On the formulation of empirical models in dynamic econometrics

Available information is considered as partitioned into the sets: past, present, and future observations, other data of competing models and theory knowledge. In each case, specific concepts are relevant to empirical model formulation (e.g. innovations for past data, exogeneity for present, encompassing for contending models, etc.) and various properties of such concepts are established (viz. encompassing is transitive and asymmetric). Relationships between concepts are developed (e.g. encompassing entails variance-dominance in linear models), and related to the notion of a progressive research strategy. An empirical model illustrates the various criteria. Model selection by dynamic simulation tracking performance is critically evaluated.     

Latent variables in econometrics

Unobservable variables in econometrics are represented in one of three ways: by variables contaminated by measurement errors, by proxy variables, or by various manifest indicators and/or causes. This paper contains a discussion of models involving each of these representations, and highlights certain interesting implications that have been insufficiently emphasized or completely unrecognized in the literature.     

Positioning and its strategic relevance

Abstract

Contemporary non-profit strategic management/marketing literature suggests that non-profit organizations, including charities, adopt positioning strategies to differentiate themselves in increasingly competitive operating environments. However, the extant literature lacks adequate theoretical/conceptual frameworks and empirical studies to guide research and inform charity management practice. As part of an on-going study in strategic positioning in British charitable organizations, this article presents the key findings of an exploratory survey into the extent of positioning activities in a sample of general welfare and social care charities within the wider voluntary sector in the UK. The empirical findings reveal that charitable organizations undertake positioning activities extensively in their organizations. However, these activities appear to be more complex than those advocated in contemporary non-profit management/marketing literature. The article highlights five emerging themes that could have major implications for research and practice of strategic positioning in charities in specific, and in voluntary-sector organizations in general.     

Philosophy and objectives of econometrics

In this paper, the philosophy and objectives of econometrics are discussed. The roles of induction, deduction and reduction in economic research are explained. Further, the roles of sophisticated simplicity and predictive performance in model building are described. Many examples, drawn from the work of leading scientists, are provided to illustrate general points. In addition, the work that has been done leading to the formulation of a disaggregate Marshallian Macroeconomic Model is briefly described. It is concluded that greater emphasis in teaching to explain the roles of deduction, induction and reduction in economic research would be very beneficial in terms of producing more valuable and useful research results. Also, development and use of many more sophisticatedly simple models and further use of Bayesian inference and decision techniques will do much to promote more rapid progress in economic science.     

An analysis of publication lags in econometrics

This note describes the lengthening in publication lags for econometric papers in seven journals since 1986 and briefly considers ways of shortening them.     

论公允价值的相关性

随着公允价值得到越来越广泛的应用,公允价值能够更好地反映一个企业的实际经济状况,提供比历史成本计量更具决策信息的概念,越来越深入人心。本文首先介绍了公允价值及其相关概念,然後通过推导公允价值、公司价值与企业实际经济情况的关系,发现了公允价值的相关性存在不确定的可能,指出公允价值的相关性是相对的。     

Aggregation, gerrymandering, and spatial econometrics

Since the work of Cliff and Ord (1973), increasing attention has been paid to the unique statistical and econometric problems associated with the use of spatial or areal data. In this paper it will be shown that the way in which spatial data is aggregated, or gerrymandered, will alter the estimation results of a model. Specifically, a well known model developed by Kain to measure the loss in black jobs in a metropolitan area resulting from residential segregation will be estimated. It will be shown that by alternative areal aggregation, or gerrymandering, of the data it is possible to reach diametrically opposed conclusions (i.e., blacks either gain or lose jobs as a result of residential segregation using the same model.     

Canonical ridge and econometrics of joint production

This paper is a continuation of the author's earlier work (1969) in which canonical correlation analysis was used to directly estimate a joint production function as an implicit function of all outputs and inputs. A major difficulty with canonical correlation analysis in this context is its numerical instability when the underlying (economic) data are nearly collinear. This can be partly overcome by considering an adaptation of ridge regression concepts to canonical correlations. The hybrid may be named a ‘canonical ridge’ model. For illustration we discuss a trans-log joint production function based on U.S. (1945-1969) private domestic economy first studied by Christensen, Jorgenson and Lau (1973).     

Household survey data, econometrics and economic transition

This paper explores some of the possible uses of household survey data for the analysis of the process of economic transition. It is argued that such data are particularly valuable for work on the distributional effects of transition, using simulation techniques of various kinds. Some examples are given, focusing on: labour supply; indirect taxation; and the cost and effectiveness of the Hungarian personal income tax and social security systems under alternative assumptions about changes in the distribution of gross earnings and the level and incidence of unemployment.     

Recent developments in financial economics and econometrics: An overview

Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and Econometrics”. The breadth of coverage is substantial, and includes original research and comprehensive review papers on theoretical, empirical and numerical topics in Financial Economics and Econometrics by leading researchers in finance, financial economics, financial econometrics and financial statistics. The purpose of this special issue on “Recent Developments in Financial Economics and Econometrics” is to highlight several novel and significant developments in financial economics and financial econometrics, specifically dynamic price integration in the global gold market, a conditional single index model with local covariates for detecting and evaluating active management, whether the Basel Accord has improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and recurrence plots for detecting financial crisis, how news sentiment impacts asset volatility, with evidence from long memory and regime-switching approaches, quantitative evaluation of contingent capital and its applications, high quantiles estimation with Quasi-PORT and DPOT, with an application to value-at-risk for financial variables, evaluating inflation targeting based on the distribution of inflation and inflation volatility, the size effects of volatility spillovers for firm performance and exchange rates in tourism, forecasting volatility with the realized range in the presence of noise and non-trading, using CARRX models to study factors affecting the volatilities of Asian equity markets, deciphering the Libor and Euribor spreads during the subprime crisis, information transmission between sovereign debt CDS and other financial factors for Latin America, time-varying mixture GARCH models and asymmetric volatility, and diagnostic checking for non-stationary ARMA models with an application to financial data.     

Instability spillovers in the banking sector: A spatial econometrics approach

In the study, we employ a dynamic spatial panel model to identify factors that are the sources of instability spillover in the banking sector. Using a sample of publicly listed banks, we document that the stability of a bank depends not only on its own characteristics and the macroeconomic conditions of its home country, but also on the stability of other banks in the same and other countries. We find weak evidence that the spillover effects are greater from domestic banks than from foreign ones. This study has significant implications for market regulators in terms of the role of country interdependence as a spillover mechanism during times of financial turbulence.