Modelling Category Inflation with Multiple Inflation Processes: Estimation,Specification and Testing1

Zero‐inflated ordered probit (ZIOP) and middle‐inflated ordered probit (MIOP) models are finding increasing favour in the discrete choice literature. We propose generalizations to these models – which collapse to their ZIOP/MIOP counterparts under a set of simple parameter restrictions – with respect to the inflation process. These generalizations form the basis of a new specification test of the inflation process in ZIOP and MIOP models. Support for our generalization framework is principally demonstrated by revisiting a key ZIOP application from the economics literature, and reinforced by the reassessment of an important MIOP application from political science. Our specification test supports the generalized models over the original ZIOP/MIOP ones, suggesting an important role for it in modelling zero‐ and middle‐inflation processes.     

Discrete Hours Labour Supply Modelling: Specification, Estimation and Simulation

Abstract.  The assumption behind discrete hours labour supply modelling is that utility‐maximising individuals choose from a relatively small number of hours levels, rather than being able to vary hours worked continuously. Such models are becoming widely used in view of their substantial advantages, compared with a continuous hours approach, when estimating and their role in tax policy microsimulation. This paper provides an introduction to the basic analytics of discrete hours labour supply modelling. Special attention is given to model specification, maximum likelihood estimation and microsimulation of tax reforms. The analysis is at each stage illustrated by the use of numerical examples. At the end, an empirical example of a hypothetical policy change to the social security system is given to illustrate the role of discrete hours microsimulation in the analysis of tax and transfer policy changes.     

Specification Searching and Significance Inflation Across Time,Methods and Disciplines

This paper examines how significance inflation has varied across time, methods and disciplines. Leveraging a unique data set of impact evaluations on 20 kinds of development programmes, I find that results from randomized controlled trials exhibit less significance inflation than results from studies using other methods. Further, randomized controlled trials have exhibited less significance inflation over time, but quasi‐experimental studies have not. There is no robust difference between results from researchers affiliated with economics departments and those from researchers affiliated with other predominantly health‐related departments. Overall, the biases found appear much smaller than those previously observed in other social sciences.     

Spatial Growth Regressions: Model Specification,Estimation and Interpretation

Abstract

We attempt to clarify a number of points regarding use of spatial regression models for regional growth analysis. We show that as in the case of non-spatial growth regressions, the effect of initial regional income levels wears off over time. Unlike the non-spatial case, long-run regional income levels depend on: own region as well as neighbouring region characteristics, the spatial connectivity structure of the regions, and the strength of spatial dependence. Given this, the search for regional characteristics that exert important influences on income levels or growth rates should take place using spatial econometric methods that account for spatial dependence as well as own and neighbouring region characteristics, the type of spatial regression model specification, and weight matrix. The framework adopted here illustrates a unified approach for dealing with these issues.     

Exponential Tilting with Weak Instruments: Estimation and Testing*

This article analyses exponential tilting estimator with weak instruments in a nonlinear framework. Our paper differs from the previous literature in the context of consistency proof. Tests that are robust to the identification problem are also analysed. These are Anderson–Rubin and Kleibergen types of test statistics. We also conduct a simulation study wherein we compare empirical likelihood and continuous updating‐based tests with exponential tilting (ET)‐based ones. The designs involve GARCH(1,1) and contaminated structural errors. We find that ET‐based Kleibergen test has the best size among these competitors.     

Analysing Multivariate Spatial Point Processes with Continuous Marks: A Graphical Modelling Approach

This paper discusses the application of graphical modelling in the statistical analysis of marked point patterns. We consider a multivariate planar point process with quantitative marks. After a survey of statistical methods for marked point processes, a new graphical model is presented. The sub‐processes of marked points with identical discrete marks are identified with nodes of a graph, which is used to describe aspects of the spatial relationship: If two sub‐patterns are similar, then an arc is made between the corresponding nodes. Similarity is defined based on spectral densities, which makes the computations efficient. The resulting graph presents all these pairwise similarities simultaneously. We demonstrate the application of our method in the analysis of a multi‐species forest, where the points are tree locations, the discrete marks tree species and the quantitative marks are the diameters at breast height.     

The Multinomial Probit Model Revisited: A Discussion of Parameter Estimability,Identification and Specification Testing

In this paper we examine the multinomial probit model in the light of recent developments in the field of simulation-based inference. We focus upon five broad areas: specification of multinomial choice models; parameter estimability and the use of simulation techniques, parameter identification; specification testing; and practical issues in simulation-based inference. Although the substitution of simulated probabilities for difficult to compute multidimensional integrals represents a significant step, by examining the more tenuous task of identification and in particular the identification of covariance parameters, we show how the specification and estimation of the multinomial probit still represents a formidable task.     

