addition, the supports of the equilibrium price distributions need no longer be continuous in the underlying parameters of the model.As an application of our characterization, we examine the Kreps-Scheinkman model of capacity choice followed by Bertrand-Edgeworth price competition and show that, unlike in the case of identical costs, Cournot equilibrium capacity levels need not arise as subgame-perfect equilibria. The low-cost firm has greater incentive to price its rival out of the market than exists under Cournot behavior.We are grateful to Joseph Harrington, Marie Thursby, Casper de Vries and, especially, William Novshek for helpful discussions and comments. Thomas Faith and Ioannis Tournas provided valuable research assistance. This paper was presented at the Winter Meetings of the Econometric Society in December 1988, the Midwest Mathematical Economics Conference in April 1989, the Sixteenth Annual Congress of the European Association for Research in Industrial Economics in August 1989, the European Meetings of the Econometric Society in September 1989, and in seminars at the Ecole Nationale des Ponts et Chaussées, Erasmus University Rotterdam, Indiana University, INSEAD, Texas A&M University, Tilburg University, the University of Bonn and the University of Florida. Deneckere acknowledges financial support through National Science Foundation Grant SES-8619012 and the Kellogg Graduate School of Management's Beatrice/Esmark Research Chair. Kovenock acknowledges financial support through Erasmus University Rotterdam, the Purdue Research Foundation, the Ford Motor Company Fund, and an Ameritech Foundation Summer Faculty Research Grant.     

Cross sectional and panel estimation of convergence

Cross sectional estimation of convergence regressions is known to be hazardous if there is convergence towards heterogeneous steady state values. In this paper, Monte Carlo methods are used to investigate the implications of this parameter heterogeneity problem. The cross sectional and pooled OLS estimators are compared with a panel estimator which is unaffected by heterogeneity. If there is heterogeneity, the latter outperforms both the unconditional and conditional cross sectional and pooled OLS estimators.     

The Extent of Collective Bargaining and Workplace Representation: Transitions between States and their Determinants. A Comparative Analysis of Germany and Great Britain

The institutions of collective bargaining and worker representation are eroding in many nations, not least in Germany and Britain. This is the first article to explore transitions into and out of these arrangements. Using successive waves of the German IAB Establishment Panel and both cross‐sectional and panel components of the British Workplace Employment Relations Survey for the period 1998–2004, we find industrial relations are in flux, with many workplaces switching into and out of collective bargaining and other agencies of worker representation, respectively, works councils in Germany and joint consultative committees in Britain. Yet although there are some commonalities in behaviour, the driving forces behind the decline in collective bargaining differ markedly in the two countries.     

Bounded rationality in laboratory bargaining with asymmetric information

Summary. This paper reports an experiment on two-player sequential bargaining with asymmetric information that features some forces present in multi-round monopoly pricing environments. Buyer-seller pairs play a series of bargaining games that last for either one or two rounds of offers. The treatment variable is the probability of continuing into a second round. Equilibrium predictions do a poor job of explaining levels of prices and treatment effects. As an alternative to the conventional equilibrium model, we consider models that allow for bounded rationality of subjects. The quantal response equilibrium model captures some of the important features of the results.Received: 30 April 2003, Revised: 10 December 2003, JEL Classification Numbers: C78, D82, D42, C91. Correspondence to: Timothy N. CasonThis research was funded in part by the National Science Foundation (SBR-9809110). The experiments were run at the Economic Science Laboratory of the University of Arizona and the Krannert Laboratory for Experimental Economic Research at Purdue University, using the z-Tree software developed at the Institute for Empirical Research at the University of Zurich (Fischbacher [8]). David Cooper, Rachel Croson, Charles Noussair, an anonymous referee, and conference participants at the Economic Science Association and the Society for the Advancement of Economic Theory meetings provided helpful comments. Timothy ONeill Dang, Thomas Wilkening and Marikah Mancini provided expert research assistance.     

