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Ahmad, Nur Aminah, Georgina M. Tinungki, and Nurtiti Sunusi. "Estimation of Dynamic Panel Data Regression Parameters Using Generalized Methods of Moment." Jurnal Matematika, Statistika dan Komputasi 18, no. 3 (May 15, 2022): 484–91. http://dx.doi.org/10.20956/j.v18i3.20574.
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Panel data is a combination of cross section and time series. There are two panel data models, namely static and dynamic panel data. Because seeing the advantages of the dynamic panel data model which is able to overcome endogeneity problems related to the use of the dependent variable lag where in the static panel data model the use of the dependent variable lag causes the estimation results to be biased and inconsistent, so the author examines the dynamic panel data regression model. In the dynamic data model there is a lag of the dependent variable, this variable is correlated with error. Thus, estimation using OLS will result in a biased and inconsistent estimator. To overcome this, the dynamic panel data model can be estimated using the GMM Blundell-Bond approach. Based on the discussion, the parameter estimation formula for dynamic panel data regression using the Blundell-Bond GMM approach is as follows:
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Labra Lillo, Romilio, and Celia Torrecillas. "Estimating dynamic Panel data. A practical approach to perform long panels." Revista Colombiana de Estadística 41, no. 1 (January 1, 2018): 31–52. http://dx.doi.org/10.15446/rce.v41n1.61885.
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Panel data methodology is one of the most popular tools for quantitative analyses in the field of social sciences, particularly on topics related to economics and business. This technique allows us simultaneously addressing individual effects, numerous periods, and in turn, the endogeneity of the model or independent regressors. Despite these advantages, there are several methodological and practical limitations to perform estimations using this tool. Two types of models can be estimated with Panel data. While those of static nature have been the most developed, for performing dynamic models still remain some theoretical and practical constraints. This paper focus precisely on the latter, dynamics panel data, using an approach that combines theory and praxis, and paying special attention on estimations with macro database, that is to say, dataset with a long period of time and a small number of individuals, also called long panels.
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Lee, Lung-fei, and Jihai Yu. "Initial conditions of dynamic panel data models: on within and between equations." Econometrics Journal 23, no. 1 (August 30, 2019): 115–36. http://dx.doi.org/10.1093/ectj/utz015.
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Summary This paper investigates the quasi-maximum likelihood estimation of short dynamic panel data models. We consider their estimation on both fixed effects and random effects specifications and propose a Hausman test when exogenous variables are present. For a dynamic panel model, initial conditions play important roles in model structure and estimation, and they give rise to a between equation under the random effects framework. With the between equation properly defined, we show that the random effects model can be decomposed into a within equation and a between equation; hence, the random effects estimate is a pooling of the within and between estimates. Thus, our paper extends the pooling in the static panel data model (Maddala, 1971a) to the setting of dynamic panel data. This decomposition of a dynamic panel data model is revealing and valuable for estimation and the formulation of a Hausman test to test the possible correlation of individual effects with included regressors. Monte Carlo experiments are conducted to investigate the finite sample performance of estimators and the Hausman test. An empirical application of growth convergence in OECD countries is provided.
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Thombs, Ryan P. "A Guide to Analyzing Large N, Large T Panel Data." Socius: Sociological Research for a Dynamic World 8 (January 2022): 237802312211176. http://dx.doi.org/10.1177/23780231221117645.
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Fixed effects estimation of a static model with robust or panel corrected standard errors is commonly used to model large N, large T panel data. However, this approach is biased and inconsistent in the presence of dynamic misspecification, slope heterogeneity, and cross-sectional dependence. Common correlated effects estimation of a dynamic model has been advanced to address these issues but is rarely used in sociology. Here, I provide an overview of the large N, large T panel data literature, and I conduct an array of Monte Carlo experiments to compare the fixed effects estimator to the common correlated effects estimator regarding the aforementioned issues. I show that fixed effects estimation with robust or panel corrected standard errors do not address these problems, which is most evident with high levels of slope heterogeneity and lag misspecification, and its performance worsens as the time dimension expands. In contrast, the common correlated effects estimator produces superior estimates as T increases and is robust to slope heterogeneity and cross-sectional dependence. Following the experiments, I present an example by examining the drivers of fossil fuel consumption at the U.S. state level from 1960 to 2018, and I conclude by presenting a decision-making framework for researchers to use to make informed decisions when modeling large N, large T panel data.
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Cziráky, Dario. "Estimation of dynamic structural equation models with latent variables." Advances in Methodology and Statistics 1, no. 1 (January 1, 2004): 185–204. http://dx.doi.org/10.51936/toxt5757.
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The paper proposes a time series generalisation of the structural equation model with latent variables (SEM). An instrumental variable estimator is considered and its asymptotic properties are analysed. Special emphases are placed on the potential use of the lagged observed variables as instruments and consistency of such estimation is established under some general assumptions about the stochastic properties of the modelled variables. In addition, an identification procedure suitable both for static and dynamic structural equation models is described. The methods are illustrated in an empirical application to dynamic panel estimation of a consumption function using UK household data.
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Arshad, Muhammad Usman. "Forecasted E/P Ratio and ROE: Shanghai Stock Exchange (SSE), China." SAGE Open 11, no. 2 (April 2021): 215824402110231. http://dx.doi.org/10.1177/21582440211023189.
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This study explores the influence of forecasted earnings to price ratio (E/P) and ROE to explain the part of the variation in the Shanghai Stock Exchange (SSE) returns. The study analyzed the explanatory capacity of fundamental, risk, and combined valuation approaches variables on comparative mode between static and dynamic models with the induction of un-balanced panel data estimation. A linear dynamic panel technique is being undertaken to forecast the variables. The research findings indicate that the forecasted E/P ratio and ROE significantly explain the variation in SSE stock return and remain highly statistically significant after incorporating risk proxy variables. Moreover, the author also confirms the existence of size, momentum, liquidity, and dividend yield in the Shanghai Stock Exchange. The study introduces the fundamental valuation approach to the Chinese market based on its unique features and designs a log-linear model, which comprises forecasted E/P and ROE in addition to current E/P as an estimator for future stock returns. The incorporation of Driscoll and Kraay standard errors (DKSE) and Panel Corrected standard error (PCSE) under static while difference and system GMM under the scope of dynamic panel estimation is considered to be another contribution of the study.
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Muritala, Adewale T., Adeniyi M. Ijaiya, Ahmed O. Adekunle, Ibraheem K. Nageri, and A. Bolaji Yinus. "Impact of Oil Prices on Stock Market Development in Selected Oil Exporting Sub-Saharan African Countries." Financial Internet Quarterly 16, no. 2 (June 1, 2020): 1–13. http://dx.doi.org/10.2478/fiqf-2020-0008.
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Abstract This study examines the dynamic impacts of oil prices on stock market development in four oil exporting sub-Saharan African countries in the period of 1989-2015. The Arbitrage Pricing Theory (APT) is used as the theoretical framework where stock market prices are hypothesized to be fully reflective of all available information. Static panel data (Pooled OLS, panel Fixed Effect Model, panel Random Effect Model) and dynamic panel model of Generalized Method of Moments (GMM) were employed in the estimation. The estimation of the static panel model shows that oil prices, exchange rates, gross domestic product, inflation and the corruption index have a positive and significant impact on stock market development. However, there is a slight improvement from the estimation of the GMM dynamic panel model which confirmed that oil prices, exchange rates, gross domestic product, investment, inflation and the corruption index have a positive and significant impact on stock market development. The study therefore recommends that investors in selected the Sub-Sahara Africa (SSA) stock market need to be cognizant of the varying impacts of macroeconomic indicators, particularly those that have been found to exert strong influence on stock returns like oil prices, exchange rates, inflation and the corruption index.
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Yay, Gülsün, Hüseyin Taştan, and Asuman Oktayer. "Globalization, economic freedom, and wage inequality: A panel data analysis." Panoeconomicus 63, no. 5 (2016): 581–601. http://dx.doi.org/10.2298/pan130515024y.
