VOLUNTARY IMPORT EXPANSION AND DIRECT INVESTMENT*

This paper analyses the welfare effects of a market‐share Voluntary Import Expansion (VIE) in the presence of foreign direct investment utilizing a duality approach. Introducing the cost burden of VIE explicitly, this paper considers the conditions under which a market‐share VIE is voluntary to the importing country. It is shown that the voluntary nature of VIE depends upon the capital import, cost burden and price difference effects and that a VIE is truly voluntary if it is accompanied by direct investment. We also show the existence of a complementary relationship between VIE and direct investment in attaining a particular level of welfare.     

A THREE‐STEP PROCEDURE FOR ESTIMATING AND TESTING COINTEGRATED ARMAX MODELS*

To deal with a variety of inferential problems on non‐stationary cointegrated time series, this paper proposes a computationally feasible method based on the Whittle likelihood and examines its performance. For the empirical application of our method, the paper investigates three sets of Japanese and US monetary and financial time‐series data. To evaluate the p‐value of the likelihood ratio statistic, we propose an approximation procedure based on the gamma distribution and the accompanying Laguerre expansion for reducing the computational burden. We also provide a numerical procedure for the asymptotic covariance matrix of the Whittle estimator.     

COMPUTATION OF NASH-BARGAINED MODELS OF HOUSEHOLD LABOUR SUPPLY*

This paper explores a method of recovering the structural parameters of a Nash-bargained model of household labour supply. It proceeds by computing the desired hours of labour supply numerically rather than analytically, thus circumventing the need for analytical tractability. This numerical procedure is then embedded in a conventional maximum-likelihood estimation to obtain estimates of the structural preference parameters. An example using Family Expenditure Survey data is reported.     

TESTS OF UNIT ROOTS AND COINTEGRATION HYPOTHESES IN ECONOMETRIC MODELS*

A number of statistical procedures for testing the unit roots hypotheses and the cointegration hypothesis have been proposed by statisticians and econometricians. This paper unifies many of the previous studies on unit roots tests and cointegration tests in the framework of a multivariate regression model and develops some new test statistics. We give a convenient quadratic representation of the limiting distributions of test statistics using stochastic integrals with respect to Brownian motions. The test procedures in this paper include the statistics for testing the unit root, the double unit roots, the seasonal unit roots, and the cointegrating relations for special cases. We also discuss some useful generalizations of unit roots tests and cointegration tests for empirical studies.     

ON THE INTERPRETATION OF COVARIATE ESTIMATES IN INDEPENDENT COMPETING-RISKS MODELS*

Competing-risks models are becoming increasingly pervasive in applied research to explain the factors determining both the time in a state (i.e. unemployment) and the exit route from the state (is. leaving unemployment for a job or non-participation). However, as in many limited dependent variable models, the interpretation of the covariate estimates requires care. Despite assertions to the contrary in many published papers, it is shown that the estimated qualitative effect of a covariate on the hazard for risk j typically conveys no information on its qualitative effect on either the likelihood of, or expected time until, exit via j. This is because such magnitudes depend on the qualitative and quantitative effects of the covariate on other risks which cannot be ignored. The point is demonstrated by using UK data on the unemployment to re-employment transitions of a sample of male job losers.