Testing for Cross-sectional Dependence in Regional Panel Data

Abstract

We examine three tests of cross-sectional dependence and apply them to a Danish regional panel dataset with few time periods and a large cross-section: the CD test due to Pesaran (2004), the Schott test and the Liu–Lin–Shao test. We show that the CD test and the Schott test have good properties in a Monte Carlo study. When controlling for panel-specific and time-specific fixed effects, the Schott test is superior. Our application shows that there is cross-sectional dependence in regional employment growth across Danish regions. We also show that this dependence can be accounted for by time-specific fixed effects. Thus, the tests uncover new properties of the regional data.

RÉSUMÉ Nous examinons trois tests d'autonomie transversale, que nous appliquons à des ensembles de données d'une commission régionale danoise, avec peu de plages de temps et un vaste échantillons: le test d'autonomie transversale mené par Pesaran (2004), le test de Schott et le test Liu–Lin–Shao. Nous démontronsque le test d'autonomie transversale et le test de Schott présentent de bonnes propriétés dans uneétude Monte Carlo. Lorsquel'on se penchesur les effets propres au panel et les effets fixes en fonction du temps, le test de Schott dépasse les autres. Notre application illustre le dépendance transversale dans l'expansion de l'emploi à l’échelon régional dans les régions danoises, et nous démontronsque cette dépendance peut s'expliquer par des effets fixes en fonction du temps. De cette façon, le test révèle des propriétés nouvelles des données régionales.

RESUMEN Examinamos tres pruebas de dependencia transversal y las aplicamos a un conjunto de datos de panel regional en Dinamarca con pocos períodos de tiempo y una gran sección transversal: la prueba CD de Pesaran (2004), la prueba Schott y la prueba Liu–Lin–Shao. Demostramos que la prueba CD y la prueba Schott poseen buenas propiedades en un estudio de Monte Carlo. Al controlar los efectos fijos específicos de panel y específicos de tiempo, la prueba Schott es superior. Nuestra aplicación demuestra que existe una dependencia transversal en el crecimiento del empleo regional a través de las regiones danesas. Asimismo, demostramos que esta dependencia puede ser explicada mediante los efectos fijos específicos de tiempo. Por lo tanto, las pruebas dejan al descubierto nuevas propiedades de los datos regionales.

     

Diagnostic Tests of Cross‐section Independence for Limited Dependent Variable Panel Data Models*

This article considers the problem of testing for cross‐section independence in limited dependent variable panel data models. It derives a Lagrangian multiplier (LM) test and shows that in terms of generalized residuals of Gourieroux et al. (1987) it reduces to the LM test of Breusch and Pagan (1980) . Because of the tendency of the LM test to over‐reject in panels with large N (cross‐section dimension), we also consider the application of the cross‐section dependence test (CD) proposed by Pesaran (2004) . In Monte Carlo experiments it emerges that for most combinations of N and T the CD test is correctly sized, whereas the validity of the LM test requires T (time series dimension) to be quite large relative to N. We illustrate the cross‐sectional independence tests with an application to a probit panel data model of roll‐call votes in the US Congress and find that the votes display a significant degree of cross‐section dependence.     

非平稳面板数据的非线性共同周期检验

经济变量的协同波动是学术界、宏观政策制定者长期关注的重要问题,本文将时间序列数据的共同周期检验方法扩展至面板数据,提出非平稳面板数据的非线性共同周期检验方法。本文根据数据特征,将共同周期划分为强降秩结构共同周期和弱降秩结构共同周期,分别在强降秩结构数据和弱降秩结构数据中提出共同周期检验统计量,并提出区分强降秩结构数据和弱降秩结构数据的统计量。研究结果表明,本文检验统计量的极限分布都是卡方分布,并且各检验统计量都表现出良好的有限样本性质,因此,本文提出的非平稳面板数据的非线性共同周期检验方法具有较高的实用性。     

Bootstrap J-Test for Panel Data Models with Spatially Dependent Error Components,a Spatial Lag and Additional Endogenous Variables

We develop a bootstrap J-test method for testing a panel model against one non-nested alternative when the competing specifications are estimated by Feasible Generalised Spatial Two Stage Least Squares/Generalised Method of Moments (FGS2SLS/GMM). Both models incorporate spatially correlated error components, thus accounting for spatial heterogeneity via random effects, and accommodate endogenous regressors other than the spatially lagged dependent variable. The proposed scheme is applied to a testing problem involving non-nested wage equations as motivated by the Wage Curve literature and the New Economic Geography theory. Results show that our bootstrap test is a reliable and effective procedure for correcting asymptotic reference critical values and distinguishing between the two rival hypotheses.     

