Estimators for the common principal components model based on reweighting: influence functions and Monte Carlo study

The common principal components model for several groups of multivariate observations is a useful parsimonious model for the scatter structure which assumes equal principal axes but different variances along those axes for each group. Due to the lack of resistance of the classical maximum likelihood estimators for the parameters of this model, several robust estimators have been proposed in the literature: plug-in estimators and projection-pursuit (PP) type estimators. In this paper, we show that it is possible to improve the low efficiency of the projection-pursuit estimators by applying a reweighting step. More precisely, we consider plug-in estimators obtained by plugging a reweighted estimator of the scatter matrices into the maximum likelihood equations defining the principal axes. The weights considered penalize observations with large values of the influence measures defined by Boente et al. (2002). The new estimators are studied in terms of theoretical properties (influence functions and asymptotic variances) and are compared with other existing estimators in a simulation study.     

DETERMINANTS OF FOREIGN DIRECT INVESTMENT – A TALE OF NINE THEORETICAL MODELS

Abstract.  This paper presents a review of nine theoretical models of foreign direct investment (FDI). Discussed are early studies of determinants of FDI (1) as well as determinants of FDI based on the neoclassical trade theory (2), ownership advantages (3), aggregate variables (4), the ownership, location and internalization advantage framework (5), horizontal and vertical FDI models (6), the knowledge-capital model (7), diversified FDI and risk diversification models (8) and policy variables (9). From each of the nine theories, the relevant determinants of FDI are derived. Empirical studies indicate the importance of these determinants in the real world. The paper shows that there is not one single theory of FDI, but a variety of theoretical models attempting to explain FDI and the location decision of multinational firms. Therefore, any analysis of determinants of FDI should not be based on a single theoretical model. Instead, FDI should be explained more broadly by a combination of factors from a variety of theoretical models such as ownership advantages or agglomeration economics, market size and characteristics, cost factors, transport costs, protection, risk factors and policy variables.     

Factores determinantes de la lealtad al proveedor de servicios turísticos online

The aim of this study is to analyze the factors determining loyalty towards online tourist services supplier with a model which integrates the influence of trust in tourism websites with the conceptual framework of the Theory of Planned Behaviour (TPB). The hypotheses were tested on a sample of 305 airline travel tickets online purchasers, with the use of structural equation models. The results of the empirical study suggest that the three variables of TPB (perceived control, subjective norm and attitude) positively influence loyalty towards Internet use to purchase airline tickets. The role of trust is especially relevant as it also boosts the effect of TPB variables. Finally, a set of managerial implications are considered.     

Nonparametric correlation models for portfolio allocation

This article proposes time-varying nonparametric and semiparametric estimators of the conditional cross-correlation matrix in the context of portfolio allocation. Simulations results show that the nonparametric and semiparametric models are best in DGPs with substantial variability or structural breaks in correlations. Only when correlations are constant does the parametric DCC model deliver the best outcome. The methodologies are illustrated by evaluating two interesting portfolios. The first portfolio consists of the equity sector SPDRs and the S&P 500, while the second one contains major currencies. Results show the nonparametric model generally dominates the others when evaluating in-sample. However, the semiparametric model is best for out-of-sample analysis.     

Price discovery in the aluminum market

An extended version of the S. Beveridge and C. R. Nelson (1981) decomposition and a latent variable approach are used to examine how the noise content, and therefore the informativeness, of four aluminum prices that have been quoted at various times since 1970—the (now defunct) U.S. producer price, a transactions price reported in a trade journal, and the LME and Comex exchange prices. It was found that the start of aluminum futures trading in 1978 resulted in greater price transparency in the sense that the information content of transactions prices increased. LME prices quickly came to be more informative than published transactions prices. Although the initial Comex aluminum contract failed to attract liquidity and had low information content, the 1999 contract, trading currently, is as transparent as the LME contract. © 2005Wiley Periodicals, Inc. Jrl Fut Mark 25:967–988, 2005     

Which type of tourism matters to the regional economic growth? The cases of Spain and Italy

Recently, the attention given to the importance of tourism in economic growth has significantly increased. However, research in this area mainly refers to international tourism and to the national level. This paper focuses on the influence of tourism on the economic growth of Spanish and Italian regions. Both international and domestic tourism are analysed and geographical location criteria are considered. Dynamic panel data techniques are applied. The results reveal that both international and domestic tourism have a significant and positive role for regional economic growth in Spain and Italy, although the pattern of these effects differs among different types of region. Copyright © 2008 John Wiley & Sons, Ltd.     

Is socially responsible investment useful in Mexico? A multi-factor and ex-ante review

The present paper continues the firsts reviews made to socially responsible investment in Mexico. We extended these reviews by using a non-parametric multivariate equality test, along with a multi-factor market cap model, and a Monte Carlo simulation. Our results show that the IPCS index, the IPCcomp and the IPC have a statistically equal mean-variance performance, suggesting that this sort of investment style (SRI) is a good substitute of the broad market investment style in the long term. Among the causes of this finding is the fact that the IPCS and the IPCcomp indexes have almost the same large and small cap stock concentration and the IPC index (a large-cap one) is not as diversified and mean-variance efficient as the former.     

Maximum entropy: a stochastic frontier approach for electricity distribution regulation

The literature on incentive-based regulation in the electricity sector indicates that the size of this sector in a country constrains the choice of frontier methods as well as the model specification itself to measure economic efficiency of regulated firms. The aim of this study is to propose a stochastic frontier approach with maximum entropy estimation, which is designed to extract information from limited and noisy data with minimal statements on the data generation process. Stochastic frontier analysis with generalized maximum entropy and data envelopment analysis—the latter one has been widely used by national regulators—are applied to a cross-section data on thirteen European electricity distribution companies. Technical efficiency scores and rankings of the distribution companies generated by both approaches are sensitive to model specification. Nevertheless, the stochastic frontier analysis with generalized maximum entropy results indicate that technical efficiency scores have similar distributional properties and these scores as well as the rankings of the companies are not very sensitive to the prior information. In general, the same electricity distribution companies are found to be in the highest and lowest efficient groups, reflecting weak sensitivity to the prior information considered in the estimation procedure.

     

Power politics and the expansion of US exports, 1879–1938

In this article, we present quantitative evidence for the first time of the effect of US power politics on the expansion of its export market from the late nineteenth century to the eve of the Second World War. Like other empires, US imperial policy was expressed through annexation, gunboat policies, and asymmetrical trade agreements. We find that US exports to territories that became colonies or protectorates and those involved in other US military interventions grew more than three times faster between 1880–5 and 1934–8 than in the rest of the world. Our most relevant contribution to this discussion relies on a new geographically extensive database with information on bilateral trade flows, market size, trade costs, and variables that capture US political and military power. We first estimate a gravity equation to see the relationship between our power politics variables and US exports. Then, we present causal evidence of the role played by the colonies and protectorates in the expansion of US exports through an event study and the estimation of a generalized difference-in-differences model.     

Spend as I say,not as I do: Children,families and household consumption in different socio‐economic contexts

This article aims at contributing to a body of work about children and families by exploring the importance of socio‐economic context and social capital for understanding the ways in which money is perceived, obtained and used by children. Alleged contrasts in terms of money management, consumption priorities and postponement of gratification, especially among middle and working classes, have already been debated. It seems thus relevant to investigate if these presumable contrasts apply to children and why. Do children from different socio‐economic contexts reveal the traits that have been attributed to their households? To this end, a mixed methods research project was developed involving 245 children attending different primary schools in Portugal—one private school targeted at upper class children and one state‐sponsored school located in a working‐class area. The results revealed significant differences by school and household typology.