Characterization of the asymptotic distribution of semiparametric M-estimators

This paper develops a concrete formula for the asymptotic distribution of two-step, possibly non-smooth semiparametric M-estimators under general misspecification. Our regularity conditions are relatively straightforward to verify and also weaker than those available in the literature. The first-stage nonparametric estimation may depend on finite dimensional parameters. We characterize: (1) conditions under which the first-stage estimation of nonparametric components do not affect the asymptotic distribution, (2) conditions under which the asymptotic distribution is affected by the derivatives of the first-stage nonparametric estimator with respect to the finite-dimensional parameters, and (3) conditions under which one can allow non-smooth objective functions. Our framework is illustrated by applying it to three examples: (1) profiled estimation of a single index quantile regression model, (2) semiparametric least squares estimation under model misspecification, and (3) a smoothed matching estimator.     

Fiscal policy and asset markets: A semiparametric analysis

Using a flexible semiparametric varying coefficient model specification, this paper examines the role of fiscal policy on the US asset markets (stocks, corporate and treasury bonds). We consider two possible roles of fiscal deficits (or surpluses): as a separate direct information variable and as a (indirect) conditioning information variable indicating binding constraints on monetary policy actions. The results show that the impact of monetary policy on the stock market varies, depending on fiscal expansion or contraction. The impact of fiscal policy on corporate and treasury bond yields follow similar patterns as in the equity market. The results are consistent with the notion of strong interdependence between monetary and fiscal policies.     

Non-linearities in cross-country growth regressions: a semiparametric approach

In this paper we employ an additive semiparametric partially linear model to uncover the way that initial output and schooling levels affect growth rates. Our results based on marginal integration allow for graphical representation of the non-linearities that characterize the effects that these variables have on growth rates and suggest the presence of multiple regimes (equilibria). Our findings seem to be in agreement with those of Durlauf and Johnson ( 1995 ) and Hansen ( 1996 ) who used a different data set. Copyright © 1999 John Wiley & Sons, Ltd.     

Determinants of industrial development: a panel analysis of South Asian economies

Quality & Quantity - A well performing industrial sector plays an important role in poverty mitigation, unemployment reduction, trade promotion, exchange of goods and services, increased per...     

Efficiency and ownership in Swedish electricity retail distribution

This article examines the efficiency of electricity retail distributors in Sweden in a multiple output multiple input framework. Productive efficiency measures are calculated by use of different versions of the non-parametric Data Envelopment Analysis (DEA) method. Comparisons are made between different types of ownership and between different types of service areas.The study indicates a rather low level of technical efficiency, a high level of scale efficiency in urban service areas, but a fairly low level of scale efficiency in rural areas. The results show no significant differences in efficiency between different types of ownership or economic organization.Paper presented at ORSA/TIMS joint national meeting, Productivity and Global Competition, Philadelphia, October 29–31, 1990.     

Intertemporal pricing and price discrimination: a semiparametric hedonic analysis of the personal computer market

We apply a smooth coefficient semiparametric model to a unique high‐frequency data set to examine the intertemporal pricing of personal computers. Furthermore, we test whether firms charge differential component prices for their top performance personal computers and whether premium firms charge both a premium for all their computers and a premium for their top performance ones. We find nonlinear effects in the pricing of personal computer components. We also find that firms in general do not charge differential prices for the components of their top performance computers. In addition, high‐quality firms charge higher premia only for their most advanced products. Copyright © 2006 John Wiley & Sons, Ltd.     

The effects of the gender of children on expenditure patterns in rural China: a semiparametric analysis

We analyse expenditure patterns for rural China, focusing on differences between families with boys and girls. The sample includes more than 5000 nuclear families from 19 Chinese provinces. Following the existing literature, we estimate Engel curves for food and for alcohol, a typical adult good. We use a flexible, partially linear specification and allow for endogeneity of total expenditures. The results are similar to those of other studies, not providing much evidence of gender differentials. We then focus on the decision to send a child to school and on the budget share spent on educational goods. Using both parametric and semiparametric estimates, we find evidence that boys are more often sent to school and that expenditures on a boy that goes to school are larger than for a school‐going girl of the same age. Copyright © 2005 John Wiley & Sons, Ltd.     

