Margie Tieslau

Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model

This paper considers the application of long-memory processes to describing inflation for 10 countries. We implement a new procedure to obtain approximate maximum likelihood estimates of an ARFIMA-GARCH process; which is fractionally integrated I(d) with a superimposed stationary ARMA component in its conditional mean. Additionally, this long-memory process is allowed to have GARCH type conditional heteroscedasticity. On analysing monthly post-World War II CPI inflation for 10 different countries, we find strong evidence of long memory with mean reverting behaviour for all countries except Japan, which appears stationary. For three high inflation economies there is evidence that the mean and volatility of inflation interact in a way that is consistent with the Friedman hypothesis. Copyright 1996 by John Wiley & Sons, Ltd.

The stability of long-run money demand in five industrial countries

Abstract This study provides strong evidence for the stability of long-run demand functions for narrowly defined money (M1) in five industrial countries (U.S., Japan, Canada, U.K., and West Germany) using post-war quarterly data. Evidence of stability is examined using two different estimation techniques and through a formal test of parameter constancy designed specifically for cointegrating vectors. In the majority of these countries, the key to stability is the imposition of a unitary long-run income elasticity that is rarely rejected by the data.

Stationarity of health expenditures and GDP: evidence from panel unit root tests with heterogeneous structural breaks

This paper re-examines the stationarity of national health care expenditures and GDP in a panel setting utilizing data from 20 OECD countries over the period from 1960 to 1997. Previous research in this area has recognized the drawback of not allowing for structural breaks in their unit root tests and noted that their empirical results may not be robust. We advance the literature by utilizing a recently developed panel LM unit root test that allows for heterogeneous level shifts. In contrast to previous analyses that did not consider breaks, our results reject the unit root null hypothesis for both series.

A minimum distance estimator for long-memory processes

This paper considers a minimum distance estimator (MDE) of the differencing para- meter of the fractionally integrated white noise model. The MDE minimizes the differ- ence between sample and population autocorrelations. The paper presents calculations of asymptotic variances to examine the efficiency of the MDE relative to that of the MLE. For values of the differencing parameter less than l/4, the MDE is ,/?;-consistent and asymptotically normal, and the asymptotic variance of the MDE using the first n auto- correlations approaches that of the MLE as n increases. However, there is a substantial efficiency loss if low-order autocorrelations are omitted. This implies that a non- parametric treatment of short-run dynamics will involve a substantial loss of efficiency.

International trade and developing countries: an empirical investigation of the Linder hypothesis

This paper presents empirical evidence in support of the Linder hypothesis for five of the six East African developing countries studied here: Ethiopia, Kenya, Rwanda, Sudan and Uganda. This finding implies that these countries trade more intensively with others who have similar per capita income levels, as predicted by Linder. The contributions of this research are three-fold. First, new information is provided on the Linder hypothesis by focusing on developing countries. Second, this is one of very few analyses to capture both time-series and cross-section elements of the trade relationship by employing a panel data set. Third, the empirical methodology used in the analysis corrects a major shortcoming in the existing literature by using a censored dependent variable in estimation.

Whose fault is it? Assigning blame for grade inflation in higher education

This study attempts to isolate the potential sources of grade inflation and to measure their relative importance. We incorporate existing models of grade inflation into a model of grade inflation at the department level. Our data comprise 1683 separate courses taught in 28 different academic departments by 3176 distinct instructors at a large public university over two decades. Our results suggest that incentives to inflate grades vary according to characteristics of academic departments. However, the vast majority (over 90%) of grade inflation observed in our data is estimated to be a result of either university-level factors or instructor-specific characteristics.

More Powerful Unit Root Tests with Non-Normal Errors

This paper extends the Lagrange Multiplier (LM) unit toot tests of Schmidt and Phillips (Oxford Bull. Econ. Stat. 54:257–285, 1992) to utilize information contained in non-normal errors. The new tests adopt the Residual Augmented Least Squares (RALS) estimation procedure of Im and Schmidt (J. Econ. 144:219–233, 2008). This paper complements the work of Im et al. (More powerful unit root tests with nonnormal errors, manuscript, 2012) who adopt the RALS procedure for DF-based tests. We provide the relevant asymptotic distribution and the corresponding critical values of our new tests. The RALS-LM tests show improved power over the RALS-DF tests. The main advantage of the RALS-LM tests lies in the invariance feature that the distribution does not depend on the nuisance parameter in the presence of level-breaks.

Panel LM Unit Root Tests with Trend Shifts

This paper proposes a new Lagrange multiplier (LM) based unit root test for panel data allowing for heterogeneous structural breaks in both the intercept and slope of each cross-section unit in the panel. We note that panel unit root tests allowing for breaks in the slope will critically depend on the nuisance parameters indicating the size and location of breaks. Any panel tests that ignore this dependency on the nuisance parameter will be subject to serious size distortions. To address this problem, our test employs a method that renders the asymptotic distribution of the panel tests invariant to nuisance parameters. We derive the asymptotic properties of our test and also examine its finite-sample properties. In addition, our test easily can be modified to correct for the presence of cross-correlations in the innovations of the panel. We illustrate this by applying the cross-sectionally augmented ADF (CADF) procedure of Pesaran (2007) to our test statistic.

Country Resources, Country Image, and Exports: Country Branding and International Marketing Implications

ABSTRACT A countrys economic, political, and socio-cultural institutions have always been regarded as important determinants of a companys exports and international marketing strategies. With the recent thinking about countries becoming more like a brand, these factors should impact a countrys marketing and branding strategies. There has been a call for more research on how countries can use their institutions and resources to enhance their globalization efforts. This study intends to fill this gap by examining the relationships between country institutions and resources, country image, and exports based on institution theory and resource advantage theory. Both archival and primary data for 24 countries over 12 years (1995–2006) were used to assess a random-effects panel data model. The results reveal the significance of economic development and communication infrastructure on exports. In addition, country image was found to indirectly affect exports. The theoretical and practical implications on country branding and international marketing conclude the article.

Corrigendum to “Stationarity of health expenditures and GDP: Evidence from panel unit root tests with heterogeneous structural breaks” [J. Health Econ. 22 (2003) 313–323]

Refers to: “Stationarity of health expenditures and GDP: Evidence frompanel unit root tests with heterogeneous structural breaks,” Journal of Health Economics, Volume 22, Issue 2, March 2003, Pages 313–323, by Todd Jewell, Junsoo Lee, Margie Tieslau, and Mark C. Strazicich.