The missing link between innovation and performance in Brazilian firms: a panel data approach

This study aims to verify if there is a positive relationship between innovation and productivity and/or profit in Brazil using a recursive model in line with the Crépon, Duguet and Mairesse (CDM) model. Using a rich combination of three databases, this paper considers a sample of more than 10,000 Brazilian industrial firms and the period 2001–2008. Besides using R&D expenditure as a measure of innovation input, this study also tests the technical-scientific personnel stock as a more appropriate measure of innovative effort in emerging countries. This variable considers the tacit knowledge intrinsic to the worker and corrects a possible measurement error bias in the R&D expenditure variable. The empirical strategy uses a reduced form of the CDM model in a panel data structure to provide consistent estimates as it controls for selectivity, simultaneity and endogeneity due to unobserved firm effects. There are still few studies that apply the CDM model for panel data, especially regarding developing countries. The main results suggest that technical-scientific workers positively affect the firms’ probability to innovate while R&D expenditure has no effect. The results also highlight the absence of the effect of innovation on productivity and profit, suggesting a missing link between innovative efforts and Brazilian firms’ performance.     

Accounting for endogeneity in matching function estimation

We show that equilibrium matching models imply that standard estimates of the matching function elasticities are exposed to an endogeneity bias, which arises from the search behavior of agents on either side of the market. We offer an estimation method which, under certain structural assumptions about the process driving shocks to matching efficiency, is immune from that bias. Application of our method to the estimation of a basic version of the matching function using aggregate U.S. data from the Job Openings and Labor Turnover Survey (JOLTS) suggests that the bias can be quantitatively important.     

Poverty analysis with missing data: alternative estimators compared

Poverty models are generally estimated by using sample surveys affected by missing data problems. Most methods proposed to take account of missing data problems consider point estimators which typically impose restrictive assumptions. However, it is possible to identify a range of logically possible values for the poverty probability, an identification interval, without imposing any assumption. It is then of interest to check whether the point estimates lie within the identification interval. This is a way to check the validity of the assumptions imposed by point estimators. Using the ECHP we perform this check to assess different estimation methods.     

Measuring inflation expectations: a survey data approach

Measures of expected inflation from consumer surveys are derived using a modification of the Carlson-Parkin probability approach, which does not assume unbiasedness of expectations, makes use of survey data on expected future as well as perceived past price developments and allows for time varying response thresholds. We apply this method to the normal, central-t and noncentral-t distributions, thereby investigating the effects of nonnormal peakedness and asymmetry. We find that the effects on expected inflation of the former are small and of the latter are substantial, without increasing the accuracy of the expectations, however. Expected and actual inflation show substantial persistence, and, for most of our expectations measures, are cointegrated. Furthermore, the forecast error is stationary, implying weak-form rationality. The co-movement of currently observed expected inflation measures and the unobserved 12-months-ahead inflation rate is of interest for policy makers, for example in the direct inflation targeting strategy. Notwithstanding this, caution is warranted in using them as information variables because the inflation expected by consumers is no causal determinant of actual future inflation.     

Loss aversion and social security: a general equilibrium approach

Introducing an intertemporal model of loss aversion, I study the role of social security in determining intergenerational redistribution when consumers have reference-dependent preferences with loss aversion. Using a unified social security model in which different social security plans are specified via different degrees of fundedness, I examine the effect of the transition from a less funded system to a more funded one on savings, consumption, and capital accumulation for an OLG production economy. A general equilibrium analysis shows that the direction of intertemporal equilibrium is dependent on how the total savings responds to the interest rate change, but the effect of the payroll tax on capital accumulation is ambiguous. By deriving closed-form solutions, I find that an increase in fundedness intensity unambiguously increases capital accumulation in steady states, while the tax effects on consumption and savings are not conclusive. Moreover, simulation exercises show that when consumers are prone to over-consume because they care more about the contemporaneous gain utility, the fully funded system may help the individuals smooth out their lifecycle consumption.     

