Search results for "regression"
showing 10 items of 2619 documents
Testing for Asymmetric Information in Insurance Markets: A Multivariate Ordered Regression Approach
2016
The positive correlation (PC) test is the standard procedure used in the empirical literature to detect the existence of asymmetric information in insurance markets. This article describes a new tool to implement an extension of the PC test based on a new family of regression models, the multivariate ordered logit, designed to study how the joint distribution of two or more ordered response variables depends on exogenous covariates. We present an application of our proposed extension of the PC test to the Medigap health insurance market in the United States. Results reveal that the risk–coverage association is not homogeneous across coverage and risk categories, and depends on individual so…
Does Environmental Uncertainty Affect Entrepreneurs’ Orientation and Performance? Empirical Evidence from Indonesian SMEs
2012
Small and medium enterprises (SMEs) have a critical role in economic growth in Indonesia and become the backbone for job creation, poverty alleviation, and safeguard during the crisis. However, they are highly exposed to uncertain environments. The present study aimed to investigate the influence of SMEs’ entrepreneurial orientation on business performance when uncertain environments exist. A total of 152 Indonesian SMEs were studied in order to assess this relationship. Moderated regression analysis is performed as the main statistical procedures to analyse the moderating role of environmental uncertainty on the influence of entrepreneurial orientation on business performance. Surprisingly…
Real wages-employment relationship in Finnish manufacturing: a VAR approach
1991
Granger's concept of causality and the vector autoregressive(VAR) technique is used to investigate the real wages-employment relationship in Finnish manufacturing. The stationarity of the time series is examined and a number of co-integration tests for the adequacy of a pure VAR specification performed. The results using a bivariate VAR model based on a lag structure determined by Akaike's information criterion suggests that real wages Granger-cause employment. The slight non-constancy of the model suggests, however, that the conclusion concerning the nature of the real wages-emploment relationship should be treated with causion.
Testing the stationarity of interest rates using a SUR approach
1998
Abstract Using data on average yields to maturity of German bonds with different time to maturity it is shown that the time series contain a unit root if the standard augmented Dickey–Fuller test is applied separately to each series. To improve the power of the test we carried out a recently developed approach, estimating the regressions for each time to maturity jointly using a seemingly unrelated regressions approach.
A kink that makes you sick : The effect of sick pay on absence
2018
We exploit a regression kink design to estimate the elasticity of the duration of sickness absence with respect to replacement rate. Elasticity is a central parameter in defining the optimal social insurance scheme compensating for lost earnings due to sickness. We use comprehensive administrative data and a kink in the policy rule near the median earnings. We find a statistically significant estimate of the elasticity of the order of one. peerReviewed
European Natural Gas Seasonal Effects on Futures Hedging
2015
Abstract This paper is the first to discuss the design of futures hedging strategies in European natural gas markets (NBP, TTF and Zeebrugge). A common feature of energy prices is that conditional mean and volatility are driven by seasonal trends due to weather, demand, and storage level seasonalities. This paper follows and extends the Ederington and Salas (2008) framework and considers seasonalities in mean and volatility when minimum variance hedge ratios are computed. Our results show that hedging effectiveness is much higher when the seasonal pattern in spot price changes is approximated with lagged values of the basis (futures price minus spot price). This fact remains true for short …
On the international co-movement of natural interest rates
2022
Using quarterly data for 10 OECD countries and the Euro area and a Kalman filtering technique, we investigate the international co-movement among natural interest rates. We show that the US is the main source of global spillovers and global/common factors appear to be key drivers of such co-movement. Indeed, global liquidity is a net transmitter of shocks, while quantitative easing (QE) and the US Dollar are net recipients of shocks. We also find that total spillovers among natural interest rates have been rising since the late nineties, spiking at around economic re-cessions, periods of US monetary policy tightening, the global financial crisis and the Eurozone sovereign debt crisis. From …
Determinants of COVID-19 Vaccine Rollouts and Their Effects on Health Outcomes
2022
Background Vaccination against the coronavirus disease (SARS-CoV-2) is understood to be the key way out of the COVID-19 pandemic. Limited evidence exists on the determinants of vaccine rollouts and their health effects at the country level. Objective Examine the determinants of COVID-19 vaccine rollouts and their effects on health outcomes. Methods Ordinary least squares regressions with standard errors clustered at the country level for Cross-section and Panel daily data of vaccinations and various health outcomes (new COVID-19 cases, fatalities, intensive care unit (ICU) admissions) for an unbalanced sample of about 200 countries during the period 16 December 2020 to 20 June 2021. Results…
How does fiscal policy react to wealth composition and asset prices?
2012
Prova tipográfica
DETECTING VOLCANIC ERUPTIONS IN TEMPERATURE RECONSTRUCTIONS BY DESIGNED BREAK-INDICATOR SATURATION
2016
We present a methodology for detecting breaks at any point in time-series regression models using an indicator saturation approach, applied here to modelling climate change. Building on recent developments in econometric model selection for more variables than observations, we saturate a regression model with a full set of designed break functions. By selecting over these break functions using an extended general-to-specific algorithm, we obtain unbiased estimates of the break date and magnitude. Monte Carlo simulations confirm the approximate properties of the approach. We assess the methodology by detecting volcanic eruptions in a time series of Northern Hemisphere mean temperature spanni…