20,816 research outputs found
Finite sample properties of GMM estimators and tests
No full textContents:
Preface;
1. Introduction to the generalized method of moments estimation David Harris and László Mátyás;
2. GMM estimation techniques Masao Ogaki;
3. Covariance matrix estimation Matthew J. Cushing and Mary G. McGarvey;
4. Hypothesis testing in models estimated by GMM Alastair R. Hall;
5. Finite sample properties of GMM estimators and tests Jan M. Podivinsky;
6. GMM estimation of time series models David Harris;
7. Reduced rank regression using GMM Frank Kleibergen;
8. Estimation of linear panel data models using GMM Seung C. Ahn and Peter Schmidt;
9. Alternative GMM methods for nonlinear panel data models Jörg Breitung and Michael Lechner;
10. Simulation based method of moments Roman Liesenfeld and Jörg Breitung;
11. Logically inconsistent limited dependent variables models J. S. Butler and Gabriel Picone;
Index
Testing misspecified cointegrating relationships
No full textThe powers of various tests for cointegration are compared in an experimental design where there is a possible mismatch between the variables used in the construction of the tests and the variables entering the true cointegrating vector(s)
Why is labour-managed firm entry so rare? An analysis of UK manufacturing data
No full textWhy are there so few labour-managed entrants in market economies? We address this question by analysing a panel of labour-managed entrants into UK manufacturing industries. Using Poisson and negative binomial random effects models, our main finding is a significant negative relationship between entry counts and both the capital–labour ratio and the variance of profits. This is consistent with long-standing theoretical arguments that labour-managed firms face problems in raising capital and spreading ris
Has the new deal in Scotland helped young people out on unemployment and into jobs?
No full textThe New Deal for Young People (NDYP) in Scotland has
significantly increased outflows from long-term unemployment
for both young men and young women. This
increase is primarily the result of young people leaving
unemployment during the Gateway stage of NDYP and of
the take-up of NDYP options. We find no evidence of any
detrimental effect of the NDYP on those not participating
in the programme. The magnitude of the overall NDYP
effect on outflows is larger for females than for males in
Scotland, and larger for both genders than the UK
average suggested by previous studies. In other words,
the NDYP in Scotland appears to have been more
effective in helping the young unemployed out of
unemployment than for some other parts of the UK,
particularly for young women
Are active labour market programs least effective where they are most needed? The case of the British New Deal for Young People
No full textThere is much debate, but surprisingly little evidence, on the question of whether Active Labour Market Programs (ALMPs) have differential effects in labour markets characterised by different levels of labour demand. On the one hand we might expect ALMPs to have greater impacts in tight labour markets because more and perhaps better job vacancies exist. On the other hand, ALMPs might have larger impacts in slack labour markets because the unemployed have more favourable characteristics or because the added value of such programs is higher. In this paper we explore whether a mandatory ALMP for unemployed young people introduced in 1998 – the British New Deal for Young People (NDYP) – has had heterogeneous impacts across local labour markets, controlling for differences in program implementation and in the characteristics of the unemployed young people themselves. We find mostly robust evidence that the program impact on a variety of outcome measures is decreasing with the local unemployment rate
Why are labour-managed firms so rare? An analysis of entry using UK panel data
No full textWhy are labour-managed firms so rare in market economies? We address this question by analysing the determinants of entry. A negative binomial random effects model is used to examine a panel of UK entry data. Our main finding is a significant negative relationship between entry counts and both the capital-labour ratio and the variance of profits. This is consistent with long-standing theoretical arguments that labour-managed firms face problems in raising capital and spreading risk<br/
Duration dependence and routes out of joblessness for young people
No full textThis paper examines young people’s exits from joblessness using recent survey data for Northern Ireland. A reduced form search model is estimated, allowing for a fully flexible specification of the baseline hazard function, with young people exiting joblessness into either employment or education and training. There is evidence of negative duration dependence in the conditional probability of exiting joblessness. The relationship is not monotonic, however, there being a small ‘spike’ in the hazard rate around 5-6 months consistent with an effect of the introduction of the New Deal for Young People in 1998.The paper argues that, given negative duration dependence, policy makers would do better to increase targeted interventions on those facing the toughest barriers to employment in the first month of joblessness, where possible, rather than wait for six months as is the current case with New Deal. The main barriers to exit from joblessness observable in the data include caring for a young child, having a family background of unemployment and low levels of job search. Having poor qualifications also acts as a barrier to exit from joblessness, particularly into education. The introduction of Job Seekers Allowance in 1996 is correlated with shorter jobless spells. Further research is suggested to examine these issues in more detail, and in particular to examine in greater depth the effects of the introduction of the New Deal on duration dependence in joblessness among young people
Small sample properties of tests of linear restrictions on cointegrating vectors and their weights
No full textThe simulation analysis conducted here indicates that the asymptotic ?2 LR tests of linear restrictions upon the elements of cointegrating vectors and their weights proposed by Johansen (1988) and Johansen and Juselius (1990) have rather poor size properties. We propose alternative approximate F-type tests, and show that they typically have more favourable size properties
An analysis of the small sample behaviour of some econometric test statistics
No full textAsymptotic econometric test procedures are well known to be potentially inaccurate when applied to dynamic models estimated from finite samples of data. This thesis considers alternative techniques to examine the small sample behaviour of econometric statistics. These are then applied to three classes of tests in dynamic models. Edgeworth approximations are used to provide adjusted critical values for two asymptotically equivalent tests of non-tested hypotheses, and the empirical sizes of these tests are assessed by Monte Carlo simulation. This can often correct for much of the discrepancy between the tests' nominal and empirical sizes, particularly for the Wald CPE test. A simulation study of Wald and likelihood ratio tests of common factor restrictions indicates that both tests can have poor small sample properties. The Wald test and its power function are found to be non-monotonic for alternative hypotheses sufficiently far from the null hypothesis. In the third application, direct and indirect tests of weak exogeneity are examined. In particular Lagrange multiplier tests are found to have adequate performance in finite samples. Finally, it is argued that the assessment of the adequacy or otherwise of asymptotic tests in dynamic models must become more routine and more efficient.</p
- …
