# Econometrics working papers

### 2017

**EWP1701:**"Model averaging OLS and 2SLS: An application of the WALS procedure," Judith A. Clarke (paper)**EWP1702****:**"Analytic Bias Correction for Maximum Likelihood Estimators when the Bias Function is Non-Constant," Ryan T. Godwin and David E. Giles (paper)**EWP1703:**"A Note on Improved Estimation for the Topp-Leone Distribution," David E. Giles (paper)**EWP1704:**"Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory," Qinlu Chen and David E. Giles (paper)

### 2014

**EWP1401:**"On Variance Estimation for a Gini Coefficient Estimator Obtained from Complex Survey Data", Ahmed A. Hoque and Judith A. Clarke (paper).**EWP1402:**"Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory", Qinlu Chen and David E. Giles (paper)**EWP1403:**"Factor substitution, factor-augmenting technical progress, and trending factor shares: the Canadian evidence", Jiang Li and Kenneth G. Stewart (paper)

### 2013

**EWP1301:**"Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets", Yanan Li and David E. Giles (pdf paper).

### 2012

**EWP1201:**"Exact Asymptotic Goodness-of-Fit Testing For Discrete Circular Data, With Applications", David E. Giles (*pdf*paper). (This paper supercedes EWP0607)**EWP1202:**"Constructing Confidence Bands for the Hodrick-Prescott Filter", David E. Giles (*pdf*paper).**EWP1203:**"A Note on Improved Estimation for the Topp-Leone Distribution", David E. Giles (*pdf*paper).**EWP1204:**"Health and Wealth: Short Panel Granger Causality Tests for Developing Countries", Weichun Chen, Judith A. Clarke, & Nilanjana Roy (*pdf*paper).

### 2011

**EWP1101:**"Interpreting Dummy Variables in Semi-logarithmic Regression Models: Exact Distributional Results", David E. Giles (*pdf*paper).**EWP1102:**"Biased-Reduced Maximum Likelihood Estimation for the Zero-Inflated Poisson Distribution", Jacob Schwartz & David E. Giles (*pdf*paper).**EWP1103:**"Quantity versus Quality: What’s in a (Journal) Name?", David E. Giles (*pdf*paper).**EWP1104:**"On the Bias of the Maximum Likelihood Estimator for the Two-Parameter Lomax Distribution", David E. Giles, Hui Feng, & Ryan T. Godwin (*pdf*paper).**EWP1105:**"Bias-Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution", David E. Giles, Hui Feng & Ryan T. Godwin (*pdf*paper).**EWP1106:**"On the Inconsistency of Instrumental Variables Estimators for the Coefficients of Certain Dummy Variables", David E. Giles (*pdf*paper).**EWP1107:**"The Optimal Construction of Instruments in Nonlinear Regression: Implications for GMM Inference", Kenneth G. Stewart (*pdf*paper).**EWP1108:**"On Statistical Inference for Inequality Measures Calculated from Complex Survey Data", Judith A. Clarke & Nilanjana Roy (*pdf*paper). This paper supercedes EWP1002. The final publication will be available at www.springerlink.com.**EWP1109:**"Improved Maximum Likelihood Estimation of the Shape Parameter in the Nakagami Distribution", Jacob Schwartz, Ryan T. Godwin, & David E. Giles (*pdf*paper).**EWP1110:**"Testing for Multivariate Cointegration in the Presence of Structural Breaks: p-Values and Critical Values", David E. Giles & Ryan T. Godwin (*pdf*paper).**EWP1111:**"Bias Reduction for the Maximum Likelihood Estimator of the Parameters of the Generalized Rayleigh Family of Distributions", Xiao Ling & David E. Giles (*pdf*paper).

