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Sample Size Requirements for Estimation in SUR Models.

Chotikapanich, D.; Griffiths, W.E.; Skeels, C.L. - Department of Economics, Faculty of Business and Economics - 2001

This paper explores sample size requirements for the estimation of SUR models by (two-stage) feasible generalized least squares, maximum likelihood and Bayesian methods. It is found that the sample size requirements presented in standard treatments of SUR models are incomplete and potentially...

Persistent link: https://www.econbiz.de/10005750782

Information Spillovers and Size-sorted Portfolios: Structural Evidence from Australia

Milunovich, George - Department of Economics, Faculty of Business and Economics - 2006

which could facilitate index arbitrage and enhance price discovery in the Australian market. …

Persistent link: https://www.econbiz.de/10005423278

An Application of Post-DEA Bootstrap Regression Analysis to the Spillover of the Technology of Foreign-Invested Enterprises in China.

Hirschberg, J.G.; Lloyd, P.J. - Department of Economics, Faculty of Business and Economics - 2000

It is now widely believed that Foreign Direct Investment (FDI) affects positively the productivity of individual enterprises in the host economy and this is a main argument in favour of FDI. Although China is the largest recipient of FDI after the USA, there has been little empirical research as...

Persistent link: https://www.econbiz.de/10005574901

Conceptual Frameworks and Experimental Design in Simultaneous Equations

Skeels, C.L. - Department of Economics, Faculty of Business and Economics - 2007

Using examples drawn from two important papers in the recent literature on weak instruments, we demonstrate how observed experimental outcomes can be pro- foundly inuenced by the dierent conceptual frameworks underlying two exper- imental designs commonly employed when simulating simultaneous...

Persistent link: https://www.econbiz.de/10005578922

Small Concentration Asymptotics and Instrumental Variables Inference

Poskitt, D.S.; Skeels, C.L. - Department of Economics, Faculty of Business and Economics - 2005

Poskitt and Skeels (2005) provide a new approximation to the sampling distribution of the IV estimator in a simultaneous equations model, the approximation is appropriate when the concentration parameter associated with the reduced form model is small. We present approximations to the sampling...

Persistent link: https://www.econbiz.de/10005587627

Assessing Instrumental Variable Relevance:An Alternative Measure and Some Exact Finite Sample Theory

Poskitt, D.S.; Skeels, C.L. - Department of Economics, Faculty of Business and Economics - 2002

focus on the ability of the instrument set to predict a single endogenous regressor, even if there is more than one endogenous regressor in the equation of interest. We propose new measures of instrument relevance in the presence of multiple endogenous regressors, taking both univariate and...

Persistent link: https://www.econbiz.de/10005587631

Interrelationships between Income, Health and the Environment: Extending the Environmental Kuznets Curve Hypothesis.

Gangagharan, L.; Valenzuela, M.R. - Department of Economics, Faculty of Business and Economics - 2000

countries widely dispersed in the economic development spectrum. While the environment and income are seen to have an inverted U … related. Our study focuses on the implications of this for the relationship between health and income. In the early phases of … income growth, the gains in health and the losses in environmental quality could cancel each other out and this challenges …

Persistent link: https://www.econbiz.de/10005587722

Misleading Regressions with Constructed Variables.

Dixon, R.; Shepherd, D. - Department of Economics, Faculty of Business and Economics - 2000

, consumption and income and regional and national unemployment. In this paper we show that biased results are likely to be …

Persistent link: https://www.econbiz.de/10005587773

Testing Market Efficiency and Price Discovery in European Carbon Markets

Milunovich, George; Joyeux, Roselyne - Department of Economics, Faculty of Business and Economics - 2007

We examine the issues of market efficiency and price discovery in the European Union carbon futures market. Our …, although two of the three futures contracts studied here form a stable long-run relationship with the spot price, and hence act … the market for carbon allowances. In terms of price discovery, it appears that the spot and futures markets share …

Persistent link: https://www.econbiz.de/10005423302

Bayesian Estimation of Atkinson Inequality Measures.

Chotikapanich, D.; Creedy, J. - Department of Economics, Faculty of Business and Economics - 2000

.1 Posterior Density for The pis 3.2 Information About The uis 3.2.1 Lognormal Distribution of Income 3.2.2 Assumptions About Group …

Persistent link: https://www.econbiz.de/10005750822