18 A. Zellner, F. Palm, Time series and econometric models dynamic version of a SEM due to Haavel... more 18 A. Zellner, F. Palm, Time series and econometric models dynamic version of a SEM due to Haavelmo (1947) is analyzed using US post-World War II quarterly data. The plan of the paper is as follows. In sect. 2, a general multiple time series model is specified, its final ...
This paper studies the relationship between R&D, innovation and productivity in Dutch and French ... more This paper studies the relationship between R&D, innovation and productivity in Dutch and French manufacturing using an unbalanced panel of enterprise data from three waves of the Community Innovation Survey pertaining to the period 1994-2004. We estimate by FIML a simultaneous-equation model of R&D, innovation and productivity accounting for individual effects and correcting for sample selection bias. Four-year lagged R&D affects positively and significantly innovation which itself is positively related to productivity. Individual effects play an important role in the relationship and selectivity bias must be accounted for. Significant differences across countries are observed. ∗University of Maastricht, P.O. Box 616, 6200 MD Maastricht, The Netherlands; Room A4.27; Tel.: (+31) 43 388 4962; Fax: (+31) 43 388 4874; w.raymond@maastrichtuniversity.nl †CREST-INSEE, NBER and Maastricht University; mairesse@ensae.fr ‡Cirano and Maastricht University, p.mohnen@maastrichtuniversity.nl §CES...
We analyze the relationship between interventions and volatility at daily and intra-daily frequen... more We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bipower variation to decompose this volatility into a continuously varying and jump component. Analysis of the timing and direction of jumps and interventions imply that coordinated interventions tend to cause few, but large jumps. Most coordinated operations explain, statistically, an increase in the persistent (continuous) part of exchange rate volatility. This correlation is even stronger on days with jumps.
Using a panel data of three waves, within a parametric framework, we investigate the effect of fi... more Using a panel data of three waves, within a parametric framework, we investigate the effect of financial constraint on R&D investment and study the determinants of financial constraints. We also investigate the factors that influence or provide incentives for a firm to take up R&D activity. Our findings can be summarized as follows. First, financial constraints adversely affect a firm’s R&D intensity as measured by ratio of R&D expenditure to capital asset. Second, firms that are highly leveraged are more likely to be financially constrained, and that highly leveraged firms are less likely to be innovators. Third, the propensity to innovate with respect to leverage is lower when a firm is not financially constrained as compared to a firm that is. Fourth, the propensity to innovate with respect to leverage, conditional on no financial constraint is almost constant, while the propensity to innovate with respect to leverage conditional on being financially constrained, varies over the ...
This paper proposes a method to implement maximum likelihood estimation of the dynamic panel data... more This paper proposes a method to implement maximum likelihood estimation of the dynamic panel data type 2 and 3 tobit models. The likelihood function involves a two-dimensional indefinite integral evaluated using "two-step" Gauss-Hermite quadrature. A Monte Carlo study shows that the quadrature works well in finite sample for a number of evaluation points as small as two. Incorrectly ignoring the individual effects, or the dependence between the initial conditions and the individual effects results in an overestimation of the coefficients of the lagged dependent variables. An application to incremental and radical product innovations by Dutch business firms illustrates the method.
We consider VAR models for variables exhibiting cointegration and common cyclical features. While... more We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short-run dynamics. We distinguish between strong and weak form reduced rank structures. Strong form reduced rank structures analyzed by Engle and Kozicki (1993) arise when a linear combination of the first differenced variables in a cointegrated VAR is white noise whereas in the presence of a weak form reduced rank structure, linear combinations of the first differenced variables corrected for the long-run effects are white noise. The weak form has an interest in its own. For instance, it is a necessary condition for the existence of first order codependent cycles in a VAR(2). Also, it is a necessary condition for the strong form. We also consider the mixed form which combines strong and weak forms. We discuss the model selection issues which ar...
