This paper examines and compares the finite sample performance of the existing tests for sample selection bias, especially under the multi-collinearity problem pointed out by Nawata (1993). The results show that under such multicollinearity problem, (i) the t-test for sample selection bias based...

This paper describes a simple extension of popular tests of equality of hazard rates in a two-sample or k-sample setup to a situation where the covariate under study is continuous. In other words, we test the null hypothesis that the hazard does not depend on the value of the covariate against...

Using data over a 34-year span on UK quoted firms, this paper seeks to identify the factors that increase the likelihood of exit of firms. Firms may disappear through the mutually precluding events of bankruptcies and acquisitions. We use a competing-risks hazard model to determine...

Firms exit through the mutually precluding events of bankruptcy and acquisition. We use a competing risks hazard regression model to identify the characteristics leading to each of these two outcomes using over thirty years of data on US and UK quoted firms. We find evidence about the way in...

This paper investigates the determinants of involuntary insolvency and acquisition in UK small and medium-sized companies. Using a competing risks model and data from the survey database of the ESRC CBR at the University of Cambridge, we draw specific attention to the impact of managerial...

Notions of monotone ordering with respect to continuous covariates in duration data regression models have recently been discussed, and tests for the proportional hazards model against such alternatives have been developed (Bhattacharjee and Das, 2002). Such monotone/ ordered departures are...

This paper This paper develops a new approach to the problem of testing the existence of a long-run level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary. The...

This paper takes a computationnaly simple LS approach to develop a more efficient estimation procedure, which we call Residual Augmented Least Square (RALS), than OLS when the errors are not normally distributed. The efficiency gain is from manipulating the higher moment conditions implied by...

In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are based on average pair-wise residual correlation coefficients. In nonlinear models, the definition of the residual is ambiguous and we consider two approaches: deviations of the...

This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive fixed effects, and provides an extension of Hsiao et al. (2002) that allows for a multifactor error structure. This is an important extension since it retains the advantages of...