Christopher L. Skeels

A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and Probit models

This paper provides a Monte Carlo examination of conditional moment tests for several forms of misspecification in Tobit and Probit models. The experimental design is based on actual data taken from a study of labor supply. Our results indicate that the tests work well, in terms of size and power, for the Tobit model whereas they perform poorly for the Probit model. The major conclusion is that although there is little to choose between the various forms of the tests the degree of censoring of the latent dependent variable is crucial.

Momentary Lapses: Moment Expansions and the Robustness of Minimum Distance Estimation

This paper explores the robustness of minimum distance (GMM) estimators focusing particularly on the effect of intermediate covariance matrix estimation on final estimator performance. Asymptotic expansions to order O ( n −3/2 ) are employed to construct O ( n −2 ) expansions for the variance of estimators constructed from preliminary least-squares and general M -estimators. In the former case, there is a rather curious robustifying effect due to estimation of the Eicker-White covariance matrix for error distributions with sufficiently large kurtosis.

Market Arbitrage of Cash Dividends and Franking Credits

Since 1986, dividend imputation has influenced the ex-dividend day behaviour of Australian share prices. This paper explores the effects of dividend imputation on ex-dividend share price drop-off from its inception until mid-2004, with particular attention paid to the differential effects of cash dividends and franking credits. We also explore the effects of the six major legislative amendments to the dividend imputation system that were introduced over the sample period. Only the most recent tax change, which provided full income rebates for unused franking credits, appears to have caused the market to put a statistically significant value on franking credits.

Patterns of characterization in folktales across geographic regions and levels of cultural complexity

Literary scholars are generally suspicious of the concept of universals: there are presently no candidates for literary universals that a high proportion of literary scholars would accept as valid. This paper reports results from a content analysis of patterns of characterization in folktales from 48 culture areas, aimed at identifying patterns of characterization that apply across regions of the world and levels of cultural complexity. The search for these patterns was guided by evolutionary theory and the findings are consistent with previous research on patterns of altruism, sex differences in mate preferences, sex differences in reproductive strategy, and differing emphases on male and female physical attractiveness. World literature, especially originally oral literature, represents a vast and neglected repository of information that researchers can use to more precisely map the contours of human nature.

Monte carlo evidence on the robustness of conditional moment tests in tobit and probit models

This paper numerically examines the size robustness of various conditional moment tests in misspecified tobit and probit models. The misspecifications considered include the incorrect exclusion of regressors, ignored heteroskedasticity and false distributional assumptions. An important feature of the experimental design is that it is based on an existing empirical study and is more realistic than many simulation studies. The tests are seen to have mixed performance depending on both the original null hypothesis being tested and type of misspecification encountered.

Assessing the magnitude of the concentration parameter in a simultaneous equations model

This paper provides the practitioner with a method of ascertaining when the concentration parameter in a simultaneous equations model is small. We provide some exact distribution theory for a proposed statistic and show that the statistic possesses the minimal desirable characteristics of a test statistic when used to test that the concentration parameter is zero. The discussion is then extended to consider how to test for weak instruments using this statistic as a basis for inference. We also discuss the statistics relationship to various other procedures that have appeared in the literature. Copyright The Author(s). Journal compilation Royal Economic Society 2009

Instrumental Variables Estimation in Misspecified Single Equations

This paper examines the exact sampling behavior of a family of instrumental variables estimators of the coefficients in a single structural equation when the model has been misspecified by the incorrect inclusion or exclusion of variables. It is found that such specification errors can have implications for the structure of the exact results obtained. A brief numerical examination of the analytical results is also provided.

Efficient Estimation of Non-Linear Dynamic Panel Data Models with Application to Smooth Transition Models

This paper explores estimation of a class of non-linear dynamic panel data models with additive unobserved individual-specific effects. The models are specified by moment restrictions. The class includes the panel data AR(p) model and panel smooth transition models. We derive an efficient set of moment restrictions for estimation and apply the results to estimation of panel smooth transition models with fixed effects, where the transition may be determined endogenously. The performance of the GMM estimator, both in terms of estimation precision and forecasting performance, is examined in a Monte Carlo experiment. We find that estimation of the parameters in the transition function can be problematic but that there may be significant benefits in terms of forecast performance.

On a simultaneous equations pre-test estimator

This paper investigates the finite-sample properties of a pre-test estimator for the linear regression model when endogenous regressors render the ordinary least squares estimator inconsistent. A Wu-Hausman exogeneity test is applied to determine whether two-stage least squares is appropriate. Both analytic and nonparametric approximations to the pre-test risk and bias are discussed.

Some Exact Results for Estimators of the Coefficients on the Exogenous Variables in a Single Equation

This paper is devoted to a detailed examination of the exact sampling properties of the instrumental variables (IV) estimator of the vector of coefficients on the exogenous variables in a single structural equation. The first two moments of a linear combination of the elements of this estimator and the joint distribution of these elements are considered. Estimable bounds for the first moment that can readily be incorporated into any IV estimation package are provided. The results obtained are in terms of the same special functions as those that characterize other results for this model, allowing a unified treatment of the model.