A factor analytical approach to price discovery

Existing econometric approaches for studying price discovery presume that the number of markets are small, and their properties become suspect when this restriction is not met. They also require making identifying restrictions and are in many cases not suitable for statistical inference. The current paper takes these shortcomings as a starting point to develop a factor analytical approach that makes use of the cross-sectional variation of the data, yet is very user-friendly in that it does not involve any identifying restrictions or obstacles to inference.

Motor unit synchronization measured by cross-correlation is not influenced by short-term strength training of a hand muscle

The purpose of the study was to quantify the strength of motor unit synchronization and coherence from pairs of concurrently active motor units before and after short-term (4–8 weeks) strength training of the left first dorsal interosseous (FDI) muscle. Five subjects (age 24.8 ± 4.3 years) performed a training protocol three times/week that consisted of six sets of ten maximal isometric index finger abductions, whereas three subjects (age 27.3 ± 6.7 years) acted as controls. Motor unit activity was recorded from pairs of intramuscular electrodes in the FDI muscle with two separate motor unit recording sessions obtained before and after strength training (trained group) or after 4 weeks of normal daily activities that did not involve training (control group). The training intervention resulted in a 54% (45.2 ± 8.3 to 69.5 ± 13.8 N, P = 0.001) increase in maximal index finger abduction force, whereas there was no change in strength in the control group. A total of 163 motor unit pairs (198 single motor units) were examined in both subject groups, with 52 motor unit pairs obtained from 10 recording sessions before training and 51 motor unit pairs from 10 recording sessions after training. Using the cross-correlation procedure, there was no change in the strength of motor unit synchronization following strength training (common input strength index; 0.71 ± 0.41 to 0.67 ± 0.43 pulses/s). Furthermore, motor unit coherence z scores at low (0–10 Hz; 3.9 ± 0.3 before to 4.4 ± 0.4 after) or high (10–30 Hz; 1.7 ± 0.1 before to 1.9 ± 0.1 after) frequencies were not influenced by strength training. These motor unit data indicate that increases in strength following several weeks of training a hand muscle are not accompanied by changes in motor unit synchronization or coherence, suggesting that these features of correlated motor unit activity are not important in the expression of muscle strength.

Why do Australians, New Zealanders and Americans travel to Fiji? Evidence from cointegration, unit roots and parameter stability tests

The aim of this study was to estimate the demand for Fiji’s tourism from its three main source markets—Australia, New Zealand, and the US—using the bounds testing approach to cointegration. Our main finding was that visitor arrivals to Fiji and its key determinants are cointegrated over the 1970–2000 period. We then used the autoregressive distributed lag model to estimate short-run and long-run elasticities and found that income in origin countries, transport costs, and prices were significant determinants of Fiji’s tourism demand. We also found that coups negatively impact visitor arrivals from all markets. In testing for parameter stability, we established that the series were integrated of order one in the presence of a structural break. We then used the Hansen test for parameter stability and found that the parameters of our long-run model are stable over time.

The effect of recursive detrending on panel unit root tests

This paper analyzes the properties of panel unit root tests based on recursively detrended data. The analysis is conducted while allowing for a (potentially) non-linear trend function, which represents a more general consideration than the current state of affairs with (at most) a linear trend. A new test statistic is proposed whose asymptotic behavior under the unit root null hypothesis, and the simplifying assumptions of a polynomial trend and iid errors are shown to be surprisingly simple. Indeed, the test statistic is not only asymptotically independent of the true trend polynomial, but also is in fact unique in that it is independent also of the degree of the fitted polynomial. However, this invariance property does not carry over to the local alternative, under which it is shown that local power is a decreasing function of the trend degree. But while power does decrease, the rate of shrinking of the local alternative is generally constant in the trend degree, which goes against the common belief that the rate of shrinking should be decreasing in the trend degree. The above results are based on simplifying assumptions. To compensate for this lack of generality, a second, robust, test statistic is proposed, whose validity does not require that the trend function is a polynomial or that the errors are iid.

A simple test for cointegration in dependent panels with structural breaks

This paper develops a very simple test for the null hypothesis of no cointegration in panel data. The test is general enough to allow for heteroskedastic and serially correlated errors, unit-specific time trends, cross-sectional dependence and unknown structural breaks in both the intercept and slope of the cointegrated regression, which may be located at different dates for different units. The limiting distribution of the test is derived, and is found to be normal and free of nuisance parameters under the null. A small simulation study is also conducted to investigate the small-sample properties of the test. In our empirical application, we provide new evidence concerning the purchasing power parity hypothesis. © Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2008.

