Nuisance vs. Substance: Specifying and Estimating Time-Series-Cross-Section Models

Beck, Nathaniel; Katz, Jonathan N.

doi:10.1093/pan/6.1.1

Cited by 697 publications

(383 citation statements)

References 22 publications

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“…We conclude that estimating random effects is most appropriate, but however, note that the results referring to OLS and random effects are very similar or even identical. Furthermore, we detected autocorrelation of first order in the residuals and correct for it using panel corrected standard errors (Beck and Katz (1996)). Moreover, Table 1 reports the coefficients and t-ratios in absolute terms for every single equation.…”

Section: The Period From 1970 To 2004mentioning

confidence: 99%

The growth of public health expenditures in OECD countries: Do government ideology and electoral motives matter?

Potrafke

2010

Journal of Health Economics

176

106

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Section: The Period From 1970 To 2004mentioning

confidence: 99%

The growth of public health expenditures in OECD countries: Do government ideology and electoral motives matter?

Potrafke

2010

Journal of Health Economics

176

106

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“…Due to the count nature of the data however both dependent variables showed evidence of non-normality in both levels and natural log transformations via Shapiro-Wilk tests (Shapiro & Wilk, 1965). This creates problems with the use of possible estimation techniques for TSCS data such as Ordinary Least Squares (OLS) with PanelCorrected Standard Errors (Beck & Katz, 1996). One alternative approach that could counter the non-normality would be the use of a negative binomial or Poisson models however such models prove difficult to incorporate dynamic elements, crucial for analysing time-series data (Brandt, Williams, Fordham, &Pollins, 2000 andWilliams 2001).…”

Section: Methodsmentioning

confidence: 99%

Rights to the forest, REDD+ and elections: Mining in Guyana

Laing

2015

Resources Policy

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This paper examines the impact of electoral cycles and the introduction of Reducing Emissions from Deforestation and Degradation (REDD+) policy upon the holding of small-scale mining property rights in Guyana. Mining is both the major cause of deforestation and the main economic activity in the country. A simple model of the incentives to hold mining property rights is developed and tested using a unique data-set of small-scale mining property rights data. Econometric techniques are used to test the findings of the model, concluding that the number of mining rights issued fall after election years, with the number rescinded rising. The introduction of REDD+ in Guyana also seems to have increased the number of mining claims being relinquished, and reduce the number being issued. The findings highlight the importance of political economy events in the evolution of small-scale mining activity, and show some evidence that the introduction of a REDD+ framework in Guyana has impacted the main driver of deforestation, despite the absence of specific policy targeting the sector

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“…For each of the fifteen countries in our sample, however, at least 85 minutes of playing time during market opening hours are available. Still, Beck and Katz (1996) have also argued that the efficiency gains of FGLS will be minor unless high heteroskedasticity and parameter homogeneity are present. 20 By construction, the MSCI World Index is to a large extent driven by developments in U.S. and U.K. markets.…”

Section: Match Events Influenced Trading Activitymentioning

confidence: 99%

The Pitch Rather than the Pit: Investor Inattention During FIFA World Cup Matches

Ehrmann

Jansen

2012

SSRN Journal

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At the 2010 FIFA World Cup in South Africa, many soccer matches were played during stock market trading hours, providing us with a natural experiment to analyze fluctuations in investor attention. Using minute-by-minute trading data for fifteen international stock exchanges, we present three key findings. First, when the national team was playing, the number of trades dropped by 45%, while volumes were 55% lower. Second, market activity was influenced by match events. For instance, a goal caused an additional drop in trading activity by 5%. The magnitude of this reduction resembles what is observed during lunchtime, and as such might not be indicative for shifts in attention. However, our third finding is that the comovement between national and global stock market returns decreased by over 20% during World Cup matches, whereas no comparable decoupling can be found during lunchtime. We conclude that stock markets were following developments on the soccer pitch rather than in the trading pit, leading to a changed price formation process. JEL codes: G12, G14, G15Keywords: investor inattention, stock markets, trading volume, high-frequency data, soccer The paper presents three key findings. First, we find strong evidence of decreased activity in stock markets during soccer matches at the 2010 World Cup. Trading activity dropped markedly, especially if the national team was one of the competitors. Compared to normal market circumstances, the median number of trades dropped by 45% if the national team was playing, while the volume dropped by around 55%. Second, we show how goals scored by either team led to an even stronger decline in the number of trades and offered quotes. Also, we find that market activity was already significantly below the benchmark right before the match started, and continued to be lower during the 45 minutes after the match had ended. Third, we show that also price formation was affected during the soccer matches, as the evolution of returns on national markets decoupled from those on global markets.Overall, there is a strong sense that stock markets were following developments on the soccer pitch rather than in the trading pit. These results provide evidence for limited attention in financial markets, which in itself affects the price formation process. Further tests show that inattention was particularly strong for relatively less salient information -there was a particularly strong decoupling of national from global markets as long as the price movements on the global market were relatively small. Furthermore, the cross-sectional dispersion of returns across the individual constituents of a country's stock market index was substantially reduced, suggesting that the distraction coming from the soccer matches led to a reduced focus on firm-specific as opposed to market and sector-wide information.3

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Nuisance vs. Substance: Specifying and Estimating Time-Series-Cross-Section Models

Cited by 697 publications

References 22 publications

The growth of public health expenditures in OECD countries: Do government ideology and electoral motives matter?

The growth of public health expenditures in OECD countries: Do government ideology and electoral motives matter?

Rights to the forest, REDD+ and elections: Mining in Guyana

The Pitch Rather than the Pit: Investor Inattention During FIFA World Cup Matches

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