Regularised Manova for High‐Dimensional Data

The traditional and readily available multivariate analysis of variance (MANOVA) tests such as Wilks' Lambda and the Pillai–Bartlett trace start to suffer from low power as the number of variables approaches the sample size. Moreover, when the number of variables exceeds the number of available observations, these statistics are not available for use. Ridge regularisation of the covariance matrix has been proposed to allow the use of MANOVA in high‐dimensional situations and to increase its power when the sample size approaches the number of variables. In this paper two forms of ridge regression are compared to each other and to a novel approach based on lasso regularisation, as well as to more traditional approaches based on principal components and the Moore‐Penrose generalised inverse. The performance of the different methods is explored via an extensive simulation study. All the regularised methods perform well; the best method varies across the different scenarios, with margins of victory being relatively modest. We examine a data set of soil compaction profiles at various positions relative to a ridgetop, and illustrate how our results can be used to inform the selection of a regularisation method.     

Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints

The equity premium, return on equity minus return on risk-free asset, is expected to be positive. We consider imposing such positivity constraint in local historical average (LHA) in nonparametric kernel regression framework. It is also extended to the semiparametric single index model when multiple predictors are used. We construct the constrained LHA estimator via an indicator function which operates as “model-selection” between the unconstrained LHA and the bound of the constraint (zero for the positivity constraint). We smooth the indicator function by bagging, which operates as “model-averaging” and yields a combined forecast of unconstrained LHA forecasts and the bound of the constraint. The local combining weights are determined by the probability that the constraint is binding. Asymptotic properties of the constrained LHA estimators without and with bagging are established, which show how the positive constraint and bagging can help reduce the asymptotic variance and mean squared errors. Monte Carlo simulations are conducted to show the finite sample behavior of the asymptotic properties. In predicting U.S. equity premium, we show that substantial nonlinearity can be captured by LHA and that the local positivity constraint can improve out-of-sample prediction of the equity premium.     

Estimation of the seemingly unrelated regression model when the error covariance matrix is singular

A two-step generalized least-squares (GLS) estimator proposed by Zellner for seemingly unrelated regression (SUR) models is implementable when the estimated covariance matrix of the errors in the SUR system is non-singular. Violating the premise of non-singularity is a common problem among many applications in economics, business and management. We present methods of resolving this problem and propose an efficient procedure. The simulation study shows that the estimator of Haff performs better for small-sized observations, whereas the estimator of Ullah and Racine performs better for larger sized observations. Furthermore, the Ullah-Racine estimate is simple to calculate and easy to use. The empirical analysis involves the study of the diffusion processes of videocassette recorders across different geographic regions in the US, which exhibits a singular covariance matrix. The empirical results show that the procedures efficiently deal with the problem and provide plausible estimation results.     

Bangladeshi Migrant Workers in Hong Kong: Adaptation Strategies in an Ethnically Distant Destination

The paper attempts to explore the adaptation‐related challenges that Bangladeshi migrant workers in Hong Kong face and the strategies they adopt to triumph over them. Data were collected through administering both closed and open‐ended questionnaires to 56 migrant workers in Hong Kong during 2005–2006. The study revealed that most of the respondents stayed in Hong Kong legally but worked illegally because of the fact that although they could extend their stay permits, they were not grated work permits. This exclusive circumstance places them in a number of difficult situations. In attempting to adapt to Hong Kong society, they embrace a number of interesting and unique strategies to surmount challenges.     

Local Linear GMM Estimation of Functional Coefficient IV Models With an Application to Estimating the Rate of Return to Schooling

We consider the local linear generalized method of moment (GMM) estimation of functional coefficient models with a mix of discrete and continuous data and in the presence of endogenous regressors. We establish the asymptotic normality of the estimator and derive the optimal instrumental variable that minimizes the asymptotic variance-covariance matrix among the class of all local linear GMM estimators. Data-dependent bandwidth sequences are also allowed for. We propose a nonparametric test for the constancy of the functional coefficients, study its asymptotic properties under the null hypothesis as well as a sequence of local alternatives and global alternatives, and propose a bootstrap version for it. Simulations are conducted to evaluate both the estimator and test. Applications to the 1985 Australian Longitudinal Survey data indicate a clear rejection of the null hypothesis of the constant rate of return to education, and that the returns to education obtained in earlier studies tend to be overestimated for all the work experience.     

International marriage migration: The predicament of culture and its negotiations

Marriage-led migration or migration-led marriage was rarely discussed in public or private realms just over two decades ago. However, international marriage migration (IMM) has become a norm in today's globalised world. While a substantial body of literature deals with this growing practice, existing literature does not adequately address the role that ethnicity plays in the context of IMM. The purpose of this study is to explore the question of ethnicity in IMM in Southeast Asian contexts. It focusses on what we have called the ‘predicament of ethnicity’ and the negotiations around ethnicity, culture and identity among couples where at least one partner migrated for the purpose of the marriage. The study is based on interviews with international couples selected using a snowball sampling method and demonstrates complex and intriguing patterns of cultural and ethnic identity negotiations between international Southeast Asian couples.