Forecast persistence and clustering: Additional evidence

This study intends to address the persistence of the bias in analysts’ earnings forecasts and clustering effects of time, industry classification, and stock exchange listing. Following Kwag and Shrieves (2006), I use a look-back portfolio formation method that captures salient features of analysts’ past forecasting behavior and form quintile portfolios that describe the range of analysts’ forecasting behavior. Consistent with Kwag and Shrieves, empirical evidence suggests that analyst optimism and pessimism tend to persist. Time, industry classification, and stock exchange listing do not seem to influence such phenomenon. (JEL G14, G19)     

Unemployment hysteresis in Australia: evidence using nonlinear and stationarity tests with breaks

This study is an attempt to test the hysteresis versus the natural rate hypothesis in unemployment rate using time series data of the Australia covering the period 1978: 2–2010:12. For the analysis, we employed nonlinear as well as different linear tests (with incorporation of endogenously determined structural breaks) of unit root. We found that the Australian unemployment rate is nonlinear process, has a partial unit root and trend reverting. Therefore, we provide support for the structuralist hypothesis. This finding provides the importance of accounting for exogenous shocks in the series and gives support to the shifting natural-rate hypothesis of the Australian unemployment rate.     

Testing for convergence: evidence from non-parametric multimodality tests

In this paper, we test the convergence hypothesis in a cross-section of 119 countries by means of bootstrap multimodality tests and nonparametric density estimation techniques. By looking at the density distribution of GDP across countries in 1970, 1980 and 1989, we find low mobility patterns of intra-distribution dynamics and increasing evidence for bimodality. The findings stand in sharp contrast with the convergence prediction. © 1997 John Wiley & Sons, Ltd.     

Country and industry convergence of equity markets: International evidence from club convergence and clustering

This study employs the panel convergence methodology developed by Phillips and Sul (2007) to explore the convergence dynamics of international equity markets. The analysis considers both country and industry effects. While traditional portfolio management strategies usually follow a top-down procedure, assuming that country-level effects drive financial aggregates (e.g., stock returns) our empirical results suggest that the equity markets of 37 of the 42 counties in our sample do form a unified convergence club. The empirical findings, however, also show more numerous stock-price convergence clubs in certain industries. That is, country factors play a more important role in explaining the actual convergence in real stock prices than industry factors. Conversely, the volatility of stock prices exhibits much more evidence of convergence than stock prices. These findings should assist portfolio managers in the design and implementation of appropriate portfolio management strategies. Regulatory authorities also can benefit in the design of financial regulation.     

Comparing alternative tests of causality in temporal systems: Analytic results and experimental evidence

This paper discusses eight alternative tests of the absence of casual ordering, all of which are asymptotically valid under the null hypothesis in the sense that their limiting size is known. Their behavior under alternatives is compared analytically using the concept of approximate slope, and these results are supported by the outcomes of Monte Carlo experiments. The implications of these comparisons for applied work are unambiguous: Wald variants of a test attributed to Granger, and a lagged dependent variable version of Sim's test introduced in this paper, are equivalent in all relevant respects and are preferred to the other tests discussed.     

Timing of price clustering and trader behavior in the foreign exchange market: evidence from Taiwan

In this paper, I use a unique proprietary dataset from the foreign exchange market to examine the existing hypotheses on price clustering. I find that market uncertainty plays an important role in price clustering. Moreover, since trading behavior changes under different market conditions, market timing also affects the likelihood of price clustering. The results support both the price resolution hypothesis (Ball et al. J Futures Mark 5:29–43, 1985) and the negotiation hypothesis (Harris Rev Financ Stud 4:389–415, 1991). Since the data covers the interbank foreign exchange market, which is the market for the professional bank dealers, the attraction hypothesis is less likely to be a plausible explanation for price clustering in the foreign exchange market.     

Modes of innovation,resources and their influence on product innovation: Empirical evidence from R&D active firms in Norway

Evolutionary theory of the firm argues that firms follow different approaches to innovation with implications for their performance. Consistent with evolutionary theory, this paper develops a taxonomy of innovation modes which capture the variation in firms' approaches to product innovation. The taxonomy is based on the open/closed innovation and exploration/exploitation literatures and identifies the following modes: “Open exploration”, “closed exploration” “open exploitation”, and “closed exploitation”. The paper theorizes that the identified innovation modes influence product innovation through their effect on the firms' technological and market resources. Using survey data from over 1000 R&D active firms in Norway analyzed with structural equation modelling it is shown how four modes of innovation are related to actual product innovation.     

Growth, development and natural resources: New evidence using a heterogeneous panel analysis

This paper explores whether natural resource abundance is a curse or a blessing. To do so, we firstly develop a theory consistent econometric model, in which we show that there is a long run relationship between real income, the investment rate, and the real value of oil production. Secondly, we investigate the long-run (level) impacts of natural resource abundance on domestic output as well as the short-run (growth) effects. Thirdly, we explicitly recognize that there is a substantial cross-sectional dependence and cross-country heterogeneity in our sample, which covers 53 oil exporting and importing countries with very different historical and institutional backgrounds, and adopt the non-stationary panel methodologies developed by Pesaran (2006) and Pedroni (2000) for estimation. Our results, using the real value of oil production, rent or reserves as a proxy for resource endowment, reveal that oil abundance has a positive effect on both income levels and economic growth. While we accept that oil rich countries could benefit more from their natural wealth by adopting growth and welfare enhancing policies and institutions, we challenge the common view that oil abundance affects economic growth negatively.     

