M-Estimation for regressions with integrated regressors and arma errors

Abstract.  General M -estimation is developed for regression models with integrated regressors and autoregressive moving average (ARMA) errors, in which the ARMA parameters are jointly estimated with the regression parameters. The large sample distribution of the M -estimator is derived. Allowing the regressors to be dependent on the error terms, a parametric 'fully modified' (FM) M -estimator is proposed. In cases of ARMA errors, a Monte-Carlo experiment reveals superiority of the parametric estimators over the semiparametric FM M -estimator of Phillips Econometric Theory 11 (1995, p 912) in terms of empirical mean squared error.     

水稻香兰素内源性及生长阶段分布特征分析

目的 研究水稻香兰素内源性及生长阶段分布特征。方法 选取龙粳46、盐丰和辽星作为供试材料, 对水稻全生长周期的不同部位进行动态取样, 并采用高效液相色谱-串联质谱方法测定香兰素含量。结果 香兰素在水稻苗期便已存在植株中, 根部和叶片中的含量分别为1100~1450 μg/kg和596~972 μg/kg。在水稻生长过程中, 根部含量在抽穗期达到峰值, 为6560~8900 μg/kg, 从齐穗期至完熟期, 根部香兰素含量逐渐降低, 完熟期时含量降至2900~3230 μg/kg; 叶片中香兰素含量则在完熟期达到峰值; 稻米中香兰素自腊熟期开始积累, 至完熟期含量达到峰值。在生殖生长后期, 植株上部(剑叶和茎上部)的香兰素含量高于植株下部(下部叶片和茎下部); 稻壳中香兰素含量极显著高于糙米。结论 本研究首次明确证实水稻全生育期均有香兰素本底存在, 确认香兰素为内源产生, 其含量在不同部位和生育期呈现阶段性与差异性变化。推测其作用可能是水稻的天然生长调节剂。     

Housing Allowance and the Recipient's Homeownership: Evidence from a Panel Data Study in Sweden

This paper investigates whether housing allowance affects recipients' tenure choice in Sweden. To answer this question, a two-stage conditional maximum likelihood probit (2SCMLP) model is applied in a panel data setting to simultaneously control for individual heterogeneity, state dependence and endogeneity. The empirical study is based on administrative data of housing allowance recipients living in three major metropolitan areas of Sweden between the years 1994 and 2002. The results indicate that the housing allowance positively affects recipients' homeownership propensity in Sweden. Therefore the worry of a ‘rental trap’ is dismissed within the Swedish housing allowance system. Instead, we conclude that the Swedish housing allowance system is doing a fairly good job in supporting low-income households to obtain and maintain their homeownership. Furthermore, no evidence was found to indicate that the reform of the Swedish housing allowance system in 1996–97 essentially changed this fact.     

我国上市公司管理层股权激励效应实证研究

股权分置改革已经成为我国证券市场发展中的一个里程碑。但全流通环境下的上市公司管理层股权激励机制,能否真正解决公司制企业产权结构的多元化导致的代理问题,其效应如何,值得研究。以上市公司2008年的截面数据为样本,在检验股权激励内生性的基础上,通过寻找相似控制变量的倾向评分匹配方控制内生性,分析上市公司管理层股权激励对企业绩效和风险的影响效应。结论得出,股权激励的实施可以提高公司的绩效,降低系统风险,但不是对各家公司都适用,上市公司要注意选择适合自身发展的激励方式和方案。     

内生视角下的股权结构对自愿性信息披露的影响

现有有关股权结构与自愿性信息披露关系的研究大都不考虑内生性问题,先验地把股权结构视为外生变量.以2005—2009年深市上市公司为研究对象,国家股比例、股权集中度、控股股东性质以及高管持股比例等股权结构变量为解释变量进行分析,发现股权集中度、高管持股情况存在内生性问题,并且在内生性假设下,股权集中度与自愿性信息披露水平呈显著相关,高管人员持股比例与自愿性信息披露水平则不具有显著的相关性,股权结构与自愿性信息披露之间是一种互动的双向作用.     

Analysis of Neighbourhood Effects and Work Behaviour: Evidence from Paris

This paper highlights the effects of being located in a deprived neighbourhood on unemployment. Interest is focused on the consequences of neighbourhood effects. The paper uses the 1999 Population Census for Paris and the three surrounding sub-regional administrative districts in order to estimate different models that take into account the potential endogeneity bias of the residential location choice. The study first runs a bivariate probit model that includes the residential location as an endogenous variable. A probit model is also run on a sub-sample of households living in public housing with the idea that for them the location choice is exogenous. Whatever the method used, it is shown that living within the most deprived neighbourhoods, in terms of local composition, decreases the probability of employment.     

Analysing spatial spillovers in corruption: A dynamic spatial panel data approach

Previous studies on the determinants of corruption have seldom addressed cross‐border spillovers of corruption in a panel data setting. In this paper, we first propose a theoretical model of spatial corruption spillover based on network analysis. Then, we analyse spatial spillovers in corruption using a dynamic spatial panel approach. The results indicate that corruption not only exhibits spatial spillovers but also a persistent effect over time. More importantly, increase of income per capita, economic freedom, and percentage of women in the parliaments have a long‐term effect on the perceived levels of corruption. Policies and programmes aiming at abating corruption must take into consideration those results.