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This article provides a large dataset on PSE using a parametric approach, and covering 158 countries of all income levels, over the period 1990–2017. The analysis includes four sectors: education, health, infrastructure, and public administration. We further consider three efficiency indicators regarding the 'Musgravian' tasks for government: allocation, distribution, and stabilization. After computing the efficiency scores for our sample countries, we examine their determinants using a wide range of economic and institutional factors. Our key findings are that trade globalization, factor productivity, and institutional quality seem to be important determinants of total PSE. The results remain robust to alternative specifications and methods. Finally, we provide additional evidence by exploring the sensitivity of the main determinants to different country groups, considering the level of economic development, geographical regions, and fragile states. [ABSTRACT FROM AUTHOR]

This paper analyses regional competitiveness at the subregional level through a novel methodological approach that adopts a matching design. By comparing the performance of similar firms in different parts of the region, it is possible to detect whether different places provide different competitive territorial assets. Using data for Lombardy, a large and competitive European region, the analysis shows that the different territories of the region are differently competitive in different industries, even when they are similar in terms of total GDP per capita or specialization. The paper also confirms that measuring competitiveness on different indicators (Labour Productivity, TFP, Profitability) can provide different results, and this especially happens when comparing static and dynamic indicators. The methodology presented here is especially relevant to the design of regional policies, that are mostly deployed at the NUTS-2 level but would benefit from accounting for the presence of strongly dis-homogeneous territories inside the same region. [ABSTRACT FROM AUTHOR]

This investigation shows that through word embedding and co-occurrence, a researcher can deduce key concepts within a corpus that, with adequate academic contextual knowledge, can guide the investigator to conclude if the corpus belongs to or has been influenced by a particular school of thought. Specifically, we have conducted an extensive analysis of the Journal des Economistes, a prominent platform for the dissemination of ideas within the French Liberal School which run from 1841 to 1936, to demonstrate the effectiveness of these tools in the context of distant reading. We have thus shown how the concepts discussed within the journal, reflect the concerns of the French Liberal School for the concepts of value, commerce, freedom of exchange, freedom, and labor, through statistical methods, as opposed to a close reading of the text. [ABSTRACT FROM AUTHOR]

Increased hygiene behavior may be a factor in the development of contaminationrelated obsessive-compulsive symptoms (C-OCS). We aimed at investigating (1) the course of C-OCS over 1 year after the start of the COVID-19 pandemic and (2) the effects of changes in hand hygiene (i.e., duration and frequency of handwashing) and related distress regulation on the long-term course of C-OCS. In a longitudinal study, we assessed 1,220 individuals from the German general population at the start of the COVID-19 pandemic (t1), 3 months later (t2), and 12 months later (t3). Pre-pandemic data were available in a subsample from 2014 (n = 430). A decrease in C-OCS over the first year of the pandemic emerged with a small effect size. Thirty-six percent of the participants scored above the clinical cut-off score at t1, 31% at t2, and 27% at t3. In 2014, only 11% scored above the clinical cut-off score. Hierarchical regression showed that C-OCS at t1 was the strongest predictor of a long-term increase in C-OCS. With small effect sizes, change in the duration (not frequency) of handwashing from t1 to t2, as well as the distress-reducing effect of handwashing served as additional predictors. Implications for information on hand hygiene guidelines are discussed. [ABSTRACT FROM AUTHOR]

The fascinating thing about the 'finding that the measures taken to contain this pandemic in the transport system have, on the one hand, achieved in a very short time precisely those effects that qualified transport scientists have been demanding from politicians for decades and, on the other hand, the fact that it has not been possible to realize the same successes in the transport system without C19, although human lives, hygiene and health are at stake in both areas. Unfortunately, little is known about the origin of C19. In the Corona crisis, one also recognizes the importance of certain self-sufficiency, not only for medical care and equipment. The relationship between C19 and the transport system is closer than one would think. C19 is the result of the thoughtless intrusion of humans into nature, which was no longer respected in its intrinsic value, but devalued to the object of marketing. The most effective measure against car addiction is to prevent the "docking" of the car to the home and all other places of human activity. This measure has been shown to be most effective in combating viral infections. The measures to be taken are; 1. car-free settlements and sanctions, 2. speed limits and effective control, 3. technical measures to minimise the risks of the remaining car traffic. [ABSTRACT FROM AUTHOR]

We propose a novel approach to deal with the problem of indeterminacy in linear rational expectations models. The method consists of augmenting the original state space with a set of auxiliary exogenous equations to provide the adequate number of explosive roots in presence of indeterminacy. The solution in this expanded state space, if it exists, is always determinate, and is identical to the indeterminate solution of the original model. The proposed approach accommodates determinacy and any degree of indeterminacy, and it can be implemented even when the boundaries of the determinacy region are unknown. Thus, the researcher can estimate the model using standard software packages without restricting the estimates to the determinacy region. We combine our solution method with a novel hybrid Metropolis–Hastings algorithm to estimate the New–Keynesian model with rational bubbles by Galí (2021) over the period 1982:Q4–2007:Q3. We find that the data support the presence of two degrees of indeterminacy, implying that the central bank was not reacting strongly enough to the bubble component. [ABSTRACT FROM AUTHOR]

