EFFICIENCY GAINS OF SYSTEM GMM AND MDE OVER INDIVIDUAL EQUATION ESTIMATION*

In the econometric literature it is known that, under certain conditions, estimating a system of equations together is more efficient than estimating each equation separately. This finding has been proved, however, only under the assumption of a known parametric form of heteroskedasticity (including homoskedasticity) or non‐random regressors/instruments. This note shows that an analogous finding holds for GMM under heteroskedasticity of unknown form and random regressors/instruments. Specifically, I provide a necessary condition for the efficiency gain of the system GMM over the single‐equation GMM. An analogous necessary condition for the efficiency gain is also shown to hold for minimum‐distance (or χ2) estimation (MDE).     

DO REAL INTEREST RATES REALLY CONTAIN A UNIT ROOT? MORE EVIDENCE FROM A BOOTSTRAP COVARIATE UNIT ROOT TEST

This paper re‐examines the empirical finding that international real interest rates usually have a unit root. This conclusion is put forth in Rapach and Weber (2004 ), using the Ng and Perron (2001 ) tests. We use Rudebusch's (1993 ) approach to construct the small sample distributions of the Ng and Perron tests, and calculate their asymptotic sizes, size‐adjusted powers and rejection rates. These numbers show that the lack of power in the Ng and Perron tests might account for the findings of Rapach and Weber (2004 ): that the unit root null cannot be rejected for most OECD countries. Size distortions are mild in the case of Ng and Perron tests for two series, but are serious for the Phillips and Perron Z‐test on inflation rates. We then apply a powerful covariate augmented Dickey–Fuller unit root test to examine the series for which stationarity cannot be determined with the Ng and Perron tests. The bootstrap technique is also used to control possible size distortions. In contrast to the results of Rapach and Weber (2004 ), the bootstrap covariate augmented Dickey–Fuller test yields striking evidence that real interest rates are stationary for 14 of 16 OECD countries, because nominal interest rates are stationary for the 14 countries, while inflation rates are stationary for all countries.     

关于打击地下六合彩的策略研究

我国广大地区盛行着“地下六合彩”。并愈演愈烈，带来了许多社会问题。本论文通过对符合现实的数学模型推导，比较不同彩票市场结构以及各种打击地下六合彩策略的效果，提出加强公立彩票的营销力度和对地下六合彩的负面宣传，树立公立彩票的信誉，影响消费者对于两者间的偏好，提高对地下六合彩的打击有效性，实现公立彩票经营企业化和产业化，为人们增加正常娱乐方式和稳定投资渠道，才是解决“地下六合彩”的有效途径。     

The Costs and Returns of Agricultural Credit Delivery

Borrower-level data from 963 agricultural lending relationships are used to examine how several factors influence the costs and returns of extending agricultural credit. The results provide estimates of the costs and returns of agricultural lending and the extent to which these costs and returns are influenced by factors such as loan volume, lender/borrower relationship factors, and contract terms. The findings indicate that economies of size exist in agricultural credit delivery and that lenders pass most of these benefits on to borrowers through lower interest rates. In addition, the impacts of lender/borrower relationship factors were relatively small.     

The Influence of Communication Source and Mode on Consumer Adoption of Technological Innovations

Communication is the critical process of diffusion of technological innovations, yet there is little research in the consumer behavior literature investigating how communication affects consumers’ decision to adopt technological innovations. This paper examines the effects of communication source and modality on consumers’ adoption of technological innovations using the 1999 University of Michigan's Survey of Consumers data. Specifically, a typology of communication sources and modality is presented, and the respective and interrelated influences of source and mode on consumers’ adoption of electronic banking are examined. The results demonstrate that communication factors can serve as significant predictors of consumer adoption of technological innovations and that consumer preferences for communication source and modality vary for different segments of adopters. In addition, we find information gaps between consumer segments high and low in socioeconomic status. Finally, implications for the diffusion of technological innovations and future research directions are discussed.