Constrained suboptimality in incomplete markets: a general approach and two applications

Summary. In this paper we re-examine generic constrained suboptimality of equilibrium allocations with incomplete numeraire asset markets. We provide a general framework which is capable of resolving some issues left open by the previous literature, and encompasses many kinds of intervention in partially controlled market economies. In particular, we establish generic constrained suboptimality, as studied by Geanakoplos and Polemarchakis, even without an upper bound on the number of households. Moreover, we consider the case where asset markets are left open, and the planner can make lump-sum transfers in a limited number of goods. We show that such a perfectly anticipated wealth redistribution policy, though consistent with the assumed incomplete financial structure, is typically effective. Received: August 14, 1995; revised version: April 11, 1997     

Renewable energy innovations in Europe: a dynamic panel data approach

We investigate the determinants of renewable energy R&D intensity and the impact of renewable energy innovations on firm performance, using several dynamic panel data models. We estimate these models using a large data set of European firms from 19 different countries, with some patenting activity in areas related to renewable energies during the 1987 to 2007 period. Our results confirm our priors on the determinants of the rapid development of renewable energy R&D intensity during the past decades. Additionally, we find evidence that renewable patent intensity has a significant dynamic impact on the stock market value of firms.     

Democracy and economic growth in Sub-Saharan Africa: a panel data approach

This paper studies the link between democracy and economic development for 28 countries of Sub-Saharan Africa for the period 1980–2005 in a panel data framework. A democracy index constructed from the Freedom House indices. A variety of panel data unit root and cointegration tests are applied. The variables are found to be integrated of order one and cointegrated. The Blundell–Bond system generalized methods-of-moments is employed to conduct a panel error-correction mechanism based causality test within a vector autoregressive structure. Economic growth is found to cause democracy in the short-run, while bidirectionality is uncovered in the long-run. In addition, the long-run coefficients are estimated through the panel fully modified ordinary least squares and dynamic ordinary least squares methods. Democracy has a positive impact on GDP and vice versa. These results lend support to the virtuous cycle hypothesis.     

The social dimension of firm performance: a data envelopment approach

A data envelopment model is proposed to quantify the social dimension of firm performance. Corporate social responsibility activities are treated as netputs to production. Production of good outputs and unintended by-products are combined in the overall measurement of firm performance. Our model is illustrated using a sample of global firms and suggests strikingly low social performance levels.     

The growth of university spin-offs: a dynamic panel data approach

Evidence suggests that a significant percentage of the university spin-offs (USOs) have a low growth capacity, putting in question the use of public funds to promote this kind of entrepreneurship. In addition, previous studies of the USOs’ growth have not dealt with the dynamic nature of firm growth, which might have led to questionable results. This paper analyses whether the university origin of a firm conditions its growth by applying a methodology which captures this dynamic nature of growth. Using a sample of 469 Spanish USOs and an equivalently matched group of 469 Spanish non-USOs over the period 2001–2010, we find that USOs have more growth than non-USOs, both in terms of sales and employment. In addition, the USOs’ growth is influenced by a set of determinants that differ from those of non-USOs. On the basis of the results, we propose some policies to foster the USOs.     

Technical efficiency of Spanish manufacturing firms: a panel data approach

This paper estimates the levels of technical efficiency reached by Spanish manufacturing firms, through an econometric estimation of frontier production functions for fifteen sectors of activity, and also, obtains other relevant technological measurements of these productive processes such as the scale and the technical progress parameters. The methodology used is the panel data methods (Schmidt and Sickles, 1984). The statistical source is provided by the Survey on Business Strategies (Encuesta Sobre Estrategias Empresariales), a panel of data covering 855 Spanish manufacturing firms observed over the period 1990-1994. Our econometric results confirm the great heterogeneity in the firms' efficiency, the predominance of constant returns to scale and the great rate of technological progress.     