The relative importance of key state-level outcomes upon U.S. national corn and soybean production was examined using correlated component regression, a recently developed regression technique for application to multicollinear and sparse data sets. Standardized coefficients were used to rank the states' relative importance. A Herfindahl-Hirschman Index was used to measure the degree of concentration among the top ranked states. The empirical analysis looked at two time periods: a pre-Genetic Modification (1975–1995) and a post-Genetic Modification (1996–2017) period. The results indicate that U.S. corn production is becoming less geographically concentrated in terms of state-level importance while the opposite holds true for soybean production. [ABSTRACT FROM AUTHOR]

This paper analyses how mortgage borrower liquidity constraints and home equity drive the realized loss rates given default using loan-level data. We define defaulted loans with zero loss as cures and those with non-zero loss as non-cures. We find economically that borrower liquidity constraints and positive equity explain cure, while negative equity explains non-zero loss. The findings provide an important economic-rationale for a separation of the cure and loss processes in mortgage loss models and their applications such as loan pricing and bank capital regulation. The results have great relevance for the multi-trillion dollar mortgage industry for a more efficient capital allocation, better mortgage pricing and more forward-looking loan loss provisioning. [ABSTRACT FROM AUTHOR]

Although the analysis of dependence in financial markets started a century ago, there is still room for new work, both because statistical methods continue to de developed, allowing stronger and more robust analysis, and because more and more data is available. In this context, we propose to make a deep analysis of the Swiss stock market, one of the most important financial centres in the world, studying the main index and also 19 of its 20 components. We use detrended fluctuation analysis, which allows us to analyse the existence of long-term dependence in a given variable. As our objective is to analyse the evolution of that dependence over time, we use a sliding windows approach. The results show that several of the analysed stocks have a behaviour which is not consistent with the absence of dependence, which could be informative for actual and potential investors. [ABSTRACT FROM AUTHOR]

The aim of this work was to identify comparable markets for the hotel industry in Europe and to compare the fees incurred by hotels for using copyrighted and indirect rights for copyright management organizations. The study covers 21 European countries. Using multivariate statistical analysis methods, these countries were grouped, taking into account gross domestic product per capita and the average daily rate for a hotel room. A detailed comparison of the fees that hotels pay for using music and audiovisual works was conducted for the Central and Eastern European countries characterized by the lowest income and hotel prices. The analysis identified wide variation in the methods for calculating fees, fee amounts, and the relationship to hotel revenues among the various countries. [ABSTRACT FROM AUTHOR]

In line with well-replicated findings in psychology, genetic factors have been found to correlate with several measures of entrepreneurial activity, prompting a new conversation in the field. We contribute to this dialogue in several ways. First, we assess the contribution of this emergent literature in the light of well-established findings from behavior genetics. Second, we sharpen the debate by showing why an evolutionary perspective based on game theoretic models of gene-culture evolution, such as the Dual-Inheritance Theory, can help explain the mechanism behind the heritability of behaviors involving knowledge, beliefs, and interactions with other individuals. Third, we apply this framework to explain why entrepreneurial activity, even if heritable, will be highly contingent on environmental forces. Finally, we discuss the implications of our model and sketch a research agenda for studies on entrepreneurship. [ABSTRACT FROM AUTHOR]

We examine risk profiles of the Portuguese stock market index component stocks using a novel approach to the classical capital asset pricing model (CAPM). Specifically, we estimate the CAPM via fractal regressions that allow studying the marginal effects at selected scales. In this way, we can reveal whether the risk is perceived differently by market participants with different investment horizons. Apart from the analysis itself, we provide new statistical insights into the issue of separating and comparing the scale-specific effects with statistical validity. We find several stocks deviating from an expected risk perception homogeneity across investment horizons. This is true for both analysed periods, i.e. before and after the global financial crisis. There are also several stocks that changed their relationship to the market portfolio in between, which has strong implications for possible portfolio construction. The proposed methodology is not limited to financial topics but can be used in any discipline where the scale-specific marginal effects might be of interest. [ABSTRACT FROM AUTHOR]

