in this paper, i investigated the determinants of financial development with emphasis on social capital. first, i explain the relationship between financial development and its determinants, then estimate the model with gregory–hansen (1996) and johansen-juselious cointegration techniques in i.r. of iran (1971-2006). the results showed that, inflation and decline in social capital and weak prop...

This paper applies a model of market power measurement under product differentiation to the case of the gasoline market in California, using data for the period 1983-1989. Our results show that there is a considerable degree of product differentiation among major brands. This allows firms to exercise local market power over their own specific products, but there are also signals of an important...

The aim of this paper is to study the probability to find an opportunity of collaboration among small and medium sized firms by participating in the Europartenariat meeting created to encourage co-operation links. Contacts among firms are relatively few in number and are assumed to be generated by a Poisson process. Empirical results of different Poisson regression models with reference to para...

This paper uses control variables to identify and estimate models with nonseparable, multidimensional disturbances. Triangular simultaneous equations models are considered, with instruments and disturbances independent and reduced form that is strictly monotonic in a scalar disturbance. Here it is shown that the conditional cumulative distribution function of the endogenous variable given the i...

Real estate data exhibit autocorrelation and heterogeneity across both space and time. The literature is beginning to advance methods that account for the four components. This article accordingly introduces the Bayesian Maximum Entropy (BME) method to real estate analysis. In addition to controlling for spatiotemporal autocorrelation and heterogeneity, BME allows for probabilistic and missing ...

This paper uses an independent competing risks framework to model job tenure, with previous labour market status and the duration of the preceding unemployment spell as explanatory variables. We find that jobs that follow an unemployment spell have shorter mean duration than other jobs. Less than one half of jobs that follow unemployment last for twelve months. Multivariate results suggest that...

This paper examines the relationship between exchange rates and stock prices in eight Asian countries using cointegration and Granger causality tests over the period 1991 to 2005. We test for cointegration and Granger causality for both individual countries using the Gregory and Hansen (1996) cointegration test that accommodates a structural break in the cointegrating vector, and for a panel us...

In this paper we develop a canonical state space representation for rational stochastic processes containing unit roots with integer integration orders at arbitrary points on the unit circle. It is shown that the state space framework, which is – in a certain sense made precise in the paper – equivalent to the ARMA framework, is very suitable for the analysis of unit roots and cointegration iss...

In this paper, a synthesis of the recently advanced Lagrange multiplier (LM)-based tests for the null of no cointegration which account for different patterns of breaks in the cointegrating relationship is provided. The limiting distributions of the test statistics are not only invariant to an intercept break and a break in the cointegrating vector, but are also invariant to a trend break in a ...

This paper explores the issue of efficiency in English higher education using data envelopment analysis and stochastic frontier analysis to estimate an output distance function (which incorporates measures of both quantity and quality of teaching and research inputs and outputs) over a thirteen-year period. The study compares the efficiency estimates derived from various estimation methods, and...