Empirical Economic and Financial Research: Theory, Methods and Practice PDF
Preview Empirical Economic and Financial Research: Theory, Methods and Practice
Advanced Studies in Theoretical and Applied Econometrics 48 Jan Beran Yuanhua Feng Hartmut Hebbel Editors Empirical Economic and Financial Research Theory, Methods and Practice Advanced Studies in Theoretical and Applied Econometrics Volume 48 ManagingEditors B.H.Baltagi,SyracuseUniversity,Syracuse,USA Y.Hong,CornellUniversity,Ithaca,USA G.Koop,UniversityofStrathclyde,Glasgow,UK W.Krämer,TUDortmundUniversity,Dortmund,Germany EditorialBoard F.G.Adams,UniversityofPennsylvania,Philadelphia,USA P.Balestra(cid:2),UniversityofGeneva,Geneva,Switzerland M.G.Dagenais,UniversityofMontreal,Montreal,Canada D.Kendrick,UniversityofTexas,Austin,USA J.H.P.Paelinck,NetherlandsEconomicInstitute,Rotterdam,TheNetherlands R.S.Pindyck,SloaneSchoolofManagement,M.I.T.,Cambridge,USA W.Welfe,UniversityofŁódz´,Łódz´,Poland Moreinformationaboutthisseriesat http://www.springer.com/series/5667 Jan Beran (cid:129) Yuanhua Feng (cid:129) Hartmut Hebbel Editors Empirical Economic and Financial Research Theory, Methods and Practice 123 Editors JanBeran YuanhuaFeng Dept.ofMathematicsandStatistics FacultyofBusinessAdministration UniversityofKonstanz andEconomics Konstanz UniversityofPaderborn Germany Paderborn Germany HartmutHebbel HelmutSchmidtUniversity Hamburg Germany ISSN1570-5811 AdvancedStudiesinTheoreticalandAppliedEconometrics ISBN978-3-319-03121-7 ISBN978-3-319-03122-4(eBook) DOI10.1007/978-3-319-03122-4 SpringerChamHeidelbergNewYorkDordrechtLondon LibraryofCongressControlNumber:2014955150 JELClassification:C21,C22,C23,C26,C32,C53,C58,C18 ©SpringerInternationalPublishingSwitzerland2015 Chapter6and28werecreatedwithinthecapacityofanUSgovernmentalemployment.USCopyright protectiondoesnotapply. Thisworkissubjecttocopyright.AllrightsarereservedbythePublisher,whetherthewholeorpartof thematerialisconcerned,specificallytherightsoftranslation,reprinting,reuseofillustrations,recitation, broadcasting,reproductiononmicrofilmsorinanyotherphysicalway,andtransmissionorinformation storageandretrieval,electronicadaptation,computersoftware,orbysimilarordissimilarmethodology nowknownorhereafterdeveloped.Exemptedfromthislegalreservationarebriefexcerptsinconnection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’slocation,initscurrentversion,andpermissionforusemustalwaysbeobtainedfromSpringer. PermissionsforusemaybeobtainedthroughRightsLinkattheCopyrightClearanceCenter.Violations areliabletoprosecutionundertherespectiveCopyrightLaw. Theuseofgeneraldescriptivenames,registerednames,trademarks,servicemarks,etc.inthispublication doesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevant protectivelawsandregulationsandthereforefreeforgeneraluse. While the advice and information in this book are believed to be true and accurate at the date of publication,neithertheauthorsnortheeditorsnorthepublishercanacceptanylegalresponsibilityfor anyerrorsoromissionsthatmaybemade.Thepublishermakesnowarranty,expressorimplied,with respecttothematerialcontainedherein. Printedonacid-freepaper SpringerispartofSpringerScience+BusinessMedia(www.springer.com) FestschriftinHonourof ProfessorSiegfriedHeiler Foreword During the last four decades Siegfried Heiler has had a great influence on the developmentofStatistics in Germanyandonthe internationalcommunity.Onthe one hand, he has been an active researcher. On the other hand, he held leading positionsinstatisticalsocieties. Siegfried has a wide research spectrum. His main research interests are in the fields of time series analysis and robust statistics. In many cases his research was motivated by empirical problems of relevance and he introduced new statistical methods to deal with. One of the most important examples is the Berlin Method thatisinteraliausedbytheGermanFederalStatisticalOffice. Over a longperiodSiegfriedwas veryactive in theGermanStatistical Society. From1980to1988hewasChairmanoftheSection“NeuereStatistischeMethoden” renamedas“Statistical TheoryandMethodology”.Moreover,he wasPresidentof theSocietyfrom1988to1992.ThiswasthetimeoftheGermanreunificationand as well an important time for the Society. During the board meeting in Konstanz on January 19, 1990 there was an intensive discussion about the opportunity to communicate with statisticians from the GDR. The integration and promotion of this group was also topic of the board meeting in Trier on June 6, 1990. Due to the difficult implementation of regulations of the Article 38 of the Unification Treaty referring to science and research the German Statistical Society decided a MemorandumontheDevelopmentofStatisticsattheUniversitiesofthenewfederal states at the end of 1991. “Statistik im vereinten Deutschland” was also the main topicoftheAnnualMeetingoftheSocietyinBerlinin1991. Very early Siegfried detected the importance of computers for statistics and particularlyraised this point.In his time as Presidentof the Societyhe intensified the contacts with international statistical societies. After his term as President he wasVice-PresidentoftheGermanStatisticalSocietyfrom1992to1996.Moreover, SiegfriedwasaboardmemberoftheEuropeanCourseinAdvancedStatisticsover manyyearsanditsPresidentfrom1994to1997. vii viii Foreword Siegfried has done much for the German Statistical Society and we are deeply indebtedtohimforhisnumerousactivities. HappyBirthday,Siegfried! Frankfurt,Germany WolfgangSchmid October2013 Editorial Thiseditedbookonrecentadvancesin empiricaleconomicandfinancialresearch was proposed as a Festschrift for celebrating the 75th Birthday of Prof. (em.) SiegfriedHeiler,DepartmentofMathematicsandStatistics,UniversityofKonstanz, Germany.Thecontributionsarewrittenbyhisformerstudents,friends,colleagues andexpertswhoseresearchinterestsarecloselyrelatedtohiswork.Wearegrateful to all authors for submitting their work, which ensured that this issue reflects the state of the art in the area. Our special acknowledgements go to Prof. Walter Krämer,DepartmentofStatisticsatTUDortmund,Germany,andthecorresponding colleaguesofSpringer-VerlagforkindlyagreeingtopublishthisbookintheSeries “Advanced Studies in Theoretical and Applied Econometrics”, which is a very suitablehostforthecurrentissue. We would also like to thank Prof. Dr. Roland Jeske, Faculty of Business Administration, University of Applied Sciences Kempten, Germany, and a few other former students of Siegfried Heiler, who have provided us with details on his academic career and other useful information. Their kind help allowed us to carryoutthisprojectsmoothlywhilekeepingitasecretuntilitspublicationonhis birthday. Finally,wewouldliketothankMr.ChristianPeitzandMs.SarahForstinger,both intheFacultyofBusinessAdministrationandEconomics,UniversityofPaderborn, Germany, for their invaluable help in editing this book. Mr. Peitz took over most of the technical tasks and parts of the organization. Ms. Forstinger integrated all singlesubmissionsintoanentireLaTexfileand,inparticular,helpedtoretypetwo submissionsinWordformatintoLaTex. Konstanz,Germany JanBeran Paderborn,Germany YuanhuaFeng Hamburg,Germany HartmutHebbel October2013 ix
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