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This paper examines the impact of globalization and liberalization on wage inequality using the KOF globalization index, the Economic Freedom Index (EFI) of the Fraser Institute and the Theil industrial pay inequality statistic compiled by the University of Texas Inequality Project (UTIP). Both static and dynamic fixedeffects models are estimated using a 5-year panel data set consisting of about 90 developed and developing countries for the 1970-2005 period. Estimation results from the dynamic panel data specification suggest that wage inequality has a significant and slowly changing component. The overall KOF and EFI indexes are found to be statistically insignificant in the full sample, but the results show that economic freedom is associated with more wage inequality, especially in Organisation for Economic Co-operation and Development (OECD) countries. The estimation results from country groups indicate that more deregulation is associated with more earnings inequality in OECD countries. The results from the models with subcomponents of the EFI imply that access to sound money has a negative effect on wage inequality. A more stable price system in an economy implies a more equal wage distribution in emerging markets (EM), non-OECD countries, and European Union (EU).
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Pirotte, Alain. "Convergence of the static estimation toward the long run effects of dynamic panel data models." Economics Letters 63, no. 2 (May 1999): 151–58. http://dx.doi.org/10.1016/s0165-1765(99)00023-3.
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Tinungki, Georgina Maria, Powell Gian Hartono, Robiyanto Robiyanto, Agus Budi Hartono, Jakaria Jakaria, and Lydia Rosintan Simanjuntak. "The COVID-19 Pandemic Impact on Corporate Dividend Policy of Sustainable and Responsible Investment in Indonesia: Static and Dynamic Panel Data Model Comparison." Sustainability 14, no. 10 (May 18, 2022): 6152. http://dx.doi.org/10.3390/su14106152.
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This research investigates the impact of crisis due to the COVID-19 pandemic on the dividend policy of green index companies in Indonesia, namely the Sustainable and Responsible Investment (SRI) by Biodiversity (KEHATI) Foundation, or SRI-KEHATI indexed companies. The purposive sampling technique was used to collect data from companies listed from 2014 to 2020, using static and dynamic panel data models. From the several panel data models tested, the static panel data regression with random effects model (REM) and fixed effect model (FEM) uses the least square dummy variable-robust standard error (LSDV-RSE) technique are the best econometric models feasible. The system generalized method of moments (SYS-GMM) is used as a suitable econometric model with a robustness test used to determine static panel data regression. It is reported that SRI-KEHATI indexed companies tend to distribute dividends positively during this crisis, and is also statistically proven robust. This gives a positive signal to the capital market concerning the sluggish trading activity. The market reaction test, using two-approaches, showed that this business did not provide a positive reaction to the capital market, which turned out to be pessimistic. Furthermore, profitability and financial leverage have a robust effect, while dividends from the previous year affect dividend policy on the static panel data model, and firm size affect dividend policy on SYS-GMM. Predictors that proved influential with a direction not in line with the hypothesis were investment opportunities on REM and SYS-GMM, and firm age on SYS-GMM. The parameter estimation that passes the model specification test is feasible, whiles the biased and inconsistency of parameter estimation due to the alleged correlation between ui,t and PYDi,t failed to occur in static panel data regression. The endogeneity issue was resolved by dynamic panel data regression with the strongest corrective effect. This research can be used as a reference for investors to obtain optimal returns on green index companies in the country. An optimal dividend policy can increase the value of the SRI-KEHATI indexed companies; therefore, it can contribute optimally to sustainability and responsibility for social and environmental aspects.
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Aliha, Payam Mohammad, Tamat Sarmidi, and Fathin Faizah Said. "FORECASTING MONEY DEMAND WITH THE INCLUSION OF FINANCIAL INNOVATION FOR THE ASSOCIATION OF SOUTHEAST ASIAN NATIONS: EVIDENCE FROM PANEL DATA ANALYSIS." Advanced International Journal of Banking, Accounting and Finance 1, no. 1 (December 15, 2019): 59–74. http://dx.doi.org/10.35631/aijbaf.11006.
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This paper investigates the impact of financial innovations on the demand for money using a dynamic panel data for 10 ASEAN member states from 2004 to 2012 and attempt to forecast the demand for money during 2013 – 2016 to compare between forecasting performance of the fixed effects model with that of random effects model and also to compare the forecasting accuracy of dynamic forecasting and static forecasting obtained from these two models. An autoregressive model by definition is when a value from a time series is regressed on previous values from that same time series. There are two types of forecasting namely dynamic forecast and static forecast. “Dynamic forecast will take previously forecasted values while static forecast will take actual values to make next step forecast. Panel effects models assist in controlling for unobserved heterogeneity when this heterogeneity is constant over time and correlated (fixed effects) or uncorrelated (random effects) with independent variables. Hausman test indicates that the random-effects model is appropriate. We use the conventional money demand that is enriched with the number of automated teller machines (ATM) to proxy for the effect of financial innovations on money demand. By comparing the magnitude of “Root Mean Squared Error” (RMSE) as a benchmark for the two forecasts (0.1164 for dynamic forecast versus 0.0635 for static forecast) we simply find out that static forecast is superior to dynamic forecast meaning that static forecast provides more accurate forecast compared to a dynamic forecast for the fixed-effects model. Therefore, we conclude the static forecast on the basis of the random-effects model provides the most accurate forecasting. The estimation result of the chosen random-effects regression also indicates the estimated coefficient of ATM is not significant meaning that ATM does not impact money demand in ASEAN countries.
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Pham Tien, Minh, and Dung Nguyen Tien. "Factors Influencing Capital Structure of Vietnam's Real Estate Enterprises: A Move from Static to Dynamic Models." Journal of Asian Business and Economic Studies 22, no. 04 (October 1, 2015): 76–91. http://dx.doi.org/10.24311/jabes/2015.22.4.07.
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In this study, which investigates the determinants of capital structure of Vietnam’s listed real estate companies, we conduct a comparative analysis of static and dynamic models, finding out several factors affecting the capital structure. By applying panel data for 47 listed companies in the real estate domain from 2008 to 2013, we find that static panel models and dynamic estimators provide significantly different results. To finally identify the capital structure determinants, we then employ the system-GMM estimation. The empirical results indicate that the pecking order theory dominates the static trade-off theory as for the Vietnam’s listed real estate companies, which are also found to partially adjust their capital structure toward the target capital structure at a low speed (α = 0.452), implying that these have to face quite large adjustment costs.
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Rahman, Mohammad Mafizur, Rezwanul Hasan Rana, and Suborna Barua. "The drivers of economic growth in South Asia: evidence from a dynamic system GMM approach." Journal of Economic Studies 46, no. 3 (August 2, 2019): 564–77. http://dx.doi.org/10.1108/jes-01-2018-0013.
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Purpose The purpose of this paper is to explore the drivers of economic growth in South Asia region for the period of 1975–2016 using the World Bank data. Design/methodology/approach Panel corrected standard error (static estimation) approach and one-step system generalised method of moments (dynamic estimation) approach are used. Findings Both the static and dynamic estimations indicate that energy use, gross capital formation and remittances are the main drivers of economic growth in South Asian countries. The effects of all these variables are positive and significant. The extent of the effect of energy use is much higher than that of other two variables on the economic growth. A 1 per cent increase in the growth of energy consumption can expedite the gross domestic product growth by approximately 3 per cent in South Asia. However, the key variables, such as trade, government expenditure and foreign direct investment demonstrate no significant effect. Originality/value The current research is original in the sense that it investigated the issue with a new data set using improved econometric techniques. Moreover, in South Asia as a whole, this kind of study is totally absent, particularly with panel data of a large number of years. Furthermore, this study has taken into account the problem of heterogeneity and the biases created by cross-section dependence, which were mostly absent in previous studies. Therefore, the findings of this research are new contributions to the existing literature.
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Salam, Muhammad, Javed Iqbal, Anwar Hussain, and Hamid Iqbal. "The Determinants of Services Sector Growth: A Comparative Analysis of Selected Developed and Developing Economies." Pakistan Development Review 57, no. 1 (March 1, 2018): 27–44. http://dx.doi.org/10.30541/v57i1pp.27-44.
