Bootstrap J-Test for Panel Data Models with Spatially Dependent Error Components,a Spatial Lag and Additional Endogenous Variables

We develop a bootstrap J-test method for testing a panel model against one non-nested alternative when the competing specifications are estimated by Feasible Generalised Spatial Two Stage Least Squares/Generalised Method of Moments (FGS2SLS/GMM). Both models incorporate spatially correlated error components, thus accounting for spatial heterogeneity via random effects, and accommodate endogenous regressors other than the spatially lagged dependent variable. The proposed scheme is applied to a testing problem involving non-nested wage equations as motivated by the Wage Curve literature and the New Economic Geography theory. Results show that our bootstrap test is a reliable and effective procedure for correcting asymptotic reference critical values and distinguishing between the two rival hypotheses.     

基于空间计量的房地产价格影响因素分析——以湖南省为例

运用空间计量方法,结合 GeoDa 软件,考量湖南省房地产价格影响因素。结果表明：湖南省各地级市间的房地产价格空间效应主要体现于误差扰动项中的空间依赖性,土地供应量对湖南省房地产价格影响最大。鉴此,房地产价格调控手段应偏向于金融政策和合理的城镇化水平。     

Spatial price mimicking on Airbnb: Multi-host vs single-host

This paper studies the existence of two different supply operators in the peer-to-peer accommodation rental market for the city of Madrid. We specifically analyse spatial dependencies in price formation and whether the so-called professional hosts (i.e. those who have several Airbnb listings) set prices differently from single-property hosts. To this end, hedonic price models are estimated with and without spatial price dependence. Listings’ structural characteristics and accessibility measures to transportation hubs and sightseeing spots are considered in the regressions. Results provide clear evidence that price mimicking is higher among non-professional hosts whereas professional hosts set prices more independently.     

外生驱动互联网消费增长的微观空间计量研究

文章从外生驱动视角探讨中国互联网消费的全域增长问题,试图通过理论探讨与实证分析挖掘微观社会互动促进互联网外生消费的机理与手段。文章利用数字内容产品在线消费的省域数据,使用空间面板固定效应模型识别互联网环境中促进外生消费增长的外溢与滞后因素,分析了中国文化与地理空间的社会互动对互联网外生消费增长的影响,为中国互联网消费的全域内生增长探索新的规律与方式。研究发现互联网消费空间中存在着地理临近性与文化相似性。这不仅是一次理论研究,其规律将帮助政府与企业理性认识互联网消费的空间传染方式,指导制定最佳的网络经济发展战略。     

Housing Attribute Preferences in a Northern Mexico Metropolitan Economy

Studies of the valuation of housing attributes have been conducted for numerous metropolitan markets. Empirical analyses of this nature for cities in Latin America and Mexico are less common. This study utilizes data for 175 new houses in Ciudad Juarez, a major metropolitan economy in northern Mexico, to estimate a hedonic pricing model. All units in the sample were completed and sold between November 2006 and April 2007. For each house, a total of 14 characteristics relating to structure and location are employed as explanatory variables. Estimation results indicate that the structural characteristics play bigger roles than the neighborhood amenities. Surprisingly, neighborhood parks are found to lower housing values.      

The Methodological Progress of Tourism Demand Forecasting: A Review of Related Literature

Research on modeling the estimation and forecasting of tourism demand has evolved with increasing sophistication and improved quality. In this study, 155 research papers published between 1995 and 2009 were identified and were classified into three main groups according to the methods and techniques adopted—an econometric-based approach, time series techniques, and artificial intelligence (AI)-based methods. It appears that the more advanced methods such as cointegration, error correction model, time varying parameter model, and their combinations with systems of equations produce better results in terms of forecasting accuracy. We also discuss the implications and suggest future directions of tourism research techniques and methods.     

Estimating default barriers from market information

Brockman and Turtle [J. Finan. Econ., 2003, 67, 511–529] develop a barrier option framework to show that default barriers are significantly positive. Most implied barriers are typically larger than the book value of corporate liabilities. We show theoretically and empirically that this result is biased due to the approximation of the market value of corporate assets by the sum of the market value of equity and the book value of liabilities. This approximation leads to a significant overestimation of the default barrier. To eliminate this bias, we propose a maximum likelihood (ML) estimation approach to estimate the asset values, asset volatilities, and default barriers. The proposed framework is applied to empirically examine the default barriers of a large sample of industrial firms. This paper documents that default barriers are positive, but not very significant. In our sample, most of the estimated barriers are lower than the book values of corporate liabilities. In addition to the problem with the default barriers, we find significant biases on the estimation of the asset value and the asset volatility of Brockman and Turtle.     

MaxVaR for non-normal and heteroskedastic returns¶

In this work we propose Monte Carlo simulation models for dynamically computing MaxVaR for a financial return series. This dynamic MaxVaR takes into account the time-varying volatility as well as non-normality of returns or innovations. We apply this methodology to five stock market indices. To validate the proposed methods we compute the number of MaxVaR violations and compare them with the expected number. We also compute the MaxVaR-to-VaR ratio and find that, on average, dynamic MaxVaR exceeds dynamic VaR by 5–7% at the 1% significance level, and by 12–14% at the 5% significance level for the selected indices.     

The impact of transaction duration,volume and direction on price dynamics and volatility

We explore the role of trade volume, trade direction, and the duration between trades in explaining price dynamics and volatility using an Asymmetric Autoregressive Conditional Duration model applied to intraday transactions data. Our results suggest that volume, direction and duration are important determinants of price dynamics, while duration is also an important determinant of volatility. However, the impact of volume and direction on volatility is marginal after controlling for duration, and the impact of volume on volatility appears to be confined to periods of infrequent trading.     

Financial factors and firm growth: evidence from financial data on Taiwanese firms

We investigate the possible predictability of firm growth in Taiwan using cross-sectional data of financial factors for the years 1997 and 2003 via principal component analysis. Our results reveal that the 18 financial variables (sales growth rate, total assets, total sales, return on assets, return on equity, gross margin, operating cost minus depreciation divided by sales plus other trading income, acid test ratio, debt–equity ratio, time interest earned, average receivables per average daily sales, inventory, average payables per average daily sales, working capital, working capital as a fraction of total assets, long-term liabilities as a fraction of total assets, and sales as a fraction of net worth of the firm) that we employ bunch together into five different financial ratios for the years 1997 and 2003 that are stable between these years. These financial factors are short-term liquidity, return on investment, long-term liquidity, firm size and capital turnover. Regressing these ratio groups (extracted principal components) on firm growth, we find return on investment in the year 1997 was positively and significantly related to firm growth, while long-term solvency was negatively related to firm growth. In addition, smaller firms tended to grow faster. By 2003, larger firms grew faster than smaller ones and short-term liquidity was positively and significantly related to firm growth, while return on investment was no longer a significant determining factor. Our findings suggest that firms that finance internally or do not rely too heavily on indebtedness may end up growing slower during boom periods but they are the ones that survive and outperform after the bust.