### 2010

**EWP1001:**"Hermite Regression Analysis of Multi-Modal Count Data", David E. Giles (paper).**pdf****EWP1002:**"On Statistical Inference for Inequality Measures Calculated from Complex Survey Data", Judith A. Clarke & Nilanjana Roy (paper). This paper supercedes EWP0904.**pdf****EWP1003:**"The Extreme-Value Dependence Between the Chinese and Other International Stock Markets", Qian Chen, David E. Giles & Hui Feng (paper).**pdf****EWP1004:**"Bayesian Estimation of a Possibly Mis-Specified Linear Regression Model", David E. Giles (paper).**pdf**

### 2009

**EWP0901**: "Bias Reduction for the Maximum Likelihood Estimator of the Scale Parameter in the Half-Logistic Distribution", David E. Giles (paper).**pdf****EWP0902**: "Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution", David E. Giles & Hui Feng (paper).**pdf****EWP0903**: "Bayesian Fuzzy Regression Analysis and Model Selection: Theory and Evidence", Hui Feng & David E. Giles (paper). This paper supercedes EWP0710.**pdf****EWP0904**: "On Statistical Inference for Inequality Measures Calculated from Complex Survey Data", Judith A. Clarke & Nilanjana Roy (paper). Superceded by EWP1002.**pdf****EWP0905**: "Capital Structures in an Emerging Market: A Duration Analysis of the Time Interval Between IPO and SEO in China", Yang Ni, Shasha Guo & David E. Giles (paper).**pdf****EWP0906**: "Finite-Sample Properties of the Maximum Likelihood Estimator for the Binary Logit Model With Random Covariates", Qian Chen & David E. Giles (paper). This paper supercedes EWP0801.**pdf****EWP0907**: "Finite-Sample Properties of the Maximum Likelihood Estimator for the Poisson Regression Model With Random Covariates", Qian Chen & David E. Giles (paper).**pdf****EWP0908**: "Bias of the Maximum Likelihood Estimators of the Two-Parameter Gamma Distribution Revisited", David E. Giles & Hui Feng (paper).**pdf****EWP0909**: "Almost Unbiased Estimators of the Poisson Regression Model", David E. Giles & Hui Feng (paper).**pdf**

### 2008

**EWP0801**: "Finite-Sample Moments of the MLE for the Binary Logit Model", Qian Chen & David E. Giles (paper). Superceded by EWP0906.**pdf****EWP0802**: "Competition Within a Cartel: Correction", Scott A. Brave, Donald G. Ferguson & Kenneth G. Stewart (paper).**pdf**

### 2007

**EWP0701**: "On Weighted Regression in Linear Regression in the Presence of Parameter Uncertainty", Judith Clarke (paper). Forthcoming in**pdf***Economics Letters*.**EWP0702**: "General Saddlepoint Approximations: Application to the Anderson-Darling Test Statistic", Qian Chen & David Giles (paper). Published in**pdf***Communications in Statistics*, 2008.**EWP0703**: "A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in an Autoregressive Model: New Insights Into the PPP Puzzle", Qian Chen & David Giles (paper)**pdf****EWP0704**: "An Updated Assessment of the Lucas Supply Curve", Brant Abbott & Cristina Martínèz (paper). Published in**pdf***Economics Letters*, 2008.**EWP0705**: "An Application of Extreme Value Analysis to U.S. Movie Box Office Returns", Guang Bi & David E. Giles (paper). Published in**pdf***Mathematics & Computers in Simulation*, 2009.**EWP0706**: "Some Properties of Absolute Returns as a Proxy for Volatility", David E. Giles (paper), Published in**pdf***Applied Financial Economics Letters*, 2008.**EWP0707**: "A Survival Analysis of the Approval of U.S. Patent Applications", Ying Xie & David E. Giles (paper), Forthcoming in**pdf***Applied Economics*.**EWP0708**: "Extreme Value Analysis of Daily Canadian Crude Oil Prices", Feng Ren & David E. Giles (paper), Forthcoming in**pdf***Applied Financial Economics*.**EWP0709**: "Nonjointness and Scope Economies in the Multiproduct Symmetric Generalized McFadden Cost Function", Kenneth G. Stewart (paper)**pdf****EWP0710**: "Bayesian Fuzzy Regression Analysis and Model Selection: Theory and Evidence", Hui Feng & David E. Giles (paper). Superceded by EWP0903.**pdf**

