Ron Smith
YOU?
Author Swipe
View article: Analysis of Multiple Long-Run Relations in Panel Data Models
Analysis of Multiple Long-Run Relations in Panel Data Models Open
The literature on panel cointegration is extensive but does not cover data sets where the cross section dimension, $n$, is larger than the time series dimension $T$. This paper proposes a novel methodology that filters out the short run dy…
View article: Identifying and exploiting alpha in linear asset pricing models with strong, semi-strong, and latent factors
Identifying and exploiting alpha in linear asset pricing models with strong, semi-strong, and latent factors Open
The risk premia of traded factors are the sum of factor means and a parameter vector we denote by ϕ which is identified from the cross section regression of alpha of individual securities on the vector of factor loadings. If phi is non-zer…
View article: High-Dimensional Forecasting with Known Knowns and Known Unknowns
High-Dimensional Forecasting with Known Knowns and Known Unknowns Open
Forecasts play a central role in decision making under uncertainty. After a brief review of the general issues, this paper considers ways of using high-dimensional data in forecasting. We consider selecting variables from a known active se…
View article: HIGH-DIMENSIONAL FORECASTING WITH KNOWN KNOWNS AND KNOWN UNKNOWNS
HIGH-DIMENSIONAL FORECASTING WITH KNOWN KNOWNS AND KNOWN UNKNOWNS Open
Forecasts play a central role in decision-making under uncertainty. After a brief review of the general issues, this article considers ways of using high-dimensional data in forecasting. We consider selecting variables from a known active …
View article: Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogenous Panels
Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogenous Panels Open
Using a transformation of the autoregressive distributed lag model due to Bewley, a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics is proposed. The PB estimator is direc…
View article: Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogenous Panels
Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogenous Panels Open
Using a transformation of the autoregressive distributed lag model due to Bewley, a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics is proposed. The PB estimator is direc…
View article: Revisiting the Great Ratios Hypothesis*
Revisiting the Great Ratios Hypothesis* Open
Kaldor called the constancy of certain ratios stylized facts, Klein and Kosobud called them great ratios. While they often appear in theoretical models, the empirical literature finds little evidence for them, perhaps because the procedure…
View article: Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels
Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels Open
This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same se…
View article: Revisiting the Great Ratios Hypothesis
Revisiting the Great Ratios Hypothesis Open
Kaldor called the constancy of certain ratios stylized facts, Klein and Kosobud called them great ratios.While they often appear in theoretical models, the empirical literature finds little evidence for them, perhaps because the procedures…
View article: Revisiting the Great Ratios Hypothesis
Revisiting the Great Ratios Hypothesis Open
The idea that certain economic variables are roughly constant in the long-run is an old one. Kaldor described them as stylized facts, whereas Klein and Kosobud labelled them great ratios. While such ratios are widely adopted in theoretical…
View article: Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels
Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels Open
This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same setting …
View article: Disability and multidimensional quality of life: A capability approach to health status assessment
Disability and multidimensional quality of life: A capability approach to health status assessment Open
This paper offers an approach to assessing quality of life, based on Sen's (1985) theory, which it uses to understand loss in quality of life due to mobility impairment. Specifically, it provides a novel theoretical analysis that is able t…
View article: The Macroeconomic Impact of the Euro
The Macroeconomic Impact of the Euro Open
This paper examines whether the establishment of the euro caused structural breaks in the main macroeconomic relationships of member countries. It compares eight original members of the common currency with four European countries that did…
View article: The Influence of the Richardson Arms Race Model
The Influence of the Richardson Arms Race Model Open
This chapter reviews the Richardson arms race model: a pair of differential equations which capture an action reaction process. Whereas many of Richardson’s equations were quite specific about what they referred to, the arms race model was…
View article: Using Panel Data for Macroeconomic Policy Evaluation: A Survey
Using Panel Data for Macroeconomic Policy Evaluation: A Survey Open
In order to measure the macroeconomic effect of some policy or event, a “treatment”, we need to construct a“counterfactual”, a prediction of what would have happened in the absence of treatment, which is unobserved. Paneldata for countries…
View article: THE MACROECONOMIC IMPACT OF THE EURO
THE MACROECONOMIC IMPACT OF THE EURO Open
This paper examines whether the establishment of the euro caused structural breaks in the main macroeconomic relationships of member countries. It compares eight original members of the common currency with four European countries that did…
View article: The Role of Factor Strength and Pricing Errors for Estimation and Inference in Asset Pricing Models
The Role of Factor Strength and Pricing Errors for Estimation and Inference in Asset Pricing Models Open
In this paper we are concerned with the role of factor strength and pricing errors in asset pricing models, and their implications for identification and estimation of risk premia. We establish an explicit relationship between the pricing …
View article: Issues in the quantitative analysis of the SIPRI arms industry database
Issues in the quantitative analysis of the SIPRI arms industry database Open
Although the Stockholm International Peace Research Institute’s data on the 100 largest arms (and military services) producing firms is very widely used for various purposes, there is relatively little quantitative statistical analysis of …
View article: Medium-Run Implications of Changing Demographic Structures for the Macro-Economy
Medium-Run Implications of Changing Demographic Structures for the Macro-Economy Open
While there may be an important, but transitory, cyclical component in the poor performance of the past decade, we will emphasise the secular forces: the impact of demographic structure and innovation. We draw on the empirical and theoreti…
View article: Factor Models in Panels with Cross-sectional Dependence: An Application to the Extended SIPRI Military Expenditure Data
Factor Models in Panels with Cross-sectional Dependence: An Application to the Extended SIPRI Military Expenditure Data Open
Strategic interactions between countries, such as arms races, alliances and wider economic and political shocks, can induce strong cross-sectional dependence in panel data models of military expenditure. If the assumption of cross-sectiona…
View article: On the heterogeneous consequences of civil war
On the heterogeneous consequences of civil war Open
We show how the occurrence of a civil war has heterogeneous effects on the level of GDP, using case-study, synthetic control and large-N panel-data approaches. We first discuss the relation between these methods and then provide lower and …
View article: The evolution of concentration in the arms market
The evolution of concentration in the arms market Open
This article examines the evolution of concentration in the global arms market, or industry, over the period 1990-2013 and considers its prospects. Using data from the Stockholm International Peace Research Institute (SIPRI) list of the la…
View article: Impact of Personal Beliefs in Business-to-Business Buyer Decisions
Impact of Personal Beliefs in Business-to-Business Buyer Decisions Open
For school transportation buyers, who have depended on diesel for decades, gaining knowledge of complex and dynamic information is complicated by the growing number of alternative fuel vehicles. As with a number of business purchases, scho…