Finite sample multivariate structural change tests with application to energy demand models

This paper considers finite sample motivated structural change tests in the multivariate linear regression model with application to energy demand models, in which case commonly used structural change tests remain asymptotic. As in Dufour and Kiviet [1996. Exact tests for structural change in first-order dynamic models. Journal of Econometrics 70, 39–68], we account for intervening nuisance parameters through a two-stage maximized Monte Carlo test procedure. Our contributions can be classified into five categories: (i) we extend tests for which a finite-sample theory has been supplied for Gaussian distributions to the non-Gaussian context; (ii) we show that Bai et al. [1998. Testing and dating common breaks in multi-variate time series. The Review of Economic Studies 65 (3), 395–432] test severely over-rejects and propose exact variants of this test; (iii) we consider predictive break test approaches which generalize tests in Dufour [1980. Dummy variables and predictive tests for structural change. Economics Letters 6, 241–247] and Dufour and Kiviet [1996. Exact tests for structural change in first-order dynamic models. Journal of Econometrics 70, 39–68]; (iv) we propose exact (non-Bonferonni based) extensions of the multivariate outliers test from Wilks [1963. Multivariate statistical outliers. Sankhya Series A 25, 407–426] to models with covariates; (v) we apply these tests to the energy demand system analyzed by Arsenault et al. [1995. A total energy demand model of Québec: forecasting properties. Energy Economics 17 (2), 163–171]. For two out of the six industrial sectors analyzed over the 1962–2000 period, break and further goodness-of-fit and diagnostic tests allow to identify (and correct) specification problems arising from historical regulatory changes or (possibly random) industry-specific effects. The procedures we propose have potential useful applications in statistics, econometrics and finance (e.g. event studies).     

Marketing Olive Oil Products in the Tunisian Local Market: The Importance of Quality Attributes and Consumers' Behavior

This article is, to the best of our knowledge, the first investigation of Tunisian olive oil consumer behavior by the use of the conjoint analysis technique. The conjoint experiment was based on carefully selected olive oil attributes: type, taste, color, packaging, region of origin, and price. The results have important implications to improve the marketing of olive oil in the local market by focusing on key preferred attributes. Consumers were found to prefer more extra-virgin, followed by virgin olive oil, to pomace oil. They also showed higher preference for green colored olive oil with strong flavored taste. Contrary to a common belief in Tunisia, the region of origin attribute did not show significant effect on consumers’ purchasing decisions. The results show also that Tunisian olive oil consumers are price sensitive and therefore any price strategy to introduce bottled products should take into account consumers’ preferences for bulk purchase.     

Investment appraisal practices: A comparative study of conventional and Islamic financial institutions

This paper compares the use of capital budgeting techniques of conventional and Islamic financial institutions, using data obtained from a survey of 105 conventional and Islamic financial institutions. Our main aim is to analyze the use of capital budgeting and risk techniques by the two types of financial institutions from a comparative perspective to see whether prohibition of riba makes a difference. Standard difference-of-means tests of the mean scores methods were used to test the hypotheses of the study. The results reveal a number of important conclusions. First, discounted cash flow techniques are found to be more widely used by financial institutions, and among those techniques internal rate of return is the most common. Second, Islamic financial institutions are found to adopt traditional methods that do not comply with the principles of Islamic Sharia'a. Third, a huge gap is found between the theory base of Islamic institutions and some of the practices of those institutions. Fourth, firms' characteristics, such as size, listing status, sources of revenue and government ownership, have some impact on their decisions to adopt capital budgeting criteria, methods of estimating costs of capital and risk. Finally, the decisions to select particular capital budgeting techniques, cost of capital estimation methods, and risk assessments are partly related to the characteristics of the chief financial officers.