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This study empirically examines the possible factors that determine the services sector growth, both in selected developed and developing economies. For estimation purpose, the study employs the static as well as the dynamic panel data estimation technique with panel data over the period 1990-2014. The results suggest that GDP per capita, FDI net inflow, trade openness and innovations are the common factors that significantly affect the services sector growth both in developed and in developing economies. However, the productivity gap is the only factor that does not have any significant impact on services sector growth, both in developed and developing economies, which indicates that the Baumol's cost disease has been cured. Keywords: Services Sector Growth, Panel Data Analysis, Innovations
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Račić, Željko, Dajana Ercegovac, and Dragana Milić. "The impact of macroeconomic indicators on the business performance of financial institutions in the Republic of Serbia: Panel data analysis." International Journal of Economic Practice and Policy 18, no. 1 (2021): 33–47. http://dx.doi.org/10.5937/skolbiz1-33232.
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This paper aims to estimate the impact of macroeconomic indicators (gross domestic product-GDP, inflation rate and industrial production index) on liquidity, profitability and solvency of financial institutions in the Republic of Serbia. The research is based on applying a dynamic GMM panel model, while the results of the application of static panel models were analyzed as the control results. The research results support the assumption that the growth of GDP and inflation rates affects the increase of financial institutions' profitability. Also, the estimation results implicate that the growth of GDP and the inflation rate is linked with the reduction of financial institutions' liquidity, while the growth of industrial production rate affects its increase. Finally, the results of the study indicate that GDP growth has an influence on the rise of financial sector solvency. This comparative analysis using panel data models is relevant to a broad range of researchers and policymakers interested in macroeconomic relations and the financial sector.
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Mekhzoumi, Lotfi, Nadjoua Harnane, Abdellah Ayachi, and Okba Abdellaoui. "The Environmental Kuznets Curve Hypothesis in Industrialized Countries: A Second Generation Econometric Approach." International Journal of Economics and Financial Issues 12, no. 2 (March 14, 2022): 96–103. http://dx.doi.org/10.32479/ijefi.12771.
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This study contributes to the analysis of the Environmental Kuznets hypothesis (EKC) for 31 industrialized countries during 1980-2019 using long-term static and dynamic panel data methods. According to Pesaran's CD tests, the CSD issue is present in all variables. The EKC model had a long-run relationship, according to the results of the second-generation Pesaran CIPS unit roots and Westerlund tests. The estimation results of the static model (MG) and dynamic models (CS-DL and CS-ARDL) reached the same conclusion as the reliability of the EKC hypothesis, implying that environmental pollution and economic growth are linked in an inverted N-letter shape.
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Tinungki, Georgina Maria, Robiyanto Robiyanto, and Powell Gian Hartono. "The Effect of COVID-19 Pandemic on Corporate Dividend Policy in Indonesia: The Static and Dynamic Panel Data Approaches." Economies 10, no. 1 (January 1, 2022): 11. http://dx.doi.org/10.3390/economies10010011.
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This research examines the effect of the crisis due to the COVID-19 pandemic on dividend policy in Indonesia. The purposive sampling method was used to collect data from corporates listed on the IDX from 2014 to 2020 and analyzed using static and dynamic panel data approaches. The fixed-effect models (FEM) were selected for the static panel data regression. Meanwhile, the first difference-generalized method of moments (FD-GMM) and system-generalized method of moments (SYS-GMM) were used for determine the robustness of the estimated dynamic panel data. The results showed that the crisis due to the pandemic led to higher dividend distribution on SYS-GMM. Furthermore, companies maintained the dividend level as a positive signal for investors which lifted the sluggish trade condition in the capital market. Profitability and previous year dividends positively affect dividend policy robustly. Furthermore, the results showed that age affects dividend policy on FD-GMM. Financial leverage has a robust effect, and firm size has an effect on FD-GMM in different directions, while investment opportunity does not affect dividend policy. Statistically, the FEM selected that violates the best linear unbiased estimation was proven to form parameters that were not much different from the estimates produced by the dynamic model, both from the coefficient of influence direction and significance, and the omitted variable bias occurs as evidenced in the robust test with dynamic model was solved. This research is also used as a reference for considering investors’ investment decisions in the new normal condition. Therefore, dividend policy can be considered as a positive signal to investors with the ability to stock trading activities in the capital market.
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Kuo, Hsiao-I., Chia-Lin Chang, Bing-Wen Huang, Chi-Chung Chen, and Michael McAleer. "Estimating the Impact of Avian Flu on International Tourism Demand Using Panel Data." Tourism Economics 15, no. 3 (September 2009): 501–11. http://dx.doi.org/10.5367/000000009789036611.
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This paper investigates the impacts of avian flu on global and Asian tourism using panel data procedures. Both static and dynamic fixed effects panel data models are adopted to estimate the impacts of this infectious disease. The empirical results from static and dynamic fixed effects panel data models are consistent and indicate that the number of affected poultry outbreaks has significant impacts on the international tourism of global and Asian affected countries. The high mortality rate among humans, the potential of a global flu pandemic and some media frenzy with hype and speculation might adversely affect the images of these infected destinations as a safe tourist destination. Moreover, it was found that the average damage to Asian tourism was more serious, which might have been induced by an ineffective suppression in numerous Asian infected countries. In addition, Asia was the earliest affected region and the area infected most seriously by avian flu, both in humans and in poultry. Since the potential risks and damage arising from avian flu and the subsequent pandemic influenza are much greater than for previous diseases, the need to take necessary precautions in the event of an outbreak of avian flu and pandemic influenza warrants further attention and action in modelling and managing international tourism demand and risk.
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Khan, Shakeeb, Fu Ouyang, and Elie Tamer. "Inference on semiparametric multinomial response models." Quantitative Economics 12, no. 3 (2021): 743–77. http://dx.doi.org/10.3982/qe1315.
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We explore inference on regression coefficients in semiparametric multinomial response models. We consider cross‐sectional, and both static and dynamic panel settings where we focus throughout on inference under sufficient conditions for point identification. The approach to identification uses a matching insight throughout all three models coupled with variation in regressors: with cross‐section data, we match across individuals while with panel data, we match within individuals over time. Across models, we relax the Indpendence of Irrelevant Alternatives (or IIA assumption, see McFadden (1974)) and allow for arbitrary correlation in the unobservables that determine utility of various alternatives. For the cross‐sectional model, estimation is based on a localized rank objective function, analogous to that used in Abrevaya, Hausman, and Khan (2010), and presents a generalization of existing approaches. In panel data settings, rates of convergence are shown to exhibit a curse of dimensionality in the number of alternatives. The results for the dynamic panel data model generalize the work of Honoré and Kyriazidou (2000) to cover the semiparametric multinomial case. A simulation study establishes adequate finite sample properties of our new procedures. We apply our estimators to a scanner panel data set.
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Pirotte, A. "Convergence of the static estimation toward the long-run effects of dynamic panel data models: a labour demand illustration." Applied Economics Letters 10, no. 13 (October 20, 2003): 843–47. http://dx.doi.org/10.1080/1350485032000137486.
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Zhang, Lei, Bang Yuan Wu, and Liang Wang. "The Dynamic Adjustment of China's Manufacturing Listed EnterprisesDebt Ratio - A Study Based on System GMM Estimation." Advanced Materials Research 694-697 (May 2013): 3535–39. http://dx.doi.org/10.4028/www.scientific.net/amr.694-697.3535.
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The paper studies on adjustment conduct of Chinas manufacturing listed enterprises debt ratio from a dynamic perspective,and uses system GMM method to estimate focuses on 336 Chinas manufacturing listed enterprises dynamic panel data from 2002 to 2008. Results show that Chinas manufacturing listed enterprises have strong rationality and objective optimal debt ratio level. Companies can only make partial adjustment after deviating from optimal debt ratio level because of the adjustment costs,the adjustment speed is about 0.12,the corresponding adjustment half-period is 3.15 years,which is consistent with the traditional static trade-off theory.
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Mahmoudi, Saeid, Nasser Nasiri, and Saeid Hajihassaniasl. "Investigating the Factors Affecting Foreign Direct Investment in Selected Muslim Countries: A Panel Data Approach." Turkish Journal of Islamic Economics 8, no. 1 (February 15, 2021): 153–75. http://dx.doi.org/10.26414/a132.
