This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

The aim of the paper is to relax distributional assumptions on the error terms, often imposed in parametric sample selection models to estimate causal effects, when plausible exclusion restrictions are not available. Within the principal stratification framework, we approximate the true...

This study extends several discussions regarding non-discretionary conservatism and documents evidence of non-discretionary conservatism in Japanese listed companies. Moreover, it finds that managerial opportunism cannot be completely ruled out even when asset write-downs are strongly warranted...

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

The Ohlson (1995) equity valuation and returns models are consistent with mathematical formulation. Since value relevance models that relate Ohlson (1995) focus on information dynamics of accounting and other information for explaining equity value, an inconsistency between Ohlson's (1995)...

In this paper, we consider the dynamic features of house price in metropolises that are characterised by a high degree of internationalisation. Using a generalised smooth transition (GSTAR) model we show that the dynamic symmetry in house price cycles is strongly rejected for the housing markets...

This paper examines the behaviour of house prices in large metropolitan areas. Using a sample of metropolises it is shown that real estate prices are largely nonlinear. It is found that dynamic asymmetries in the housing market cycle can well be modelled using a logistic smooth transition model...

The Lee-Carter model is a basic approach to forecasting mortality rates of a single population. Although extensions of the Lee-Carter model to forecasting rates for multiple populations have recently been proposed, the structure of these extended models is hard to justify and the models are...

Consider the duration of stay of migrants in a host country. We propose a statistical model of locally interdependent return hazards in order to examine whet- her interactions at the level of the neighbourhood are present and lead to social multipliers. To estimate this model we develop and...