Purpose The purpose of this paper is to capture the pattern of return volatility and information spillover and the extent of conditional correlation among the stock markets of leading South American economies. It also examines the connectedness of market returns within the region.Design/methodology/approach The time series properties of weekly stock market returns of benchmark indices spanning from the second week of 1995 to the fourth week of December 2015 are analyzed. Using univariate auto-regressive conditional heteroscedastic, generalized auto-regressive conditional heteroscedastic, and dynamic conditional correlation multivariate GARCH model approaches, the study finds evidence of returns and volatility linkages along with the degree of connectedness among the markets.Findings The findings of this study are consistent with increasing market connectedness among a group of leading South American economies. Stocks exhibit relatively fewer asymmetries in conditional correlations in addition to conditional volatility; yet, the asymmetry is relatively less apparent in integrated markets. The results demonstrate that co-movements are higher toward the end of the sample period than in the early phase. The stock markets of Argentina, Brazil, Chile, and Peru are closely and strongly connected within the region followed by Colombia, whereas Venezuela is least connected with the group.Practical implications The implication is that foreign investors may benefit from the reduction of the risk by adding the stocks to their investment portfolio.Originality/value The unique features of the paper include a large sample of national stock returns with updated time series data set that reveals the time series properties and empirical evidence on volatility testing. Unlike other studies, this paper uncovers the relation between the stock markets within the same region facing the same market condition. [ABSTRACT FROM AUTHOR]

Purpose The purpose of this paper is to analyze and revisit the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015, marked by the unprecedented Global Financial Crisis, in presence of errors-in-variables (EIV) and illiquidity (measured by serial correlation, following Getmansky et al. (2004)).Design/methodology/approach The authors extend the seminal work of Bond et al. (2003), and shed a new light on the relative performance of listed real estate before and after the GFC. First, the authors suggest the use of various asset pricing models (APM) including the Fama and French (2015) five-factor APM with global and country-level factors. Second, the authors implement unbiased estimators to correct for the econometric bias induced by EIV in APM. Third, the authors deal with the impact of illiquidity (measured by serial correlation) on the risk properties of international securitized real estate returns.Findings The findings show that post-GFC, a radical change in international listed real estate risk factors has resulted in more homogeneous markets internationally and less diversification opportunities for international investors.Practical implications The authors suggest the use of robust linear APM (including the Fama and French (2015) five-factor APM) to analyze the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015.Originality/value The authors analyze and revisit the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015, marked by the unprecedented Global Financial Crisis. [ABSTRACT FROM AUTHOR]

In 1974, and then again in 1996, Martin Feldstein published studies of the impact of the Social Security system on private saving in the U.S. economy. He found that Social Security depressed personal saving by a substantial amount—up to 50 percent. The author uses the Feldstein data and empirical models in this article to illustrate the steps in analyzing distributed lag problems. These particular data and methods exemplify, among other things, unit roots, autocorrelated residuals, spurious regression, trend breaks, and cointegration. As such, they provide an excellent pedagogical case study. All R code for this article is provided so that students may replicate and extend the included models and results. [ABSTRACT FROM AUTHOR]

The subject of research in this paper is higher-education competitiveness on account of its impact on the enhancement of social and economic competitiveness, as well as on the growth of human capital and creation of social knowledge. The purpose of this paper is to group the selected European countries according to higher-education competitiveness, by means of the hierarchical cluster analysis method, with a special focus on the position of Serbia. Higher-education competitiveness in the chosen countries is analysed by means of three indicators of competitiveness: the ratio of the number of students per number of inhabitants, the number of students per number of employed, as well as the amount of budgetary funds allocated per student. The research results indicate different higher-education competitiveness in the analysed countries and also the fact that, according to this analysis, Serbia is in the group of countries with low competitiveness of higher education. [ABSTRACT FROM AUTHOR]

This paper uses the possibilities provided by the regression-based inequality decomposition (Fields in Res Labor Econ 22:1-38, 2003) to explore the contribution of different explanatory factors to international inequality in $$\hbox {CO}_{2}$$ emissions per capita. In contrast to previous emissions inequality decompositions, which were based on identity relationships, this methodology does not impose any a priori specific relationship. Thus, it allows an assessment of the contribution to inequality of different relevant variables. In short, the paper appraises the relative contributions of affluence, sectoral composition, demographic factors and climate. The analysis is applied to selected years of the period 1993-2007. The results show the important (though decreasing) share of the contribution of demographic factors, as well as a significant contribution of affluence and sectoral composition. [ABSTRACT FROM AUTHOR]

This study investigates the environmental Kuznets curve (EKC) hypothesis for the case of Turkey from 1960 to 2013 by considering energy consumption, trade, urbanization, and financial development variables. Although previous literature examines various aspects of the EKC hypothesis for the case of Turkey, our model augments the basic model with several covariates to develop a better understanding of the relationship among the variables and to refrain from omitted variable bias. The results of the bounds test and the error correction model under autoregressive distributed lag mechanism suggest long-run relationships among the variables as well as proof of the EKC and the scale effect in Turkey. A conditional Granger causality test reveals that there are causal relationships among the variables. Our findings can have policy implications including the imposition of a 'polluter pays' mechanism, such as the implementation of a carbon tax for pollution trading, to raise the urban population's awareness about the importance of adopting renewable energy and to support clean, environmentally friendly technology. [ABSTRACT FROM AUTHOR]