New simple tests for panel cointegration

In this paper, two new simple residual-based panel data tests are proposed for the null of no cointegration. The tests are simple because they do not require any correction for the temporal dependencies of the data. Yet they are able to accommodate individual specific short-run dynamics, individual specific intercept and trend terms, and individual specific slope parameters. The limiting distributions of the tests are derived and are shown to be free of nuisance parameters. The Monte Carlo results in this paper suggest that the asymptotic results are borne out well even in very small samples. Copyright © Taylor & Francis, Inc.

Panel cointegration and the monetary exchange rate model

This paper re-examines the validity of the monetary exchange rate model during the post-Bretton Woods era for 18 OECD countries. Our analysis simultaneously considers the presence of both cross-sectional dependence and multiple structural breaks, which have not received much attention in previous studies of the monetary model. The empirical results indicate that the monetary model emerges only when the presence of structural breaks and cross-country dependence has been taken into account. Evidence is also provided suggesting that the breaks in the monetary model can be derived from the underlying purchasing power parity relation. © 2008 Elsevier B.V. All rights reserved.

Is there really a unit root in the inflation rate? More evidence from panel data models

Time series unit root evidence suggests that inflation is nonstationary. By contrast, when using more powerful panel unit root tests, Culver and Papell (1997) find that inflation is stationary. In this article, we test the robustness of this result by applying a battery of recent panel unit root tests. The results suggest that the stationarity of inflation holds even after controlling for cross-sectional dependence and structural change.

Output and labor productivity in organized manufacturing: a panel cointegration analysis for India

One of the policy puzzles faced in India during the last two and half decades has been the weak association between output and labor markets, particularly in the manufacturing sector. In this research, we investigate the long-run relationship between output, labor productivity and real wages in the case of organized manufacturing. We adjust the measure of labor productivity incorporating bottlenecks, such as lack of infrastructure, access to external finance, and labor regulations, which all may influence labor market outcomes. Using panel data from seventeen manufacturing industries, we establish long-run dynamics for the output-labor productivity-real wages series over a period of nearly three decades. We employ recently developed panel unit root and cointegration tests for cross-sectional dependence to incorporate heterogeneity across industries. Long-run elasticities are generally found to be low for labor productivity compared to real wages due to the changes in manufacturing output. There are variations across industries within the manufacturing sector for the effects of the labor market on manufacturing output. In some industries, lower wages are associated with higher output, and the reason for the positive relationship in other industries could be due to workers' bargaining power.

Blended learning for cross-cultural e-learning

The emergence of cross-cultural classrooms has been steadily increasing in Australian tertiary institutions, thus signifying a change in the student demographics. This change has acknowledged that a more flexible approach is needed in the way that the unit content is conveyed to the learner. Studies have indicated that students from different cultures responded variably in different learning environments, the two most clearly identifiable learning environments being instructor-centered and student centered. Students from various cultures have shown their levels of compatibility to these learning environments through their interaction and participation. However tertiary institutions are now expanding towards the online forum for delivery of units. Therefore to ensure that all students are able to participate in this new learning domain, preparations have to be made to accommodate all cultural types. Therefore with the importance on creating flexible learning environments for all students the blended learning approach has been selected for application.

Creating a blended learning model for cross-cultural e-learning: putting theory into practice

This paper will discuss how blended learning has been used in cross-cultural classrooms as a means to improve the International students learning. Issues such as interaction and reuse of unit resources have been the focus of this research. This paper is about putting the theory of blended learning into practice with two teaching artifacts; an ice-breaker exercise and online lectures. Through the implementation of the two blended learning artifacts we are able to assess how the theory of blended learning really impact cross-cultural learning.

A panel cointegration analysis of the demand for oil in the Middle East

This article applies recently developed panel unit root and panel cointegration techniques to estimate the long-run income and price elasticities for oil in the Middle East. The results for the panel indicate that demand for oil is highly price inelastic and slightly income elastic in the Middle East. There is considerable variation in the results for the income variable across countries, with the coefficient on the income variable statistically insignificant for several countries. The coefficient on the price variable is statistically significant in all cases with the expected sign and the price elasticity is uniformly low. While the results for the income variable differ across countries, the results for the panel as a whole suggest that the demand for oil in the Middle East is being driven largely by strong economic growth, while consumers are largely insensitive to price changes.

Energy consumption and real GDP in G7 countries : new evidence from panel cointegration with structural breaks

This paper examines the relationship between capital formation, energy consumption and real GDP in a panel of G7 countries using panel unit root, panel cointegration, Granger causality and long-run structural estimation. We find that capital formation, energy consumption and real GDP are cointegrated and that capital formation and energy consumption Granger cause real GDP positively in the long run. We find that a 1% increase in energy consumption increases real GDP by 0.12–0.39%, while a 1% increase in capital formation increases real GDP by 0.1–0.28%.