Samad Amirkhalkhali

Saving-investment correlations, capital mobility and crowding out: some further results

Abstract This study attempts to reassess the evidence on the degree of capital mobility and crowding out by applying a varying coefficients model to data on 19 OECD countries over the 1971–1999 period. Our period-specific results strongly support the crowding-out effect as well as the low capital mobility argument for this group of countries as a whole. However, the strength of the crowding-out effect appears to weaken and the degree of capital mobility to increase in the 1990s as compared to the 1970s and 1980s. We also classify countries into five groups according to the relative size of the government sector. Our group-specific results indicate that the degree of capital mobility is generally lower and the crowding-out effect generally stronger, in country groups with smaller governments. The differences are especially evident when we compare the group with largest government size with all other groups, those differences between the latter being much more modest. However, significant differences in the country-specific results suggest that it is prudent to be cautious when we draw conclusions about crowding-out and capital mobility for specific countries from the period-wise or group-wise results. This is particularly important in drawing policy implications for specific countries.

On the Forecasting Performance of Estimators for a Structural Equation in a Large System: Some Monte Carlo Results

This paper examines the relative forecasting performance of published estimators proposed for a structural equation in a large system using Monte Carlo experiments with antithetic variates. The performances of the estimators are compared in terms of the accuracy of the within-sample as well as post-sample predictions for 10 structural equations by using the mean absolute percentage error of forecasts. It is concluded that the ridge-type estimator developed by Kadiyala and Nunns and the estimator proposed by Swamy and Holmes performed consistently better than other estimators in both the within-sample predictions and ex post forecasts.

A simulation study of estimators of sur models with unequal numbers of observationsand with non-normal disturbances

This paper reports the results of a Monte Carlo experiment conducted to compare the small sample properties of selected feasible estimators of the seemingly unrelated regressions model with unequal numbers of observations and with non-normal disturbances. Our results indicate that the choice of estimator depends mainly on the size of the sample, the number of extra observations and the degree of correlation among explanatory variables across equations. For instance, methods which use the extra observations in estimating all elements of the disturbance covariance matrix are relatively more efficient when data on explanatory variables are highly correlated. However, the usual estimator which is based on only the matched observations in estimating the disturbance covariance matrix performs well and competes closely with the other feasible estimators when the correlation of explanatory variables across equations is low and the sample is small or the extra number of observations is large relative to the sample...

On the Dynamics of the Interrelationships between Fiscal Deficits and Some Important Macroeconomic Aggregates in Canada

Broadly speaking, three views about the macroeconomic implications of fiscal deficits can be identified. The traditional Keynesian argument, assuming chronic unemployment, states that fiscal deficits stabilize aggregate demand, increase private saving and foster investment and growth. The neoclassical view, assuming self-equilibration of the economy, states that deficits crowd out private investment, and are, therefore, damaging to a countrys growth prospects. Between these two diametrically opposing views, is the Ricardian Equivalence Theorem. This theory argues that increasing fiscal deficits are matched by an equivalent increase in private saving with no real effects. In this paper, we investigate the dynamics of the interrelationships among fiscal deficits, private saving, investment and other macroeconomic aggregates in Canada over the period 1961-90 using vector autoregressions, cointegration tests and error-correction models.

On the reliability of quasi-t-statistics: Some Monte Carlo results

This study intends to shed light on the relative reliability of computed t-statistics (quasi-t-statistics) of some commonly used estimators for the regression model with autoregressive non-normal errors. Our Monte Carlo results indicate the overall reliability of such t-statistics for making inferences about the true values of the coefficient parameters where the coefficient of autocorrelation (@r) is negative. However, the computed t- statistics are unreliable when @r assumed high positive values and the data are trended.