UK money demand 1873–2001: a long-run time series analysis and event study

This paper performs a multivariate cointegration analysis of UK money demand 1873–2001, and illustrates how a long-run time series analysis may be conducted on a data set characterized by turbulent episodes and institutional changes. We suggest accounting for the effects of the two world wars by estimating additive data corrections, thereby allowing the propagation of war-time shocks to be fundamentally different from the transmission of peace-time innovations. In addition, the corrected series may be used in counterfactual event studies to assess the impacts of special events. In the empirical analysis we find a single equilibrium relationship relating velocity to opportunity costs, and we identify a significant link between excess money and inflation. After accounting for the turbulent periods, the equilibrium structure is reasonably stable over a period of 130 years. The empirical analysis was carried out using the OxMetrics software, see Doornik (2002). Ox procedures to estimate the vector equilibrium correction model with additive corrections are available from the author upon request.     

Multivariate Lagrange Multiplier Tests for Fractional Integration

We introduce a multivariate Lagrange multiplier (LM) test forfractional integration. We derive and analyze the LM statisticand show that it is asymptotically noncentral chi-squared distributedunder local alternatives, and that, under Gaussianity, the LMtest is asymptotically efficient against local alternatives.It is shown that the regression variant in Breitung and Hassler(2002, Journal of Econometrics 110, 167–185) is not equivalentto the LM test in the multivariate case, although it is in theunivariate case. A generalization of the LM test that explicitlyallows for different integration orders for each variable isalso introduced. The finite sample properties of the LM testare evaluated by Monte Carlo experiments which demonstrate thatit is superior to the Breitung and Hassler (2002) test. An applicationto multivariate time series of real interest rates for six countriesis offered, demonstrating that more clear-cut evidence can bedrawn from multivariate tests compared to conducting severalunivariate tests.     

A Comparison of Native Culture,Non-Native Culture and New Management Ideology

Abstract Based on a case study of a Native-operated criminal justice organization, this article uses Hofstede'sfive dimensions of national cultural differences to examine the connections between cultural values and management practices. It concludes that Hofstede's dimensions can provide insights into the differences between Native and non-Native cultures and how Native organizations may draw on traditional cultural values to improve organizational effectiveness. In general, Native cultures are described as collectivist, egalitarian, adaptive, and tolerant. The argument is made that the cultural context in which Native organizations operate is in many ways more compatible with the new management ideology than is the society in which this ideology prevails. Résumé Fondée sur une étude de cas d'un organisme de justice pénale géré par les autochtones, la présente recherche examine les liens entre des valeurs culturelles et des pratiques de gestion en se référant aux cinq dimensions des différences culturelles nationales de Hofstede. Elle con-clut que ces dimensions peuvent jeter une lumière nou-velle sur les différences entre cultures autochtones et allochtones, et sur la façon dont les organismes autochtones peuvent tirer parti de leurs valeurs culturelles traditionnelles pour rehausser I'efficacité orga-nisationnelle. En général, les cultures autochtones sont perçues comme collectivistes, égalitaires, flexibles et tolérantes. Nous proposons l'idée que le contexte cul-turel dans lequel fonctionnent les organismes autochtones est à de nombreux égards plus compatible avec la nouvelle idéologic de gestion que ne Vest la société où prévaut cette idéologic.     

Proper and Improper Multiple Imputation

Multiple imputation has become viewed as a general solution to missing data problems in statistics. However, in order to lead to consistent asymptotically normal estimators, correct variance estimators and valid tests, the imputations must be proper . So far it seems that only Bayesian multiple imputation, i.e. using a Bayesian predictive distribution to generate the imputations, or approximately Bayesian multiple imputations has been shown to lead to proper imputations in some settings. In this paper, we shall see that Bayesian multiple imputation does not generally lead to proper multiple imputations. Furthermore, it will be argued that for general statistical use, Bayesian multiple imputation is inefficient even when it is proper.     

Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing1

This paper stresses the bimodality of the likelihood function of the Mixed causal–noncausal AutoRegressions (MAR), and it is shown that the bimodality issue becomes more salient as the causal root approaches unity from below. The consequences are important as the roots of the local maxima are typically interchanged, attributing the noncausal component to the causal one and vice‐versa. This severely changes the interpretation of the results, and the properties of unit root tests of the backward root are adversely affected. To circumvent the bimodality issue, this paper proposes an estimation strategy which (i) increases noticeably the probability of attaining the global MLE; and (ii) selects carefully the maximum used for the unit root test against a MAR stationary alternative.     

The Return to Direct Investment in Private Firms: New Evidence on the Private Equity Premium Puzzle*

This paper uses a novel dataset to analyze the return to direct investments in private firms by pension funds. We have two key findings. First, direct investments in private firms have underperformed public equity by 392 basis points per annum under conservative risk adjustments. Second, initial mispricing, due to over‐optimism or misperceived risk, and subsequent low capital gains seem to explain the gap in returns to private firms. Overall, these findings complement the finding of Moskowitz and Vissing‐Jørgensen (2002) of low returns on entrepreneurial investments and provide new insight into the existence of what they call the private equity premium puzzle: Even professional investors with well‐diversified portfolios like pension funds seem to get a poor risk‐return tradeoff from investing directly in private firms.     

Piggybacking strategies for nonprofits: A shared costs approach

This article presents case data and a conceptual foundation for nonprofit piggybacking whereby a nonprofit organization subsidizes its deficit producing primary mission by diversifying into related surplus-producing ventures. Shared common and joint costs are considered as supply-side bases for selecting among demand-side related diversification activities.     

中国的双顺差、日本经验及失衡调整

我要讲的题目是"中国的双顺差:失衡与相互依赖",主要是从90年代开始,在过去十六年中的十三年,中国国际收支经常账户和资本账户同时出现了盈余,也就是出现了双顺差.这是非常特殊的现象.首先,我从国别比较的角度来透视中国出现双顺差的独特性,然后分析中国的双顺差是如何产生的.我认为,中国的双顺差主要是由加工贸易和外商直接投资推动的.