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This paper attempts to test the effects of foreign direct investment on selected Islamic countries by using spatial econometric analysis. For this purpose, foreign direct participation and investment data from selected countries were used as panel data between 2000-2013 years period. The foreign direct investment equation is estimated using static (fixed and random effects) and dynamic (Generalized Method of Moments) methods as panel data in both conventional and spatial econometric models. The results of the estimated model show the existence of spatial correlations between selected countries and hence the use of this type of estimation is justified. On the other hand, the variables of degree of openness of the economy and economic security have a positive and significant effect on attracting foreign direct investment in the studied countries while inflation rate, economic growth and human capital solely have no significant effect on foreign direct investment in these countries.
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Hussein, Ahmed Ibrahim, and Hashim Mohammed Abdullah. "The Effectiveness of Fiscal Policy Tools in Addressing the Glitches in Public Budget Deficit of Selected Developing Countries for the Period (2002-2019)." Tikrit Journal of Administrative and Economic Sciences 18, no. 58, 1 (June 30, 2022): 93–112. http://dx.doi.org/10.25130/tjaes.18.58.1.6.
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The research aims to measure the effectiveness of fiscal policy tools in regarding the glitches in public budget deficit of selected developing countries during the period (2002-2019), and through the use of modern economic measurement tools within the software (Stata 14.2 & EViews 12). Using the data collection method (Panel Data), CD-Test for cross-sections as an initial step to determine the tests that will be used to find out whether the variables are still variables. And whether they fall within the first or second generation tests. After making sure that there is no dependence between the cross sections, the Livn, Lin and Chu (LLC) test was used, as its results showed that some variables have a unit root, that is, some variables are static in the level and others are static in the first difference. Therefore this will lead us to include these variables in the model, and we will have a dynamic model. In this case, we will deal with time-delay models, and the best example of this is the Autoregressive Distributed Time Gap model for the Dynamic Panel ARDL data with its three estimators. Which are the mean group estimator (MGE), the combined mean estimator (PMGE) and the dynamic static effects estimator (DFEE), Husman test was used to compare the three estimators; The test showed that the combined group mean estimator (PMGE) is the best.
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Saif-Alyousfi, Abdulazeez Y. H., Rohani Md-Rus, Kamarun Nisham Taufil-Mohd, Hasniza Mohd Taib, and Hanita Kadir Shahar. "Determinants of capital structure: evidence from Malaysian firms." Asia-Pacific Journal of Business Administration 12, no. 3/4 (June 18, 2020): 283–326. http://dx.doi.org/10.1108/apjba-09-2019-0202.
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PurposeThe purpose of this paper is to examine the determinants of capital structure using a dataset of firms in Malaysia.Design/methodology/approachThis paper carries out a panel data analysis of 8,270 observations from 827 listed non-financial firms on the Malaysia stock market over the period 2008–2017. To estimate the model and analyse the data collected from the DataStream and World Bank databases, the authors use static panel estimation techniques as well as two-step difference and system dynamic GMM estimator.FindingsThe results show that profitability, growth opportunity, tax-shield, liquidity and cash flow volatility have a negative and significant impact on debt measures. However, the effects of collateral, non-debt tax and earnings volatility on measures of debt are positive and significant. In addition, firm size, firm age, inflation rate and interest rate are important determinants of the present value of debt. The results also show a significant inverse U-shaped relationship between the firm's age and its capital structure. In general, the results support the proposition advocated by the pecking order and trade-off theories.Practical implicationsThe results of this study necessitate formulation of various policy measures that can counter the effects of debt on firms.Originality/valueThe present study is among the earliest to use both the book and market value measures of capital structure. It also uses three proxies for each: total debt, long-term debt and short-term debt. It incorporates earning volatility and cash flow volatility as new independent variables in the model. These variables have not previously been used together with both book and market value measures of capital structure. The study also examines the non-monotonic relationship between firm's age and capital structure using a quadratic regression method. It applies both static panel techniques and dynamic GMM estimation techniques to analyse the data.
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Esquivias, Miguel Angel, Narayan Sethi, and Henny Iswanti. "Dynamics of Income Inequality, Investment, and Unemployment in Indonesia." Journal of Population and Social Studies 29 (August 26, 2021): 660–78. http://dx.doi.org/10.25133/jpssv292021.040.
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This paper examines the effect of per capita income, investment, and unemployment on income inequality in Indonesia from 2011 to 2019. We use both static and dynamic panel data approaches covering 34 provinces in Indonesia. The results support the Kuznets hypothesis, whereby a more significant per capita income growth is associated with more substantial income inequality in a short period; however, this decreases over time (sign change). Furthermore, a larger real per capita income is associated with lower inequality when accompanied by progress in human capital. Alternatively, foreign direct investment (FDI) and infrastructure expenditure positively relate to income inequality, although FDI eventually helps lower inequality. Similarly, increases in domestic private investment can help to reduce income disparity. Meanwhile, unemployment is negatively associated with income inequality, suggesting that better jobs (rather than more jobs per se) are needed to improve income distribution in the country. Although per capita income, investment, and employment have improved substantially and helped Indonesia raise overall income, economic progress does not seem to have been inclusive. We argue that the panel dynamic model helps to capture the persistence effect of income distribution, suggesting a more precise estimation of income inequality issues than static models.
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Ježić, Zoran, Petra Adelajda Zaninović, and Renee Škulić. "How does the ICT affect human development? Evidence from developing vs. developed countries." Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu/Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business 40, no. 1 (June 30, 2022): 9–27. http://dx.doi.org/10.18045/zbefri.2022.1.9.
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This study aims to assess the impact of information and communication technology (ICT) on human development (measured with the human development index – HDI). The authors have analyzed the countries with different development levels in order to identify the possible differences in these impacts when observing the level of income (development of the country). The paper uses a static panel data regression analysis, while a fixed-effects estimator (FE) is used for estimation. To address the possible endogeneity problem caused by reverse causality, we also perform a dynamic panel data regression using the Generalized Methods of Moments (GMM) estimator. The results support our hypothesis and show that ICT use and tertiary education positively affect human development, although the results vary by estimator. While in the case of the FE estimator, the effects are significant and positive across all observed countries, the results with the GMM estimators show a significant impact of ICT only in the case of upper-middle-income countries. However, it also implies that the lagged value of the HDI has significant and positive effects on the observed HDI. For economic policy, the results pinpoint the importance of ICT as a relevant instrument that can positively influence people’s lives directly or indirectly.
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Tiwari, Aviral Kumar. "Foreign Aid, FDI, Economic Freedom and Economic Growth in Asian Countries." Global Economy Journal 11, no. 3 (September 2011): 1850231. http://dx.doi.org/10.2202/1524-5861.1705.
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This study examines the effectiveness of foreign aid, foreign direct investment, and economic freedom for selected 28 Asian countries in a panel framework. The model includes foreign aid, foreign direct investment, economic freedom, labor force, and capital stock. The estimation procedure was carried out on pooled annual time series data for the period 1998-2007. For the purpose of analysis, we used static and dynamic panel data techniques. The results indicated that an increase in the fiscal freedom, financial freedom and domestic capital stock were significant factors positively affecting economic growth. Freedom from corruption, inflow of foreign direct investment and foreign aid were significant factors negatively affecting economic growth. Further, we found that life expectancy played a significant and positive role in economic growth. Foreign aid had a non-linear impact (negative impact of high aid flows) upon economic growth.
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Zhu, Chengpeng, Muhammad Husnain, Saif Ullah, Muhammad Tasnim Khan, and Waris Ali. "Gender Diversity and Firms’ Sustainable Performance: Moderating Role of CEO Duality in Emerging Equity Market." Sustainability 14, no. 12 (June 11, 2022): 7177. http://dx.doi.org/10.3390/su14127177.
