Numerical distribution functions of likelihood ratio tests for cointegration

This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for cointegration. These are carried out in the context of the models recently proposed by Pesaran, Shin, and Smith ( 1997 ) that allow for the possibility of exogenous variables integrated of order one. The paper calculates critical values that are very much more accurate than those available previously. The principal contributions of the paper are a set of data files that contain estimated asymptotic quantiles obtained from response surface estimation and a computer program for utilizing them. This program, which is freely available via the Internet, can be used to calculate both asymptotic critical values and P-values. Copyright © 1999 John Wiley & Sons, Ltd.     

A two-stage double-bootstrap data envelopment analysis of efficiency differences of New Zealand secondary schools

We conduct a two-stage (DEA and regression) analysis of the efficiency of New Zealand secondary schools. Unlike previous applications of two-stage semi-parametric modelling of the school “production process”, we use Simar and Wilson’s double bootstrap procedure, which permits valid inference in the presence of unknown serial correlation in the efficiency scores. We are therefore able to draw robust conclusions about a system that has undergone extensive reforms with respect to ideas high on the educational agenda such as decentralised school management and parental choice. Most importantly, we find that school type affects school efficiency and so too does teacher quality.     

Government secondary school finances in New South Wales: accounting for students’ prior achievements in a two-stage DEA at the school level

This study measures the efficiency of government secondary schools in New South Wales, Australia, using a two-stage semi-parametric production frontier approach to schooling. In contrast to previous research comparing school performance with two-stage data envelopment analysis (DEA), we control for prior academic achievement of students by using a rich data set from 2008 to 2010. We employ detailed financial data for deriving the envelope for the efficient production frontier of the schools. Using Simar and Wilson’s (J Econ 136:31-64, 2007, J Prod Anal 36:205-218, 2011a) double bootstrap procedure for two-stage DEA, the study finds that schools with lower total student numbers, a higher average of years of service of teachers, a higher ratio of special education students that attracts extra government funding, and girls only do better than other schools. On the other hand, a negative influence comes from a school’s location in provincial and outer metropolitan areas. An important result is that the socio-economic background of students attending a school has no significant effect on their academic performance, whereas higher prior academic achievements have a positive and statistically significant impact on student achievement. These results are relevant to decision makers for the school sector, in particular for funding criteria contained in the Gonski (Review of funding for schooling - Final report (December). Canberra: Commonwealth Government of Australia, 2011) review report.     

Ethnic, Religious and Language Groups: Towards a Set of Rules for Data Collection and Statistical Analysis

The establishment of reliable and authoritative figures on ethnic, religious and language groups plays a prominent role in efforts to fight discrimination and foster individual human rights as well as minority rights. But how is an ethnic or religious group defined? Who belongs to it? How can we measure its characteristics? There is no consensus concerning these questions among statisticians, demographers and the social sciences at large. The article builds on the rich experience of Europe, including the multinational empires of the past. It identifies the background of diverging concepts and definitions, different data sources and measurement problems of ethnic, religious and language groups. The conclusion presents a set of rules and guidelines for the improvement of data collection, especially in the context population censuses and sample surveys, as well as for data analysis.     

Educating ethical designers

In recent years, there has been an increased focus on bringing sustainability into design education. The focus of such education, however, mainly concerns providing design students with the knowledge and skills needed to create sustainable design, which, so this paper argues, may not be enough. Thus, with a basis in Aristotelian virtue ethics, this paper shows that sustainable design education may apply a broader perspective by also focussing on how to stimulate design students’ desire to create sustainable solutions as well as providing them with the means to engage others in such ideas. As compared to the identified literature, the present paper represents a novel perspective on sustainability in design education that may constitute a basis for further discussions and educational developments.     

Explicit characterizations of financial prices with history-dependent utility

The present paper demonstrates how explicit representations of financial prices and returns can be derived in economies with history-dependent utility. While the techniques are applicable to a wide range of economies, they are applied to a representative consumer economy where (i) the consumer’s preferences exhibit habit formation, and (ii) purchases of the consumption good also gives rise to a flow of services. Solutions are computed for the case of multiplicative or nonlinear habit formation, and additive service flows. Other applications are also indicated.     

On real interest rate persistence: the role of breaks

The role of structural breaks in long spans of ex-post real interest rates for 10 industrialized countries is studied. First, the persistence of the real interest is assessed with newly proposed low-frequency tests of Müller and Watson (2008). Second, the test of Leybourne et al. (2007) for a change in persistence of a time series is applied to the real interest rate. The results show that real interest rates over the full sample period do not fit a covariance-stationary or unit-root model, nor a fractionally integrated, near-unit-root or local-level model. Instead, the persistence of real rates changes over time and there are periods when the real rate is covariance-stationary and other periods when it follows a unit-root process.     

Exchange rates of oil exporting countries and global oil price shocks: a nonlinear smooth-transition approach

This paper models logistic and exponential smooth transition adjustments of real exchange rates for six major oil-exporting countries in response to different shocks affecting oil prices. The logistic form captures asymmetric and the exponential form symmetric adjustments in regards to positive and negative oil price shocks. We chose oil-exporting countries that do not peg their exchange rates. For most countries, we detect no statistically significant non-linearities for the adjustment process of real exchange rate returns, be they asymmetric or symmetric, in response to oil supply shocks, idiosyncratic oil-market-specific shocks, and speculative oil-market shocks. Exceptions are oil supply shocks in the UK and possibly Brazil, where exchange rates respond nonlinearly, though the effects are symmetric for both countries. On the other hand, global aggregate demand shocks, which are shocks not originating directly in the oil market, have nonlinear asymmetric effects on real exchange rate returns for Canada, Mexico, Norway and Russia, and nonlinear symmetric effects for Brazil and the UK.