Corrigendum to “Characterization of the asymptotic distribution of semiparametric M-estimators” [J. Econometrics 159 (2) (2010) 252–266]

This note provides correction to Ichimura and Lee (2010).     

Two-step estimation of panel data models with censored endogenous variables and selection bias

This paper presents some two-step estimators for a wide range of parametric panel data models with censored endogenous variables and sample selection bias. Our approach is to derive estimates of the unobserved heterogeneity responsible for the endogeneity/selection bias to include as additional explanatory variables in the primary equation. These are obtained through a decomposition of the reduced form residuals. The panel nature of the data allows adjustment, and testing, for two forms of endogeneity and/or sample selection bias. Furthermore, it incorporates roles for dynamics and state dependence in the reduced form. Finally, we provide an empirical illustration which features our procedure and highlights the ability to test several of the underlying assumptions.     

基于多标度分形理论的金融资产收益非对称性测度方法研究

基于多标度分形理论,提出了一种新的更适用于实际金融资产收益数据的非对称性测度方法——两阶段非对称性检验法（Two-step asymmetry testing,TAT）,并运用Monte Carlo模拟考察了其与传统的偏度系数检验法的非对称性判定结论差异。实证结果表明：总体来讲,本文提出的两阶段非对称性检验法在常用检验水平下取得了较偏度系数法更为准确的金融资产收益非对称性判定结论,且两阶段非对称性检验法较偏度系数法更适用于具有非独立、非正态特性数据的非对称性检验。     

Capital regulation and bank balance sheet adjustments: a simultaneous approach

This study examines the balance sheets of banks in 15 Asian countries from 2004 to 2016 to explore how they respond to stricter capital regulation. We consider the simultaneity of balance sheet adjustments. Employing a normalisation method, the study found that Asian banks increased regulatory capital, primarily through retained earnings, and expanded assets over the study period. However, the two-step system Generalised Method of Moments results do not support the positive effect of capital regulation on regulatory capital components adjustments. In addition, stricter capital regulation even induces banks to reduce lending.     

Estimating consumer preferences and willingness to pay for the underutilised indigenous chicken products

Indigenous chicken serves many functions, which include the provision of meat and eggs for home consumption and income from sales. The purpose of this study was to estimate the consumers’ responsiveness to an increase in prices of the indigenous chicken products and how much they are willing to pay for them in the market. The survey was conducted in the selected three regions of Kenya. A total of 930 respondents were interviewed both in the urban and rural areas. Contingent valuation experiment was used in empirical data collection. The two-step Heckman selection model was utilised to analyse consumers decisions and the amount they were willing to pay. The study results revealed that consumers are willing to pay 23.26% per kg more for indigenous chicken meat and 41.53% for eggs. Socioeconomic factors like age, income, education and family size significantly determines consumers’ willingness to pay. Other important factors include the indigenous chicken meat substitutes’ prices, attributes like taste/flavour and the product’s form on purchase. The yolk colour and size of eggs determined the consumers’ willingness to pay. Preferences for indigenous chicken products were found to be high. This information will assist in understanding both the urban and rural consumer’s behaviour. Therefore, useful for the indigenous chicken producers, breeders, marketers and policy makers in developing efficient production and marketing strategies. This would also provide a means of improving food security and livelihoods of the rural poor indigenous chicken farmers.     

Modelling European sovereign bond yields with international portfolio effects

This paper proposes a portfolio choice model with two countries to evaluate the specific role of volatility and co-volatility risks in the formation of long-term European interest rates over the crisis and post-crisis periods with an active role of the European Central Bank. Long-term equilibrium rates depend crucially on the covariances between international bond yields anticipated by investors. Positively anticipated covariances amplify the phenomena of fundamental contagions related to the degradations of public finance and solvency of sovereign debt issuer, while negatively anticipated covariances amplify the phenomena of Flight-to-quality. The two-step econometric approach over the period January 2006 to September 2016 analyses 21 European market pairs in a bivariate GARCH framework. Empirical results show that the decline in German and French long-term rates from March 2011 is partially due to the decrease in both risk premium and covariances with periphery countries. These declines actually amplify the mechanisms of Flight-to-quality. Finally, a lower sensitivity of rate to volatility and co-volatility risks during the crisis period gives credit to the hypothesis of a occasional fragmentation of the European sovereign bond markets (De Santis and Stein, 2016, Ehrmann and Fratzscher, 2017).     

Estimation of nonparametric inefficiency effects stochastic frontier models with an application to British manufacturing

The purpose of this paper is to propose a simple stochastic frontier model with a non-parametric specification for covariates affecting the mean of technical inefficiency. We derive a simple two-step semiparametric estimation procedure to estimate the frontier parameters as well as the mean of the technical inefficiency. The consistency of the estimator and its asymptotic normality are shown. The proposed method is illustrated using a large panel data set of British manufacturing firms.     

Can individual investors learn from experience in online P2P lending? Evidence from China

This study utilizes an account-level dataset from a large Chinese online peer-to-peer (P2P) lending platform (PPdai.com) to examine whether and how P2P investors rationally learn from their experience. First, this study uses a Cox proportional hazard model to explore the influence of an investor’s initial ability on exit behavior. Then, a normal learning model is used to estimate the relationship between investor performance and experience. Finally, we develop a two-stage learning model to analyze the extent to which improvements in investor performance are driven by the effect of endogenous exit and the extent to which they are driven by increases in experience. The empirical results show that P2P investors learn rationally in two ways: the first way is by learning about their ability; the second way is by learning to improve their performance. The implications of these findings include the following: (a) P2P investors learn from experience to improve their performance without a guarantee mechanism; (b) Both ways of learning play an important role in alleviating investors’ adverse selection; and (c) for P2P platforms, introducing tests or screening mechanisms to reveal new investors’ ability and to exclude investors with low ability might be more valuable than retaining all investors.     

Can AI benefit individual resilience? The mediation roles of AI routinization and infusion

The recent COVID-19 pandemic has raised concerns about individual resilience in the face of adversity. The abundant research suggested that artificial intelligence (AI) can help organizations handle changes during this challenging period. However, little empirical research has explored whether the presence of AI enhances individual resilience against adversities. Drawing on the reciprocal determinism theory, this study considers the formation of two typical post-adoption behaviors and their subsequent results in individual resilience. The structural equation modeling shows that AI factors (usability and sociability) and personal factors (self-efficacy) determine usage behaviors (routine and infusion use), in turn affecting individual resilience. The OLS results suggest the right half of the U-shaped relationships between infusion use and resilience. Two-step fsQCA offers three configurations resulting in high resilience under the different presence of AI factors and also suggests the roles of user behaviors. The study provides new theoretical enlightenment for the impact of digital service technology on individuals and enriches the existing literature on the usage of digital service technology. The findings provide practical implications for practitioners to design AI products better to improve smart service experience.     

人民币均衡汇率、汇率错位与出口关系的实证分析

本文运用1978—2005年的数据，分别计算了人民币均衡汇率水平和汇率错位程度，并运用两步法和误差修正模型分析了人民币均衡汇率、汇率错位与出口之间的关系。