We develop testing procedures which detect if the observed time series is a martingale difference sequence. Furthermore, tests are developed that detect change–points in the conditional expectation of the series given its past. The test statistics are formulated following the approach of Fourier–type conditional expectations first proposed by Bierens (1982) and have the advantage of computational simplicity. The limit behavior of the test statistics is investigated under the null hypothesis as well as under alternatives. Since the asymptotic null distribution contains unknown parameters, a bootstrap procedure is proposed in order to actually perform the test. The performance of the bootstrap version of the test is compared in finite samples with other methods for the same problem. A real–data application is also included. [ABSTRACT FROM AUTHOR]

This paper constructs four structural indices by using 42 socioeconomic variables for 129 countries and the 10 years period from 2003 to 2012. Each structural index can be considered as a measure of a certain dimension of development. The first two indices are the most useful in explaining gaps in development across countries. The first captures the role of technology and institutional quality while the second provides a measure of the basic level of development. The contrast between them signifies that the notion of development is not only multidimensional, but also changing with the stage of development. These two indices are combined to form a development index (DI). A comparison of DI to income per capita and the Human Development Index highlights the importance of institutions in the transition of countries from merely having high income to full development. A methodological contribution of the paper is to use a Jackknife approach within the factor analysis routine to test for the significance of the extracted factors/indices. [ABSTRACT FROM AUTHOR]

Purpose The purpose of this paper is to investigate whether Brazilian municipalities are losing efficiency when collecting local taxes in response to oil windfalls. In particular, the paper aims to analyze the hypothesis that these grants encourage the benefiting municipalities to collect taxes with excessive administrative costs.Design/methodology/approach The author estimate a stochastic cost frontier with fixed effects and investigate whether oil revenues impact on the efficiency scores.Findings The results reveal that the municipalities benefitting from oil revenues (royalties) reduce their efficiency in collecting taxes in response to such grants, which signals that they generate some type of X-inefficiency in municipal public management.Research limitations/implications The stochastic cost frontier requires the calculation of input prices for public sector.Originality/value Using a cost frontier, it is possible to avoid the problem of mixing technical efficiency with unobservable preferences on public goods, as well as to focus on economic efficiency instead of technical one. [ABSTRACT FROM AUTHOR]

Econometritions frequently believe that standard instrumental variables (IV) methods can prove causal relationships. We review the relevant formal causal inference literature, and we demonstrate that this belief is not justified. Couching the problem in terms of falsification, we describe the more stringent conditions that are sufficient to reject a null hypothesis concerning observed, but not deliberately manipulated, variables of the form $$H_{0}$$ : $$A\not \rightarrow B$$ in favor of an alternative hypothesis $$H_{A}$$ : $$A\rightarrow B$$ , even given the possibility of causally related unobserved variables. Rejection of such an $$H_{0}$$ can rely on the availability of two observed and appropriately related instruments. We also characterize, using Monte Carlo simulations, the confidence that can be placed on such judgments for linearly-related, jointly normal random variables. While the researcher will have limited control over the confidence level of such tests, type I errors occur with a probability of less than 0.15 (often substantially less) across a wide range of circumstances. The power of the test is limited if there are but few observations available and the strength of correspondence among the variables is weak. We demonstrate the method by testing a hypothesis with critically important policy implications relating to a possible cause of childhood malnourishment. [ABSTRACT FROM AUTHOR]

Using US county-level data, we explore how economic diversity influenced economic stability over the period of the Great Recession. We find that higher diversity is associated with greater stability, but there are distinct spatial patterns and the relationship does not hold for much of the central part of the US. [ABSTRACT FROM PUBLISHER]

One of the main challenges for teachers during teaching in class is the diagnosis of students' learning and thinking processes. For this purpose, teachers must perceive relevant information, they need to interpret this information and finally, they need to respond and select suitable opportunities to learn. In this paper, diagnostic processes in classroom situations are analyzed on the basis of a video test that was used in a follow-up study of the Teacher Education Development the so-called TEDS-FU Study dealing with early career primary teachers. The results point out that teachers cope with diagnostic tasks during teaching very differently. Varying perspectives in perceiving and solving diagnostic situations can be reconstructed such as a content-related mathematical perspective on the one hand and a student-related, more pedagogical perspective on the other hand. [ABSTRACT FROM AUTHOR]

Deploying the classical optimum currency areas ( OCA) theory and recent developments in the monetary literature, this paper evaluates the appropriateness of West African Monetary Union ( WAEMU) as a monetary zone. Nine macroeconomic dimensions are investigated under which the first four items are quantified against a reference economy, namely the United States, the eurozone or China, while the rest are measured in absolute terms for time periods before and after the 2008-2009 global financial crisis. Results could signify relative dominance of the three world's largest economies to the West African region. In addition to inherent asymmetries across the union, findings suggest the emerging Chinese yuan as an alternative to the euro as the monetary anchor. [ABSTRACT FROM AUTHOR]

