This paper considers the instrumental variables (IV) estimation of the autoregressive distributed lag (ADL) model consisting of fractionally integrated regressors and disturbance term, while allowing for part of the regressors to be endogenous. The idea of Liviatan (1963) and that of Tsay (2007)...

This paper proposes a new class of GMM estimators to increase the effciency of the coeffcient estimate relative to the ordinary least squares (OLS) estimator when all the error term and regressors having nonparametric autocorrelation. This class of GMM estimators are built on the moments...

This paper analyzes the equilibrium of optimal production locations for two firms engaging in quantity competition under different degree of product differentiation and demand size. The main findings in this paper, which are different from the conventional findings in the literature that...

This paper extends the MD (multiple differenced) methodology of Tsay (2006) to estimate a class of time-series-cross-section (TSCS) models consisting of stationary or nonstationary long memory regressors and errors, while allowing for correlations and heteroskedasticities in both cross-section...

In order to explain multiple growth regimes, one of the working hypotheses is based on initial conditions. Using a standard optimal growth with the status effect represented by wealth a la Friedman (1953), this paper obtains multiple growth regimes based on initial conditions without reliance on...

Reductions in the capital income tax rate generally stimulate investment. A higher capital stock, in turn, raises the marginal product of labor and the wage rate. Hence, it is often argued that cutting capital income taxes benefits capital owners and all workers. This result, however, depends on...

This paper extends Graetz, Reinganum and Wildes (1986) seminal work on tax compliance to the real-world scenario where the IRS (Internal Revenue Service) faces a budget constraint imposed upon her by the Congress. The paper consists of two parts. The first part is positive we characterize the...

This paper investigates the impacts of national health insurance on the labor market, by considering the case of Taiwan, which implemented national health insurance in March 1995. Taiwan’s national health insurance is financed by premiums, which are proportional to an employee’s salary....

This paper investigates the causal relations between stock return and volume based on quantile regressions. We first define Granger non-causality in all quantiles and propose testing non-causality by a sup-Wald test. Such a test is consistent against any deviation from non-causality in...

This paper considers the maximum likelihood estimation of a class of stationary and invertible vector autoregressive fractionally integrated moving-average (VARFIMA) processes considered in Luceno (1996). The coverage of this class of VARFIMA processes is quite general and includes the model...