### 2006

**EWP0601**: "Determinants of Capital Flows: A Cross-Country Analysis", Mukesh Ralhan (paper)**pdf****EWP0602**: "Accounting for Achievement in Athens: A Count Data Analysis of National Olympic Performance", Glen Roberts (paper)**pdf****EWP0603**: "Spurious Regressions With Time-Series Data: Further Asymptotic Results", David Giles (paper)**pdf**

(This paper supercedes EWP0203.) Published in*Communications in Statistics*.**EWP0604**: "On the Robustness of Racial Discrimination Findings in Mortgage Lending Studies", Judith A. Clarke, Nilanjana Roy & Marsha J. Courchane (paper)**pdf**

(This paper supercedes EWP0516.) Forthcoming in*Applied Economics*. (Final version of paper)**EWP0605**: "Modelling the Duration of Interest Rate Spells Under Inflation Targeting in Canada", Ruby Shih & David Giles (paper), Published in**pdf***Applied Economics*, 2009.**EWP0606**: "Benford's Law and Psychological Barriers in Certain eBay Auctions", Ocean Fan Lu & David Giles (paper), Forthcoming in**pdf***Applied Economics Letters***EWP0607**: "The Exact Asymptotic Distribution Function of Watson's U_{N}^{2}for Testing Goodness-of-Fit With Circular Discrete Data", David Giles (paper) (This paper is superceded by EWP1201)**pdf**

### 2005

**EWP0501**: "Government Size & Economic Growth: Time-Series Evidence for the United Kingdom, 1840-1993", Wing Yuk (paper)**pdf****EWP0502**: "Convergence of Income Among Provinces in Canada – An Application of GMM Estimation", Mukesh Ralhan & Ajit Dayanandan (paper)**pdf****EWP0503**: "A Recursive Thick Frontier Approach to Estimating Production Efficiency", Rien Wagenvoort & Paul Schure (paper), published in**pdf***Oxford Bulletin of Economics & Statistics*, 2006**EWP0504**: "Price Index Convergence Among Provinces and Cities Across Canada: 1978 - 2001", Ajit Dayanandan & Mukesh Ralhan (paper)**pdf****EWP0505**: "Benford's Law and Naturally Occurring Prices in Certain ebaY Auctions", David E. Giles (paper), published in**pdf***Applied Economics Letters*, 2007**EWP0506**: "Failed States and Failed Economies: Nationalism and Economic Behavior, 1955-1995", Carl Mosk (paper)**pdf****EWP0507**: "Survival of the Hippest: Life at the Top of the Hot 100", David E. Giles (paper), published in**pdf***Applied Economics*, 2007**EWP0508**: "Rational Exuberance at the Mall: Addiction to Carrying a Credit Card Balance", Kaili Shen & David E. Giles (paper), published in**pdf***Applied Economics*, 2006**EWP0509**: "Does Trade Openness Affect the Speed of Output Convergence? Some Empirical Evidence", David E. Giles & Chad N. Stroomer (paper. This paper supercedes EWP0307)**pdf****EWP0510**: "Increasing Returns to Information in the U.S. Popular Music Industry", David E. Giles (paper) published in**pdf***Applied Economics Letters*, 2006**EWP0511**: "Superstardom in the U.S. Popular Music Industry Revisited", David E. Giles (paper), published in**pdf***Economics Letters*, 2006**EWP0512**: "Direct and Indirect Causality Between Exports and Economic Output for Bangladesh and Sri Lanka: Horizon Matters", Judith A. Clarke & Mukesh Ralhan (paper)**pdf****EWP0513**: "Are Sports Teams Multi-Product Firms?", Kenneth G. Stewart & J.C.H. Jones (paper)**pdf****EWP0514**: "The Bias of Inequality Measures in Very Small Samples: Some Analytic Results", David E. Giles (paper)**pdf****EWP0515**: "Real-Time or Current Vintage: Does the Type of Data Matter for Forecasting and Model Selection?", Hui Feng (paper)**pdf****EWP0516**: "On the Robustness of Racial Discrimination Findings in Mortgage Lending Studies", J. A. Clarke, M. J. Courchane & N. Roy (paper), superceded by EWP0604.**pdf****EWP0517**: "The Bias of Elasticity Estimators in Linear Regression: Some Analytic Results", Chen Qian & David E. Giles (paper), published in**pdf***Economics Letters*, 2007