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The objective of the study is to investigate the impact of female representation on boards and female CEOs on firms’ sustainable performance in the context of an emerging economy. We also introduce the CEO duality as a moderator variable between sustainable firm performance and board gender diversity. For this purpose, the study uses a panel data sample from 2005 to 2020 for non-financial listed firms in Pakistan. We use the firm’s operational self-sufficiency for the sustainable performance of firms. For robustness, the study also uses other accounting-based and market-based proxies. We apply the static (fixed and random effect) and dynamic panel estimation (GMM) techniques to deal with the heterogeneity and dynamic endogeneity issues in panel data estimation. The finding shows a significant positive impact of female directors on board and female CEOs on sustainable performance, whereas CEO duality does not moderate this relationship. Furthermore, we find that CEO duality has a significant negative impact on firms’ sustainable performance, which supports the agency theory hypothesis. The study also controls corporate board level factors, including board size and board independence, and uses leverage, firm size, capital expenditure, and tangible assets as firm-level control. The results also reveal that board size and board independence have a significant positive impact on firms’ sustainable performance. Furthermore, firm size, tangibility, and firm age have a significant positive, whereas leverage and capital expenditure have a negative impact on firms’ sustainable performance. Finally, the study has policy implications for stakeholders.
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Chishti, Muhammad, and Farrukh Mehmood. "The Dynamic Effects of Innovation, FDI, & Trade Liberalization on Services Sector: An Evidence from Developed and Developing Economies." Jinnah Business Review 8, no. 2 (July 1, 2020): 116–32. http://dx.doi.org/10.53369/xtht4833.
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The current study is a bid to explore the dynamic effects of Innovation, FDI, and trade openness on services sector in selected developed and developing economies for the period of 1992 to 2016. For computing the empirical findings, this study deploys the static as we all dynamic panel data estimation approaches. The results reveal the significant role of GDP per capita and FDI in the growth of services sector. However, the services sector incurs the detrimental repercussions on the account of trade liberalization. These findings also demonstrate that, in both samples of economies, the services sector does not respond to the productivity differential. Furthermore, innovation exhibits a significant association with the growth of services sector in the case of developing economies.
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Ikue John, Nenubari, and Emeka Nkoro. "Dynamics of capital adequacy and profitability of internationalized deposit money banks in Nigeria." International Journal of Business Ecosystem & Strategy (2687-2293) 1, no. 4 (December 31, 2019): 01–08. http://dx.doi.org/10.36096/ijbes.v1i4.284.
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The study examined the dynamic responses of profitability indexes to capital adequacy ratios of authorized internationalized deposit money banks in Nigeria. The data were sourced from the financial year books of the deposit money banks and analyzed with static and dynamic panel estimators. The static estimator shows that the banks have differences in managerial style, size and profitability. Also, it was revealed that return on asset and return on equity responded positively to asset size, efficiency of the use of asset and current ratio in the static models and they were highly significant. However, they were insignificant in the dynamic specifications except asset size that was significant in the return on asset model showing a weak dynamic response of profitability to capital adequacy ratios. Hence the study recommended that Banks should improve their share based as to increase the asset as this will improve profitability.
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Odhiambo, Scholastica Achieng. "Money, Inflation and Output: Understanding the cornerstones of a monetary union in East Africa Community." European Scientific Journal, ESJ 13, no. 31 (November 30, 2017): 503. http://dx.doi.org/10.19044/esj.2017.v13n31p503.
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The advent of the East Africa Monetary Union in the East Africa Community region is bound to bring about significant change in monetary policy management in terms of money growth strategies, inflation and output growth overtime. The monetary policy will depend mainly on the objective of the umbrella regional monetary authority credibility in terms of managing inflation-output trade-off as result of monetary policy. The objectives of study are measuring the determinants of inflation, measuring output-inflation trade-off, monetary policy reaction function and money demand in EAC. The study used panel data for the period 1990-2010 covering 5 countries of the EAC. Static and dynamic panel data estimation methods were employed, namely: fixed effect model, Arellano-Bond dynamic panel model and systemic dynamic panel model by Arellano-Bover Model/Blundell-Bond. The result indicate that foreign price increases inflation while growth in GDP and M2 reduces inflation. The previous year inflation also contributed to subsequent year inflation. There exist output-inflation tradeoff and expected inflation tend to affect the existing inflation in EAC. Evidently, current inflation also had a positive influence on funds rates in the monetary policy reaction function. For money demand, previous year real money balance increase money demand in the current period while, fund rates had a marginal influence. In conclusion money, inflation and output interaction are pertinent to future stability of EAMU in the region
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Saif-Alyousfi, Abdulazeez Y. H. "Determinants of bank shareholder value: evidence from GCC countries." International Journal of Managerial Finance 16, no. 2 (September 5, 2019): 224–52. http://dx.doi.org/10.1108/ijmf-05-2019-0170.
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Purpose The purpose of this paper is to examine the effect of bank specific, financial structure and macroeconomic factors on the shareholder value of banks in GCC economies during 2000–2017. Design/methodology/approach To estimate the model and analyze the data collected from the BankScope and World Bank World Development Indicator database, the author uses static panel estimation techniques as well as two-step difference and system dynamic generalized method of moments estimator. Findings The results show that banks that are highly dependent on non-traditional activities have higher shareholder value. Higher opportunity cost, capitalization and demand deposits result in a better bank shareholder value. Furthermore, banks with higher loan exposure and growth have better shareholder value. Non-performing loans and market risk have insignificant effects on bank shareholder value. However, GCC banks suffer from diseconomies of scale and scope. The author also finds that banks located in countries with high inflation rates, high rates of interest or in financially developed economies offer better shareholder value. High credit to the private sector reduces the bank shareholder value. The paper also provides evidence that the impact of financial turmoil on the shareholder value of the GCC banking sector is negative and significant and has severely weakened the GCC banking system. Practical implications The results of this study necessitate formulation of various policy measures that can counter the effects of shareholder value of banks. Originality/value The present study is among the first to address the influence of financial turmoil on bank shareholder value. It also studies new variables, such as demand deposits, non-performing loans, loan growth, non-interest revenue and off-balance sheet activities, which have not been examined in relation to bank shareholder value. It also applies both static techniques and dynamic panel estimation techniques to analyze the data. The analysis is carried out at the aggregate level as well as at the national level and also provides several robustness analyses using various model specifications.
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Nwibari, Deekor Leelee, and Gbanador Clever A. "Output Growth Volatility and Remittances: The Case of ECOWAS." International Journal of Social Science Research 6, no. 2 (August 26, 2018): 23. http://dx.doi.org/10.5296/ijssr.v6i2.12647.
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The study on output growth volatility and remittances: the case of ECOWAS is to determine the impact of remittances on output growth volatility. To achieve this, the study adopts the theory of altruism which posits that the migrant derives a positive utility from the well-being of the family left behind. A panel annual data set covering 15 remittances recipient ECOWAS member nations for the period ranging from 1995 to 2015 were utilized. The study utilizes a panel system Generalized Method of Moments (GMM) technique and both the static and dynamic panel estimation approaches to examine the impact of remittances on growth volatility. Results show that remittances appear to be inducing output volatility in ECOWAS member countries. As a result, the study suggests among others, the encouragement of policies that will foster increasing influx of remittances to the region by the concern authorities in order to stabilize volatility of any form in the region.
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Kim, Min Seong, and Yixiao Sun. "BOOTSTRAP AND k-STEP BOOTSTRAP BIAS CORRECTIONS FOR THE FIXED EFFECTS ESTIMATOR IN NONLINEAR PANEL DATA MODELS." Econometric Theory 32, no. 6 (February 15, 2016): 1523–68. http://dx.doi.org/10.1017/s0266466615000341.
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Because of the incidental parameters problem, the fixed effects maximum likelihood estimator in a nonlinear panel data model is in general inconsistent when the time series length T is short and fixed. Even if T approaches infinity but at a rate not faster than the cross sectional sample size n, the fixed effects estimator is still asymptotically biased. This paper proposes using the standard bootstrap and k-step bootstrap to correct the bias. We establish the asymptotic validity of the bootstrap bias corrections for both model parameters and average marginal effects. Our results apply to static models as well as some dynamic Markov models. Monte Carlo simulations show that our procedures are effective in reducing the bias of the fixed effects estimator and improving the coverage accuracy of the associated confidence interval.