Augmenting travel cost models with contingent behavior data

This paper proposes contingent behavior survey questions as a valuable supplement to observed data in travel cost models of non-market demand for recreational resources. A set of observed and contingent behavior results for each survey respondent allows the researcher to control for individual heterogeneity by taking advantage of panel data methods when exploring the nature of respondent demands. The contingent scenarios also provide opportunities to (a) test for differences between observed and contingent preferences and/or (b) assess likely demands under conditionsbeyond the domain of observed variation in costs or resource attributes. Most importantly, contingent scenarios allow the researcher to imposeexogenously varying travel costs. Exogenous imposition of travel costs together with panel methods reduces the omitted variables bias that plagues observed-data travel cost models of recreational demand. Using a convenience sample of data for illustrative purposes, we show how to estimate the demand for recreational angling by combining observed and contingent behavior data. We begin with simple naive pooled Poisson models and progress to more theoretically appropriate fixed effects panel Poisson specifications.The authors are at the University of Nevada and UCLA, respectively. We gratefully acknowledge the comments of both Scott Shonkwiler and participants in the W133 meetings in Santa Fe, New Mexico and for research material provided by Wayne Gray. The data were provided by Rang Narayanan. Research assistance was provided by Jerry McGraw and Natalie Tucker. Research partially supported by the Nevada Experiment Station. Any errors or omissions remain the authors' responsibility.     

Subjective well-being and the family: Results from an ordered probit model with multiple random effects

The previous literature on the determinants of individual well-being has failed to fully account for the interdependencies in well-being at the family level. This paper develops an ordered probit model with multiple random effects that allows to identify the intra-family correlation in well-being. The parameters of the model can be estimated with panel data using Maximum Marginal Likelihood. The approach is illustrated in an application using data for the period 1984–1997 from the German Socio-Economic Panel in which both inter-generational and intra-marriage correlations in well-being are estimated.First version received: May 2003/Final version received: August 2004I would like to thank Andrew Clark, Daniel S. Hamermesh, seminar participants at Tilburg University, and three anonymous referees for helpful comments.     

资产定价异象的泛函主成分研究

本文采用泛函主成分法研究我国A股市场中的五种资产定价异象。与传统方法相比，该方法能够分别提取特征变量与期望收益率之间的单调和非单调性关系进行研究。实证结果显示按照资产定价异象指标排序的收益率面板数据包含三个关键成分：第一个主成分代表时序市场因子在横截面上的扩展，与异象效应无关；第二个主成分代表异象的横截面“单调”效应，价值和动量异象的稳健性较差；第三个主成分代表异象的横截面“凸性”效应，与投资者交易行为引起的“分置效应”有关。     

Evolutionary choice of markets

We consider an economy where a finite set of agents can trade on one of two asset markets. Due to endogenous participation the markets may differ in the liquidity they provide. Traders have idiosyncratic preferences for the markets, e.g.due to differential time preferences for maturity dates of futures contracts. For a broad range of parameters we find that no trade, trade on both markets (individualization) as well as trade on one market only (standardization) is supported by a Nash equilibrium. By contrast, whenever the number of traders becomes large, the evolutionary process selects a unique stochastically stable state which corresponds to the equilibrium with two active markets and coincides with the welfare maximizing market structure. We are grateful to Thorsten Hens, Fernando Vega-Redondo and a referee for valuable comments. We also thank seminar participants at the University of Zurich, the CES research seminar at the University of Munich, the Koc University in Istanbul as well as conference participants at the SAET conference in Ischia, the ESEM in Lausanne and the ESF workshop on Behavioural Models in Economics and Finance in Vienna. A first version of the paper was written while Marc Oliver Bettzüge was visiting the Institute for Empirical Research in Economics at the University of Zurich. Financial Support by the Swiss Banking Institute and by the National Centre of Competence in Research “Financial Valuation and Risk Management” (NCCR FINRISK) is gratefully acknowledged. The NCCR FINRISK is a research program supported by the Swiss National Science Foundation.     

Reevaluating the relationship between transferable property rights and command-and-control regulation

Economists generally assume that systems of transferable property rights are preferable to non-market systems. This paper suggests that the design of a market-based policy that dominates a command-andcontrol regime is more subtle than is commonly believed, even in theory. The subtlety arises because identical approaches to monitoring and enforcement will not generally yield the same results in different regulatory environments. The paper identifies conditions under which a kind of market dominance result obtains. The theory is then applied to the problem of trading rights to emit pollutants from motor vehicles.Mr. Hahn is a Resident Scholar at the American Enterprise Institute and an Adjunct Professor of Economics at Carnegie University. Mr. Axtell is a Research Associate at the Brookings Institution. We would like to thank Linda Cohen, Glenn Loury, Eric Stork, and participants in the Harvard environmental economics workshop and the Stanford environmental economics conference for constructive comments. Jeff Alson, Richard Wilcox, and Don Zinger helped identify useful data sources. This research was supported in part by a grant from the National Science Foundation.