Labor productivity convergence in the Kansas farm sector: a three-stage procedure using data envelopment analysis and semiparametric regression analysis

This paper employs a three stage procedure to investigate labor productivity growth and convergence in the Kansas farm sector for a balanced panel of 564 farms for the period 1993?C2007. In the first stage, Data Envelopment Analysis is used to compute technical efficiency indices. In the second stage, labor productivity growth is decomposed into components attributable to efficiency change, technical change, and factor intensity. The third stage employs both parametric and semiparametric regression analyses to investigate convergence in labor productivity growth and the contribution of each of the three components to the convergence process. Factor intensity and efficiency change are found to be sources of labor productivity convergence while technical change is found to be a source of divergence. Policies that encourage investment in capital goods may help to mitigate disparities in labor productivity across the farm sector.     

Privatisation and the management of IR in electricity distribution

Pro-privatisation literature suggests that the transfer of ownership clarifies managerial objectives and fosters new patterns of industrial relations. However, change in the external environment will be mediated by the needs and perceptions of actors within the process and may expose managers to a range of contradictory pressures.     

Productivity differences in multiple output industries: An empirical application to electricity distribution

Given that electricity distribution is undertaken via a network, it is expected that costs of production are affected both by the nature of the network and the volume of physical output distributed via the network. This two-dimensional concept of firm size, that is involving network size (number of customers) and the level of physical output (kWh), also corresponds to the distinction between productivity measures of returns to density and returns to scale.This approach has been used to specify a restricted multioutput cost function and to estimate this function for the Norwegian electricity distribution industry through the use of a flexible functional form (translog). The results indicate that no economies of scale are present in the industry even for small plants when measured correctly, but that economics of density are present.     

Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis

Decisions in Economics and Finance - We propose a deep learning-based methodology to investigate the complex dynamics of electricity prices observed in power markets. The aims are: (a) to process...     

Regularized conditional estimators of unit inefficiency in stochastic frontier analysis,with application to electricity distribution market

In stochastic frontier analysis, the conventional estimation of unit inefficiency is based on the mean/mode of the inefficiency, conditioned on the composite error. It is known that the conditional mean of inefficiency shrinks towards the mean rather than towards the unit inefficiency. In this paper, we analytically prove that the conditional mode cannot accurately estimate unit inefficiency, either. We propose regularized estimators of unit inefficiency that restrict the unit inefficiency estimators to satisfy some a priori assumptions, and derive the closed form regularized conditional mode estimators for the three most commonly used inefficiency densities. Extensive simulations show that, under common empirical situations, e.g., regarding sample size and signal-to-noise ratio, the regularized estimators outperform the conventional (unregularized) estimators when the inefficiency is greater than its mean/mode. Based on real data from the electricity distribution sector in Sweden, we demonstrate that the conventional conditional estimators and our regularized conditional estimators provide substantially different results for highly inefficient companies.

     

Case study: Targeting demand-side management for electricity transmission and distribution benefits

This paper shows how a vertically integrated utility develops a least-cost transmission and distribution (T&D) plan that considers demand-side management (DSM) to defer capacity expansion necessary for serving growing demand. The plan is the result of applying dynamic optimization techniques to a T&D planning area in the service territory of Pacific Gas and Electric Company (PG&E), the largest privately owned utility in the USA. In the case study area alone, DSM enables PG&E to reduce the present value of its planned investment in local T&D from $112.3 million to $77.3 million over a 20-year period.     

Auditor independence in economies in transition: a study of Russia

The independence of auditors is regarded as key to their credibility as external verifiers of external financial statements. The requirement for external auditors to be independent of their clients when undertaking an audit is enshrined in the International Federation of Accountants' (IFAC) Code of Ethics and in the European Union's Eighth Directive. In the IFAC code this requirement is translated into various situations where observance of certain rules should ensure independence. As the countries of Central Europe and the former Soviet Union have drafted and implemented new laws on external audit, some of these auditor independence rules have been included in the new laws and codes of professional practice. Yet the rationale for the inclusion of these rules is not always clear, particularly given the different cultural and business contexts. In this paper, the authors have identified the auditor independence rule requirements that have been implemented into the laws and codes of practice in Russia. These requirements are then analysed against the economic, social and historic background in Russia, based to a large extent on interviews with auditors, enterprise management and users of financial statements, to generate questions about the efficacy of the auditor independence rules. This should provide relevant input to international and national bodies concerned with the drafting of rules relating to auditor independence in countries with different social and economic traditions.     