Het genereren en evalueren van voorspellingen van omzet en netto winst 1. Inleiding Accurate voor... more Het genereren en evalueren van voorspellingen van omzet en netto winst 1. Inleiding Accurate voorspellingen van bedrijfsresultaten, m.n. van omzet en winst, zijn van belang voor een onderneming. Het management wordt erdoor in de gelegenheid gesteld tijdig in te spelen op ongewenste ontwikkelingen van deze resultaten. Makelaars, beleggers, huidige en toekomstige eigenaren van een onderneming zijn erbij gebaat dat zij over nauwkeurige prognoses van de bedrijfsresultaten beschikken. Beleggers streven bij een gegeven risiconiveau naar een maximaal rendement, of bij een bepaald rendement naar een minimaal risico. Voor de belegger, die wil investeren, is het dan ook van belang, dat hij van diverse fondsen informatie heeft over toekom stige opbrengsten en de daarbij behorende risico's. De belegger kan gewen ste informatie omtrent dividendbeleid, omzet-en winstprognoses echter op diverse manieren verkrijgen, bijvoorbeeld door de bedrijfsleiding, financiële analisten of beleggingsbladen te raadplegen of door zelf te voorspellen op basis van historische bedrijfsgegevens.
In this paper, we reconsíder the signal-extraction approach to measuring premía in the pricing of... more In this paper, we reconsíder the signal-extraction approach to measuring premía in the pricing of forward foreíga exchar.ge, put forward in Wolff (1987). We argue that modeling the difference betreen the forward rate and the associated future spot rate as an ARMA or AFIMA model for the premium buríed in a whíte noise forecast error has th: additional advantage of yíelding testable restrictíons on the observed ::~ries, while at the same time indicating whether the parameters of the n-idel for the premium are identified. We present solutions to the identifi:ation problem, show how the premium can be estímated in a direct way pr-:ided the identifícation problem is solved and illustrate the results using the seríes analyzed in Wolff (1987). The results confízm the earlier finding that premia in forward exchange exhibít a certain degree of persistence over time.
Foundations of modern econometrics: the selected essays of Ragnar Frisch / edited by Olav Bjerkholt. - Aldershot [etc.] : Edward Elgar, 1995. - ISBN 1852788402
Advances in econometrics: fifth World Congress / ed. by Truman F. Bewley. - Cambridge [etc.] : Cambridge University Press, 1987. - ISBN 0521344301 (dl. 1), 0521345529 (dl. 2)
Structure and use of economic models optimization consumer demand production theory and factor de... more Structure and use of economic models optimization consumer demand production theory and factor demand developments on a market - demand, supply and (dis)equilibrium input-output models and social accounting matrices general equilibrium models.
18 A. Zellner, F. Palm, Time series and econometric models dynamic version of a SEM due to Haavel... more 18 A. Zellner, F. Palm, Time series and econometric models dynamic version of a SEM due to Haavelmo (1947) is analyzed using US post-World War II quarterly data. The plan of the paper is as follows. In sect. 2, a general multiple time series model is specified, its final ...
This paper studies the relationship between R&D, innovation and productivity in Dutch and French ... more This paper studies the relationship between R&D, innovation and productivity in Dutch and French manufacturing using an unbalanced panel of enterprise data from three waves of the Community Innovation Survey pertaining to the period 1994-2004. We estimate by FIML a simultaneous-equation model of R&D, innovation and productivity accounting for individual effects and correcting for sample selection bias. Four-year lagged R&D affects positively and significantly innovation which itself is positively related to productivity. Individual effects play an important role in the relationship and selectivity bias must be accounted for. Significant differences across countries are observed. ∗University of Maastricht, P.O. Box 616, 6200 MD Maastricht, The Netherlands; Room A4.27; Tel.: (+31) 43 388 4962; Fax: (+31) 43 388 4874; w.raymond@maastrichtuniversity.nl †CREST-INSEE, NBER and Maastricht University; mairesse@ensae.fr ‡Cirano and Maastricht University, p.mohnen@maastrichtuniversity.nl §CES...
We analyze the relationship between interventions and volatility at daily and intra-daily frequen... more We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bipower variation to decompose this volatility into a continuously varying and jump component. Analysis of the timing and direction of jumps and interventions imply that coordinated interventions tend to cause few, but large jumps. Most coordinated operations explain, statistically, an increase in the persistent (continuous) part of exchange rate volatility. This correlation is even stronger on days with jumps.
Using a panel data of three waves, within a parametric framework, we investigate the effect of fi... more Using a panel data of three waves, within a parametric framework, we investigate the effect of financial constraint on R&D investment and study the determinants of financial constraints. We also investigate the factors that influence or provide incentives for a firm to take up R&D activity. Our findings can be summarized as follows. First, financial constraints adversely affect a firm’s R&D intensity as measured by ratio of R&D expenditure to capital asset. Second, firms that are highly leveraged are more likely to be financially constrained, and that highly leveraged firms are less likely to be innovators. Third, the propensity to innovate with respect to leverage is lower when a firm is not financially constrained as compared to a firm that is. Fourth, the propensity to innovate with respect to leverage, conditional on no financial constraint is almost constant, while the propensity to innovate with respect to leverage conditional on being financially constrained, varies over the ...
