A comparison of financial duration models via density forecasts

Using density forecast evaluation techniques, we compare the predictive performance of econometric specifications that have been developed for modeling duration processes in intra-day financial markets. The model portfolio encompasses various variants of the Autoregressive Conditional Duration (ACD) model and recently proposed dynamic factor models. The evaluation is conducted on time series of trade, price and volume durations computed from transaction data of NYSE listed stocks. The results show that simpler approaches perform at least as well as more complex methods. With respect to modeling trade duration processes, standard ACD models successfully account for duration dynamics while none of the models provides an acceptable specification for the conditional duration distribution. We find that the Logarithmic ACD, if based on a flexible innovation distribution, provides a quite robust and useful framework for the modeling of price and volume duration processes.     

Business cycle dynamics with duration dependence and leading indicators

Durland and McCurdy [Durland, J.M., McCurdy, T.H., 1994. Duration-dependent transitions in a Markov model of US GNP growth. Journal of Business and Economic Statistics 12, 279–288] investigated the issue of duration dependence in US business cycle phases using a Markov regime-switching approach, introduced by Hamilton [Hamilton, J., 1989. A new approach to the analysis of time series and the business cycle. Econometrica 57, 357–384] and extended to the case of variable transition parameters by Filardo [Filardo, A.J., 1994. Business cycle phases and their transitional dynamics. Journal of Business and Economic Statistics 12, 299–308]. In Durland and McCurdy’s model duration alone was used as an explanatory variable of the transition probabilities. They found that recessions were duration dependent whilst expansions were not. In this paper, we explicitly incorporate the widely-accepted US business cycle phase change dates as determined by the NBER, and use a state-dependent multinomial Logit modelling framework. The model incorporates both duration and movements in two leading indexes – one designed to have a short lead (SLI) and the other designed to have a longer lead (LLI) – as potential explanatory variables. We find that doing so suggests that current duration is not only a significant determinant of transition out of recessions, but that there is some evidence that it is also weakly significant in the case of expansions. Furthermore, we find that SLI has more informational content for the termination of recessions whilst LLI does so for expansions.     

Nonparametric estimation of a dependent competing risks model for unemployment durations

In this paper we simultaneously analyze transitions from unemployment to employment and to nonparticipation. We estimate a dependent competing risks model with nonparametric specifications of the destination-specific duration dependence and unobserved heterogeneity terms, allowing for mutual dependence of the unobserved heterogeneity terms. We use an administrative data set covering all registered French unemployed over the period 1988–1994, stratified by gender type, duration class and exit state. We thank the Editor and three anonymous referees for their useful comments. A preliminary version of this paper was distributed under the title “Individual variation in exit rates from unemployment: a nonparametric multivariate analysis using aggregate data”. The Département de Marché du Travail of the Ministère du Travail, de l’Emploi et de la Formation Professionelle of France kindly provided the data.     

Firm survival: methods and evidence

This paper surveys the Industrial Organization literature on firm survival. We find that, in retrospect, the econometric specifications used in this area have progressively become more sophisticated, addressing issues such as discrete time, unobserved heterogeneity and competing risks. We also identify a number of firm- and industry-specific covariates that provide largely consistent results across samples, countries and periods. On the other hand, the evidence is less clear-cut with regard to ownership and spatial factors.

Determinants of firm survival: a duration analysis using the generalized gamma distribution

We use parametric duration analysis to study the survival of Austrian firms. We find that hazard rates in both manufacturing and services initially increase, reach a peak after the first year of operation and then decrease with age. The maximum hazard rate is higher in services. We also find differences in hazard rates among different types of manufacturing industries distinguished by the nature of their sunk costs, their reliance on human resources and inputs from external services. Finally, we find that larger initial size and higher market growth, and at the same time lower net entry and declining market concentration prolong the life of an entrant.

Getting stuck,falling behind or moving forward: Rural livelihood movements and persistence in Nepal

Research on household livelihood dynamics is central to rural poverty reduction. In this paper, we adopt a three-wave panel dataset to explore the persistence of and transitions in household livelihoods in three districts of Nepal using duration and dynamic probit models. The results demonstrate that the livelihood strategies of rural households are dynamic: approximately 16 per cent of the sample households transitioned up to high-remunerative livelihood strategies, 10 per cent of the households shifted down to either low- or medium-remunerative livelihood strategies, and 69 per cent remained trapped in low-remunerative livelihood strategies. The major upward transition occurred from medium-remunerative strategies to high-remunerative strategies (14 per cent). Overall, 70 per cent of the households persisted in one of the three livelihood strategies, and the remaining 30 per cent changed their strategy at least once. This dynamic is associated with the households’ duration in a particular livelihood strategy and the various characteristics of households and household heads. Understanding livelihood movement, livelihood persistence and the associated covariates and targeting the poor on this basis is crucial to combating rural poverty and dismantling poverty traps. To this end, the present study suggests (i) strengthening physical and financial asset endowments to address low-remunerative strategies, (ii) improving infrastructure connectivity, particularly in remote and inaccessible areas, (iii) insuring against shocks, iv) enhancing opportunities for generating remittances and enabling petty trade, and (v) supporting the establishment of business ventures.     

Market approval of phytosanitary active substances in Europe: An empirical duration analysis

The aim of this paper is to analyze empirically the main determinants of delays to market approval of active substances in Europe. An interesting feature of this regulation is that it is based on both a decentralized examination by the rapporteur country and a centralized examination by the European Food Safety Authority (EFSA). Our econometric analysis is based on standard survival and competing risks models. The data cover 393 active substances reviewed between 1993 and 2013.We show that the review process is affected by regulatory factors, the characteristics of the active substances and the characteristics of agri-chemical firms. Log-logistic and log-normal survival models are the preferred parametric specifications, and the results suggest that the hazard function is non-monotonic over time.     

Effects of social influence on consumers' voluntary adoption of innovations prompted by others

Research on innovation adoption focuses on voluntary adoption, although non-voluntary or prompted adoption decisions are prevalent in real life, especially for high-tech products and services. This study aims to investigate the effect of social influence on consumers' innovation adoption in the context of prompted adoption. In particular, the present paper models the duration of voluntary adoption as a function of social norms, attractiveness of the prompter, number of prompters, and so on. Prior knowledge is not only a control variable, but also a moderating variable for a few social factors. This paper validates models relying on the illustrative application of a mobile gift service called Gifticon. The results provide much insight for marketing practitioners on how to accelerate consumers' adoption behavior and therefore the diffusion of innovative products.     

交易持续期、交易信息与投资者行为——基于PCD模型的研究

使用 PCD 模型,通过引入买卖价差、交易量、交易规模、委托指令流等交易信息变量探讨交易信息对投资者行为的影响。实证研究表明,买卖价差与期望交易持续期显著正相关,不支持 Easley 和 O’Hara (1992)的观点。同时大规模的交易能够显著地延长交易持续期,而中等规模的交易能够减小交易持续期,证实了知情交易者的隐藏交易假说。指令流信息中的买卖申报数量也对交易持续期有显著的影响,上期买卖申报数量与本期交易持续期正相关。     

中国出口贸易联系是否稳定？

出口贸易持续期的长度反映了一国出口贸易联系的稳定性,是国际贸易领域研究的新议题。依据生存分析法,选择1992-2011年中国与37个主要出口目的地的样本数据,对出口贸易联系持续期变动及影响因素进行了量化分析。研究表明,中国出口贸易持续期较短,且生存概率呈快速下降趋势,短期内降低对发达市场出口过度依赖困难较大,而通过积极参加区域经济合作,并重视现有市场维护将对出口贸易的稳定发展起到更为显著的作用。