Risk Preferences,Production Risk and Firm Heterogeneity*

A new technique is proposed for deriving the risk preference function under production risk and expected utility of profit maximization. The derivation depends on neither a specific parametric form of the utility function nor any distribution of the error term representing production risk. The proposed risk preference function is flexible enough to test different types of risk behavior and symmetry of the output distribution. Furthermore, our production risk specification allows for inputs with positive and negative marginal risk. The econometric model accommodates production risk, risk preferences and firm heterogeneity simultaneously. Norwegian salmon farming data are used as an application.     

A methodology for the choice of the best fitting continuous-time stochastic models of crude oil price

The crude oil price is generally considered as the fundamental factor in the valuation of undeveloped reserves but it is not the unique one. Undeveloped field value also depends on the uncertainty relating to the convenience yield and the risk-free interest rate. The purpose of this paper is to decide on the best continuous-time stochastic models for these risk factors. The Generalized Method of Moments and the Maximum Likelihood Estimation are implemented to fit the parameters of continuous-time stochastic processes. The results of unit root tests without breaks reveal a mean reversion in convenience yield series. Multiple structural change tests show that the risk-free interest rate can be considered constant. The simulation of continuous-time stochastic processes and the mean error between the simulated prices and the market ones show that the Geometric Brownian Motion with jumps is the best model for the oil price compared to the other commonly used processes.     

基于多元线性回归的装饰工程快速估价模型

针对目前装饰工程陕速估价方法的不足,以及装饰工程造价组成的特点,建立一种基于多元线性回归的快速估价新模型。以住宅类建筑为例,建立其多元线性回归模型,结合SPSS软件对样本分析,结果表明,其线性回归模型显著,同时,内墙、外墙、楼地面和窗的回归系数也非常显著。通过计算回归值与实际值的误差,发现误差比较理想,该模型具有很好的实用价值。     

Labour adjustment costs: Estimation of a dynamic discrete choice model using panel data for Greek manufacturing firms

In this paper we estimate a dynamic structural model of employment at firm level. Our dataset consists of a balanced panel of 2790 Greek manufacturing firms. The empirical evidence of this dataset stresses three important stylized facts: (a) there are periods in which firms decide not to change their labour input, (b) there are periods of large employment changes (lumpy nature of labour adjustment) and (c) the commonality is employment spikes to be followed by smooth and low employment growth periods. Following Cooper and Haltiwanger [Cooper, R.W. and Haltiwanger, J. “On the Nature of Capital Adjustment Costs”, Review of Economic Studies, 2006; 73(3); 611–633], we consider a dynamic discrete choice model of a general specification of adjustment costs including convex, non-convex and “disruption of production” components. We use a method of simulated moments procedure to estimate the structural parameters. Our results indicate considerable fixed costs in the Greek employment adjustment.     

Likelihood-based specification analysis of continuous-time models of the short-term interest rate

An extensive collection of continuous-time models of the short-term interest rate is evaluated over data sets that have appeared previously in the literature. The analysis, which uses the simulated maximum likelihood procedure proposed by Durham and Gallant (2002), provides new insights regarding several previously unresolved questions. For single factor models, I find that the volatility, not the drift, is the critical component in model specification. Allowing for additional flexibility beyond a constant term in the drift provides negligible benefit. While constant drift would appear to imply that the short rate is nonstationary, in fact, stationarity is volatility-induced. The simple constant elasticity of volatility model fits weekly observations of the three-month Treasury bill rate remarkably well but is easily rejected when compared with more flexible volatility specifications over daily data. The methodology of Durham and Gallant can also be used to estimate stochastic volatility models. While adding the latent volatility component provides a large improvement in the likelihood for the physical process, it does little to improve bond-pricing performance.     

Enlarging the EMU to the east: what effects on trade?

The purpose of this article is to assess the implications of the Economic and Monetary Union (EMU) accession of eight Central and Eastern European Countries (CEECs) on their share of EMU-12 imports. Overcoming biases related to endogeneity, omitted variables and sample selection, our results indicate that the common currency has boosted intra-EMU imports by 7%. Under the assumption that the same relationship between the explanatory variables and imports will hold for EMU-CEEC trade, we intend to predict the future impact of the Euro. Our findings suggest that except for the least integrated countries, Poland, Latvia and Lithuania, all CEECs can expect increases in the EMU-12 import share.

A new perspective on the exporter productivity premium: online trade

We use a unique firm-level data set including 9000 companies from 26 European Union countries covering four different sectors to take a close look at the relationship between online exports and productivity. The online exporter productivity premium is estimated using different techniques (ordinary least squares, quantile regressions and robust estimation). Results consistently indicate that the estimated online exporter productivity premium is statistically different from zero, positive and significant from an economic point of view. European online exporters, according to these results, are approximately 2% more productive than non-online exporters. Productivity differences between firms could be related to variables that are not included in the empirical model. More research would be needed to address this issue in the future.     

Neoclassical versus Frontier Production Models? Testing for the Skewness of Regression Residuals*

The empirical literature on production and cost functions is divided into two strands. The neoclassical approach concentrates on model parameters, while the frontier approach decomposes the disturbance term to a symmetric noise term and a positively skewed inefficiency term. We propose a theoretical justification for the skewness of the inefficiency term, arguing that this skewness is the key testable hypothesis of the frontier approach. We propose to test the regression residuals for skewness in order to distinguish the two competing approaches. Our test builds directly upon the asymmetry of regression residuals and does not require any prior distributional assumptions.     

Nonlinearity in dynamic adjustment: Semiparametric estimation of panel labor supply

We estimate a semiparametric dynamic panel data model by the local linear kernel method and we interpret the slope of the nonparametric component function as a varying slope coefficient. Thus, the slope coefficient is a smooth, but otherwise unknown, function of some of the regressors. A Monte Carlo experiment is reported to examine the finite sample performance of the local linear estimator. We apply the estimation method to a labor supply equation for men from the triannual Survey of Income and Program Participation (SIPP). Specification tests based on the estimated labor supply elasticities, partial adjustment coefficients, and residuals demonstrate the improvements from a semiparametric partially linear model. Our empirical results point to a need by economists to revisit the issue of the speed of labor market adjustment to policy induced shifts in labor demand and to take more formal econometric account of heterogeneity in wage effects when studying the distributional consequences of tax reforms for labor supply earnings. First version received: July 2000/Final version received: January 2001