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

2009

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 Superceded by EWP1002.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

2008

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 Superceded by EWP0906.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

2007

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

2006

  • EWP0601: "Determinants of Capital Flows: A Cross-Country Analysis", Mukesh Ralhan (pdf paper)
  • EWP0602: "Accounting for Achievement in Athens: A Count Data Analysis of National Olympic Performance", Glen Roberts (pdf paper)
  • EWP0603: "Spurious Regressions With Time-Series Data: Further Asymptotic Results", David Giles (pdf paper)
    (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 (pdf paper)
    (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 (pdf paper), Published in Applied Economics, 2009.
  • EWP0606: "Benford's Law and Psychological Barriers in Certain eBay Auctions", Ocean Fan Lu & David Giles (pdf paper), Forthcoming in Applied Economics Letters
  • EWP0607: "The Exact Asymptotic Distribution Function of Watson's UN2 for Testing Goodness-of-Fit With Circular Discrete Data", David Giles (pdf paper) (This paper is superceded by EWP1201)

2005

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

2004

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

2003

  • EWP0301: "Capital Taxation, Globalization and International Tax Competition", Kenneth G. Stewart & Michael C. Webb (pdf paper)
  • EWP0302: "Testing For Convergence in Output and in ‘Well-Being' in Industrialized Countries", David E.A. Giles & Hui Feng (pdf paper)
    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 (pdf paper)
    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 (pdf paper)
  • EWP0305: "Some Finite Sample Results on Testing for Granger Noncausality", Judith A. Clarke & Sadaf Mirza (pdf paper; Replaces EWP9914)
  • 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 (pdf paper)
  • EWP0307: "Does Trade Openness Affect the Speed of Output Convergence? Some Empirical Evidence", David E. A. Giles & Chad N. Stroomer (pdf paper. Superceded by EWP0509)

2002

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

2001

  • EWP0101: "Econometric Modelling Based on Pattern Recognition via the Fuzzy c-Means Clustering Algorithm", David E.A. Giles & Robert Draeseke (pdf paper), published in D.E.A. Giles (ed.), 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 (pdf paper), Published in 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 (pdf paper), published in A. Ullah, A. Wan and A. Chaturvedi (eds.), 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 (pdf paper), published in 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) (pdf paper), published in Pacific Economic Review, 2001
  • EWP0007: "Stratified Sample Design for Fair Lending Binary Logit Models", Judith A. Giles & Marsha J. Courchane (pdf paper), to appear in 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 (pdf paper), published in 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 (pdf paper), published in 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 (pdf paper), published in 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 (pdf paper and figures) (Published, H. Grubel (ed.), 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 (pdf paper and Figures) (Published, H. Grubel (ed.), 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)