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We use Monte Carlo analysis to examine the potential of increased renewable generation to provide a hedge against variability in energy prices and costs. Fuel costs, electricity demand and wind generation are allowed to vary and a unit commitment and economic dispatch algorithm is employed to produce cost-minimizing generation schedules under different levels of installed wind capacity. Increased wind capacity reduces the mean and the variance of production costs but only the variance of electricity prices. Wind generators see their market revenues increase while consumer payments and fossil generator profits do not considerably vary as wind capacity increases. Risk aversion is captured by considering the conditional value-at-risk for both consumers and producers. The optimal level of wind generation increases as risk aversion increases due to the potential of wind to act as a hedge against very high electricity prices in high fuel price scenarios. [ABSTRACT FROM PUBLISHER]

In this article, a novel observation-to-generalization place model is proposed. It is shown how this model can be used to formally define the problem of finding geographically similar places. The observation-to-generalization model differentiates between observations of phenomena in the environment at a specific location and time, and generalizations about places that are inferred from these observations. A suite of operations is defined to find similar places based on the invariance of generalized place properties, and it is demonstrated how these functions can be applied to the problem of finding similar places based on the topics that people write about in place descriptions. One use for similar-place search is for exploratory research that will enable investigators to perform case-control studies on place data. [ABSTRACT FROM AUTHOR]

We show that key functions are spatially clustered with, or dispersed from, each other even within manufacturing industries in West Germany, and that these clustering or dispersion patterns have changed significantly during recent decades. Estimating levels and changes (1992-2007) of localizations and colocalizations of selected functions (production, headquarter services, R&D) within 27 West German industries by means of $$K$$ densities, we identify two broad groups of industries. In 'fragmenting' industries, which account for half of manufacturing employment, functions were more clustered with each other than the industry as a whole after the fall of the Iron Curtain but have, in accordance with regional theories of spatial fragmentation, been unbundled spatially from each other subsequently. In 'integrating' industries, by contrast, which account for one-third of manufacturing employment, functions were initially dispersed from each other but have subsequently been rebundled spatially with each other. This spatial rebundling may be a consequence of offshoring, i.e., international fragmentation. [ABSTRACT FROM AUTHOR]

In this article, we formulate an information theoretic approach to information recovery for a network flow transportation problem as an ill-posed inverse problem and use nonparametric information theoretic methods to recover the unknown adaptive-intelligent behaviour traffic flows. We indicate how, in general, information theoretic methods may provide a solution to the ill-posed inverse information flow problems, when a function must be inferred from insufficient sample information. As an application, we examine a data set which comprised traffic volumes at Bell Labs. [ABSTRACT FROM PUBLISHER]

The concept of causality is naturally defined in terms of conditional distribution, however almost all the empirical works focus on causality in mean. This paper aims to propose a nonparametric statistic to test the conditional independence and Granger non-causality between two variables conditionally on another one. The test statistic is based on the comparison of conditional distribution functions using anL2metric. We use Nadaraya–Watson method to estimate the conditional distribution functions. We establish the asymptotic size and power properties of the test statistic and we motivate the validity of the local bootstrap. We ran a simulation experiment to investigate the finite sample properties of the test and we illustrate its practical relevance by examining the Granger non-causality between S&P 500 Index returns and VIX volatility index. Contrary to the conventionalt-test which is based on a linear mean-regression, we find that VIX index predicts excess returns both at short and long horizons. [ABSTRACT FROM AUTHOR]

In this article, we develop the concept of histogram-valued data on value at risk for the classification of hedge fund risk. By using recent developments in data mining, it is a question of the classification of heterogeneous data in order to sort hedge funds by risk class. In practical terms, risk levels relative to measures of histogram-valued data on VaR are calculated as an aid to decision-making. The empirical study was carried out on 1023 HFR-based hedge funds, where we had estimated monthly ARMA-GARCH or asymmetric GARCH VaR and CVaR measures between 01 January 2003 and 31 December 2008. We identify two sub-periods: from 2003 to 2005, and from 2006 to 2008 in order to identify a recovery period after the 2001–2002 crisis and the impact of the 2007–2008 crisis. First, the symbolic approach allows us to construct the measures of histogram-valued data on VaR by optimizing the definition of categories. A symbolic principal component analysis shows that the indices coming from the VaR of the GARCH and asymmetrical GARCH are the most pertinent. Second, we apply a criterion of inter-class inertia and retain a partitioning of hedge funds into three classes by dynamicK-means cluster analysis. For each of our sub-periods and for each class, a risk level is defined on the basis of the categories of the most discriminating variable. [ABSTRACT FROM AUTHOR]