Environmental Kuznets Curves for Air Pollutant Emissions in Italy: Evidence from Environmental Accounts (NAMEA) Panel Data

This paper provides new empirical evidence on delinking and Environmental Kuznets Curves (EKC) for greenhouse gases and other air pollutant emissions in Italy. A panel dataset based on the Italian NAMEA (National Accounts Matrix including Environmental Accounts) for 1990–2001 is analysed. The highly disaggregated dataset (29 production branches, 12 years and nine air emissions) provides a large heterogeneity and can help to overcome the shortcomings of the usual approach to EKC based on cross-country data. Both value added and capital stock per employee are used as alternative drivers for analysing sectoral NAMEA emissions. Trade openness at the same sectoral level is also introduced among the covariates. We find mixed evidence supporting the EKC hypothesis. The analysis of NAMEA-based data shows that some of the pollutants such as two greenhouse gases (CO₂ and CH₄) and CO, produce inverted U-shaped curves with coherent within-range turning points. Other pollutants (SO_X, NO_X, PM₁₀) show a monotonic or even N-shaped relationship. Macro sectoral disaggregated analysis highlights that the aggregated outcome should hide some heterogeneity across different groups of production branches (industry, manufacturing only and services). Services tend to present an inverted N-shape in most cases. Manufacturing industry shows a mix of inverted U and N-shapes, depending on the emission considered. The same is true for industry (all industries, not only manufacturing): although a turning point has been experienced, N-shapes may lead to increased emissions with respect to very high levels of the economic driver. In general, EKC evidence is more pronounced for greenhouse gases. The results suggest that analysis at macro sector (whole industry, manufacturing only and services) can be the most promising approach to future research on EKC.     

面板数据分析中含两阶段自回归残差的单因素误差分量模型研究

在面板数据分析中残差自相关使得参数估计更加复杂。本文提出了含两阶段自回归残差的单因素误差分量模型,并推导了在这一模型中如何计算广义最小二乘估计量及其相关性质。     

On the Risk Performance of Bays Empirical Bayes Procedures for Classification Between N(-1,l) and N(1,1)

In empirical Bayes decision making, the Bayes empirical Bayes approach is diccussed by Gilliland and Boyer (1979). In the finite state component case, the Bayes empirical Bayes procedures are shown to have optimal properties in a fairly general setting and believed to have small sample advantage over the classical rules. The flexibility of making desirable adjustments for these decision procedures by choice of prior enables one to set a proper strategy when dealing with actual problems.
The applications of Bayes empirical Bayes procedures, however, create some interesting theoretical and computational problems as they are fairly complicated in structure. This paper gives a brief introduction into the Bayes empirical Bayes approach, and, to illustrate it, explicit results are given for testing H₀: N(-1,1) against H₁: N(1,1).     

Simultaneous Models for Contingency Tables: A Reanalysis of Heatherton et al. (1997) Data on Eating Behavior

In panel studies, where a categorical response is measured attwo points in time, we can examine two kind of hypotheses regardingthe nature of change. The first is related with change at theindividual level (gross change) through the modelling of joint distributionof responses. The second is related with aggregate change (netchange) through the modelling of marginal distributions of responses.This paper describes a general approach to the analysis of two-wavepanel data based on Lang and Agresti's work (1994) that simultaneouslypermits the modelling of marginal and joint distributions of responses.This approach is illustrated with data from Heatherton et al.(1997) about change in dieting behaviour. These data were originallyanalyzed using the ² statistic to test independenceof responses. This paper shows how it is possible toobtain a better understanding of these data using the proposedmethodological approach.     

