NONPARAMETRIC AND SEMIPARAMETRIC PANEL DATA MODELS: RECENT DEVELOPMENTS

In this paper, we provide an intensive review of the recent developments for semiparametric and fully nonparametric panel data models that are linearly separable in the innovation and the individual-specific term. We analyze these developments under two alternative model specifications: fixed and random effects panel data models. More precisely, in the random effects setting, we focus our attention in the analysis of some efficiency issues that have to do with the so-called working independence condition. This assumption is introduced when estimating the asymptotic variance–covariance matrix of nonparametric estimators. In the fixed effects setting, to cope with the so-called incidental parameters problem, we consider two different estimation approaches: profiling techniques and differencing methods. Furthermore, we are also interested in the endogeneity problem and how instrumental variables are used in this context. In addition, for practitioners, we also show different ways of avoiding the so-called curse of dimensionality problem in pure nonparametric models. In this way, semiparametric and additive models appear as a solution when the number of explanatory variables is large.     

Can inflation targeting reduce price information asymmetry and alleviate corruptive behavior? Evidence from developing countries

This paper examines the role of inflation targeting as a price signaling mechanism reducing price information asymmetry and potentially reducing incentives for corruptive actions through its direct control on the inflation rate, thus simultaneously increasing institutional quality. The obtained evidence suggests that adopting inflation targeting lowers corruption in a sample of 61 developing countries for the period between 1990 and 2018. Countries that have adopted inflation targeting experience lower corruption levels, as measured by the corruption perceptions (CP) index, controlling for other relevant determinants of corruption identified in the empirical literature, such as inflation, level of income, income distribution, trade openness and the rule of law. This result is sensitive to the type of inflation targeting adopted. Soft (unofficial) inflation targeting has no significant effect on the corruption level, giving support to the claim that strong institutional commitment, accompanied by transparency and constant communication with regards to inflation targets by the central bank, provides an adequate price signaling mechanism. In addition, the analysis provides evidence that an efficient rule of law reduces corruption levels significantly, although its effects are rather modest to support the claims that it can solely lessen corruptive behavior in the sample of developing countries.     

产品目标用户群划分方法研究

随着产业信息化的不断深入,产品进入快速更迭阶段,这源于用户群对产品的需求处于实时变化的状态。"以用户为中心"设计理念成为左右产品亲和度的首要标准。传统的产品用户群划分方法已经随着时间不断得到修正和补充。本文通过以用户需求为主要划分维度,研究用户数据提取优先级,构建典型目标用户群模型的方式动态研究产品整个阶段目标用户群的划分。     

The effect of inflation uncertainty on inflation: Stochastic volatility in mean model within a dynamic framework

This paper investigates the effect of inflation uncertainty innovations on inflation over time by considering the monthly United States data for the time period 1976–2006. In order to investigate the effect of inflation uncertainty innovation on inflation, a Stochastic Volatility in Mean model (SVM) has been employed. SVM models are generally used to capture the innovation to inflation uncertainty, which cannot be achieved in the framework of popular deterministic ARCH type of models. Empirical evidence provided here suggests that innovations in inflation volatility increases inflation persistently. This evidence is robust across various definitions of inflation and different sub-periods.     

Structural VAR models for Malaysian monetary policy analysis during the pre- and post-1997 Asian crisis periods

This article conducts an in-depth investigation into building a Structural Vector Autoregression (SVAR) model and analysing the Malaysian monetary policy. Considerable attention is paid to: (i) the selection of foreign, policy and target variables; (ii) establish identifying restrictions and improve the estimates of impulse response functions; (iii) assess the importance of intermediate channels in transmitting monetary policy mechanism; and (iv) the way in which the 1997 Asian financial crisis affected the working of monetary policy. Malaysia is an interesting small open economy to study because, following this crisis, the government imposed capital and exchange rate control measures. The overall results suggest that the crisis and the subsequent major shift in the exchange rate regime have significantly affected the Malaysian ‘Black Box’. In the pre-crisis period, domestic variables appear to be more vulnerable to foreign monetary shocks. Further, the exchange rate played a significant role in transmitting the interest rate shocks, whereas credit and asset prices helped to propagate the money shock. In the post-crisis period however, asset prices play a more domineering role in intensifying the effects of both interest rate and money shocks on output, and the economy was insulated from foreign shocks.     

