Fitting dynamic factor models to non-stationary time series

Factor modelling of a large time series panel has widely proven useful to reduce its cross-sectional dimensionality. This is done by explaining common co-movements in the panel through the existence of a small number of common components, up to some idiosyncratic behaviour of each individual series. To capture serial correlation in the common components, a dynamic structure is used as in traditional (uni- or multivariate) time series analysis of second order structure, i.e. allowing for infinite-length filtering of the factors via dynamic loadings. In this paper, motivated from economic data observed over long time periods which show smooth transitions over time in their covariance structure, we allow the dynamic structure of the factor model to be non-stationary over time by proposing a deterministic time variation of its loadings. In this respect we generalize the existing recent work on static factor models with time-varying loadings as well as the classical, i.e. stationary, dynamic approximate factor model. Motivated from the stationary case, we estimate the common components of our dynamic factor model by the eigenvectors of a consistent estimator of the now time-varying spectral density matrix of the underlying data-generating process. This can be seen as a time-varying principal components approach in the frequency domain. We derive consistency of this estimator in a “double-asymptotic” framework of both cross-section and time dimension tending to infinity. The performance of the estimators is illustrated by a simulation study and an application to a macroeconomic data set.     

Multivariate contemporaneous-threshold autoregressive models

This paper proposes a contemporaneous-threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex-ante probabilities that latent regime-specific variables exceed certain threshold values. A key feature of the model is that the transition function depends on all the parameters of the model as well as on the data. Since the mixing weights are also a function of the regime-specific noise covariance matrix, the model can account for contemporaneous regime-specific co-movements of the variables. The stability and distributional properties of the proposed model are discussed, as well as issues of estimation, testing and forecasting. The practical usefulness of the C-MSTAR model is illustrated by examining the relationship between US stock prices and interest rates.     

Moment-based estimation of smooth transition regression models with endogenous variables

Nonlinear regression models have been widely used in practice for a variety of time series and cross-section datasets. For purposes of analyzing univariate and multivariate time series data, in particular, smooth transition regression (STR) models have been shown to be very useful for representing and capturing asymmetric behavior. Most STR models have been applied to univariate processes, and have made a variety of assumptions, including stationary or cointegrated processes, uncorrelated, homoskedastic or conditionally heteroskedastic errors, and weakly exogenous regressors. Under the assumption of exogeneity, the standard method of estimation is nonlinear least squares. The primary purpose of this paper is to relax the assumption of weakly exogenous regressors and to discuss moment-based methods for estimating STR models. The paper analyzes the properties of the STR model with endogenous variables by providing a diagnostic test of linearity of the underlying process under endogeneity, developing an estimation procedure and a misspecification test for the STR model, presenting the results of Monte Carlo simulations to show the usefulness of the model and estimation method, and providing an empirical application for inflation rate targeting in Brazil. We show that STR models with endogenous variables can be specified and estimated by a straightforward application of existing results in the literature.     

Parental job loss and the education enrollment of youth

Parental job loss from layoffs and business failures that occur when youth complete high school are found to be negatively related with enrollment at university and community college. Estimates using longitudinal data on Canadian youth and their parents are employed to identify both immediate and lagged effects of parental job loss on education enrollment. Parental job losses are also followed by significant falls in parental income. If the main pathway by which parental job loss affects youth education outcomes is via these income reductions, it that implies financial constraints on post-secondary education enrollment are important.     

The art of tourism-driven development: economic and artistic well-being of artists in three Balinese communities

One route from coastal to inland Bali traverses three communities with different types of art, from mass-produced art for beachside tourists in Sanur, through the village of Mas, home to mask and wood carving workshops, to several high-end galleries and renowned museums in Ubud, known for painting. This comparative case study, based on our interviews with artists, museum directors, collectors, community activists and leaders, arts entrepreneurs, and civil servants, focuses on the economic and artistic well-being of artists in three communities. This well-being approach overcomes a preoccupation with ‘authenticity’ characteristic of older scholarship on tourism and the arts in Southeast Asia. We conclude that the impact of tourism-driven development on artists' well-being varies tremendously even within one region in Bali and that ‘slow’, purposeful arts tourism and forward-looking, hybrid approaches offer the most artistic and economic benefits to local artists. Examples, both positive and negative, provide lessons or strategies for other communities that have distinctive artistic heritages and increasing numbers of tourists.     

Redressing gender inequality in employment: the national and sub-regional policy 'fit'

This article examines the 'fit' between policy development regarding gender inequality in employment at sub-regional and national (UK) level, in particular focusing on the experience of women. Drawing on research undertaken in Coventry and Warwickshire, the article explores the question of how policy development at sub-regional level fits with national policy, and whether the sub-region is an appropriate, or effective, level at which to develop policy on gender inequality in employment. It is argued that while there needs to be recognition of the limited ability of sub-regional policy to confront structural issues, policy development at this level does offer potential strengths in redressing both gender inequality in employment and the relative lack of a gender dimension in local economic development.     

The Competent Primary Headteacher: Broadening the Management Competence Approach or Abandoning It?

Within management generally, and education management more specifically, there has been an almost continuous search for the key to effective management development. Generic occupational standards, generated by the Management Charter Initiative (MCI), are claimed to be applicable and transferable to any manager in any organization. Thus, a manager in a school would be expected to meet the same requirements as a manager in any other organization at the same management level. In the education world, both practitioners and theoreticians are sceptical about the competency approach. This article analyses the relevance of the management standards to primary headship by reporting on the experiences of six headteachers seeking NVQ management qualifications.