Hans Christian Kongsted

Trend stationarity in the I(2) cointegration model

A representation for I(2) processes is derived which allows for trend-stationary components and restricts the deterministic part of the process to be at most linear. A two-step statistical analysis of the model is derived. The joint test of I(1) and I(2) cointegrating ranks is shown to be asymptotically similar with respect to the drift terms. The asymptotic distribution is tabulated and an application for UK monetary data illustrates the proposed statistical methods.

An I(2) Cointegration Analysis of Small-Country Import Price Determination

This paper develops a procedure for testing hypotheses on the full set of cointegration parameters of the I(2) model. It applies this procedure to the analysis of small-country import price determination, extending the standard empirical framework to allow for variables integrated of order two. The empirical analysis of Danish data for 1975-1995 yields a fully specified long-run structure of the I(2) model in terms of stationary pricing-to-market and inventory relations, a nominal second-order stochastic trend embodied in equal proportions in domestic and foreign price levels, and a real first-order trend driving the relative prices and the real interest rate.

Does the Mobility of R&D Labor Increase Innovation?

We investigate the effect of mobility of highly skilled workers in Denmark on the total patenting activity of the firms involved for the population of R&D active Danish firms observed between 1999 and 2004. Our study documents how workers joining increase firms’ patenting activity. The effect is strongest if workers join from patent-active firms. We also find evidence of a positive feedback effect on patenting from workers who have left for another patent-active firm. Summing up the effects of joining and leaving workers, we show that labor mobility increases the total innovative activity of the new and the old employer. Our study thus provides firm-level support for the notion that labor mobility stimulates overall innovation of a country or region.

R&D, public innovation policy, and productivity: The case of danish manufacturing

The purpose of this paper is to investigate the relationship between private R&D, public innovation support transferred to the private sector, and productivity in Danish manufacturing. Two main conclusions are established. First, public innovation support has a positive and significant effect on private R&D expenditures with an estimated elasticity of 0.062. Second, the indirect effect on productivity from public innovation support is reflected in a positive point estimate which is found to be robust to different specifications of R&D capital.

The Role of University Scientist Mobility for Industrial Innovation

cientific knowledge is an important ingredient in the innovation process. Drawing on the knowledge-based view of the firm and the literature on the relationship between science and technology, this paper scrutinizes the importance of university scientists mobility for firms innovative activities. Combining patent data and matched employer-employee data for Danish firms, we can track the labor mobility of R&D workers from 1999 to 2004. We find that new joiners contribute more than long-term employees to innovative activity in the focal firm. Among new firm recruits, we observe that newly hired former university researchers contribute more to innovative activity than newly hired recent graduates or joiners from firms, but only in firms with a high level of absorptive capacity in the form of recent experience of hiring university researchers. We find also that firms recent experience of hiring university researchers enhances the effect of newly hired recent graduates contributions to innovation.

Do Magazines' \Companion Websites" Cannibalize the Demand for the Print Version? {

We analyze the relationship between website visits, magazine demand and the demand for advertising pages using Granger non-causality tests on the basis of an extensive and externally audited quarterly data set for the German magazine market spanning the period I/1998 to II/2004. We use traditional panel data estimators and an estimator suitable for heterogeneity across magazines. We find very robust evidence for positive effects from website visits to circulation. There is no evidence of causality running in the opposite direction. Our findings are contrary to the widespread belief that the Internet will cannibalize print media markets.

Modeling Price and Quantity Relations for Danish Manufacturing Exports

This article develops a structural econometric model for Danish manufacturing exports. The cointegrating relations of the model are determined to be a markup pricing relation and an export demand relation, whereas the short-run structure shows pricing-to-market effects. Both long-run and short-run pricing relations are found to be empirically constant during a period of large exchange-rate variations. The model isolates the main interactions between the foreign-trade sector, the exchange rate, and domestic variables, which played a key role in the external adjustment of the economy during the sample period.

Magazine “Companion Websites” and the Demand for Newsstand Sales and Subscriptions

The authors analyzed the relationship of visits to a magazines online companion website and total circulation, subscription, and kiosk sales using bivariate vector autoregressions estimated on 67 German magazines that were observed monthly in the period May 1998 to November 2009. Their econometric analysis finds some support for the widespread belief that the Internet cannibalizes print media. On average, a 1% increase in companion website traffic is associated with a weakly significant decrease in total print circulation by 0.15%. This association is mainly driven by a statistically significant and negative mapping between website visits and kiosk sales, although they do not find any statistically significant relationship between website visits and subscriptions. The latter finding is reassuring for publishers because advertisers value a large subscriber base. Moreover, the authors show that the negative relationships between website visits and total circulation as well as kiosk sales are primarily associated with magazines that have a mainly male and Internet–affine readership and by magazines that are published with a less than weekly periodicity.

Entry and exit decisions under uncertainty: The limiting deterministic case

Abstract This paper establishes the general deterministic limit that corresponds to Dixits model of entry and exit decisions under uncertainty. The interlinked nature of decisions is shown to be essential also in the deterministic limit. A numerical example illustrates the result.

Are more observational studies being included in Cochrane Reviews

BackgroundIncreasing the scope of an evidence based approach to areas outside healthcare has renewed the importance of a long-standing discussion on randomised versus observational study designs in evaluating the effectiveness of interventions. We investigate statistically if an increasing recognition of the role of certain nonrandomised studies to support or generalize the results of randomised controlled trials has had an impact on the actual inclusion criteria applied in Cochrane reviews.MethodsWe conduct an on-line search of the Cochrane Database of Systematic Reviews (CDSR) and divide all Cochrane reviews according to their design inclusion criterion: (A) RCTs only or (B) RCTs and (some subset of) observational studies. We test statistically whether a shift in the proportion of category B reviews has occurred by comparing reviews published before 2008 with reviews published during 2008/09.ResultsWe find that the proportion of Cochrane reviews choosing a broader inclusion criterion has increased, although by less than two percentage points. The shift is not statistically significant (P = 0.08).ConclusionsThere is currently not sufficient data to support a hypothesis of a significant shift in favour of including observational studies, neither at the aggregate level nor at the level of individual Review Groups within the Cochrane Collaboration.