This study uses annual balanced panel data for 25 sub-Saharan African economies over the period 1977-2009 to investigate the Granger causality relationship between trade openness and foreign direct investment ( FDI) for the region. We took advantage of recent developments in econometric testing techniques for Granger noncausality heterogeneous panels that takes into consideration the effects of cross section dependence across the units of the panel data set to analyse the trade- FDI nexus in the region. The empirical result of this study reveals a bidirectional causal relationship between trade openness and foreign direct investment in sub-Saharan economies. Concurrently, African countries should devote more emphasis for the promotion and attraction of FDI in order to expand their productive capacity to produce and export; in this way, by addressing supply-side constraints, FDI will have positive multiplier effects on trade. [ABSTRACT FROM AUTHOR]

Sample covariance is known to be a poor estimate when the data are scarce compared with the dimension. To reduce the estimation error, various structures are usually imposed on the covariance such as low-rank plus diagonal (factor models), banded models and sparse inverse covariances. We investigate a different non-parametric regularization method which assumes that the covariance is monotone and smooth. We study the smooth monotone covariance by analysing its performance in reducing various statistical distances and improving optimal portfolio selection. We also extend its use in non-Gaussian cases by incorporating various robust covariance estimates for elliptical distributions. Finally, we provide two empirical examples using Eurodollar futures and corporate bonds where the smooth monotone covariance improves the out-of-sample covariance prediction and portfolio optimization. [ABSTRACT FROM AUTHOR]

We revisit the factors incorporated in asset pricing models following the recent developments in financial markets – i.e., the rise of shadow banking and the change in the transmission channel of monetary policy. We propose two versions of the Fung and Hsieh (2004) hedge fund return model, especially an augmented market model which accounts for the new dynamics of financial markets and the procyclicality of hedge fund returns. We run these models with an innovative Hausman procedure, tackling the measurement errors embedded in the models factor loadings. Our empirical method also allows for confronting the drawbacks of the instruments used to estimate hedge fund asset pricing models. [ABSTRACT FROM AUTHOR]

A phenomenon that I call “adaptive percolation” commonly arises in biology, business, economics, defense, finance, manufacturing, and the social sciences. Here one wishes to select a handful of entities from a large pool of entities via a process of screening through a hierarchy of sieves. The process is not unlike the percolation of a liquid through a porous medium. The probability model developed here is based on a nested and adaptive Bayesian approach that results in the product of beta-binomial distributions with common parameters. The common parameters happen to be the observed data. I call this thepercolated beta-binomial distribution. The model turns out to be a slight generalization of the probabilistic model used in percolation theory. The generalization is a consequence of using a subjectively specified likelihood function to construct a probability model. The notion of using likelihoods for constructing probability models is not a part of the conventional toolkit of applied probabilists. To the best of my knowledge, a use of the product of beta-binomial distributions as a probability model for Bernoulli trials appears to be new. The development of the material of this article is illustrated via data from the 2009 astronaut selection program, which motivated this work. [ABSTRACT FROM PUBLISHER]

Variable selection is the issue of major concern in practical regressions. This note provides a simple and efficient method to examine the robustness of predictor variables in cross-country economic growth models. Our results confirm the general findings of Sala-i-Martinet al.(2004), indicating the importance of a number of same predictor variables. In addition, we also identify that some other variables are associated with economic growth. [ABSTRACT FROM PUBLISHER]

Internet and E-commerce have witnessed a continuous development in recent decades, the share of individuals who use this method to purchase goods and services in some countries in Europe reaching values exceeding 60 percent of the total population (Norway 71%, United Kingdom 67 %, the Netherlands and Sweden 66%). Moreover, in some age groups this percentage, exceeding 80 percent. Unfortunately, in terms of Internet use by individuals in Romania for making internet purchases barely exceeds 5 percent. From this viewpoint we are detached in last place in the EU. Based on an analysis of the evolution of the percentage of individuals from EU countries who make Internet purchases, this paper presents situation in Romania, compared to 10 European countries, of percentage of Internet purchases by individuals in the last three month and in the last year. [ABSTRACT FROM AUTHOR]

A chemokine-like factor 1 (CKLF1) is a recently discovered chemokine with broad-spectrum biological functions in inflammation and autoimmune diseases. C19 as a CKLF1's C-terminal peptide has been reported to exert inhibitory effects in a variety of diseases. However, the roles of CKLF1 and C19 on vascular smooth muscle cell (VSMC) migration and neointima formation still remain elusive. The effects of CKLF1 and C19 on VSMC migration and neointimal formation were investigated in cultured VSMCs and balloon-injured rat carotid arteries based on techniques including adenovirus-induced CKLF1 overexpression, gel based perivascular administration of C19, Boyden chamber, scratch-wound assay, real-time PCR, western blot and immunohistochemical analysis. CKLF1 was noticed to accumulate preferentially in neointima after the injury and colocalize with VSMCs. Luminal delivery of CKLF1 adenovirus to arteries exacerbated intimal thickening while perivascular administration of C19 to injured arteries attenuated this problem. In cultured primary VSMCs, CKLF1 overexpression up-regulated VSMC migration, which was down-regulated by C19. These data suggest that CKLF1 has a pivotal role in intimal hyperplasia by mediating VSMC migration. C19 was demonstrated to inhibit CKLF1-mediatated chemotaxis and restenosis. Thus further studies on C19 may provide a new treatment perspective for atherosclerosis and post-angioplasty restenosis. [ABSTRACT FROM AUTHOR]

