A (semi-)parametric functional coefficient autoregressive conditional duration model

In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymmetries in financial durations. In particular, our functional coefficient autoregressive conditional duration (FC-ACD) model relies on a smooth-transition autoregressive specification. The motivation lies on the fact that the latter yields a universal approximation if one lets the number of regimes grows without bound. After establishing that the sufficient conditions for strict stationarity do not exclude explosive regimes, we address model identifiability as well as the existence, consistency, and asymptotic normality of the quasi-maximum likelihood (QML) estimator for the FC-ACD model with a fixed number of regimes. In addition, we also discuss how to consistently estimate using a sieve approach a semiparametric variant of the FC-ACD model that takes the number of regimes to infinity. An empirical illustration indicates that our functional coefficient model is flexible enough to model IBM price durations.

The role of media networks in compensating political biases: evidence from radio networks in Brazil

A central question in political economy is how to incentivize elected socials to allocate resources to those that need them the most. Research has shown that, while electoral incentives lead central governments to transfer fewer funds to non-aligned constituencies, media presence is instrumental in promoting a better allocation of resources. This study evaluates how these two phenomena interact by analyzing the role of media in compensating political biases. In particular, we analyze how media presence, connectivity and ownership affect the distribution of federal drought relief transfers to Brazilian municipalities. We find that municipalities that are not aligned with the federal government have a lower probability of receiving funds conditional on experiencing low precipitation. However, we show that the presence of radio stations compensates for this bias. This effect is driven by municipalities that have radio stations connected to a regional network rather than by the presence of local radio stations. In addition, the effect of network-connected radio stations increases with their network coverage. These findings suggests that the connection of a radio station to a network is important because it increases the salience of disasters, making it harder for the federal government to ignore non-allies. We show that our findings are not explained by the ownership and manipulation of media by politicians.