Book•
Introduction to the Theory and Practice of Econometrics
17 Mar 1988-
TL;DR: In this article, the authors present an interweaving of inferential approaches and theory and practice in econometrics, and interweave inferential approach and theory in Econometric applications.
Abstract: This book interweaves inferential approaches and theory and practice in econometrics. Basic statistical and linear algebra concepts are introduced as they are needed to give life to the statistical model under study. Most econometric applications start with a tentative theory or hypothesis a sample of data and the goal of learning something about the phenomena under study from the limited set of observations. Therefore a sample of data that may be used to investigate a particular economic hypothesis is presented to motivate the analysis of each of the statistical models presented. This linkage between the economic process that is thought to have generated the data and a particular statistical model is a unifying theme throughout the book. It progresses from the special case of investigating the possibilities for determining the location and scale parameters for a population from a sample of observations to investigating a complex simultaneous system of structural equations under general stochastic assumptions. To ensure that the reader understands the basic concepts and conclusions as they relate to linear statistical models simple special case models are evaluated and then the analysis is repeated for the general case. The 1st half of book gives the student a solid introduction to the formulation and use of linear statistical models. The 2nd half introduces the student to the econometric problems that arise when it is taken into account that economic data are stochastic dynamic and simultaneous and that the optimal statistical procedure sometimes changes as we change the statistical model the amount and type of information used and the measure of performance.
Citations
More filters
TL;DR: In this article, the authors show that expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock ex ante excess return partly represents an illiquid price premium, which complements the cross-sectional positive return-illiquidity relationship.
5,636 citations
TL;DR: In this paper, the effects of stock illiquidity on stock return have been investigated and it was shown that expected market illiquidities positively affects ex ante stock excess return (usually called risk premium) over time.
Abstract: New tests are presented on the effects of stock illiquidity on stock return. Over time, expected market illiquidity positively affects ex ante stock excess return (usually called â¬Srisk premiumâ¬?). This complements the positive cross-sectional return-illiquidity relationship. The illiquidity measure here is the average daily ratio of absolute stock return to dollar volume, which is easily obtained from daily stock data for long time series in most stock markets. Illiquidity affects more strongly small firms stocks, suggesting an explanation for the changes â¬Ssmall firm effectâ¬? over time. The impact of market illiquidity on stock excess return suggests the existence of illiquidity premium and helps explain the equity premium puzzle.
5,333 citations
TL;DR: In this paper, the impact of acquisitions on the subsequent innovation performance of acquiring firms in the chemicals industry is examined, and the authors distinguish between technological acquisitions, acquisitions in which technology is a component of the acquired firm's assets, and non-technological acquisitions: acquisitions that do not involve a technological component.
Abstract: This paper examines the impact of acquisitions on the subsequent innovation performance of acquiring firms in the chemicals industry We distinguish between technological acquisitions, acquisitions in which technology is a component of the acquired firm's assets, and nontechnological acquisitions: acquisitions that do not involve a technological component We develop a framework relating acquisitions to firm innovation performance and develop a set of measures for quantifying the technological inputs a firm obtains through acquisitions We find that within technological acquisitions absolute size of the acquired knowledge base enhances innovation performance, while relative size of the acquired knowledge base reduces innovation output The relatedness of acquired and acquiring knowledge bases has a nonlinear impact on innovation output Nontechnological acquisitions do not have a significant effect on subsequent innovation output Copyright © 2001 John Wiley & Sons, Ltd
2,147 citations
TL;DR: It is demonstrated that a simple adjustment to the cross-sectional techniques produces appropriate rejection rates when the null is true and equally powerful tests when it is false.
1,743 citations
TL;DR: In this paper, the linkage-formation propensity of firms is explained by simultaneously examining both inducement and opportunity factors, drawing upon resource-based and social network theory literatures, and identifying three forms of accumulated capital that can affect a firm's inducements and opportunities to form linkages.
Abstract: I argue that the linkage-formation propensity of firms is explained by simultaneously examining both inducement and opportunity factors. Drawing upon resource-based and social network theory literatures I identify three forms of accumulated capital—technical, commercial, and social—that can affect a firm’s inducements and opportunities to form linkages. Firms possessing these capital stocks enjoy advantages in linkages formation. However, firms lacking these accumulated resources can still form linkages if they generate a radical technological breakthrough. Thus, I identify paths to linkage formation for leading as well as peripheral firms. I test these arguments with longitudinal data on technical collaborative linkages in the global chemicals industry. Copyright © 2000 John Wiley & Sons, Ltd.
1,581 citations
References
More filters
TL;DR: In this paper, a model of long run growth is proposed and examples of possible growth patterns are given. But the model does not consider the long run of the economy and does not take into account the characteristics of interest and wage rates.
Abstract: I. Introduction, 65. — II. A model of long-run growth, 66. — III. Possible growth patterns, 68. — IV. Examples, 73. — V. Behavior of interest and wage rates, 78. — VI. Extensions, 85. — VII. Qualifications, 91.
20,482 citations
TL;DR: The Penn World Table (Mark 4) as mentioned in this paper is a completely revised and updated expansion of an equivalent table published by the authors in 1984, drawing on the data of two previously unavailable international comparison benchmark studies.
Abstract: A new set of international comparisons covering the period 1950–85 is developed here for 121 market and 9 centrally planned economies. This new so-called Penn World Table (Mark 4), a completely revised and updated expansion of an equivalent table published by the authors in 1984, draws on the data of two previously unavailable international comparison benchmark studies. This article presents a detailed description of all estimation procedures, and excerpts from the overall DATA TABLE covering two years, 1980 and 1985. Three computer diskettes accompanying this article (and also available from the authors) contain the complete 36–year, 60,000 entry DATA TABLE in a form that economizes on scarce journal space and is immediately machine-readable. For the 121 market economies, the DATA TABLE gives annually, in addition to population and exchange rates, real product and price level estimates for four different national income concepts, and for the major subaggregates, consumption, investment, and government. Only population and real gross domestic product estimates are given for the nine centrally planned economies, however.
This new table is one more step toward the goal of establishing a new worldwide System of Real National Accounts.
1,165 citations
01 Mar 1950
117 citations
01 Jan 1979
TL;DR: The story of the industrial revolution could be written in terms of looms, steam-driven pumps and locomotives as discussed by the authors and there can be no doubting the importance of investment in fixed capital in an industrialised economy.
Abstract: There can be no doubting the importance of investment in fixed capital in an industrialised economy. The story of the industrial revolution could be written in terms of looms, steam-driven pumps and locomotives. Today, investment and the stock of fixed capital play a very important part in the consideration of the performance of all modern economies.
24 citations