On Critical Values of Tests against a Change in Persistence*

Kim, Belaire‐Franch and Amador [Journal of Econometrics (2002) Vol. 109, pp. 389–392] and Busetti and Taylor [Journal of Econometrics (2004) Vol. 123, pp. 33–66] present different percentiles for the same mean score test statistic. We find that the difference by a factor 0.6 is due to systematically different sample analogues. Furthermore, we clarify which sample versions of the mean‐exponential test statistic should be correctly used with which set of critical values. At the same time, we correct some of the limiting distributions found in the literature.     

The Use of Performance Appraisal Systems: Evidence from Dutch Establishment Data

Using Dutch data, we examine the characteristics of establishments that operate performance appraisal systems. Our estimates provide a couple of interesting results: (1) Multitasking and teamwork play a role in the use of performance appraisal systems. (2) While a shared corporate culture, the sharing of information, and a professional personnel management emerge as positive determinants, unions appear to play a negative role. (3) Employers fostering career development and promotion opportunities make greater use of performance appraisal. (4) Public sector affiliation plays a negative role.     

GENERALIZATION OF THE DYBVIG–INGERSOLL–ROSS THEOREM AND ASYMPTOTIC MINIMALITY

The long‐term limit of zero‐coupon rates with respect to the maturity does not always exist. In this case we use the limit superior and prove corresponding versions of the Dybvig–Ingersoll–Ross theorem, which says that long‐term spot and forward rates can never fall in an arbitrage‐free model. Extensions of popular interest rate models needing this generalization are presented. In addition, we discuss several definitions of arbitrage, prove asymptotic minimality of the limit superior of the spot rates, and illustrate our results by several continuous‐time short‐rate models.     

Is it efficient to analyse efficiency rankings?

When production functions are estimated as frontier functions, the deviations from the frontier can be interpreted as individual inefficiency estimates. Unfortunately, it has recently been shown that efficiency differences across individuals are very often statistically insignificant. In this paper, we will analyse the consequences of the consideration of confidence statements for the reliability of efficiency rankings. The stochastic frontier and confidence intervals derived by Horrace and Schmidt are compared to the COLS approach and bootstrap confidence intervals. The membership function is proposed as a simple Monte-Carlo approximation for the probability for an individual to be the most efficient in the sample. First version received: May 1998/final version accepted: July 1999     

An international agreement with full participation to tackle the stock of greenhouse gases

Greenhouse gas emissions build up an atmospheric stock which depreciates over time. We identify weakly renegotiation-proof equilibria with full participation in a game of international emission reduction. Treaties are easier to reach for long-lived than for short-lived gases.     

A dynamic spatial panel data approach to the German wage curve

A wage curve is a decreasing function of wages on the regional unemployment rate. Most empirical studies on the wage curve ignore possible spatial interaction effects between the regions which are the primary units of research. This paper reconsiders the western German wage curve with a special focus on the geography of labour markets. Spillovers between regions are taken into account. The paper tests whether the unemployment rate in the larger surrounding region also affects wages. In addition, agglomeration effects and effects of local monopsony are assessed.The main database is a random sample of 974,179 employees observed over the period 1980-2004 and covering 326 NUTS3 units (districts). This rich data set is used to estimate a dynamic wage curve according to the two-step approach of Bell et al. (2002). In the first step one controls for individual heterogeneity and in the second step one allows for spatial effects of unemployment across regions on wages. We check the sensitivity of this wage elasticity to various spatial weight matrices as well as allowing for the endogeneity of unemployment. We also estimate the wage elasticity for various population groups.     

Communication and Cooperation: A Methodological Study

We study the effect of communication in an experimental game where cooperation is consistent with equilibrium play. We examine two methodological questions which affect many studies of communication in games, particularly those studying the relationship between communication and cooperation in supergames. We show that making it easier for subjects to reach an agreement (by allowing more rounds of communication) does not increase cooperation with a limited message space treatment. Thus, limited message space treatments are not a good substitute for the use of chat. Making the game longer, thereby making the connection between the first period and the continuation game more obvious, also has little impact on cooperation. For both the two‐ and three‐period versions of our game we find substantial amounts of contingent play. This implies that use of a finitely repeated game, which has a number of methodological advantages, maintains the main properties of the underlying supergame.