Housing sales in urban Beijing

In the housing market, new properties sometimes experience delays before they are sold. Such delays reflect the preferences of buyers in respect of the homes’ characteristics. Therefore, it is important for managerial purposes to identify the causes of housing sales delays. After analysing the delays in sales of housing in Beijing City, China, the principal finding of this study is that delays are largely explained by the dwellings’ characteristics and location. Policy implications of the research findings, particularly those related to means of reducing the delays, are discussed.     

Sensitivity analysis of efficiency rankings to distributional assumptions: applications to Japanese water utilities

This article examines the robustness of efficiency score rankings across four distributional assumptions for trans-log stochastic production-frontier models, using data from 1221 Japanese water utilities (for 2004 and 2005). One-sided error terms considered include the half-normal, truncated normal, exponential and gamma distributions. Results are compared for homoscedastic and doubly heteroscedastic models, where we also introduce a doubly heteroscedastic variable mean model, and examine the sensitivity of the nested models to a stronger heteroscedasticity correction for the one-sided error component. The results support three conclusions regarding the sensitivity of efficiency rankings to distributional assumptions. When four standard distributional assumptions are applied to a homoscedastic stochastic frontier model, the efficiency rankings are quite consistent. When those assumptions are applied to a doubly heteroscedastic stochastic frontier model, the efficiency rankings are consistent when proper and sufficient arguments for the variance functions are included in the model. When a more general model, like a variable mean model is estimated, efficiency rankings are quite sensitive to heteroscedasticity correction schemes.     

Time-varying parameters in the almost ideal demand system and the Rotterdam model: will the best specification please stand up?

This article assesses the ability of the Rotterdam Model (RM) and of three versions of the Almost Ideal Demand System (AIDS) to recover the time-varying elasticities of a true demand system and to satisfy theoretical regularity. Using Monte Carlo simulations, we find that the RM performs better than the linear-approximate AIDS at recovering the signs of all the time-varying elasticities. More importantly, the RM has the ability to track the paths of time-varying income elasticities, even when the true values are very high. The linear-approximate AIDS, not only performs poorly at recovering the time-varying elasticities but also badly approximates the nonlinear AIDS.     

From real estate to consumption: the role of credit markets in the USA

The aim of this article is to test whether the credit market conditions affect the strength of transmission of real estate wealth effects on household consumption in the US economy. Although many different works have dealt with the analysis of the existence of a real estate wealth effect, most of them as a reaction to the dramatic increase of housing prices in several OECD countries, there are only few papers analysing whether the consumption response depends on the positive or negative sign of the wealth shock and, as far as we know, none of them takes the effects of credit market conditions on that asymmetric response into account. This article tries to fill the existing gap in the literature on this matter. From an econometric perspective, we estimate the asymmetries in the consumption response within the momentum threshold autoregressive model (M-TAR) proposed by Enders and Siklos (2001), but following Stevans (2004), it is applied to a multivariate framework. The main results show that the credit market conditions play a significant role in the transmission of changes in real estate wealth to consumption. In addition, we find that there exists an asymmetric behaviour in the US aggregate consumption spending responses to real estate wealth and credit market shocks, which is only significant when a negative shock takes place.     

The Monetary Transmission Mechanism: Evidence from Eight Economies in Transition

Abstract

We examine in this paper the importance of banks’ behavior in the transmission of the monetary policy to the real economy. Monthly data from eight economies in transition that recently became members of the European Union and the techniques of cointegration and Error Correction models are used, in order to investigate the relationship between intermediation margin spread (IMS, official lending rate minus deposit rate) and industrial production. Given the low development of corporate bond market and the dependence of non-financial agents on banking credits, we find that in many countries the IMS is an important leading indicator of industrial production. However, in countries characterized by credit access constraints (Estonia and Latvia) evidence for the traditional money channel is found. Evidence for both money and credit channels is found in Poland and Hungary. These results imply that a common monetary policy implemented by the European Central Bank may be transmitted in different ways across the new members of the enlarged European Union with different effects on real output in each country.