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Wong, Woei-Chyuan, Adilah Azhari, Nur Adiana Hiau Abdullah, and Chee Yin Yip. "Estimating the impact of crime risk on housing prices in Malaysia." International Journal of Housing Markets and Analysis 13, no. 5 (November 18, 2019): 769–89. http://dx.doi.org/10.1108/ijhma-06-2019-0063.
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Purpose The purpose of this study is to examine the impact of crime risk on housing prices at a national level in Malaysia during the period from 1988 to 2016. Design/methodology/approach A hedonic regression approach was used to estimate the Malaysian households’ valuation for crime risk. Specifically, the state-level property index on the state-level reported crime rate was regressed while controlling for state-level socioeconomic variables. The macroeconomic panel nature of the data set provides the merit to use a panel dynamic model instead of the traditional static panel data techniques (fixed effects or first difference). Findings Panel dynamic estimators consistently show a negative impact of crime risks on housing prices. The estimated elasticity of housing prices with respect to crime risks ranges from −0.141 to −0.166, in line with existing literature using micro level data. In fact, householders in crime hotspot states are willing to pay more for crime reduction compared to householders in non-hotspot states. The willingness to pay has also increased since the implementation of nationwide crime reduction plans in 2010. Research limitations/implications This is the first study that has examined the Malaysian people’s willingness to pay to reduce crime. This information is important in determining the optimal level of government expenditures for public safety. Originality/value This is the first study to examine the relationship between crime rates and housing prices in Malaysia. This study contributes to the literature by examining the impact of crime rates on housing prices at a national level by using panel dynamic models. The macro level data results are consistent and complement the existing literature based on micro level data.
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Saif-Alyousfi, Abdulazeez Y. H. "Political instability and services of GCC banks: how important is the Yemen War?" Journal of Economic and Administrative Sciences 36, no. 4 (June 18, 2020): 339–65. http://dx.doi.org/10.1108/jeas-02-2020-0015.
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PurposeThe purpose of this paper is to examine the impact of the Yemen War on banking services (deposits and loans) at the aggregate and at the level of conventional and Islamic banks in GCC countries. The author also tests hypotheses of direct and indirect impacts of the Yemen War on bank services.Design/methodology/approachThe sample comprises a total of 70 banks (45 conventional and 25 Islamic banks) over the period 2000–2018. The static and dynamic panel generalized methods of moments (GMM) estimation techniques are applied.FindingsEmpirical results indicate that the Yemen War has a significant negative direct impact on deposits and loans of GCC banks. The results lend support for the direct channel hypothesis, but not for the indirect channel hypothesis. The negative direct impact is most prominent on banks in GCC countries that are directly involved in the Yemen War, although the war has an asymmetric effect on conventional and Islamic banks, the former being more vulnerable. The overall conclusion is that the Yemen War exerts an asymmetric impact on the GCC region, across both banks and countries.Practical implicationsThese results are a warning to policymakers to be cautious when formulating a strategy for macroeconomic stability.Originality/valueIt is widely recognized that the Yemen War has a significant impact on the economies of the GCC countries. However, the possible impact of the war on GCC bank services has not so far been subjected to robust empirical analysis. This paper therefore seeks to fill this gap by providing an in-depth quantitative analysis of this impact. It distinguishes between direct and indirect channels through which the Yemen War may affect bank services. It is also the first to examine the asymmetric impact of the Yemen War on the GCC region, across both banks (Islamic and conventional banks) and countries (whether or not involved in the war). The study uses both static panel and dynamic panel GMM estimation techniques to analyze the data.
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Won, Yong-Kul. "Does Korea-ASEAN Free Trade Agreement (FTA) Really Promote Korea’s Exports?" Korea International Trade Research Institute 18, no. 5 (October 31, 2022): 175–94. http://dx.doi.org/10.16980/jiyc.22.5.202210.175.
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Purpose - This paper empirically examines whether the Korea-ASEAN FTA really promotes Korea’s exports, thereby drawing some policy implications for the Korea’s FTA policy.
Design/Methodology/Approach - We first calculate the export-promotion effects of the Korea-ASEAN FTA as well as other Korea’s FTAs using a difference-in-difference (DID) method, and then conduct both static and dynamic panel regression analyses based on the augmented gravity model, using Korea’s FTAs and relevant data over the period from 1999 to 2018.
Findings - First, DID results reveal that the Korea-ASEAN FTA has increased its exports by 9.1%, which is much larger than the FTAs with China (-7.2%), India (-9.1%), and the EU (1.2%), but lower than the FTAs with the USA (10.4%) and EFTA (26.2%). Second, however, neither static nor dynamic panel data regression results support the export-promotion effects of the Korea-ASEAN FTA, regardless of estimation methods and export categories. Finally, ASEAN membership itself plays a statistically significant role in promoting Korea's exports to members, which implies that Korea would export more to the ASEAN members than its normal level stipulated by a gravity equation even without the FTA.
Research Implications - Unlike what is commonly believed, Korea’s FTA with ASEAN as well as its other FTAs were not likely to increase its exports in a statistically significant way. It is particularly true for its FTAs with developing countries. Thus, the Korean government needs to keep improving the content of existing FTAs with developing countries to enhance the market access of Korean products.
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Padungsaksawasdi, Chaiyuth. "On the dynamic relationship between gold investor sentiment index and stock market." International Journal of Managerial Finance 16, no. 3 (December 6, 2019): 372–92. http://dx.doi.org/10.1108/ijmf-11-2018-0334.
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Purpose Considering the unique data of the gold investor sentiment index in Thailand, the purpose of this paper is to investigate the bivariate dynamic relationship between the gold investor sentiment index and stock market return, as well as that between the gold investor sentiment index and stock market volatility, using the panel vector autoregression (PVAR) methodology. The author presents and discusses the findings both for the full sample and at the industry level. The results support prior literature that stocks in different industries do not react similarly to investor sentiment. Design/methodology/approach The PVAR methodology with the GMM estimation is found to be superior to other static panel methodologies due to considering both unobservable time-invariant and time-variant factors, as well as being suitable for relatively short time periods. The panel data approach improves the statistical power of the tests and ensures more reliable results. Findings In general, a negative and unidirectional association from gold investor sentiment to stock returns is observed. However, the gold sentiment-stock realized volatility relationship is negative and bidirectional, and there exists a greater impact of a stock’s realized volatility on gold investor sentiment. Importantly, evidence at the industry level is stronger than that at the aggregate level in both return and volatility cases, confirming the role of gold investor sentiment in the Thai stock market. The capital flow effect and the contagion effect explain the gold sentiment-stock return relationship and the gold sentiment-stock volatility relationship, respectively. Research limitations/implications The gold price sentiment index can be used as a factor for stock return predictability and stock realized volatility predictability in the Thai equity market. Practical implications Practitioners and traders can employ the gold price sentiment index to make a profit in the stock market in Thailand. Originality/value This is the first paper to use panel data to investigate the relationships between the gold investor sentiment and stock returns and between the gold investor sentiment and stocks’ realized volatility, respectively.
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Ghosh, Suchismita, Ritu Pareek, and Tarak Nath Sahu. "The Role of Corporate Governance and Company Specific Characteristics on Environmental Disclosure Practices in India." NMIMS Management Review 30, no. 04 (July 14, 2022): 64–89. http://dx.doi.org/10.53908/nmmr.300404.
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Purpose-The purpose of this paper is to investigate the determinants of corporate governance factors and company specific characteristics of environmental disclosure in a developing country, namely, India. Design / Methodology/ Approach-A static and GMM-based dynamic panel data regression analysis is used to measure the ecological practices by considering the sample size of 100 non-financial listed companies taken from the National Stock Exchange between 2010 to 2021. Findings-Using two-step dynamic panel data GMM-based estimation, the study finds that governance factors like board size and board meetings are showing a positive effect on disclosure practices. whereas, in the case of an independent director a negative influence can be seen. But in the case of the squared term of independent director, there remains a positive effect on environmental activities. However, in the case of company specific characteristics firm age and the debt-equity ratio are positively influencing environmental activities where as firm size is found to influence negatively on disclosure practices. Originality/value-This study improves the mounting literature on the association between corporate governance factors, company specific characteristics, and environmental practices from an emerging economy standpoint. Specifically, the study inspects the dynamism and endogeneity effect along with the non-linear effect of different independent factors on environmental disclosure.