### 2004

**EWP0401**: "An Empirical Likelihood Ratio Test for Normality", Lauren Bin Dong & David Giles (paper) Published in**pdf***Communications in Statistics***EWP0402**: "Testing for Normality in Linear Regression: An Empirical Likelihood Ratio Test", Lauren Bin Dong & David Giles (paper)**pdf****EWP0403**: "No, Virginia, There Isn't a Santa Claus (For Most Countries' Growth Cycles)", David Giles (paper) Published in**pdf***Economics Letters*, 2005**EWP0404**: "The Behrens-Fisher Problem: An Empirical Likelihood Approach", Lauren Bin Dong (paper)**pdf****EWP0405**: "Testing for Structural Change in Regression: An Empirical Likelihood Approach", Lauren Bin Dong (paper)**pdf****EWP0406**: "Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering", David Giles & Chad Stroomer (paper)**pdf**

### 2003

**EWP0301**: "Capital Taxation, Globalization and International Tax Competition", Kenneth G. Stewart & Michael C. Webb (paper)**pdf****EWP0302**: "Testing For Convergence in Output and in ‘Well-Being' in Industrialized Countries", David E.A. Giles & Hui Feng (paper)**pdf**

Published in*Structural Change & Economic Dynamics*, 2005**EWP0303**: "Gender Convergence in Crime: Evidence from Canadian Offence Charge Data", Jyh-Yaw Joseph Chen & David E.A. Giles (paper)**pdf**

Published in*Journal of Criminal Justice*, 2004**EWP0304**: "Income Convergence and Trade Openness: Fuzzy Clustering and Time Series Evidence", Chad Stroomer & David E.A. Giles (paper)**pdf****EWP0305**: "Some Finite Sample Results on Testing for Granger Noncausality", Judith A. Clarke & Sadaf Mirza (paper; Replaces EWP9914)**pdf****EWP0306**: "Ruminant Eructation and a Long-Run Environmental Kuznets' Curve for Enteric Methane in New Zealand: Conventional and Fuzzy Regression Analysis", David E. A. Giles & Carl Mosk (paper)**pdf****EWP0307**: "Does Trade Openness Affect the Speed of Output Convergence? Some Empirical Evidence", David E. A. Giles & Chad N. Stroomer (paper. Superceded by EWP0509)**pdf**

### 2002

**EWP0201**: "A Comparison of U.S. and Canadian Residential Mortgage Markets", Marsha J. Courchane & Judith A. Giles (paper), published in*pdf**Property Management*, 2002.**EWP0202**: "Calculating a Standard Error for the Gini Coefficient: Some Further Results", David Giles (paper), published,*pdf**Oxford Bulletin of Economics & Statistics*, 2004.**EWP0203**: "On the Futility of Testing the Error Term Assumptions in Spurious Regressions", David Giles (paper), superceded by EWP0603, & Published,*pdf**Communications in Statistics, A*, 2006, with a revised title**EWP0204**: "A Cross-Province Comparison of Okun's Coefficient for Canada", Kwami Adanu (paper), published*pdf**Applied Economics*, 2005.**EWP0205**: "On the Relationship Between The Tax Burden and Income Convergence: Some Further Results", Kwami Adanu & Lili Sun (paper).*pdf***EWP0206**: "A SETAR Model for Canadian GDP: Non-Linearities and Forecast Comparisons", Hui Feng & Jia Liu (paper), published,*pdf**Applied Economics*, 2003.