A model of fractional cointegration, and tests for cointegration using the bootstrap

The paper proposes a framework for modelling cointegration in fractionally integrated processes, and considers methods for testing the existence of cointegrating relationships using the parametric bootstrap. In these procedures, ARFIMA models are fitted to the data, and the estimates used to simulate the null hypothesis of non-cointegration in a vector autoregressive modelling framework. The simulations are used to estimate p-values for alternative regression-based test statistics, including the F goodness-of-fit statistic, the Durbin–Watson statistic and estimates of the residual d. The bootstrap distributions are economical to compute, being conditioned on the actual sample values of all but the dependent variable in the regression. The procedures are easily adapted to test stronger null hypotheses, such as statistical independence. The tests are not in general asymptotically pivotal, but implemented by the bootstrap, are shown to be consistent against alternatives with both stationary and nonstationary cointegrating residuals. As an example, the tests are applied to the series for UK consumption and disposable income. The power properties of the tests are studied by simulations of artificial cointegrating relationships based on the sample data. The F test performs better in these experiments than the residual-based tests, although the Durbin–Watson in turn dominates the test based on the residual d.     

Comparison of misspecified calibrated models: The minimum distance approach

This paper proposes several testing procedures for comparison of misspecified calibrated models. The proposed tests are of the Vuong-type (Vuong, 1989, Rivers and Vuong, 2002). In our framework, the econometrician selects values for model’s parameters in order to match some characteristics of data with those implied by the theoretical model. We assume that all competing models are misspecified, and suggest a test for the null hypothesis that they provide equivalent fit to data characteristics, against the alternative that one of the models is a better approximation. We consider both nested and non-nested cases. We also relax the dependence of models’ ranking on the choice of a weight matrix by suggesting averaged and sup-norm procedures. The methods are illustrated by comparing the cash-in-advance and portfolio adjustment cost models in their ability to match the impulse responses of output and inflation to money growth shocks.     

A theory of foreign investment: Possibility,modes and timing

This paper analyzes the possibility, modes and timing of foreign investment and it is shown that all these are simultaneously determined. The determining variables are differential efficiency and variable cost of operation, together with export and technology transfer costs, as well as costs/benefits which are generally associated with differences in production environment originating from both home and/or host countries. The modes considered are: Foreign Direct Investment and Joint Venture, although the method could be generalized to take into account other modes.     

Direct and indirect transmission of avian influenza: results from a calibrated agent-based model

Journal of Economic Interaction and Coordination - This paper develops an agent-based model of the spread of highly pathogenic avian influenza in a regional poultry sector. Spatially located flocks...     

Out-of-sample forecasts of China's economic growth and inflation using rolling weighted least squares

Macroeconomic forecasting in China is essential for the government to take proper policy decisions on government expenditure and money supply, among other matters. The existing literature on forecasting Chinas macroeconomic variables is unclear on the crucial issue of how to choose an optimal window to estimate parameters with rolling out-of-sample forecasts. This study fills this gap in forecasting economic growth and inflation in China, by using the rolling weighted least squares (WLS) with the practically feasible cross-validation (CV) procedure of Hong et al. (2018) to choose an optimal estimation window. We undertake an empirical analysis of monthly data on up to 30 candidate indicators (mainly asset prices) for a span of 17 years (2000–2017). It is documented that the forecasting performance of rolling estimation is sensitive to the selection of rolling windows. The empirical analysis shows that the rolling WLS with the CV-based rolling window outperforms other rolling methods on univariate regressions in most cases. One possible explanation for this is that these macroeconomic variables often suffer from structural changes due to changes in institutional reforms, policies, crises, and other factors. Furthermore, we find that, in most cases, asset prices are key variables for forecasting macroeconomic variables, especially output growth rate.     

On the suitability of income inequality measures for regional analysis: Some evidence from simulation analysis and bootstrapping tests

The paper looks at the sensitivity of commonly used income inequality measures to changes in the ranking, size and number of regions into which a country is divided. During the analysis, several test distributions of populations and incomes are compared with a ‘reference’ distribution, characterized by an even distribution of population across regional subdivisions. Random permutation tests are also run to determine whether inequality measures commonly used in regional analysis produce meaningful estimates when applied to regions of different population size. The results show that only the population weighted coefficient of variation (Williamson’s index) and population-weighted Gini coefficient may be considered sufficiently reliable inequality measures, when applied to countries with a small number of regions and with varying population sizes.     

大学生学习支持系统：要素、架构与联动模式

社会经济政治环境的变革、高等教育服务功能的演变等现实背景决定了普通高等教育导入学习支持系统非常必要;学习支持系统的构成要素主要包括理念一致的系统环境、团结协作的组织机构与人员等四个方面;实现系统功能应具备全新的育人文化、互助的价值认同等五个条件。