Testing for unit roots in time series models with non-stationary volatility

Many of the key macro-economic and financial variables in developed economies are characterized by permanent volatility shifts. It is known that conventional unit root tests are potentially unreliable in the presence of such behaviour, depending on a particular function (the variance profile) of the underlying volatility process. Somewhat surprisingly then, very little work has been undertaken to develop unit root tests which are robust to the presence of permanent volatility shifts. In this paper we fill this gap in the literature by proposing tests which are valid in the presence of a quite general class of permanent variance changes which includes single and multiple (abrupt and smooth-transition) volatility change processes as special cases. Our solution uses numerical methods to simulate the asymptotic null distribution of the statistics based on a consistent estimate of the variance profile which we also develop. The practitioner is not required to specify a parametric model for volatility. An empirical illustration using producer price inflation series from the Stock–Watson database is reported.     

The effect of rule 12b-1 on bond fund expense ratios

This paper presents empirical evidence that bond mutual funds which have adopted the use of 12b-1 fees have not achieved the goal of lowering expense ratios. Using a model specific to bond funds, as opposed to generic models used in previous studies on equity funds, the analysis confirms that the 12b-1 fee is an additional cost borne by shareholders of the fund without any additional benefit. However, this cost as a percent of the net asset value of the fund has decreased from 1991 through 1994. This reduction coincides with the submission of a proposed rule change by the National Association of Security Dealers concerning maximum sales charges imposed by mutual funds on December 28, 1990 and the implementation of limits on 12b-1 fees which became effective in July of 1993.     

Don’t kill the messenger! Whistle-blowing in America — A review with recommendations

Whistle-blowing in America business and industry has increased as interest in ethical business behavior and the cost of unethical behavior have grown. Whistle-blowing plays the important role of helping to fill the gaps in the regulatory system that is designed to check the abuse of organizational power. However, the practice of whistle-blowing is controversial and whistle-blowers often pay a high price for their actions. Firms can engage in a number of actions to encourage whistle-blowing. Creating a climate that encourages employees to report organizational wrong doing and that protects the whistle-blower is critical. To create such a climate the organization must build trust and cooperation by educating employees in the benefits of ethical and legal behavior.     

The relative importance of journals used in operations management research A citation analysis

Journal rankings are important for a variety of reasons, most importantly as the basis of academic tenure and promotion decisions. A common approach in other fields is the citations methodology which is used in this study to determine the relative importance of various operations management (OM) journals. The citations analysis noted the frequency that all other journals are cited in Decision Sciences, Journal of Operations Management, and Management Science during the period 1992 to 1994. Rankings are provided based on total citations, citations per article, and citations per words published. The study shows that the journals with the most importance to OM research are Management Science, Decisions Sciences and Operations Research. Other journals important to OM research are the Harvard Business Review, Journal of Operations Management, and IIE Transactions.     

Botswana's Macroeconomic Management of Its Mineral-Based Growth: It Used Mining Revenues for Development and Services but Must Now Broaden the Beneficiaries

Abstract . The economic performance and the political history of Botswana during 1974-84 contrasted significantly with the experience of virtually every other African country. The South African republic, immediately north of the Republic of South Africa, achieved steady real economic growth with improved social services and provision for its people's basic needs. This was achieved in spite of world recession and drought because its mineral wealth Was reserved for the people and mining companies had to pay for the privilege of extracting that wealth through a tax program limited to appropriating its surplus, while assuring the investors and entrepreneurs an adequate long-term return on capital and enterprise. But sound macroeconomic policies failed to provide even reasonably equitable benefits for the majority of the people. Sound micropolicies are needed to widen access to employment and earned income and to asset accumulation.     

Henry George and The Reconstruction of Capitalism

A bstract . The moral basis for the recommendation of Henry George that land , not labor and capital, be taxed is explained. The justification is that the value of land is socially created by density of population and as a result of private and public improvements , such as roads and utilities. This policy is advocated on the basis of its very successful, if limited, use in many places. It is contended that the need for many forms of social intervention in the economic process, which have many side consequences, would be dramatically lessened.     

PROPRIETORIAL CONTROL IN FAMILY FIRMS: SOME FUNCTIONS OF 'QUASI-ORGANIC' MANAGEMENT SYSTEMS

The purpose of this paper is to investigate the strategies of managerial control which are used by the proprietors of family-owned business enterprises. Interviews with the proprietors and senior managers of businesses in the building industry illustrate the ‘quasi-organic’ nature of management structures. These grant some autonomy to senior managers without threatening proprietorial decision-making prerogatives. Although the family firm has certain distinctive features, similar control strategies designed to ensure that delegated decisions are ‘reliable’ and ‘responsible’ are evident in various types of business enterprise. There is, then, scope for further comparative research within a conceptual framework which does not entirely divorce the family firm from other business organizations.     

Nonresponse Bias and Stimulus Effects in the Dutch National Election Study

Bias is a much-debated issue in survey research. Answer effects (respondents claim to have behaved differently than they did in reality), nonresponse bias (nonrespondents differ on important variables from the respondents) and stimulus effects (by participating in a previous wave of a study, respondents change their behavior or attitude) can seriously distort the results of survey research. By using data from the 1998 Dutch National Election Study the authors show that the results of election research can indeed be affected by bias. Not only are significant effects found in the distribution of political attitude and voting behavior variables as a result of both nonresponse bias and stimulus effects, it is also shown that relations between variables change as a result of bias.     

Critical factors in computing externalities for electricity resources

The New York State Environmental Externalities Cost Study and computerized externality model (EXMOD) are used to examine the specification of methods design and application factors in the computation of electricity externalities. We report the sensitivity of externality estimates with alternative specifications for 15 different factors in the analysis, including the selection of facility type, site, and operating characteristics; air emission assumptions and air modeling procedures; dose-response assumptions; economic valuation assumptions; and other modeling procedures and assumptions. Many of the factors that most influence externality computations can be well specified in the analysis, such as the facility type, age, characteristics, emission rates, whether there is SO₂ trading, and the inclusion of long range impacts. Most significant among the factors for which there remains significant scientific uncertainty are the selection and application of air dispersion models, selection of air pollution thresholds for health impacts, reduced life span risks associated with ozone exposure and with long-term exposure to PM₁₀, values for CO₂ damages, and the value to be applied to increased risks of reduced life span for individuals age 65 or older.     

Keynes' theory of money and his attack on the classical model

This paper centers on Keynes' theory of money and his attack on the classical model. Keynes criticized the self-correcting model of the British orthodoxy along two separate lines. In the first, in which Keynes' theory of money was crucial, he took the institutional variables as given and examined the functional relationships. Keynes' burden was to undermine what he termed the "classical dichotomy," where money was a veil, playing no role in determining output and employment. Two key features of the orthodox model were loanable funds and quantity theories, and Keynes' theory of money emerged from the rejection of these theories. The key to his attack on the classical dichotomy was the speculative demand for money, which he presented as an indirect, unstable function of the interest rate. Hence, Keynes linked money demand to the interest rate. The interest rate was thus determined by monetary variables rather than real factors, contrary to British orthodox opinion. Keynes then demonstrated that intended investment and saving need not be equal at a full employment equilibrium.A previous version of this paper was presented at the Fiftieth International Atlantic Economic Conference, October 15–18, 2000, Charleston, South Carolina. The authors are grateful to participants for their helpful suggestions. The authors are responsible for any remaining errors.