Estimation and Testing of Fixed-effect Panel-data Systems

Blackwell, J. Lloyd

doi:10.1177/1536867x0500500205

Cited by 87 publications

(57 citation statements)

References 2 publications

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“…The diagnostics tests confirm that even though we use fixed effect estimates, the problems of heteroscedasticity and first‐order autocorrelation would restrict robust estimates. Therefore, we use panel‐corrected standard error (PCSE) estimates (Blackwell ) for linear panel data models where the parameters are estimated by Prais–Winsten regression (to control autocorrelation), and disturbances are assumed to be only panel‐level heteroscedastic (robust coefficients are obtained) with no contemporaneous correlation across panels. The results of PCSE estimates with heteroscedasticity‐corrected standard errors are given in Models 4 and 8, respectively, in Table .…”

Section: Major Findingsmentioning

confidence: 99%

Regional determinants of life insurance consumption: evidence from selected Asian economies

Sen

Madheswaran

2013

Asia Pac Econ Lit

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The life insurance industry in developing Asian economies is underdeveloped compared with global standards. The low market penetration is attributed to full or partial government ownership and entry restrictions on foreign insurers. Regulatory changes and adoption of liberal policies have aided the growth of the life insurance industry in the past decade. At the same time, economic and social factors were expected to promote insurance awareness and consumption. In this context, the paper analyses the factors explaining life insurance demand in 12 Asian economies, including economies from the South Asian Association for Regional Cooperation and Association of Southeast Asian Nations regions, as well as China. The results suggest that income, financial depth, inflation, the real interest rate, and the youth dependency ratio are significant determinants of life insurance consumption. Foreign ownership and improved regulations may foster growth. But urbanisation and the literacy rate are among the few determinants found not to have the impact observed in previous studies. The research highlights the limitations of studies using macrodata and contributes to understanding of the growing insurance industry in the region.

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Section: Major Findingsmentioning

confidence: 99%

Regional determinants of life insurance consumption: evidence from selected Asian economies

Sen

Madheswaran

2013

Asia Pac Econ Lit

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“…Including exports as a ratio of domestic sales was the method employed to account for the cyclical nature of the cattle industry. 4 An alternative would be to employ the multiple-equation, fixed effects panel data method suggested by Blackwell (2005); however, this approach only estimates a system of linear seemingly unrelated regression and does not address simultaneity problems so this approach was abandoned. Lagrange multiplier tests for heteroskedasticity confirmed a problem for each of the equations.…”

Section: Modelmentioning

confidence: 99%

Market Power in Canadian Beef Packing

Rude¹,

Harrison²,

Carlberg³

2010

Canadian Journal of Agricultural Economics/Revue Canadienne d'Agroeconomie

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Concentration levels in Canadian beef packing have increased dramatically over the last two decades, raising concerns about the possible use of market power in cattle procurement markets. This paper uses establishment‐level data to test the hypothesis that Canadian beef packers use oligopsony power to pay lower prices for cattle than those which would prevail in a competitive market. A four‐equation econometric system is estimated using generalized method of moments. No evidence is found that beef packers behaved in an anticompetitive manner on a national basis when procuring cattle during the period examined. This reinforces conclusions reached by previous studies using different data sets and estimation methods. However, given the lack of assurances that the U.S. slaughter market will remain open to Canadian cattle exporters, regulators must remain vigilant in monitoring the procurement practices of beef packers. There is also a need for greater levels of data disaggregation to allow fed and cull cattle procurement markets to be studied separately, perhaps even on a regional basis. Les niveaux de concentration dans l’industrie de l’abattage du bœuf au Canada ont augmenté considérablement au cours des deux dernières décennies, ce qui laisse craindre l’exercice possible de pouvoir de marché sur les marchés d’approvisionnement de bovins. Dans le présent article, nous avons utilisé des données d’entreprises pour vérifier l’hypothèse selon laquelle les entreprises de transformation du bœuf au Canada exerceraient un pouvoir d’oligopsone pour se procurer des bovins à des prix moins élevés que ceux qui prévaudraient dans un marché concurrentiel. Nous avons estimé un système économétrique de quatre équations à l’aide de la méthode des moments généralisés (GMM). Nous n’avons trouvé aucune preuve permettant de croire que les transformateurs de viande de bœuf au Canada se sont comportés de façon anticoncurrentielle lorsqu’ils se sont approvisionnés en bovins durant la période couverte par l’étude. Nos conclusions renforcent celles d’études antérieures réalisées à partir de données et de méthodes d’estimation différentes. Toutefois, compte tenu de l’incertitude quant à l’ouverture de l’industrie étatsunienne de l’abattage aux exportateurs de bovins canadiens, les organismes de réglementation doivent surveiller avec vigilance les pratiques d’achats des transformateurs de bœuf. Il faudrait également effectuer une désagrégation des données plus poussée pour étudier séparément les marchés d’approvisionnement de bovins engraissés et de bovins de réforme, et ce, peut‐être même à l’échelle régionale.

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“…In all regressions, we correct for serial correlation in FPI using the Prais‐Winsten () method for panel data. The approach, which follows Bekaert et al (, footnote 13), uses a Prais‐Winsten regression to account for panel‐specific first‐order serial correlation and panel‐corrected standard errors to account for heteroskedasticity and contemporaneous residual correlation across panels (Beck and Katz (), Wooldridge (), Blackwell ()). Clustering in this fixed effects model is not the appropriate solution because the model does not have sufficient “effective” degrees of freedom (i.e., the number of clusters will be less than the number of coefficients).…”

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confidence: 99%

Taking the Long Way Home: U.S. Tax Evasion and Offshore Investments in U.S. Equity and Debt Markets

Hanlon¹,

Maydew²,

Thornock

2015

The Journal of Finance

120

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We empirically investigate one form of illegal investor-level tax evasion and its effect on foreign portfolio investment. In particular, we examine a form of round-tripping tax evasion in which U.S. individuals hide funds in entities located in offshore tax havens and then invest those funds in U.S. securities markets. Employing Becker's (1968) economic theory of crime, we identify the tax evasion component in foreign portfolio investment data by examining how foreign portfolio investment varies with changes in the incentives to evade and the risks of detection. To our knowledge, this is the first empirical evidence of investor-level tax evasion affecting crossborder investment in equity and debt markets.

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Estimation and Testing of Fixed-effect Panel-data Systems

Cited by 87 publications

References 2 publications

Regional determinants of life insurance consumption: evidence from selected Asian economies

Regional determinants of life insurance consumption: evidence from selected Asian economies

Market Power in Canadian Beef Packing

Taking the Long Way Home: U.S. Tax Evasion and Offshore Investments in U.S. Equity and Debt Markets

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