On forecasting cointegrated seasonal time series

We analyze periodic and seasonal cointegration models for bivariate quarterly observed time series in an empirical forecasting study. We include both single equation and multiple equation methods for those two classes of models. A VAR model in first differences, with and without cointegration restrictions, and a VAR model in annual differences are also included in the analysis, where they serve as benchmark models. Our empirical results indicate that the VAR model in first differences without cointegration is best if one-step ahead forecasts are considered. For longer forecast horizons however, the VAR model in annual differences is better. When comparing periodic versus seasonal cointegration models, we find that the seasonal cointegration models tend to yield better forecasts. Finally, there is no clear indication that multiple equations methods improve on single equation methods.     

Can neoclassical economics become social economics?

This essay has both a general and a specific purpose. Its general purpose is to pose the question: Can neoclassical economics be social economics? Its answer to this general question is: Yes, but only if it abandons its methodological soul; that is, by abandoning methodological individualism, positivism, and ahistoricism, and expressly and systematically adopting a methodological perspective which is holistic, normative, and historical. Its specific purpose is to identify and examine the major elements in the economics of one leading figure in the historical development of neoclassical economics who self-consciously attempted to combine, to paraphrase Schumpeter, a neoclassical head with a social economics heart: Alfred Marshall.     

Sequential and multinomial logit: A nested model

A nested model is presented which has both the sequential and the multinomial logit model as special cases. This model provides a simple test to investigate the validity of these specifications. Some theoretical properties of the model are discussed. During the analysis a distribution function is derived, which, to the best of our knowledge, has not been used before. This distribution is shown to be a generalization of the typeI extreme-value distribution. Monte Carlo experiments and empirical applications of the model are presented.     

Beyond survival: the implementation of new forms of work organization in the UK and German steel industries

This paper outlines and analyses the major changes in work-force organization that have been introduced by British and German steel producers in the past decade, against a backcloth of retrenchment in the industry, new product development and technological change. Including multiskilling, a reduction in demarcation and team–working, these changes have had a major effect upon the composition of the work–force and the nature of work undertaken at the shopfloor level.

While these changes have had a common broad trajectory, they have been introduced at a different pace and in different forms. The contrasts are provided not only at the international level, but between plants in the same countries. The paper further outlines the response of trade unions to these changes and the implications for industrial relations at the shopfloor level.     

The Stewardship Role of Analyst Forecasts,and Discretionary Versus Non-discretionary Accruals

We examine the interaction between discretionary and non-discretionary accruals in a stewardship setting. Contracting includes multiple rounds of renegotiation based on contractible accounting information and non-contractible but more timely non-accounting information. We show that accounting regulation aimed at increasing earnings quality from a valuation perspective (earnings persistence) may have a significant impact on how firms rationally respond in terms of allowing accrual discretion in order to alleviate the impact on the stewardship role of earnings. Increasing the precision of more timely non-accounting information (analyst earnings forecasts) increases the ex ante value of the firm and reduces costly earnings management. There is an optimal level of reversible non-discretionary accrual noise introduced through revenue recognition policies. Tight rules-based accounting regulation, as opposed to leaving firms more choice over non-discretionary accrual policies, may lead firms to rationally respond by inducing costly earnings management. More generally, regulating both earnings persistence and the tightness of admissible auditing policies may not result in less equilibrium earnings management.     

Order-invariant tests for proper calibration of multivariate density forecasts

Established tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms can be manipulated by changing the order of variables in the forecasting model. We derive order-invariant tests. The new tests are applicable to densities of arbitrary dimensions and can deal with parameter estimation uncertainty and dynamic misspecification. Monte Carlo simulations show that they often have superior power relative to established approaches. We use the tests to evaluate generalized autoregressive conditional heteroskedasticity-based multivariate density forecasts for a vector of stock market returns and macroeconomic forecasts from a Bayesian vector autoregression with time-varying parameters.     

Consumer Bankruptcy: A Right or a Privilege? The Role of the Courts in Establishing Moral Standards of Economic Conduct

The Norwegian Consumer Bankruptcy Act was passed 17 July 1992 to give persons with "serious debt problems (. . .) the possibility to gain control over their economy." The Act contains provisions for negotiations between the debtor and the creditors, for court rulings on repayment plans, and for a discharge of the debts not covered by the plan. The origin of the Act was a social welfare approach to the problem of overindebtedness. However, the Act embodies an inherent contradiction in that it also includes moral elements in order to prevent it from exerting a negative influence on the perceived obligation to pay one's debts. This contradiction has given the courts a wide scope of discretion in the application of the Act. As a result, cases are treated differently in different jurisdictions. Some judges put more emphasis on moral evaluations than others. This situation also gives room for strategic action from creditor groups who typically are repeat players in cases of consumer bankruptcy. In this way the more objective, social welfare approach of the Act is undermined.