Nonparametric estimation of conditional distribution functions with longitudinal data and time-varying parametric models

Nonparametric estimation and inferences of conditional distribution functions with longitudinal data have important applications in biomedical studies. We propose in this paper an estimation approach based on time-varying parametric models. Our model assumes that the conditional distribution of the outcome variable at each given time point can be approximated by a parametric model, but the parameters are smooth functions of time. Our estimation is based on a two-step smoothing method, in which we first obtain the raw estimators of the conditional distribution functions at a set of disjoint time points, and then compute the final estimators at any time by smoothing the raw estimators. Asymptotic properties, including the asymptotic biases, variances and mean squared errors, are derived for the local polynomial smoothed estimators. Applicability of our two-step estimation method is demonstrated through a large epidemiological study of childhood growth and blood pressure. Finite sample properties of our procedures are investigated through simulation study.     

Demand for money in the selected OECD countries: a time series panel data approach and structural breaks

Time series panel data estimation methods are used to estimate the cointegrating equations for the demand for money (M1) for a panel of 11 Organization for Economic Cooperation and Development (OECD) countries for which consistent quarterly data are available. The effects of financial reforms are analysed with structural break tests and estimates for alternative sub-samples. Our results for the post-reform sub-samples show that the income elasticity of the demand for money has decreased and response to interest rate changes has increased.     

Inflation and economic growth: a multi-country empirical analysis

The world eocnomy is currently adjusting to a low inflation regime which has implicastions for the cross-country distribution of world growth opportunities. In contrast to previous related work which assumes unidirectional causality, this paper uses the Granger methodology to examine both the direction and pattern of causality between inflation and economic growth in 70 countries using annual data over the period 1960–89. Among the conclusions are that first, the relationship between inflation and growth is non-uniform across countries: 40% of countries studied reveal no causality, one-third exhibit unidirectional causality and about one-fifth of countries show bidirectional causality, second, a vast majority of countries which show either uni- or bi-directional causality beong to the industrial group, and third, the low world inflation regime will on balance redistribute real growth opportunities benefit away from the developing countries towards the industrialized countries.     

Fiscal dependence on trade taxes and the level of economic development:: a comment

We test for fractional dynamics in US monetary series, their various formulations and components, and velocity series. Using the spectral regression method, we find evidence of a fractional exponent in the differencing process of the monetary series (both simple-sum and Divisia indices), in their components (with the exception of demand deposits, savings deposits, overnight repurchase agreements, and term repurchase agreements), and the monetary base and money multipliers. No evidence of fractional behaviour is found in the velocity series. Granger's (Journal of Econometrics, 25, 1980) aggregation hypothesis is evaluated and implications of the presence of fractional monetary dynamics are drawn.     

Workers' remittances and Dutch Disease in Bangladesh

Workers' remittance is one of the major sources of foreign exchange earnings for Bangladesh in recent years. It accounted for 12% of GDP in 2009 and has colossal socio-economic implications for the country. However, the inflows of foreign exchange earnings can exert adverse effects on the international competitiveness of an economy as postulated by the Dutch Disease theory. Using Johansen Cointegration and Vector Error Correction Model and annual data from 1971 to 2008, this paper investigates the effects of remittances on the external trade competitiveness as measured by the movements of real exchange rate of the country. The results of the study suggest that the influx of workers' remittances significantly appreciates the real exchange rate and deteriorates the external trade competitiveness of Bangladesh. While increased terms of trade indicates similar adverse effects, openness in goods and capital markets and nominal devaluation improve the trade competitiveness of the country. Therefore, greater trade openness and channelling remittances to the priority investment projects can be powerful policy devices to improve the external competitiveness and avert ‘Dutch Disease' in Bangladesh.     

Limitations of the Theories of Nonprofits and Benchmarking Services Delivery Dimensions of Poverty-Reduction Programs in Rural Bangladesh

Even though both contract failure and consumer control theories of nonprofits stress the need for monitoring the performance of the firms, these models fail to offer any guidelines on how to do so. In general, the performance of poverty-reduction projects are assessed on amounts of loan disbursement, repayment rates, area of coverage, and financial sustainability. However, performance assessment based on the efficiency of service delivery has in the past been ignored even though the importance of efficient service delivery in poverty-reduction programs is well recognized in the literature and in the theories of nonprofits. Due to this specific lacuna, benchmarking in the aspects of efficient service delivery has never been applied. Based on primary data collected from 78 villages in Bangladesh from September to December 2009, this article develops a two-dimensional multi-item service delivery index to compare the efficiency of participating organizations in the stated programs in order to set industry benchmark values for each item of the index.     

Is the Hybrid New Keynesian Phillips Curve Stable? Evidence from Some Emerging Economies

This paper primarily examines whether the ‘hybrid new Keynesian Phillips curve’ (HNKPC) holds for four important emerging economics viz., Brazil, Russia, India and South Africa. This has been done after testing for the structural stability of this relationship. Econometric issues like the test of unit roots in presence of a structural break and estimation of output gap have also been done appropriately. Our findings suggest that the HNKPC is not stable for all the four countries. However, the analysis based on the two sub-periods thus formed clearly shows mixed evidence in respect of holding of this relationship.

     

Implied Risk Aversion Parameter from Option Prices

This paper estimates the representative investor's coefficient of relative risk aversion using option price data. Estimation is carried out using the method of simulated moments. Employing the following assumptions: a) agents have constant proportional risk averse preferences, b) complete markets exist, and c) asset returns are distributed lognormally, an objective function is constructed within the equivalent martingale measure framework. Unlike the case of equity markets, the implied risk aversion parameter from option prices is quite low and stays between zero and one.     

The Behaviour of the Real Exchange Rate: Evidence from an Alternative Price Index

Although the long–run purchasing power parity (PPP) hypothesis is expected to hold across tradable goods, all price indices available to researchers for testing the validity of PPP contain some proportion of non–tradable goods prices, which may generate substantial persistence in the real exchange rate. We construct time series for quarterly price indices that minimize the presence of non–tradable goods for six major economies. Applying recently developed nonlinear econometric techniques to the resulting five US dollar real exchange rate series for the recent floating exchange rate regime, we provide evidence that the nonlinear mean reverting properties of these real exchange rate series are stronger than the mean reverting properties of real exchange rate time series constructed using the consumer price index (CPI). In turn, these results have a natural economic interpretation.
(J.E.L.: F31).     

Inefficiencies in a Model of Team Formation

We consider a two period model with complete information involving three agents, two on one side of the market, and one on the other. The agents on the same side of the market bargain, among themselves, over whether to form a team or not, and also with the other agent, either singly or as a team, regarding the payoffs. We characterize the subgame perfect Nash equilibrium of this game. We find that the behavioral assumptions regarding the agents play a critical role in the outcome. If the agents are combative then the outcome is efficient. Whereas if the agents are peace loving, and the discount factor is large, then the outcome may involve delay, as well as (inefficient) team formation.