The price dynamics of gold and silver have long been a matter of popular concern and fascination. The objective of this study is to investigate the dynamics of the bivariate relationship between gold and silver prices. First, we investigate the spread, measured as the price difference between gold and silver trading as a futures contract. Then the presence of a fractal structure is measured using statistical techniques based on rescaled range analysis after accommodating short-term autocorrelated innovations in the return process. To highlight the economic consequences of fractality, we apply trading rules based upon the Hurst coefficient to the time series data. Importantly, we find that these rules out-perform simple buy-hold and moving-average strategies over varying holding periods. [ABSTRACT FROM AUTHOR]

Japanese stock markets have two types of breaks, overnight and lunch, during which no trading occurs, causing an inevitable increased variance in estimating daily volatility via a naive realized variance (RV). In order to perform a more stabilized estimation, we modify Hansen and Lunde's weighting technique. As an empirical study, we estimate optimal weights by using a particular approach for Japanese stock data listed on the Tokyo Stock Exchange, and then compare the forecast performance of weighted and non-weighted RV through an autoregressive fractionally integrated moving average model. The empirical result indicates that the appropriate use of the optimally weighted RV can lead to remarkably smaller estimation variance compared with the naive RV, in many series. Therefore a more accurate forecasting of daily volatility data is obtained. Finally, we perform a Monte Carlo simulation to support the empirical result. [ABSTRACT FROM AUTHOR]

This study assesses whether the sale method in residential real estate markets - auction versus private treaty - is a determinant of sale price. Utilising a larger and richer dataset than previous research, we test for a price effect in auction sales in Sydney and Christchurch. When self-selection biases are corrected for, using two-stage hedonic regression analysis and a matched sampling procedure, we find no significant difference between prices of properties sold at auction to those sold by private treaty. This conflicts with the conclusions of previous research in the Australian and New Zealand housing markets, which have documented a price premium associated with auction sales. [ABSTRACT FROM AUTHOR]

The studies of spatial complexity have resulted in new understanding of the distance-decay functions of geography. The weight functions of spatial autocorrelation should be consistent with the functions of spatial distribution and interaction. This paper is on 'spatial autocorrelation analysis' of spatial autocorrelation. The 1-dimension spatial autocorrelation function (ACF) and partial autocorrelation function (PACF) of space series are employed to analyze four kinds of weight function in common use for the 2-dimensional spatial autocorrelation model. The aim of this study is at how to select a proper weight function to construct a spatial contiguity matrix for spatial analysis. The scopes of application of different weight functions are defined in terms of the characters of their ACFs and PACFs. [ABSTRACT FROM AUTHOR]

Three types of stochastic coefficient models can be identified: models with 'individually-varying', 'time-varying' and 'individually- and time-varying' coefficients. A parameterized stochastic coefficient environment is well suited to measure the causal effects of the explanatory variables on the dependent variable of a law. This environment captures the unknown true functional form of the law as a special case. In the presence of omitted variables and measurement errors, each coefficient of the law stated in terms of only included variables is the sum of the bias-free term and omitted variables bias with or without measurement-error bias. A method of separating the bias-free term from these biases is developed. This method is shown to be different from the instrumental variables method by showing that the instrumental variables do not exist. Laws are also shown to be different from regression models. Models having lagged dependent variables and the current and lagged values of explanatory variables as its regressors are used for policy analysis and testing for Granger causality in the econometric literature. These models are shown to be non-parsimonious relative to certain types of time-varying coefficient models without lagged dependent variables and are shown to lead to identification problems. [ABSTRACT FROM AUTHOR]

Measuring the spatial distribution of locations of many entities (trees, atoms, economic activities, etc.), and, more precisely, the deviations from purely random configurations, is a powerful method to unravel their underlying interactions. Several coefficients have been developed in the past to quantify the possible deviations. It is important to quantify the variances of the coefficients for random distributions, to ascertain the statistical significance of an empirical deviation. By lack of a proper analytical expression, the significance is usually obtained by simulating many random configurations by Monte Carlo simulations. In the present paper, we present an exact analytical expression for the variance of several spatial coefficients for random distributions, and we rigorously show that these distributions asymptotically follow a Normal law. These two results eliminate the need for cumbersome Monte Carlo simulations. They also allow to understand qualitatively the main factors that may change the variance: number of sites, spatial inhomogeneity, etc. [ABSTRACT FROM AUTHOR]