An analysis of repressed inflation in two transition economies

We construct a simple model that tests for repressed inflation by estimating a true rate of inflation that explains behavior of observed money demand. We estimate the model using quarterly data for Czechoslovakia and Poland. Although our results should be viewed as preliminary, given the imperfect nature of our data, we do have strong evidence that, prior to 1991, there was considerable repressed inflation in Poland, while there was essentially no repressed inflation in Czechoslovakia.This paper was funded by a World Bank project on formerly planned economies. We would like to thank Jong-goo Park for suggesting the topic, and Fabrizio Coricelli and Adnan Mazarei for helpful discussions. The views expressed here are our own and do not necessarily reflect the opinions of the World Bank.     

Testing cointegration relationship in a semiparametric varying coefficient model

In this paper, we develop two cointegration tests for two varying coefficient cointegration regression models, respectively. Our test statistics are residual based. We derive the asymptotic distributions of test statistics under the null hypothesis of cointegration and show that they are consistent against the alternative hypotheses. We also propose a wild bootstrap procedure companioned with the continuous moving block bootstrap method proposed in  Paparoditis and Politis (2001) and  Phillips (2010) to rectify severe distortions found in simulations when the sample size is small. We apply the proposed test statistic to examine the purchasing power parity (PPP) hypothesis between the US and Canada. In contrast to the existing results from linear cointegration tests, our varying coefficient cointegration test does not reject that PPP holds between the US and Canada.     

Urban agglomeration economies in a Linear City

A model of firms' spatial allocation and location is developed by explicit incorporation of urban agglomeration benefits using accessibility measure. In a linear and one-activity city, each firm is assumed to interact with each other for face-to-face transactions, and the unit construction cost of office building is considered to be proportional to firm density. It is shown that both the optimum and the equilibrium distributions of firms are cosine, quadratic or cosine-hyperbolic curves, that the latter is more dispersed, and that the equilibrium rent function is concave near the city center and convex near the boundaries.     

Estimating scale economies in financial intermediation: a doubly indirect inference

This paper provides a vertically integrated modelling of the financial production process. In a first stage the activity of commercial banks or insurance companies embodies some technical and commercial aspects such as services to depositors or mutualization of risk through distribution of contracts of insurance. In the second stage banks are involved in the intermediation activity. By using a simulation and the doubly indirect inference method for the estimation we were able to resolve two main econometric problems: decomposition of aggregated data over two vertically integrated stages of production and inconsistency of the estimators due to endogeneity and misspecification. An application to French Banking industry is provided.     

Child malnutrition in developing economies: a case study of Bangladesh

The study investigate the impact of socioeconomic factors on malnutrition in children (under 5 years) using Bangladesh Demographic and Health Survey. The urban and rural areas are separately probed for stunting, wasting and under-weight children. The analysis revealed that birth-interval, mother’s education and wealth index reduce the malnutrition in children for urban and rural household, while duration of breastfeeding and lower BMI of the mother increase the malnutrition in both urban and rural areas. Wealth index is more effective in rural areas as compared to urban ones. The male children are more likely to be malnourished in urban areas but female children are more likely to be malnourished in rural areas. The primary level of education of the women has no significant impact on nutritional status of children in urban as well as in rural areas. It has important policy implications that at least secondary level of education should be part of the education policy of Bangladesh. The incidence of diarrhea enhances the probability of stunting and wasting in both urban and rural areas of Bangladesh. From the policy perspective mother’s education and birth-interval are required for achieving the nutrition status of children. For the long-run the socioeconomic status of the household expressed by wealth index is needed. The duration of breastfeeding needs to be reduced by initiation of the supplement food.