### 2001

**EWP0101**: "Econometric Modelling Based on Pattern Recognition*via*the Fuzzy c-Means Clustering Algorithm", David E.A. Giles & Robert Draeseke (paper), published in D.E.A. Giles (ed.),*pdf**Computer-Aided Econometrics*, Marcel Dekker, New York, 2003.**EWP0102**: "Output Convergence and International Trade: Time-Series and Fuzzy Clustering Evidence for New Zealand and Her Trading Partners, 1950-1992", David E.A. Giles (paper), Published in*pdf**Journal of International Trade & Economic Development*, 2005.

### 2000

**EWP0001**: "Export-Led Growth: A Survey of the Empirical Literature and Some Noncausality Results, Part 1", Judith A. Giles & Cara L. Williams () (*pdf*paper*Supercedes EWP9901*), published in*Journal of International Trade & Economic Development*, 2000.**EWP0002**: "Export-Led Growth: A Survey of the Empirical Literature and Some Noncausality Results, Part 2", Judith A. Giles & Cara L. Williams () (*pdf*paper*Supercedes EWP9901*), published in*Journal of International Trade & Economic Development*, 2000.**EWP0003**: "Modelling the Underground Economies in Canada and New Zealand: A Comparative Analysis", Lindsay M. Tedds & David E.A. Giles ()*pdf*paper**EWP0004**: "Preliminary-Test and Bayes Estimation of a Location Parameter Under 'Reflected Normal' Loss", David E.A. Giles (), published in A. Ullah, A. Wan and A. Chaturvedi (eds.),*pdf*paper*Handbook of Applied Econometric and Statistical Inference*, Marcel Dekker, New York, 2001.**EWP0005**: "A Saddlepoint Approximation to the Distribution Function of the Anderson-Darling Test Statistic", David E.A. Giles (), published in*pdf*paper*Communications in Statistics, B*, 2001**EWP0006**: "Taxes, Risk-Aversion, and the Size of the Underground Economy: A Nonparametric Analysis With New Zealand Data", David E.A. Giles & Betty J. Johnson (*This paper supercedes EWP9910*) (), published in*pdf*paper*Pacific Economic Review*, 2001**EWP0007**: "Stratified Sample Design for Fair Lending Binary Logit Models",**Judith A. Giles**& Marsha J. Courchane (), to appear in*pdf*paper*Journal of Real Estate Finance & Economics***EWP0008**: "Testing for Two-Step Granger Noncausality in Trivariate VAR Models",**Judith A. Giles**()*pdf*paper

### 1999

**EWP9901**: "Export-led Growth: A Survey of the Empirical Literature and Some Noncausality Results", Judith A. Giles & Cara L. Williams () (*pdf*paper*Now superceded by EWP0001 and EWP0002*), and published in*Journal of International Trade & Economic Development***EWP9902**: "Our Fans in the North: The Demand for British Rugby League", J.C.H. Jones, J.A. Schofield & D.E.A. Giles, published in*Applied Economics*, 2000 ()*pdf*paper**EWP9903**: "Are Cigarette Bans Really Good Economic Policy?", Frank S. Reinhardt & David E.A. Giles (), published in*pdf*paper*Applied Economics*, 2001**EWP9904**: "The Learning Path of the Hidden Economy: The Tax Burden and Tax Evasion in New Zealand", David E.A. Giles & Patrick J. Caragata, published in*Applied Economics*, 2001 (*Supercedes EWP9805*;)*pdf*paper, data**EWP9905**: "Modelling the Hidden Economy and the Tax-Gap in New Zealand", David E.A. Giles (*Supercedes EWP9807 & EWP9810*, published*Empirical Economics*, 1999,)*pdf*paper, Fig 1, Fig 2, Fig 3**EWP9906**: "The Timing and Scale of Investment Under Uncertainty", John P. Small ()*pdf*paper**EWP9907**: "The Canadian Underground and Measured Economies: Granger Causality Results", David E. A Giles, Lindsay M. Tedds & Gugsa T. Werkneh, published in*Applied Economics*()*pdf*paper**EWP9908**: "The Rental Cost of Sunk and Regulated Capital", John P. Small & Henry Ergas ()*pdf*paper**EWP9909**: "A Fuzzy Logic Approach to Modelling the Underground Economy", Robert Draeseke & David E.A. Giles, published in*Mathematics and Computers in Simulation*, 2001 ()*pdf*paper**EWP9910**: "Taxes, Risk-Aversion and the Size of the Underground Economy: A Nonparametric Analysis With New Zealand Data", David E.A. Giles & Betty J. Johnson (), published in*pdf*paper*Pacific Economic Review***EWP9911**: "Asymmetric Responses of the Underground Economy to Tax Changes: Evidence From New Zealand Data", David E.A. Giles, Gugsa T. Werkneh & Betty J. Johnson (), published in*pdf*paper*Economic Record*, 2001**EWP9912**: "Testing for Unit Roots in Semi-Annual Data", Sandra G. Feltham & David E.A. Giles Published in D.E.A. Giles (ed.),*Computer-Aided Econometrics*, Marcel Dekker, New York ()*pdf*paper**EWP9913**: "Is Adaptive Estimation Useful for Panel Models With Heteroskedasticity in the Unit-Specific Error Component? Some Monte Carlo Evidence",**Nilanjana Roy**()*pdf*paper**EWP9914**: "Some Pretesting Issues on Testing for Granger Noncausality", Judith A. Giles & Sadaf Mirza (superceded by EWP0305)