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De La Pena, Victor, Paul Doukhan, and Yahia Salhi. "A Dynamic Taylor’s law." Journal of Applied Probability 59, no. 2 (June 2022): 584–607. http://dx.doi.org/10.1017/jpr.2021.40.
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AbstractTaylor’s power law (or fluctuation scaling) states that on comparable populations, the variance of each sample is approximately proportional to a power of the mean of the population. The law has been shown to hold by empirical observations in a broad class of disciplines including demography, biology, economics, physics, and mathematics. In particular, it has been observed in problems involving population dynamics, market trading, thermodynamics, and number theory. In applications, many authors consider panel data in order to obtain laws of large numbers. Essentially, we aim to consider ergodic behaviors without independence. We restrict our study to stationary time series, and develop different Taylor exponents in this setting. From a theoretical point of view, there has been a growing interest in the study of the behavior of such a phenomenon. Most of these works focused on the so-called static Taylor’s law related to independent samples. In this paper we introduce a dynamic Taylor’s law for dependent samples using self-normalized expressions involving Bernstein blocks. A central limit theorem (CLT) is proved under either weak dependence or strong mixing assumptions for the marginal process. The limit behavior of the estimation involves a series of covariances, unlike the classic framework where the limit behavior involves the marginal variance. We also provide an asymptotic result for a goodness-of-fit procedure suitable for checking whether the corresponding dynamic Taylor’s law holds in empirical studies.
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Phale, Koketso, Fanglin Li, Isaac Adjei Mensah, Akoto Yaw Omari-Sasu, and Mohammed Musah. "Knowledge-Based Economy Capacity Building for Developing Countries: A Panel Analysis in Southern African Development Community." Sustainability 13, no. 5 (March 7, 2021): 2890. http://dx.doi.org/10.3390/su13052890.
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The Southern African Development Community is lagging behind in terms of knowledge economy relative to other regions worldwide. This dramatically reduces the chances of keeping up with their economically established counterparts in terms of sustainable development. This paper therefore, applies multivariate panel data analysis which is predicted on the Cobb–Douglas production function to analyze the affiliation flanked by knowledge-based economy pillars and economic growth from 1998–2018. The World Bank knowledge-based economy framework is employed. To achieve the study goal, the long-run effect regarding proxies of each pillar in the knowledge-based economy on economic growth is first estimated. Afterwards, the average impact of each pillar is examined using the average impact index (AII). Employment of both conventional unit root and co-integration tests showed all observed series are stationary and co-integrated. Further estimation of the long-run relationship using both static and dynamic models (fixed effect and generalized method of moment) portrayed that government effectiveness, adjusted savings on education expenditure, tertiary enrollment, scientific and technical journals, and mobile cellular subscriptions have significant positive impact on economic growth. Finally, the AII estimation unveiled that the innovation pillar is the most impactful aspect on economic growth followed by education and skills with the least being information and communication technology infrastructure. Feasible policy recommendations are further suggested.
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Khan, Muhammad Tasnim, Sania Sarfraz, and Muhammad Husnain. "The Impact of Female Directors on Board, and Female CEO on Firm Performance: Empirical Evidence from Emerging Economy." Journal of Business and Social Review in Emerging Economies 7, no. 3 (September 30, 2021): 711–23. http://dx.doi.org/10.26710/jbsee.v7i3.1901.
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Purpose: As per agency theory prospective, board gender diversity enhances the corporate leadership structure which mitigates agency conflicts among stakeholders. Therefore, this study investigates the impact of female directors on board, and female CEOs on firm performance. We also uses board size, and board independence as board level control, while leverage, firm size, capital expenditure & tangibility as firm level control.
Design/Methodology/Approach: The study uses a panel data starting from 2005 to 2020 on annual basis. To resolve endogeneity and unobserved heterogeneity problems in panel data analysis, study uses static (fixed effect, & random effect) and dynamic (GMM) estimation techniques in Pakistan.
Findings: Result shows the positive impact of female directors on board and female CEOs on firm performance. These findings are robust under alternative measures of firm performance.
Implications/Originality/Value: The study suggests that female representation and female CEOs are the important attributes to enhance firm performance. Additionally, females are performing a significant role through monitor and control for excellent corporate leadership structure. Furthermore, this is the first study of its kind which analyzes this relationship in the emerging equity market of Pakistan.
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dine, Mohamedou Nasser, and Tengku Munawar Chalil. "Impact of Backward Linkages and Domestic Contents of Exports on Labor Productivity and Employment: Evidence from Japanese Industrial Data." Journal of Economic Integration 36, no. 4 (December 15, 2021): 607–25. http://dx.doi.org/10.11130/jei.2021.36.4.607.
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This study examines how backward linkages (foreign value added [FVA] exports) and domestic value-added (DVA) exports impact industry-level labor productivity and employment in Japan by estimating a static and dynamic panel model using data drawn from the World Input-Output Dataset and Socio-Economic Accounts. We find that the domestic content of trade is a key driver of productivity and employment in Japan for all industries, while backward linkages lead to declining productivity and foster labor displacement. A sectoral analysis reveals that productivity benefits most of the backward linkages and domestic value-added exports in the manufacturing industry but weakens as the backward linkages increase in the service industry. We find that the DVA exports variable promotes employment, whereas the FVA variable displaces it.
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Shinyekwa, Isaac M. B. "Has the East African Community Regional Trade Agreement Created or Diverted Trade? A Gravity Model Analysis." Journal of Sustainable Development 8, no. 9 (November 23, 2015): 129. http://dx.doi.org/10.5539/jsd.v8n9p129.
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The paper investigates the potential impact of the EAC trade agreement (a south-south Regional grouping) on trade creation and diversion. The paper seeks to establish whether the EAC RTA has diverted or created trade using an expanded (augmented) gravity model. The paper departs from the conventional estimation approach that uses average combined trade flows as the dependent variable which is prone to errors and uses exports. We estimate static and dynamic random effects models using a panel data set from 2001 to 2011 on seventy countries that trade mainly with the EAC partner states. Results suggest that indeed the implementation of the EAC treaty has created trade contrary to widely held views that South-South RTAs largely divert trade. There is thus evidence that the EAC, a south-south RTA has been a more trade creating than trade diverting as espoused in the literature.
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Kalu, Ebere Ume, Uchenna Florence Nwafor, Chinwe R. Okoyeuzu, and Vincent A. Onodugo. "Dynamics of energy consumption, real sector value added and growth in energy deficient economies." International Journal of Energy Sector Management 14, no. 5 (April 9, 2020): 1001–22. http://dx.doi.org/10.1108/ijesm-09-2019-0012.
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Purpose The purpose of this study is to investigate the energy–growth linkage in sub-Saharan Africa (SSA), with emphasis on real sectors’ contribution to aggregate growth using dynamic panel estimation techniques that are practically and conceptually superior to the static models. Design/methodology/approach Dynamic panel econometric techniques pooled mean group, mean group and dynamic fixed effect were used to investigate the linkage among energy consumption, real sector value added and economic growth from 1967 to 2016 in 48 SSA countries. Findings A strong empirical evidence in favor of energy dependence and growth hypothesis in the investigated SSA countries was found. The finding that real sector value added and overall growth rate adjust reasonably to the shocks and dynamics of the energy consumption variables makes energy consumption an enabler for growth. This indicates that well thought-out and implemented energy development policy will not only increase energy consumption but also elicit multi-sectoral growth while addressing the obvious energy deficiency in the SSA region. Research limitations/implications It is also important to note the policy implications of the high adjustment profiles indicated by the error correction representations. All the speeds of adjustment of the three models denominated in time are slightly above a year and are all within predictable limits (they fall below unity or 100%). We found that when agriculture value added, manufacturing value added and overall economic growth rate in our SSA panel estimation exceed equilibrium levels as a result of deviations arising from energy related variables, downward adjustments at 66%, 62% and 78% per year, respectively, take place. Practical implications The study indicates that well thought-out and implemented energy development policy will not only increase energy consumption but also elicit multi-sectoral growth while addressing the obvious energy deficiency in the SSA region. Social implications Much as this study has made some addition to the literature on energy-growth nexus in the SSA region, which undoubtedly is an unveiling of economic forces in a collection of developing and energy deficient economies, it will be of great research significance if the form and style of this study is adopted for other economic blocs in the shapes and sizes of the SSA region. Originality/value This study ensured currency of data, novelty of approach and disaggregated energy consumption into emerging sources, traditional sources and geographical access.
