A bivariate Poisson count data model using conditional probabilities

The applied econometrics of bivariate count data predominantly focus on a bivariate Poisson density with a correlation structure that is very restrictive. The main limitation is that this bivariate distribution excludes zero and negative correlation. This paper introduces a new model which allows for a more flexible correlation structure. To this end the joint density is decomposed by means of the multiplication rule in marginal and conditional densities. Simulation experiments and an application of the model to recreational data are presented.     

The Allocation of German Aid: Self‐interest and Government Ideology

We investigate the importance of geo‐strategic and commercial motives for the allocation of German aid to 138 countries over the 1973–2010 period. We find that geo‐strategic and commercial motives matter. When we relate them to the political color of the German government in general, and the Ministry for Economic Cooperation and Development and the Federal Foreign Office in particular, we find their importance to be at least as strong under the socialist leadership. Socialist leadership decreases the amount of aid commitments, controlled for other factors.     

Patent indicators for macroeconomic growth—the value of patents estimated by export volume

This paper examines the linkage between patenting and export performance for selected countries at the level of technology fields. Some empirical studies show considerable correlation between the patenting behavior of countries and their economic success in international markets. Adding to the existing literature, the aim of this analysis is to assess whether the indicators that are supposed to reflect patent value—such as patent citations or family size—have any explanatory power in estimating the export value of countries by technology fields.     

Correlation dynamics and international diversification benefits

Forecasting the evolution of security co-movements is critical for asset pricing and portfolio allocation. Hence, we investigate patterns and trends in correlations over time using weekly returns for developed markets (DMs) and emerging markets (EMs) over the period 1973–2012. We show that it is possible to model co-movements for many countries simultaneously using BEKK, DCC, and DECO models. Empirically, we find that correlations have trended upward significantly for both DMs and EMs. Based on a time-varying measure of diversification benefits, we find that it is not possible to circumvent the increasing correlations in a long-only portfolio by adjusting the portfolio weights over time. However, we do find some evidence that adding EMs to a DM-only portfolio increases diversification benefits.     

Asymptotics for Autocovariances and Integrated Periodograms for Linear Processes Observed at Lower Frequencies

One of the most frequently used class of processes in time series analysis is the one of linear processes. For many statistical quantities, among them sample autocovariances and sample autocorrelations, central limit theorems are available in the literature. We investigate classical linear processes under a nonstandard observation pattern; namely, we assume that we are only able to observe the linear process at a lower frequency. It is shown that such observation pattern destroys the linear structure of the observations and leads to substantially different asymptotic results for standard statistical quantities. Central limit theorems are given for sample autocovariances and sample autocorrelations as well as more general integrated periodograms and ratio statistics. Moreover, for specific autoregressive processes, the possibilities to estimate the parameters of the underlying autoregression from lower frequency observations are addressed. Finally, we suggest for autoregressions of order 2 a valid bootstrap procedure. A small simulation study demonstrates the performance of the bootstrap proposal for finite sample size.     

The Effect of Leasing versus Buying on Entry Deterrence

Models of entry deterrence typically require that incumbents possess a cost advantage as a prerequisite for deterring entry. Potential entrants possess a cost advantage over incumbents, however, if input costs fall over time. This paper models the behavior of an incumbent and a potential entrant when the input cost falls over time and the firms have the option of buying or leasing the input. The model shows that if the future cost savings from new technology exceed the marginal transaction costs of leasing the current equipment, then leasing increases the incumbent's ability to deter entry. Copyright © 2011 John Wiley & Sons, Ltd.