In this paper we examine the lead–lag interaction between the futures and spot markets of the S&P500 using the threshold regression model on intraday data. The use of threshold variables to model the changes in the regression structure with respect to different market conditions enables us to investigate the lead–lag interaction in a data-based approach and avoid stratifying the data arbitrarily. Using the basis as the threshold variable, we find that the short-selling restrictions in the spot market reduce the effect of the spot index as the leading variable. To study the effect of market-wide information on the interaction between the spot and futures markets, we use the coefficient of determination in the regression of the S&P500 on the Morgan–Stanley Composite Index-US and the Major Market Index as the threshold variable. We find that the lead effect of the futures market over the spot market is stronger when there is more market-wide information. On the other hand, the lead effect of the cash market over the futures market is weaker when there is more market-wide information. In addition, we also use the lagged 45-min return of the spot market as the threshold variable. We find that the lead effect of the spot market is stronger in periods of directionless trading than in periods of good or bad markets. [ABSTRACT FROM AUTHOR]

Economic theory is replete with causal hypotheses that are scarcely tested because economists are generally constrained to work with observational data. We describe a method for testing a hypothesis that one observed random variable causes another. Contingent on a sufficiently strong correspondence between the two variables, an appropriately related third variable can be employed for the test. The logic of the procedure naturally suggests strong and weak grounds for rejecting the causal hypothesis. Monte Carlo results suggest that weakly grounded rejections are unreliable for small samples, but reasonably reliable for large samples. Strongly grounded rejections are highly reliable, even for small samples. [ABSTRACT FROM AUTHOR]

The research presented in this paper analyzes the emergent residential behaviors of individual actors in a context of profound social changes in the work sphere. It incorporates a long-term view in the analysis of the relationships between social changes in the work sphere and these behaviors. The general hypothesis is that social changes produce complex changes in the long-term dynamics of residential location behavior. More precisely, the objective of this paper is to estimate the propensity for professional workers to move house after a change of workplace. Our analysis draws on data from a biographical survey using a retrospective questionnaire that enables a posteriori reconstitution of the familial, professional and residential lifelines of professional workers since their departure from their parents’ home. The survey was conducted in 1996 in the Quebec City Metropolitan Area, which, much like other Canadian cities, has experienced a substantial increase in “unstable” work, even for professionals. The approach is based on event history analysis, a Temporal Geographic Information System and exploratory spatial analysis of model’s residuals. Results indicate that 48.9% of respondents moved after a job change and that the most important factors influencing the propensity to move house after a job change are home tenure (for lone adults as for couple) and number of children (for couples only). We also found that moving is associated with changing neighborhood for owners while tenants or co-tenants tend to stay in the same neighborhood. The probability of moving 1 year after a job change is 0.10 for lone adults and couples while after 2 years, the household structure seems to have an impact: the probability increased to 0.23 for lone adults and to 0.21 for couples. The outcome of this research contributes to furthering our understanding of a familial decision (to move) following a professional event (change of job), controlling for household structure, familial, professional and spatial contexts. [ABSTRACT FROM AUTHOR]

There are narrowest bounds for P(h) when P(e) = y and P(h/e) = x, which bounds collapse to x as y goes to 1. A theorem for these bounds – Bounds for Probable Modus Ponens – entails a principle for updating on possibly uncertain evidence subject to these bounds that is a generalization of the principle for updating by conditioning on certain evidence. This way of updating on possibly uncertain evidence is appropriate when updating by ‘probability kinematics’ or ‘Jeffrey-conditioning’ is, and apparently in countless other cases as well. A more complicated theorem due to Karl Wagner – Bounds for Probable Modus Tollens – registers narrowest bounds for P(∼h) when P(∼e) = y and P(e/h) = x. This theorem serves another principle for updating on possibly uncertain evidence that might be termed ‘contraditioning’, though it is for a way of updating that seems in practice to be frequently not appropriate. It is definitely not a way of putting down a theory – for example, a random-chance theory of the apparent fine-tuning for life of the parameters of standard physics – merely on the ground that the theory made extremely unlikely conditions of which we are now nearly certain. These theorems for bounds and updating are addressed to standard conditional probabilities defined as ratios of probabilities. Adaptations for Hosiasson-Lindenbaum ‘free-standing’ conditional probabilities are provided. The extended on-line version of this article (URL: ) includes appendices and expansions of several notes. Appendix A contains demonstrations and confirmations of elements of those adaptations. Appendix B discusses and elaborates analogues of modus ponens and modus tollens for probabilities and conditional probabilities found in Elliott Sober’s “Intelligent Design and Probability Reasoning.” Appendix C adds to observations made below regarding relations of Probability Kinematics and updating subject to Bounds for Probable Modus Ponens. [ABSTRACT FROM AUTHOR]