样本数据缺失情形下泊松过程的强度估计和检验

文章讨论了样本数据缺失情形下泊松过程的强度估计和检验问题。用极大似然估计、矩估计法和最小二乘估计法对强度进行估计,分别得出了极大似然估计强度的迭代方法,矩估计值及最小二乘估计值。证明了矩估计值和最小二乘估计值的无偏性和相合性,导出了其统计量的极限分布。最后,对两个Poisson过程的差异进行了假设检验同时给出渐近置信区间。     

Modelling and Estimation for Bivariate Financial Returns

Maximum likelihood estimates are obtained for long data sets of bivariate financial returns using mixing representation of the bivariate (skew) Variance Gamma (VG) and two (skew) t distributions. By analysing simulated and real data, issues such as asymptotic lower tail dependence and competitiveness of the three models are illustrated. A brief review of the properties of the models is included. The present paper is a companion to papers in this journal by Demarta & McNeil and Finlay & Seneta.     

Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing1

This paper stresses the bimodality of the likelihood function of the Mixed causal–noncausal AutoRegressions (MAR), and it is shown that the bimodality issue becomes more salient as the causal root approaches unity from below. The consequences are important as the roots of the local maxima are typically interchanged, attributing the noncausal component to the causal one and vice‐versa. This severely changes the interpretation of the results, and the properties of unit root tests of the backward root are adversely affected. To circumvent the bimodality issue, this paper proposes an estimation strategy which (i) increases noticeably the probability of attaining the global MLE; and (ii) selects carefully the maximum used for the unit root test against a MAR stationary alternative.     

Testing for Panel Cointegration with Multiple Structural Breaks*

This paper proposes a Lagrange multiplier (LM) test for the null hypothesis of cointegration that allows for the possibility of multiple structural breaks in both the level and trend of a cointegrated panel regression. The test is general enough to allow for endogenous regressors, serial correlation and an unknown number of breaks that may be located at different dates for different individuals. We derive the limiting distribution of the test and conduct a small Monte Carlo study to investigate its finite sample properties. In our empirical application to the solvency of the current account, we find evidence of cointegration between saving and investment once a level break is accommodated.     

Argentina: Inflation, Income Distribution and Class Conflict

Mrs Thatcher's slow progress in freeing the economy shows how little she has learned from the failure of attempts abroad. The lesson of Argentina is that she will have to buy support for her policies by creating groups with a direct interest in her success.     

Specification and Testing of Markov Chain Models: An Application to Convergence in the European Union

Recently Markov chains have been used to analyze the convergence properties of national and regional per capita incomes. This paper highlights their applicability and importance for economists and illustrates some of the potential pitfalls associated with this approach. The empirical conclusions, based on data for the period 1975 to 1993, are that the regions of the EU appear to be converging to a form of equilibrium characterized by stable proportions of economies at a range of output per capita levels, and by a permanent chance of mobility between all levels, consistent with the existence of multiple steady-states across countries.     

Inflation,financial development,and growth: A trilateral analysis

A large body of evidence links financial development to economic growth, yet the channels through which inflation affects this relationship and its stability have been less thoroughly explored. We take an econometric and graphical approach to examining these channels, and find that higher levels of financial development, combined with low-inflation, are related to higher rates of economic growth, especially in lower income countries, but that financial development loses much of its explanatory power in the presence of high-inflation. In particular, small increases in the price level seem able to wipe out relatively large growth effects of financial deepening when the annual rate of inflation lies between 4% and 19%, whereas the operation of the finance–growth link is less affected by inflation rates above this range. Growth is generally much lower, however, in such high-inflation settings where financial development is typically repressed.     

预期、混合菲利普斯曲线与中国通货膨胀动态特征

将货币因素与输入性因素（如汇率、国际石油价格等）引入新凯恩斯混合菲利普斯曲线框架构建高阶滞后的混合菲利普斯曲线模型,并利用1995年第1季度至2013年第2季度的数据进行实证分析,结果显示：总需求变化对我国通货膨胀率的影响很小,而货币因素与输入性因素（如汇率以及国际大宗商品价格变化）成为影响我国通货膨胀率的重要因素;我国通货膨胀主要受到前瞻性预期的影响,而通胀惯性对通货膨胀水平的影响不大;相对而言,货币因素对我国通货膨胀具有最重要的影响。     

Emerging Markets, Unemployment and Inflation

World inflation is being held down by emerging market competition interacting with continuing OECD monetary policy. Here at home, fast productivity growth makes the UK something of an emerging market within Europe.     

Multiple Temporalities of Policy Circulation: Gradual,Repetitive and Delayed Processes of BRT Adoption in South African Cities

In 2006, bus rapid transit (BRT) swept across South African cities. Within three years of learning of the Bogotá model of BRT, Johannesburg's Rea Vaya opened, followed shortly by Cape Town's MyCiTi, while several other cities are at various stages of planning and implementation. This article traces the circulation of BRT across the South African urban context to expose the multiple and varied temporalities through which BRT came to appear as the only available solution. These earlier encounters, which include the first published discussion of BRT in South Africa in a 1973 conference report, study visits to Curitiba in the 1990s and a failed attempt to implement a Bogotá‐style BRT system in Cape Town in 2003, were instrumental in creating a fertile ground for later adoption practices. While it may appear as if circulated policies shorten the gestation time from policy introduction to policy adoption, these repeated attempts to implement circulated innovations ensure that the turnover only seems accelerated. This article unravels the story of BRT adoption, departing from the theoretical discussions of the policy circulation process as a rapid phenomenon, instead demonstrating that it is gradual, repetitive and at times delayed.