A model of fractional cointegration, and tests for cointegration using the bootstrap

The paper proposes a framework for modelling cointegration in fractionally integrated processes, and considers methods for testing the existence of cointegrating relationships using the parametric bootstrap. In these procedures, ARFIMA models are fitted to the data, and the estimates used to simulate the null hypothesis of non-cointegration in a vector autoregressive modelling framework. The simulations are used to estimate p-values for alternative regression-based test statistics, including the F goodness-of-fit statistic, the Durbin–Watson statistic and estimates of the residual d. The bootstrap distributions are economical to compute, being conditioned on the actual sample values of all but the dependent variable in the regression. The procedures are easily adapted to test stronger null hypotheses, such as statistical independence. The tests are not in general asymptotically pivotal, but implemented by the bootstrap, are shown to be consistent against alternatives with both stationary and nonstationary cointegrating residuals. As an example, the tests are applied to the series for UK consumption and disposable income. The power properties of the tests are studied by simulations of artificial cointegrating relationships based on the sample data. The F test performs better in these experiments than the residual-based tests, although the Durbin–Watson in turn dominates the test based on the residual d.     

Recreation Demand and Residential Location

We use the properties of competitive location equilibrium to study the demand for recreation and the choice of primary residence location. Location-specific recreation and employment lead to pooling equilibria in which consumers reside according to their preference for recreation. In general, the stronger the taste for recreation, the greater the attraction of living close to the recreation site and the lower the demand for other goods, including housing. We explore the effects of trip frequency, trip length, and recreation cost on the spatial distribution of consumers. We also consider the effect of the wage rate on recreation and location demands.     

Decomposition of Fraud‐Risk Assessments and Auditors' Sensitivity to Fraud Cues*

Practitioners and regulators are concerned that when auditors perceive management's attitude or character as indicative of low fraud risk, they are not sufficiently sensitive to high levels of incentive or opportunity risks in their overall fraud‐risk assessments. In this study, we examine whether a fraud‐triangle decomposition of fraud‐risk assessments (that is, separately assessing attitude, opportunity, and incentive risks prior to assessing overall fraud risk) increases auditors' sensitivity to opportunity and incentive cues when perceptions of management's attitude suggest low fraud risk. In an experiment with 52 practicing audit managers, we find that auditors who decompose fraud‐risk assessments are more sensitive to opportunity and incentive cues when making their overall assessments than auditors who simply make an overall fraud‐risk assessment. However, this increased sensitivity to opportunity and incentive cues appears to happen only when those cues suggest low fraud risk. When opportunity and incentive cues suggest high fraud risk, auditors are equally sensitive to those cues whether they use a decomposition or a holistic approach. We discuss and examine potential explanations for this finding.     

Spatial determinants of Japanese FDI in China

Research on foreign direct investment in China has spawned an increasingly large literature. Whilst regional cleavages with respect to the distribution of foreign direct investment (FDI) are acknowledged, empirical research on the spatial determinants of FDI in China has been limited. Furthermore, research on the spatial determinants of home country FDI in China has thus far been neglected due to difficulties in accessing the appropriate data. The objective of this paper is to examine the spatial determinants of Japanese direct investment in China by using an econometric model. To that purpose, a dataset is created from the Toyo Keizai directory on the overseas activities of Japanese companies. The results show that tertiary education, inland waterways, as well as coastal location are positive and significant determinants of Japanese investment in China.     

中国投资者进军美国市场将获新途径

中国股市从不久前的辉煌之巅急转直下，而与此同时，这个全球第一人口大国的投资者们又将获得新的渠道进军包括美国在内的海外股市。     

An empirical investigation of firm public and private knowledge

Many studies examine firm private knowledge, but purport to be generalizable to the totality of firm knowledge, both public and private. This study demonstrates that public and private firm knowledge are empirically separable constructs that have significant and yet different influences on innovative outcomes. The example of product development effectiveness within this study shows that both public and private knowledge are significantly related to product development quality; however, public knowledge is negatively related to quality lapses while private knowledge is positively related to quality lapses. Copyright © 2002 John Wiley & Sons, Ltd.     

Ethics,gratuities, and professionalization of the purchasing function

This study investigated (1) whether potential future purchasing agents were predisposed to accept gratuities or whether the practice of gratuity acceptance is a manifestation of the job itself, (2) whether the existence of a code of ethics forbidding gratuity acceptance curtails the occurrence, and (3) whether disparities in ethics policies between the sales and purchasing functions affect gratuity acceptance. Hypotheses based upon the concepts of organizational concern and institutionalized ethics are developed and empirically tested. Results suggest that future purchasing agents are predisposed to accept gratuities and that formal written ethics policies decrease the acceptance of gratuities. Disparities in ethics policies between the sales and purchasing functions concerning gratuities failed to affect gratuity acceptance significantly.Gregory B. Turner is assistant professor of marketing at Livingston University. He has published inThe International Journal of Logistics Management and theTransportation Journal.G. Stephen Taylor is Associate Professor of management at Mississippi State University. His research interests include ethics in computer usage, performance appraisal, and turnover control.Mark F. Hartley is Assistant Professor and National Association of Purchasing Management/Carolinas-Virginia chair of Purchasing at the College of Charleston. His research interests include ethics and professionalization of the purchasing function.