Thanasis Stengos

Rankings of Academic Journals and Institutions in Economics

We conducted a worldwide ranking of academic institutions that produce research in a list of thirty top research journals in economics. We also computed journal rankings for the same period and hence we do not rely on weights that were computed for research carried out in earlier periods. The United States is clearly the dominant force in the top-fifty group, but European academic institutions are well represented in the group of the top 200 universities worldwide as are universities from Asia and the Far East in particular. (JEL: A14, A10)

Non-linearities in cross-country growth regressions: a semiparametric approach

In this paper we employ an additive semiparametric partially linear model to uncover the way that initial output and schooling levels affect growth rates. Our results based on marginal integration allow for graphical representation of the non-linearities that characterize the effects that these variables have on growth rates and suggest the presence of multiple regimes (equilibria). Our findings seem to be in agreement with those of Durlauf and Johnson (1995) and Hansen (1996) who used a different data set.

European economics: An analysis based on publications in the core journals

Abstract In this paper we provide a ranking of European economics institutions and countries based on publications in a core set of 10 economic journals from 1991 to 1996. We find that the three leading universities in Europe are the London School of Economics, Tel-Aviv University and Oxford University while the three top-ranked countries are the U.K., France and Israel.

Measures of Human Capital and Nonlinearities in Economic Growth

In this paper we study the relationship between human capital accumulation and economic growth using various measures of human capital frequently employed by researchers. We use semiparametric estimation techniques to uncover any nonlinearities that may exist. Using mean years of schooling measures of human capital we find a nonlinear effect on economic growth. There seem to be important differences in the growth effect of educational attainment by gender and level of education. Enrollment rates do not yield a nonlinear effect.

Differential equations, stability and chaos in dynamic economics

Basic Properties of Differential Equations. Linear Differential Equations. Stability Methods: An Introduction. Advanced Stability Methods. Stability of Optimal Control. Microeconomic Dynamics. Stability in Investment Theory. Macroeconomic Policies. Stability in Capital Theory. Introduction to Chaos and Other Aspects of Nonlinearity. Appendix. Bibliography. Index.

Measuring the Strangeness of Gold and Silver Rates of Return

The predictability of rates of return on gold and silver are examined. Econometric tests do not reject the martingale hypothesis for either asset. This failure to reject is shown to be misleading. Correlation dimension estimates indicate a structure not captured by ARCH. The correlation dimension is between 6 and 7 while the Kolmogorov entropy is about 0·2 for both assets. The evidence is consistent with a nonlinear deterministic data generating process underlying the rates of return. The evidence is certainly not sufficient to rule out the possibility of some degree of randomness being present.

Testing for asymmetric pricing in the Canadian retail gasoline market

This paper applies a Threshold Regression model to test for asymmetric pricing in the retail gasoline market in Canada, using weekly data for the period January, 1990 to december , 1996.

Estimates of the Black Economy Based on Consumer Demand Approaches

We propose a consumer demand system approach to estimating the size of the black economy where alternative hypotheses affecting the empirical results can be tested in a nested framework. This approach allows for the estimation of the under-reporting of household income from various sources, dispensing with the need to use arbitrary criteria to classify households by their main source of income. It also avoids potential bias in black economy estimates arising from mistaking preference heterogeneity (substitution) as income effects. We illustrate these arguments by estimating the extent to which self-employment income in the UK is under-reported using parametric and nonparametric techniques.

Semiparametric estimation of partially linear panel data models

In this paper we consider estimating a general partially linear semiparametric panel data model, where we allow for some of the regressors to be correlated with the errors. We assume the usual empirical case of N large and T small and as in Robinson (1988) the proposed instrumental variable estimator is shown to be N-consistent.

Some evidence concerning macroeconomic chaos

Abstract An empirical assessment of a linear-stochastic perspective for Canadian macroeconomic time series is presented. The methods used are based on the mathematics of ‘chaos’. Present evidence suggests that low-order deterministic chaos does not provide a satisfactory characterization of the data. The absence of significant nonlinear structure for the investment and unemployment series is of particular note in light of past findings with American data. The degree to which the use of a time trend can impose a pseudo-structure on the data is illustrated.