This paper proposes a method to implement maximum likelihood estimation of the dynamic panel data... more This paper proposes a method to implement maximum likelihood estimation of the dynamic panel data type 2 and 3 tobit models. The likelihood function involves a two-dimensional indefinite integral evaluated using "two-step" Gauss-Hermite quadrature. A Monte Carlo study shows that the quadrature works well in finite sample for a number of evaluation points as small as two. Incorrectly ignoring the individual effects, or the dependence between the initial conditions and the individual effects results in an overestimation of the coefficients of the lagged dependent variables. An application to incremental and radical product innovations by Dutch business firms illustrates the method.
We consider VAR models for variables exhibiting cointegration and common cyclical features. While... more We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short-run dynamics. We distinguish between strong and weak form reduced rank structures. Strong form reduced rank structures analyzed by Engle and Kozicki (1993) arise when a linear combination of the first differenced variables in a cointegrated VAR is white noise whereas in the presence of a weak form reduced rank structure, linear combinations of the first differenced variables corrected for the long-run effects are white noise. The weak form has an interest in its own. For instance, it is a necessary condition for the existence of first order codependent cycles in a VAR(2). Also, it is a necessary condition for the strong form. We also consider the mixed form which combines strong and weak forms. We discuss the model selection issues which ar...
Het genereren en evalueren van voorspellingen van omzet en netto winst 1. Inleiding Accurate voor... more Het genereren en evalueren van voorspellingen van omzet en netto winst 1. Inleiding Accurate voorspellingen van bedrijfsresultaten, m.n. van omzet en winst, zijn van belang voor een onderneming. Het management wordt erdoor in de gelegenheid gesteld tijdig in te spelen op ongewenste ontwikkelingen van deze resultaten. Makelaars, beleggers, huidige en toekomstige eigenaren van een onderneming zijn erbij gebaat dat zij over nauwkeurige prognoses van de bedrijfsresultaten beschikken. Beleggers streven bij een gegeven risiconiveau naar een maximaal rendement, of bij een bepaald rendement naar een minimaal risico. Voor de belegger, die wil investeren, is het dan ook van belang, dat hij van diverse fondsen informatie heeft over toekom stige opbrengsten en de daarbij behorende risico's. De belegger kan gewen ste informatie omtrent dividendbeleid, omzet-en winstprognoses echter op diverse manieren verkrijgen, bijvoorbeeld door de bedrijfsleiding, financiële analisten of beleggingsbladen te raadplegen of door zelf te voorspellen op basis van historische bedrijfsgegevens.
In this paper, we reconsíder the signal-extraction approach to measuring premía in the pricing of... more In this paper, we reconsíder the signal-extraction approach to measuring premía in the pricing of forward foreíga exchar.ge, put forward in Wolff (1987). We argue that modeling the difference betreen the forward rate and the associated future spot rate as an ARMA or AFIMA model for the premium buríed in a whíte noise forecast error has th: additional advantage of yíelding testable restrictíons on the observed ::~ries, while at the same time indicating whether the parameters of the n-idel for the premium are identified. We present solutions to the identifi:ation problem, show how the premium can be estímated in a direct way pr-:ided the identifícation problem is solved and illustrate the results using the seríes analyzed in Wolff (1987). The results confízm the earlier finding that premia in forward exchange exhibít a certain degree of persistence over time.
Foundations of modern econometrics: the selected essays of Ragnar Frisch / edited by Olav Bjerkholt. - Aldershot [etc.] : Edward Elgar, 1995. - ISBN 1852788402
Advances in econometrics: fifth World Congress / ed. by Truman F. Bewley. - Cambridge [etc.] : Cambridge University Press, 1987. - ISBN 0521344301 (dl. 1), 0521345529 (dl. 2)
Structure and use of economic models optimization consumer demand production theory and factor de... more Structure and use of economic models optimization consumer demand production theory and factor demand developments on a market - demand, supply and (dis)equilibrium input-output models and social accounting matrices general equilibrium models.
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Papers by Franz Palm