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Permanent URI for this collectionhttps://hdl.handle.net/20.500.14288/3
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Publication Metadata only Time series evidence on the saving-investment relationship(Routledge, 1996) Barkoulas, J; Murphy, R; Department of Economics; Filiztekin, Alpay; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 4010The long-run saving-investment correlation for the 24 OECD countries is re-examined using the Johansen procedure. It is found that saving and investment rates are not correlated in the long run for the majority of OECD countries. In the countries where cointegration is found, the Gonzalo-Granger common factor analysis suggests that saving is the driving force of the cointegrated system.Publication Metadata only Cost uncertainty, taxation, and irreversible investment(Springer-Verlag Berlin, 1999) Demers, FS; Demers, M; Department of Economics; Altuğ, Sumru; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/AWe examine the impact of learning about the unknown costs of investment on irreversible investment decisions, and show that the presence of:learning increases the endogenous cost of adjustment and depresses investment. We demonstrate convergence of the state of information and capital stock to the ergodic set. Once learning is complete, in-contrast to the exogenous cost-of-adjustment model, a mean-preserving increase in risk raises the endogenous marginal adjustment cost, reducing investment and the steady-state capital stock. We use data on the U.S. economy to study the impact of uncertainty and risk in the determinants of the costs of investing. Among our Salient findings is that increases in uncertainty have a much larger impact quantitatively on investment than increases in risk. Thus, if firms are unsure about various aspects of the stochastic environment that they face, the reduction in investment is much larger compared to the case in which there are increases in the riskiness in the price of capital or Other determinants of the costs of investing.Publication Metadata only Stratified partial likelihood estimation(Elsevier, 1999) Ridder, Gert; Department of Economics; Tunalı, Fehmi İnsan; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 105635When multiple durations are generated by a single unit, they may be related in a way that is not fully captured by the regressors. The omitted unit-specific variables might vary over the durations, They might also be correlated with the variables in the regression component. We propose an estimator that responds to these concerns and develop a specification test for detecting unobserved unit-specific effects, Data from Malaysia reveal that concentration of child mortality in some families is imperfectly explained by observed explanatory variables, and that failure to control for unobserved heterogeneity seriously biases the parameter estimates.Publication Metadata only Is there persistence in the growth of manufactured exports? evidence from newly industrializing countries(Elsevier, 1997) Mody, Ashoka; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111Applying cointegration techniques in a panel data setting, we document persistent growth of manufactured exports from certain developing countries. To complement the investigation of persistence (measured by the country 'fixed-effects'), we analyze asymmetries in income elasticities: for all developing countries, the decline in exports with world income contraction is sharper than is the rise on the upswing; the decline is, however, especially pronounced for countries with low or negative persistence. The results are consistent with long-term buyer-supplier relationships that create 'insiders' and 'outsiders' in manufactured goods trading. Exports are also influenced by the transactional infrastructure (proxied by telecommunications penetration).Publication Metadata only Time-series properties, adjustment processes, and forecasting of financial ratios(Sage, 1996) Eckstein, Claire; Greene, William H.; Ronen, Joshua; Department of Economics; Aksu, Celal; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/AN/APublication Metadata only Privatisation and stock market efficiency: the British experience(Wiley, 1997) Hayri, A; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111We present evidence that with its emphasis on wide-share-ownership the British privatisation program created heavy involvement of small investors in privatised stocks. Using standard market efficiency tests and maximum likelihood estimates of stationary fractional ARIMA models, we show that the pricing of privatised stocks in the London Stock Exchange was indeed inefficient, unlike the rest of the market. Together, these two pieces of evidence suggest that small investors, behaving like noise-traders, may be generating this inefficiency. Yet, we cannot rule out alternative explanations.Publication Metadata only House allocation with existing tenants(Academic Press Inc, 1999) Abdülkadiroğlu, Atila; Department of Economics; Sönmez, Tayfun; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/AIn many real-life applications of house allocation problems, whenever an existing tenant wants to move, he needs to give up his current house before getting another one. This practice discourages existing tenants from such attempts and results in loss of potentially large gains from trade. Motivated by this observation, we propose a simple mechanism that is Pareto efficient, individually rational, and strategy-proof. Our approach is constructive and we provide two algorithms, each of which can be used to find the outcome of this mechanism. One additional merit of this mechanism is that it can accommodate any hierarchy of seniorities.Publication Metadata only Cox regression with alternative concepts of waiting time: the new orleans yellow fever epidemic of 1853(John Wiley & Sons Ltd, 1997) Pritchett, JB; Department of Economics; Tunalı, Fehmi İnsan; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 105635Event data can often be analysed using different concepts of waiting time. Our application offers three choices: calendar-time, age, and duration of residence in New Orleans. We exploit the semi-parametric features of Cox regression and estimate parallel specifications in which mortality risk is treated as an arbitrary function of one of the three alternative time measures, while the remaining two enter the hazard parametrically. Comparisons of the parameter estimates with the corresponding estimates of the baseline hazards form the crux of a simple specification checking procedure. In our formal treatment we rely on Aalen's Multiplicative Intensity formulation and tackle complications such as left-truncation, functional form specification, and choice-based sampling.Publication Metadata only Optimal export taxes in a multicountry framework(Elsevier Science Bv, 1999) Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111This paper extends the optimum export tax analysis to multicountry partial (PE) and general equilibrium (GE) frameworks, using a computable general equilibrium (CGE) model of the global cocoa market. Analyzing myopic optimum, Nash optimum and Nash revenue maximizing taxes, we show that optimum and revenue maximizing taxes obtained in the GE framework differ from their PE counterparts, as they are determined not only by the elasticity of the residual demand curve facing the country, but by domestic supply conditions as well. Second, not only are Nash revenue maximizing taxes higher than Nash optimum taxes in the GE, but, paradoxically, the society attains a higher level of welfare under Nash revenue maximizing taxes than under Nash optimum taxes. Finally, we show that the frequent use of Lerner symmetry [Lerner, A.P., 1936. The symmetry between import and export taxes. Economica 11, 306-313.] in the policy-oriented analysis of optimum export taxes is not warranted.Publication Metadata only Weak convergence to a matrix stochastic integral with stable processes(Cambridge Univ Press, 1997) Department of Economics; Caner, Mehmet; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/AThis paper generalizes the univariate results of Chan and Tran (1989, Econometric Theory 5, 354-362) and Phillips (1990, Econometric Theory 6, 44-62) to multivariate time series. We develop the limit theory for the least-squares estimate of a VAR(1) for a random walk with independent and identically distributed errors and for I(1) processes with weakly dependent errors whose distributions are in the domain of attraction of a stable law. The limit laws are represented by functionals of a stable process. A semiparametric correction is used in order to asymptotically eliminate the ''bias'' term in the limit law. These results are also an extension of the multivariate limit theory for square-integrable disturbances derived by Phillips and Durlauf (1986, Review of Economic Studies 53, 473-495). Potential applications include tests for multivariate unit roots and cointegration.