scholarly journals The Asymptotics for Panel Models with Common Shocks

2006 ◽  
Author(s):  
Chihwa D. Kao ◽  
Lorenzo Trapani ◽  
Giovanni Urga
Keyword(s):  
Panel Models ◽  
Common Shocks

scholarly journals Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity

Econometrica ◽  
2020 ◽  
Vol 88 (5) ◽  
pp. 2109-2146 ◽  
Author(s):  
Guido M. Kuersteiner ◽  
Ingmar R. Prucha
Keyword(s):  
Social Interaction ◽  
Asymptotic Distribution ◽  
Network Formation ◽  
Interaction Model ◽  
Interactive Effects ◽  
Time Varying ◽  
Cross Sectional ◽  
Moment Conditions ◽  
Panel Models ◽  
Common Shocks

This paper considers a class of generalized methods of moments (GMM) estimators for general dynamic panel models, allowing for weakly exogenous covariates and cross‐sectional dependence due to spatial lags, unspecified common shocks, and time‐varying interactive effects. We significantly expand the scope of the existing literature by allowing for endogenous time‐varying spatial weight matrices without imposing explicit structural assumptions on how the weights are formed. An important area of application is in social interaction and network models where our specification can accommodate data dependent network formation. We consider an exemplary social interaction model and show how identification of the interaction parameters is achieved through a combination of linear and quadratic moment conditions. For the general setup we develop an orthogonal forward differencing transformation to aid in the estimation of factor components while maintaining orthogonality of moment conditions. This is an important ingredient to a tractable asymptotic distribution of our estimators. In general, the asymptotic distribution of our estimators is found to be mixed normal due to random norming. However, the asymptotic distribution of our test statistics is still chi‐square.

scholarly journals Asymptotics for Panel Models with Common Shocks

2012 ◽  
Vol 31 (4) ◽  
pp. 390-439 ◽  
Author(s):  
Chihwa Kao ◽  
Lorenzo Trapani ◽  
Giovanni Urga
Keyword(s):  
Panel Models ◽  
Common Shocks

Financial Constraints, Stock Returns and R&D in Indian Stock Market

2021 ◽  
pp. 097226292098839
Author(s):  
Pankaj Sinha ◽  
Priya Sawaliya
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Financial Constraints ◽  
Fixed Effect Model ◽  
Quantitative Information ◽  
Common Shocks ◽  
External Finance ◽  
Negative Effect ◽  
Security Returns ◽  
Indian Stock Market

When the accessibility of external finance prohibits a firm from taking the optimum decision related to investment, that firm is called financially constrained. By applying the methodology of Kaplan and Zingales (1997) and Lamont et al. (2001), the current study has created a construct to gauge the level of financial constraints (FC) of the companies which emanate from quantitative information. The study explores whether FC factor is present in the Indian stock market and explores whether the security returns of those firms that are financially constrained move in tandem. The study also attempts to establish the association between security returns and R&D of financially constrained firms. On a sample of 63 R&D reporting companies of S&P BSE 500, traded over the period March 2008 to February 2019, the study used the Fama–French methodology, fixed effect model and the ordered logistic regression. The study finds that firms that are highly constrained earn more returns than low constrained firms. Second, the security returns of firms that are financially constrained move in tandem because these firms are affected by common shocks. This suggests that the FC factor exists in the Indian stock market. Finally, when R&D interacts with the level of FC, then this interaction effect has a negative effect on returns.

scholarly journals U.S. Economic Uncertainty Shocks and China’s Economic Activities: A Time-Varying Perspective

SAGE Open ◽  
2021 ◽  
Vol 11 (3) ◽  
pp. 215824402110326
Author(s):  
Lin Liu
Keyword(s):  
Global Financial Crisis ◽  
The United States ◽  
Time Varying ◽  
Economic Uncertainty ◽  
Transient Effects ◽  
Economic Activities ◽  
Common Shocks ◽  
Uncertainty Shocks ◽  
Intensive Intervention ◽  
The Global Financial Crisis

This paper presents new empirical evidence concerning the time-varying responses of China’s macroeconomy to U.S. economic uncertainty shocks through a novel TVP-VAR model. The results robustly reveal that a rise in U.S. economic uncertainty would exert sizable, persistent, and significant detrimental effects on China’s gross domestic product (GDP), price level, and short-term interest rate during the period when common shocks take place, such as the global financial crisis around 2008, whereas small and transient effects in the tranquil times. Therefore, China should diversify its international linkages and gradually reduce the dependence on the United States into a certain range to shield the domestic economy, as well as improve the independence of monetary policy. Furthermore, to withstand unfavorable external shocks, China should be prudent on greater opening-up and carry out more intensive intervention when common shocks hit the world economy. Finally, investors should be alert to the potential detrimental impact of U.S. economic uncertainty on Chinese assets’ fundamentals.

Fitting partially linear functional-coefficient panel-data models with Stata

2020 ◽  
Vol 20 (4) ◽  
pp. 976-998
Author(s):  
Kerui Du ◽  
Yonghui Zhang ◽  
Qiankun Zhou
Keyword(s):  
Monte Carlo ◽  
Panel Data ◽  
Fixed Effects ◽  
Linear Functional ◽  
Semiparametric Estimation ◽  
Data Models ◽  
Panel Data Models ◽  
Panel Models ◽  
Partially Linear ◽  
Functional Coefficient

In this article, we describe the implementation of fitting partially linear functional-coefficient panel models with fixed effects proposed by An, Hsiao, and Li [2016, Semiparametric estimation of partially linear varying coefficient panel data models in Essays in Honor of Aman Ullah ( Advances in Econometrics, Volume 36)] and Zhang and Zhou (Forthcoming, Econometric Reviews). Three new commands xtplfc, ivxtplfc, and xtdplfc are introduced and illustrated through Monte Carlo simulations to exemplify the effectiveness of these estimators.

Neighbourhood places, collective efficacy and crime: A longitudinal perspective

Urban Studies ◽  
2021 ◽  
pp. 004209802110088
Author(s):  
Renee Zahnow ◽  
Jonathan Corcoran ◽  
Anthony Kimpton ◽  
Rebecca Wickes
Keyword(s):  
Land Use ◽  
Social Control ◽  
Social Interactions ◽  
Collective Efficacy ◽  
Social Cohesion ◽  
Mixed Effects ◽  
Land Use Classification ◽  
Social Survey ◽  
Panel Models ◽  
Over Time

Neighbourhood places like shops, cafes and parks support a variety of social interactions ranging from the ephemeral to the intimate. Repeated interactions at neighbourhood places over time lay the foundation for the development of social cohesion and collective efficacy. In this study, we examine the proposition that changes in the presence or arrangement of neighbourhood places can destabilise social cohesion and collective efficacy, which has implications for crime. Using spatially integrated crime, social survey and parcel-level land-use classification data, we estimate mixed effects panel models predicting changes in theft and nuisance crimes across 147 Australian neighbourhoods. The findings are consistent with neighbourhood social control and crime opportunity theories. Neighbourhood development – indicated by fewer vacant properties and fewer industrial and agricultural sites – is associated with higher collective efficacy and less crime over time. Conversely, introducing more restaurants, transit stations and cinemas is associated with higher theft and nuisance over time regardless of neighbourhood collective efficacy. We argue that the addition of socially conducive places can leave neighbourhoods vulnerable to crime until new patterns of sociability emerge and collective efficacy develops.

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