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Dauti, Bardhyl, and Shiret Elezi. "Economic growth in the Central East European Union and the Western Balkan countries in the course of Stability and Growth Pact and COVID-19." Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu/Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business 40, no. 1 (June 30, 2022): 29–61. http://dx.doi.org/10.18045/zbefri.2022.1.29.
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This research aims to provide an empirical assessment of the relationship between fiscal policy sustainability factors, like fiscal deficit and economic growth in the Western Balkan countries and East European Union Countries, using panel-level data for the yearly time span from 2000-2021. The empirical model provides the impact of fiscal deficit, alongside other control variables like inflation, schooling, total investments, trade openness, and output gap on economic growth in the selected group of countries. For the purpose of research, we employed Static and dynamic panel estimation techniques like Fixed Effects with Driscol and Kraay standard errors and system GMM. The findings confirm that fiscal deficit has significantly affected the growth level in both groups of countries. In addition, when the fiscal deficit has interacted with the COVID-19 dummy, it appears as a growth-enhancing factor. However, when the fiscal deficit interacts with the Eurozone debt crisis period, it becomes a growth-deteriorating factor. Other control variables like inflation, trade openness, total investments, and the output gap are found important factors in explaining the growth performance of the Central East European and Western Balkan countries.
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Tanjung, Ellisa Fitri. "Impact of public wellness, competitiveness, and government effectiveness on quality of education in Asian countries." Cypriot Journal of Educational Sciences 15, no. 6 (December 31, 2020): 1720–31. http://dx.doi.org/10.18844/cjes.v15i6.5329.
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The present study attempts to examine the impact of Public wellness, competitiveness and government effectiveness along with Literacy rate and Population growth on quality of education. For this research, the panel data has been collected over the period of 25 years for 10 Asian countries including World Bank and Global Economy data base. The data is specific to employed variables. Different statistical tests like Heteroskedasticity, Autocorrelation, Cross-section dependence and Multicollinearity, and the estimation of static and dynamic GMM were applied on the valid data. The results show that, public wellness, Government effectiveness, literacy rate and population growth significantly impact the quality of education in Asian Countries. Whereas the insignificant impact of competiveness was evidenced from outcomes of the research. This study is associated with all type of key implications in terms of theoretical, methodological, and practical perspectives as well. Lastly, various limitations have been given along with the recommendations for In-depth findings by the future researchers.
Keywords: public wellness, competitiveness, government effectiveness, quality of education, Asian countries.;
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Haque, Mohammad Anamul, Syed Mehmood Raza Shah, and Muhammad Usman Arshad. "Sustainable Economic Growth and FDI Inflow: A Comparative Panel Econometric Analysis of Low-Income and Middle-Income Nations." Sustainability 14, no. 21 (November 2, 2022): 14321. http://dx.doi.org/10.3390/su142114321.
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The study examines the effect of sustainable economic growth on “FDI inflow” using comparative panel econometrics on two panels: “low-income” and “middle-income” economies between 1970 and 2021. For this, 18 “low-income” and 53 “middle-income” economies constitute the sample. The data were retrieved from the “world development indicator” website. Pre-diagnostic and post-diagnostic estimations were performed using static panel and dynamic panel approaches. Sustainable growth increases “FDI inflow” in “low-income” and “middle-income” economies during the study period, according to the findings. In addition, trade openness and the exchange rate have the potential to boost “FDI inflow” in “low-income” economies. Similarly, in “middle-income” economies, the real growth rate and exchange rate are significant boosts, however inflation significantly reduces the “FDI inflow”. The findings show that policymakers in “low-income” and “middle-income” economies should maintain long-term, sustainable economic growth in order to attract more “FDI inflow” in their respective economies. Compared to the current state of knowledge in the subject, the study’s findings provide evidence for “low-income” and “middle-income” nations that have been mainly overlooked in terms of sustainable growth for attracting FDI inflow. The study’s outcomes are applicable and generalizable only for “middle-income” and “low-income” economies. Future researchers may include additional control factors and expand the scope of the study to include “high-income” groups.
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UMORU, DAVID, and Fabius Oshiotse IMIMOLE. "The impact of currency devaluation on non-oil exports in Africa." Central European Review of Economics and Management 6, no. 4 (December 19, 2022): 29–59. http://dx.doi.org/10.29015/cerem.954.
Full textAbstract:
Aim: This study assesses how devaluation in official exchange rate and change in relative prices influenced non-oil export in African countries for the period of 30 years (1991-2020) in 11 African countries (Nigeria, Burkina Faso, Burundi, Eswatini, Mauritius, Mozambique, Niger, Rwanda, Sierra Leone, Tanzania and Uganda).
Design/Research methods: This study utilized different estimators namely Mean Group, Pooled Mean Group as well as dynamic panel GMM methods. The major advantage of the MG estimator is that it is reliably efficient even in presence of weak cross-sectional dependence of the errors by estimating separate regressions to calculate coefficient means. Moreover, it applicability knows no bounds even when estimator for each individual country is weakly cross correlated. With a PMG estimator, a large scale individual panel heterogeneity in short-run responses is accommodated given homogenous long-run relations across countries.
Findings: The results of the panel co-integration suggest a long-run equilibrating relation amongst the variables in the study. This was validated on the basis of absolute t-value of 5.0781under the t-bound. Our results for both MG and PMG estimators show significant negative devaluation and relative prices effects on non-oil exports in 11 African countries. The dynamic panel GMM results are robust and in agreement with the estimates of MG and PMG. From the results of cross-sectional analysis by country, results for countries revealed exchange rate devaluation had negative and significant impact on non-oil exports. Consequently, depreciation of the exchange rate has a short-run adverse effect on non-oil export due to high inelastic import dependence. Similarly, with exemption of Rwanda, and South Africa, the relative price effect was negatively significant for every other country in the study.
Originality: The originality is based on fact that the paper establishes both static and dynamic responses of non-oil export to devaluation in official exchange rate, relative prices, and foreign capital from trading partners in 11 African countries.
Limitations: It would be desirable to study 30 countries in Africa. We could not proceed with all countries due to inaccessibility of relevant data. Hence, caution should be taken in generalizing our findings.
Key word: exchange rate devaluation, relative prices, foreign capital, panel ARDL, African countries
JEL: C33, F13, F21
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Shao, Liang Frank. "Robust determinants of income distribution across and within countries." PLOS ONE 16, no. 7 (July 1, 2021): e0253291. http://dx.doi.org/10.1371/journal.pone.0253291.
Full textAbstract:
Multicollinearity widely exists in empirical studies, which leads to imprecise estimation and even endogeneity when omitted variables are correlated with any regressors. We apply an innovative strategy, different from the usual tools (instrumental variable, ridge regression, and least absolute shrinkage and selection operator), to estimate the robust determinants of income distribution. We transform panel data into (quasi-) cross-sectional data by removing country and time effects from the data so that all variables become zero mean and orthogonal to the country dummies and time variable, and multicollinearity becomes very low or even disappears with the quasi-cross sectional data in any specifications regardless of country dummies and time variable being included or not. Our contribution is threefold. First, we build a general method to address the multicollinearity issue in panel data, which is to isolate the common contents of correlated variables and ensures robust estimates in different specifications (dynamic or static specifications) and estimators (within- or between-effects estimators). Second, we find no evidence for the Kuznets hypothesis within and across countries; investment is economically and statistically the most robust determinant of income inequality; meanwhile, labor income share shows robustly and consistently positive effects on income inequality, which challenges the related literature. Last, simulations with our estimates show that the total marginal effects of development (regarding GDP, capital stock and investment) on income inequality are very likely to be positive within and between countries except that the impacts on middle-60% and top-quintile income shares are not so likely to increase income inequality across countries.