Search results

Advances in Econometrics is a series of research volumes first published in 1982 by JAI Press. The authors present an update to the history of the Advances in Econometrics series. The initial history, published in 2012 for the 30th Anniversary Volume, describes key events in the history of the series and provides information about key authors and contributors to Advances in Econometrics. The authors update the original history and discuss significant changes that have occurred since 2012. These changes include the addition of five new Senior Co-Editors, seven new AIE Fellows, an expansion of the AIE conferences throughout the United States and abroad, and the increase in the number of citations for the series from 7,473 in 2012 to over 25,000 by 2022.

Conventional wisdom dictates that there is a positive relationship between governance and growth. This article reexamines this empirical relationship using nonparametric quantile methods. We apply these methods on different levels of countries' growth and governance measures as defined in World Governance Indicators provided by the World Bank. We concentrate our analysis on three of the six measures: voice and accountability, political stability, and rule of law that were found to be significantly correlated with economic growth. To illustrate the nonparametric quantile analysis we use growth profile curves as a visual device. We find that the empirical relationship between voice and accountability, political stability, and growth are highly nonlinear at different quantiles. We also find heterogeneity in these effects across indicators, regions, time, and quantiles. These results are a cautionary tale to practitioners using parametric quantile methods.

Financial systemic risk is often assessed by the interconnectedness of financial institutes (FI) in terms of cross-ownership, overlapping investment portfolios, interbank credit exposures, etc. Less is known about the interconnectedness between FIs through the lens of consumer credits. Using detailed consumer credit data in Canada, this chapter constructs a novel banking network to measure FIs’ interconnectedness in the consumer credit markets. Results show that FIs on average are more connected to each other over the sample period, with the interconnectedness measure increases by 19% from 2013 Q4 to 2019 Q4. FIs with more diversified portfolios are more connected in the network. Among various types of FIs, secondary FIs have the notable increase in interconnectedness. Domestic Systemically Important Banks and secondary FIs offering a broad range of loan products are more connected to large FIs, while those specialized in single loan types are more connected to their industry peers. FI connectedness is also significantly related to their participation in the mortgage markets.

This chapter proposes a simple procedure to estimate average derivatives in nonparametric regression models with incomplete responses. The method consists of replacing the responses with an appropriately weighted version and then use local polynomial estimation for the average derivatives. The resulting estimator is shown to be asymptotically normal, and an estimator of its asymptotic variance–covariance matrix is also shown to be consistent. Monte Carlo experiments show that the proposed estimator has desirable finite sample properties.

This chapter uses the nonlinear difference-in-difference (NL-DID) methodology developed by Athey and Imbens (2006) to estimate the effects of a treatment program on the entire distribution of an outcome variable. The NL-DID estimates the entire counterfactual distribution of an outcome variable that would have occurred in the absence of treatment. This chapter extends the Monte Carlo results in Athey and Imbens's (2006) to assess the efficacy of the NL-DID estimators in finite samples. Furthermore, the NL-DID methodology recovers the entire outcome distribution in the absence of treatment. Further, we consider the empirical size and power of tests statistics for equality of mean, medians, and complete distributions as suggested by Abadie (2002). The results show that the NL-DID estimator can effectively be used to recover the average treatment effect, as well as the entire distribution of the treatment effects when there is no selection during the treatment period in finite samples.

The efficient distribution of bank notes is a first-order responsibility of central banks. The authors study the distribution patterns of bank notes with an administrative dataset from the Bank of Canada’s Currency Inventory Management Strategy. The single note inspection procedure generates a sample of 900 million bank notes in which the authors can trace the length of the stay of a bank note in the market. The authors define the duration of the bank note circulation cycle as beginning on the date the bank note is first shipped by the Bank of Canada to a financial institution and ending when it is returned to the Bank of Canada. In addition, the authors provide information regarding where the bank note is shipped and later received, as well as the physical fitness of the bank note upon return to the Bank of Canada’s distribution centers. K–prototype clustering classifies bank notes into types. A hazard model estimates the duration of bank note circulation cycles based on their clusters and characteristics. An adaptive elastic net provides an algorithm for dimension reduction. It is found that while the distribution of the duration is affected by fitness measures, their effects are negligible when compared with the influence exerted by the clusters related to bank note denominations.