Using a panel of 9292 UK manufacturing firms over the period 1993-2003, we explore the links between firms’ financial health and their export market participation decisions. We find that exporters exhibit better financial health than non-exporters. Yet, when we differentiate between continuous exporters and starters, we see that this result is driven by the former. Starters generally display lo...

Using monthly data on temporary trade barriers (TTBs), we estimate the dynamic employment effects of protectionism through vertical production linkages. First, exploiting high-frequency and TTB procedural details, identify policy shocks exogenous to economic fundamentals. We then use input-output tables construct measures affecting downstream producers. Finally, panel local projections using id...

When the overidentifying restrictions of the constant-effect linear instrumental variables model fail, common IV estimators converge to different probability limits. I characterize the estimands of two stage least squares, two step GMM, and limited information maximum likelihood as functions of the single-instrument estimands from the just-identified IV regressions which consider each instrumen...

This paper measures the productivity impact of shop-floor employee involvement. On the basis of a representative German establishment data set, the study finds that the introduction of team-work and autonomous work groups, and a reduction of hierarchies in 1996/97 significantly increased average establishment productivity in 1997 – 2000. The estimation strategy controls for unobserved invariant...

In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK stock market over the time period of 1980-2000. Two econometric models are used; first, Fisher’s (1994) asset pricing model is estimated by GMM, and secondly, the VAR approach proposed by Campbell and Shiller is extended to include the bid-ask spread. Overall the statistical tests are unable to reje...

This paper proposes a new test of the Protection for Sale (PFS) model by Grossman and Helpman (1994). Unlike existing methods in the literature, our approach does not require any data on political organizations. We use quantile and quantile IV regressions to do so using the data from Gawande and Bandyopadhyay (2000). Surprisingly, the results do not provide any evidence favoring the PFS model. ...

We analyze the limiting distribution of Rivers and Vuong’s (2002) statistic for choosing between two competing dynamic models based on a comparison of GMM minimands. It is shown that: (i) if both models are misspecified then the statistic has a standard normal distribution under the null hypothesis of equal fit but the ranking could be determined by the choice of the weighting matrix; (ii) if b...

This paper tests whether consumption pattern in Korea exhibits a time-inconsistent discounting behavior using a quasi-hyperbolic Euler equation estimated by the generalized method of moments (GMM). In particular, we examine whether consumers change their discounting behavior during financial crises in 1997 and 2008. The estimation results show that Korean consumers exhibit a time-inconsistent q...

This paper proposes a new class of HAC covariance matrix estimators. The standard HAC estimation method re-weights estimators of the autocovariances. Here we initially smooth the data observations themselves using kernel function based weights. The resultant HAC covariance matrix estimator is the normalised outer product of the smoothed random vectors and is therefore automatically positive sem...

Measurement error causes a downward bias when estimating a panel data linear regression model. The panel data context offers various opportunities to derive moment conditions that result in consistent GMM estimators. We consider three sources of moment conditions: (i) restrictions on the intertemporal covariance matrix of the errors in the equations, (ii) heteroskedasticity and nonlinearity in ...