### 1998

**EWP9801**: "The Underground Economy: Minimizing the Size of Government", David E.A. Giles (and figures) (Published, H. Grubel (ed.),*pdf*paper*How to Spend the Fiscal Dividend: What is the Optimal Size of Government?*, 1998)**EWP9802**: "Testing for Unit Roots With Missing Observations", Kevin F. Ryan & David E. A. Giles (**Published**in, T.B. Fomby and R.C. Hill (eds.),*Advances in Econometrics*, 1998, 203-242.) ()*pdf*paper and figures**EWP9803**: "Modelling the Tax Compliance Profiles of New Zealand Firms: Evidence From Audit Records", David E.A. Giles, published in Gerald W. Scully and Patrick J. Caragata, eds.,*Taxation and the Limits of Government*, Boston, Kluwer, 2000 ()*pdf*paper**EWP9804**: "Simulating the Relationship Between the Hidden Economy and the Tax Level and Tax Mix in New Zealand", Patrick J. Caragata & David E.A. Giles, published in Gerald W. Scully and Patrick J. Caragata, eds.,*Taxation and the Limits of Government*, Boston, Kluwer, 2000 ()*pdf*paper**EWP9805**: "The Learning Path of the Hidden Economy:Tax and Growth Effects in New Zealand", David E.A. Giles & Patrick J. Caragata, published in*Applied Economics*(*Superceded by EWP9904*)**EWP9806**: "Robust Specification Testing in Regression: The FRESET Test and Autocorrelated Disturbances", Linda F. DeBenedictis & David E.A. Giles, published,*Journal of Quantitative Economics*, 1999 ()*pdf*paper**EWP9807**: "The Hidden Economy and the Tax-Gap in New Zealand: A Latent Variable Analysis", David E. A. Giles (*This version also released as UVic Discussion Paper 97-08, and a longer preliminary version released as N.Z. IRD Working Paper 5a. Superceded by EWP9905*,**Fig 1, Fig 2, Fig 3**)**EWP9808**: "The Underground Economy: Minimizing the Size of Government", David E.A. Giles (and Figures) (Published, H. Grubel (ed.),*pdf*paper*How to Spend the Fiscal Dividend: What is the Optimal Size of Government?*, 1998)**EWP9809**: "Measuring the Hidden Economy: Implications for Econometric Modelling", David E.A. Giles, published in*Economic Journal*, 1999 ()*pdf*paper**EWP9810**: "Modelling the Hidden Economy and the Tax-Gap in New Zealand", David E.A. Giles (*Supercedes EWP9807, and subsequently revised February 1999 as EWP9905*,**Fig 1, Fig 2, Fig 3**)**EWP9811**: "Gauss-Newton, Milliken-Graybill, and Exact Misspecification Testing Using Artificial Regressions", Kenneth G. Stewart, published,*Econometric Reviews*, 2000 ()*pdf*paper