灰色GM(1,N)方法在股票预测中的应用

对股票价格的预测,直接影响投资者的投资决策,与投资者的经济利益密切相关。股票市场特有的的波动性和不确定性,给股票的预测带来困难。20世纪80年代兴起的灰色系统理论,应用于股市预测的探索已经取得一定成就,已经采用过GM(1,1)模型、灰色神经网络模型、以及灰色马尔可夫模型等预测方法。文中拟采用GM(1,N)模型对股票价格进行预测,并与GM(1,1)模型进行比较,证实了GM(1,N)拥有更好的精度。     

具有GARCH(1,1)-Normal-errors的单位根过程DF检验的可靠性研究

本文指出了Kim和Schmidt（1993）等在研究GARCH-errors对DF单位根检验有限样本性质影响时存在的方法上的缺陷。通过理论分析和Monte Carlo随机模拟,发现对于具有GARCH（1,1）-Normal-errors的单位根过程采用DF统计量进行检验应遵循以下规律：（1）对于任意给定的初始条件方差h0和条件方差方程的常数项ω,当去掉初始生成的数据足够多时,可以得到相当平稳的误差项序列,并且h0和ω对DF统计量k和r分布的影响可以忽略不计;（2）无论采用DF检验的临界值还是采用统计量的实际分位数,k检验均比τ检验具有较高的可靠性;（3）对于给定的干扰项系数,条件方差方程的系数和越高,k检验和τ检验的可靠性越差。     

R&D,Innovation and Knowledge Spillovers: A Reappraisal of Bottazzi and Peri (2007) in the Presence of Cross‐Sectional Dependence

Bottazzi and Peri (Economic Journal 2007; 117 : 486–511) show the existence of a cointegrating relationship between the domestic stock of knowledge, domestic R&D and the international knowledge stock for a panel of OECD countries and interpret it as evidence supporting the semi‐endogenous versus the endogenous growth theory. We replicate the baseline specification of their study and we show that main results are robust to the use of a different estimation strategy (Bai et al., Journal of Econometrics 2009; 149 : 82–99) that duly takes into account cross‐sectional correlation: interestingly, in this case we also find a larger role for knowledge spillovers. Copyright © 2014 John Wiley & Sons, Ltd.     

服务中国共谋发展--访德国莱茵T(U)V中国集团教育与咨询中国区经理胡翰林先生

德国莱茵TüV是世界最大的专业从事安全检查和技术顾问的认证机构,自1989年在上海设立第一个中国办事处以来,已为中国企业提供了广泛的服务.近些年来,随着中国物流业的蓬勃发展,公司又适时推出了一系列颇具特色的有关供应链,物流管理方面的业务.为此,本刊采访了该公司中国集团教育与咨询中国区经理胡翰林先生(以下简称胡).     

Managing External Risks for International Architectural,Engineering, and Construction (AEC) Firms Operating in Gulf Cooperation Council (GCC) States

International projects involve both uncertainties raised domestically and external risks in international transactions. Through a questionnaire survey and case studies among architectural, engineering, and construction (AEC) firms operating in the Gulf, this study found 36.5% external risk factors that should be contemplated before the award of contracts and 53.9% afterward to ensure smooth running. An external risk breakdown structure (E‐RBS) and a framework for foreign AEC firms operating in Gulf Cooperation Council (GCC) states were developed for users to identify and respond to external risks in a more systematic manner. International firms outside Malaysia are strongly advised to use the framework for risk forecasting and mitigation when operating in the Gulf.     

Asymptotics for LS,GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity

We consider a first-order autoregressive model with conditionally heteroskedastic innovations. The asymptotic distributions of least squares (LS), infeasible generalized least squares (GLS), and feasible GLS estimators and $t$ statistics are determined. The GLS procedures allow for misspecification of the form of the conditional heteroskedasticity and, hence, are referred to as quasi-GLS procedures. The asymptotic results are established for drifting sequences of the autoregressive parameter ${\rho }_n$ and the distribution of the time series of innovations. In particular, we consider the full range of cases in which ${\rho }_n$ satisfies $n(1?{\rho }_n)\to \infty$ and $n(1?{\rho }_n)\to h_1\in [0,\infty )$ as $n\to \infty$, where $n$ is the sample size. Results of this type are needed to establish the uniform asymptotic properties of the LS and quasi-GLS statistics.     

Strategy for Implementation of IFAC International Education Guideline No. 9: Prequalification Education, Tests of Professional Competence and Practical Experience of Professional Accountants: A Task Force Report of the International Association for Accounting Education and Research (IAAER)

This paper provides strategies for implementing the recommendations of the International Education Guideline No. 9 (hereafter referred to as Guideline), issued by the International Federation of Accountants. The three principal implementation issues addressed in this paper are as follows. (1) How to instill the characteristics of lifelong learning in future professional accountants through accounting education. (2) How to design and implement a program of accounting education that achieves the objectives of the Guideline . (3) How to develop awareness and encourage adoption of the recommendations of the Guideline by communicating and disseminating information through a series of projects within IFAC's constraints and policies.