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Modeling and estimating returns to seller reputation with unobserved heterogeneity in online auctions

Shiu, Ji-Liang; Sun, Chia-Hung D. - In: Economic Modelling 40 (2014) C, pp. 59-67

This study provides an alternative approach that takes account of the unobserved effects of each seller under a sample selection framework. Empirical findings, after converting the Yahoo! Japan Auctions dataset into unbalanced panel data, show that seller reputation remains an important factor...

Persistent link: https://www.econbiz.de/10010781992

Capital flows and current account dynamics in Turkey: A nonlinear time series analysis

Cecen, Aydin; Xiao, Linlan - In: Economic Modelling 39 (2014) C, pp. 240-246

. Several well-known tests are applied to identify nonlinearity in the current account time series. The analysis reveals that …

Persistent link: https://www.econbiz.de/10010781972

Short-run dynamics in bank credit: Assessing nonlinearities in cyclicality

Bouvatier, Vincent; López-Villavicencio, Antonia; … - In: Economic Modelling 37 (2014) C, pp. 127-136

This paper explores whether the procyclicality of private credit changes during the business cycle. To this end, we rely on the estimation of smooth transition regression models for a sample of 17 OECD countries over the 1986–2010 period. Our findings show that credit procyclicality is...

Persistent link: https://www.econbiz.de/10011048691

Long memory and regime switching properties of current account deficits in the US

Chen, Shyh-Wei - In: Economic Modelling 35 (2013) C, pp. 78-87

Chen (2011) [Are current account deficits really sustainable in the G-7 countries? Japan and the World Economy, 23(3), 190–201.] examines whether or not the current account deficits of the US can be characterized by a unit root process with regime switching (MS-ADF). In this paper, we find...

Persistent link: https://www.econbiz.de/10011048716

Real interest rate parity hypothesis in post-Soviet countries: Evidence from unit root tests

Öge Güney, Pelin; Hasanov, Mübariz - In: Economic Modelling 36 (2014) C, pp. 120-129

In this paper we investigate the real interest parity hypothesis for ten post-Soviet transition countries with respect to Russia, the USA and Germany. For this purpose, we employ conventional linear unit root tests as well as a nonlinear unit root test developed by Kapetanios et al. (2003) to...

Persistent link: https://www.econbiz.de/10011048798

Testing for nonlinear panel unit roots under cross-sectional dependency — With an application to the PPP hypothesis

Månsson, Kristofer; Sjölander, Pär - In: Economic Modelling 38 (2014) C, pp. 121-132

In this paper we propose a number of nonlinear panel unit root tests that are robust to cross-sectional dependency. These tests may be used to test the null hypothesis of non-stationarity against the alternative that some or all of the time series in the system of equations follow a stationary...

Persistent link: https://www.econbiz.de/10011048825

Asymmetries in the revenue–expenditure nexus: A tale of three countries

Paleologou, Suzanna-Maria - In: Economic Modelling 30 (2013) C, pp. 52-60

The objective of this paper is to examine the government revenue and expenditure relationship in the context of what is known as the soft and hard budget constraint strategy. We adopt a nonlinear framework with structural breaks and focus our empirical analysis in three countries. Two of them...

Persistent link: https://www.econbiz.de/10011048849

Modeling hedge fund exposure to risk factors

Jawadi, Fredj; Khanniche, Sabrina - In: Economic Modelling 29 (2012) 4, pp. 1003-1018

nonlinear framework for several types of strategies over the last two decades. Nonlinearity is justified by distortions due to … nonlinearity, indicating that they evolve and vary asymmetrically in accordance with stages in financial cycles. Second, hedge fund …

Persistent link: https://www.econbiz.de/10010577115

Smooth transition, non-linearity and current account sustainability: Evidence from the European countries

Chen, Shyh-Wei - In: Economic Modelling 38 (2014) C, pp. 541-554

In this paper we examine three types of nonlinearities, i.e., nonlinearity stemming from structural breaks, sign … nonlinearity and size nonlinearity, for ten European countries and their importance to current account sustainability. For this … purpose, we apply a battery of linear and nonlinear unit root tests. Our results show that the structural break nonlinearity …

Persistent link: https://www.econbiz.de/10010753338

Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests

Gozbasi, Onur; Kucukkaplan, Ilhan; Nazlioglu, Saban - In: Economic Modelling 38 (2014) C, pp. 381-384

This paper re-examines the efficient market hypothesis (EMH) in the Turkish stock market by utilizing the recent developments in nonlinear unit root tests. To this end, we first employ the linearity test developed by Harvey et al. (2008) and then carry out the nonlinear ESTAR unit root test...

Persistent link: https://www.econbiz.de/10010753363