Forecasting UK international trade: A general equilibrium approach

Monthly retail unit sales of clothes washers and dryers in eastern Washington state were regressed on average employment during the current and preceding two months, the average advertised price of these appliances relative to the Consumer Price Index, the expected change in consumer stocks of such applicances for each year on the basis of a hypothetical rate of accumulation, and the unit volume of newspaper advertising in order to determine the viablity of alternative models for analysing and forecasting monthly sales in a localized retail market during the periods of growth, maturity, and decline in market demand.

Employment and advertising, the two most useful variables in the functions tested, were able to account for 70–75 per cent of the monthly sales variance for automatic washers and dryers. Employment elasticity coefficients, though not linearly related to income elasticity coefficients for these products, appear to be a useful measure of purchasing power for localized demand and forecasting functions. The average advertising elasticity for the products studied was 0.095, which was approximately equal to advertising expenditures as a ratio of the gross margin of furniture and house furnishings corporations and kitchen appliance departments of department stores for the period studied, in keeping with the Rasmussen hypothesis. Correction of the models for the presence of autocorrelation altered the explanatory power of some of the variables substantially and resulted in regression coefficients for some variables that were more nearly consistent with theoretical expectations.     

Issue costs and regulated returns: A general approach

This paper sets forth a general, unified procedure for the treatment of flotation costs for the regulated utility, a method which reduces to standard treatments as special cases. In this approach, the regulated return becomes a weighted average of the required rates on different portions of equity capital, portions that are distinguished by whether or not issue costs are incurred in their acquisition. In addition, the method provides solutions for a host of financial environments, including solutions where past flotation costs are to be recognized, and where merged utilities with different flotation-cost recovery patterns must be combined.     

Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data

Using Consensus Economics survey data on JPY/USD and GBP/USD exchange rate expectations for the 3- and 12-month horizons over the period November 1989–December 2012, we first show that expectations fail the conventional tests of unbiasedness and do not exhibit a learning process towards rationality. Our approach is consistent with the economically rational expectations theory (Feige and Pearce, 1976), which states that information costs and agents’ aversion to misestimating future exchange rates determine the optimal amounts of information on which they base their expectations. The time variability of the cost/aversion ratios justifies at the aggregate level a representation of expectations as a linear combination of the traditional extrapolative, adaptive and regressive processes augmented by a forward market component, whose parameters are allowed to change over time. This mixed expectation model with unstable heterogeneity is validated by our Kalman filter estimation results for the two currencies and the two horizons considered. Although the relative importance of the ‘fundamentalists’ (‘chartists’) is found to increase (decrease) with the time-horizon, chartist behaviour appears to dominate fundamentalist behaviour for both horizons. Central bank intervention is then effective in stabilizing the foreign exchange markets if it encourages fundamentalist activity.     

The earnings effects of health and health-related activities: a panel data approach

We investigate the effects of health and health-related habits on earnings in China using panel data to control for unobserved heterogeneity related to individual traits and job characteristics. Health-related habits include smoking cigarettes, drinking tea, frequency of drinking alcohol and physical exercising. We find a significant and large impact of health status on earnings, controlling for schooling, experience and the unobserved individual heterogeneity and job heterogeneity. We also find that smoking has a strong negative effect on earnings net of health status, while the estimated effects of other health-related activities are statistically insignificant.     

Modelling preference heterogeneity for theatre tickets: a discrete choice modelling approach on Royal Danish Theatre booking data

This article analyses the behavioural choice for theatre tickets using a rich data set for 2010–2013 from the sale system of the Royal Danish National Theatre. A consumer who decides to attend a theatre production faces multiple sources of price variation that involves a choice by the consumer among different ticket alternatives. Three modelling approaches are proposed in order to model ticket purchases: conditional logit with socio-demographic characteristics, nested logit and latent class. These models allow us explicitly to take into account consumers’ preference heterogeneity with respect to the attributes associated with each ticket alternative (quality of the seat and day of the performance). In addition, the willingness to pay of choice attributes is estimated. Final results suggest that customers’ characteristics in terms of age and frequency of theatre attendance characterize different patterns of behaviour in the choice of theatre ticket.