R&D efficiency and heterogeneity – a latent class application for the OECD

Expenditures devoted to research and development (R&D) are scarce and thus need to be used as efficiently as possible given the financial constraints countries are facing. This article assesses the relative efficiency of R&D expenditures for 26 OECD member countries and two nonmember countries. As countries differ in their national innovation systems and states of economic development and industrialization, e.g. transition economies in Eastern Europe versus Asian countries versus Anglo-Saxon countries, the measurement of R&D efficiency needs to consider differences in the technology of knowledge production. By means of a latent class model for stochastic frontiers, we relax the assumption of a homogeneous technology frontier and model technological differences in knowledge production among countries. Empirical evidence suggests the existence of different classes stressing the importance of accounting for countries’ disparities within R&D efficiency analysis.     

Score-driven copula models for portfolios of two risky assets

ABSTRACT

The precise measurement of the association between asset returns is important for financial investors and risk managers. In this paper, we focus on a recent class of association models: Dynamic Conditional Score (DCS) copula models. Our contributions are the following: (i) We compare the statistical performance of several DCS copulas for several portfolios. We study the Clayton, rotated Clayton, Frank, Gaussian, Gumbel, rotated Gumbel, Plackett and Student's t copulas. We find that the DCS model with the Student's t copula is the most parsimonious model. (ii) We demonstrate that the copula score function discounts extreme observations. (iii) We jointly estimate the marginal distributions and the copula, by using the Maximum Likelihood method. We use DCS models for mean, volatility and association of asset returns. (iv) We estimate robust DCS copula models, for which the probability of a zero return observation is not necessarily zero. (v) We compare different patterns of association in different regions of the distribution for different DCS copulas, by using density contour plots and Monte Carlo (MC) experiments. (vi) We undertake a portfolio performance study with the estimation and backtesting of MC Value-at-Risk for the DCS model with the Student's t copula.     

Vocational Training and Gender: Wages and Occupational Mobility among Young Workers

This paper investigates the relationship between the genderwage gap, the choice of training occupation, and occupationalmobility. We use longitudinal data for young workers with apprenticeshiptraining in West Germany. Workers make occupational career choicesearly in their careers and women and men pursue very differentoccupational careers. We reconsider whether through occupationalsegregation women are locked in low-wage careers or whetherthey can move up to higher wage paths through mobility. We furthermoreinvestigate whether patterns have changed across cohorts duringthe period 1975–2001 and whether effects vary across thedistribution. The main results are, first, while there existsa persistent gender wage gap over experience, the gap has decreasedover time. Second, in the lower part of the wage distribution,the gap is highest and it increases with experience. Third,occupational mobility is lower for women than for men and thewage gains due to occupational mobility are higher for men thanfor women, especially in the lower part of the wage distribution.We conclude that occupational mobility has reduced the genderwage gap, but lock-in effects are still stronger for women comparedto men. Footnotes ¹ E-mail addresses: fitzenberger{at}wiwi.uni-frankfurt.de; astrid.kunze{at}nhh.no     

Energy availability from livestock and agricultural productivity in Europe, 1815–1913: a new comparison

This article explores the proposition that a reason for high agricultural productivity in the early nineteenth century was relatively high energy availability from draught animals. The article is based on the collection of extensive new data indicating different trends in draught power availability and the efficiency of its use in different countries of Europe. This article shows that the proposition does not hold, and demonstrates that, although towards the end of the nineteenth century England had relatively high numbers of draught animals per agricultural worker, it also had low number of workers and animals per hectare, indicating the high efficiency of muscle power, rather than an abundance of such power. The higher efficiency was related to a specialization on less labour-intensive farming and a preference for horses over oxen.