Handling Missing Values in Longitudinal Panel Data With Multiple Imputation

This article offers an applied review of key issues and methods for the analysis of longitudinal panel data in the presence of missing values. The authors consider the unique challenges associated with attrition (survey dropout), incomplete repeated measures, and unknown observations of time. Using simulated data based on 4 waves of the Marital Instability Over the Life Course Study (n = 2,034), they applied a fixed effect regression model and an event‐history analysis with time‐varying covariates. They then compared results for analyses with nonimputed missing data and with imputed data both in long and in wide structures. Imputation produced improved estimates in the event‐history analysis but only modest improvements in the estimates and standard errors of the fixed effects analysis. Factors responsible for differences in the value of imputation are examined, and recommendations for handling missing values in panel data are presented.     

基于浙江工业企业微观数据的国有资本带动产业升级累计效应分析

使用面板门限模型,通过国有资本比重对绩效影响系数在门限值前后的变化,分析国资带动产业升级作用的累计效果.通过设置虚拟变量区分不同行业类别,考察国资在哪些类别行业中能够起到对于整体的带动(挤进)作用或者挤出作用.实证结果显示,国资比例提高到门限值对于浙江整体企业管理水平有显著正向作用.国资在精细化工和医药等产业中的比例提升对于浙江整体经济的绩效有相比其他行业更加显著的正向作用,而这些行业不是明显的垄断行业.由此得出结论:国资在重点行业中的示范带动作用应该强化,以期累计作用结合混合所有制推进从而达到挤进民资和促进民企产业升级.     

Stationary bootstrapping for panel cointegration tests under cross-sectional dependence

Stationary bootstrapping is applied to panel cointegration tests which are based on the ordinary least-squares estimator and the seemingly unrelated regression (SUR) estimator of the residual unit root. Large sample validity of stationary bootstrapping is established. A finite sample experiment reveals that size performances of the bootstrap tests are much less sensitive to cross-sectional correlation than those of existing tests and a test based on the SUR estimator has substantially better power than existing tests.     

房价波动、收入水平与消费支出

房价波动对城镇居民消费的影响引起广泛关注。选取重庆市不同收入水平城镇居民的收入、消费面板数据,以及从重庆“一圈两翼”划分的区域消费差异进行比较,考察了房价波动对收入和消费的影响。引入反映宏观经济水平的人均GDP年度指数和储蓄额年度增长率作为控制变量,利用股票筹资额构造房屋销售价格的工具变量做实证研究。结果表明：房价波动下重庆市城镇居民人均可支配收入与消费支出间存在必然的因果关系,不同收入水平的城镇居民存在明显的消费差异。房价上涨对所有收入水平城镇居民的消费均有挤出效应,房屋财富效应则不明显,当期可支配收入是决定城镇居民房地产消费的最重要因素。提高居民收入水平、调整收入分配结构、加大民生工程投资,是增加消费支出的有效途径。     

基金管理公司治理与基金业绩相关性实证研究

以中国14家基金管理公司及其管理的14只2003年前上市的开放式基金为样本,实证研究基金管理公司治理与基金业绩之间的相关关系。研究结果表明,在董事会特征方面,董事会规模与基金业绩呈正相关关系,独立董事占比以及总经理地位与基金业绩没有相关性;在股权结构方面,基金管理公司股东数、证券公司持有基金管理公司股份的比例、第一大股东持股比例以及第一大股东和第二大股东持股之比与基金业绩没有相关关系。因此形成较大的董事会规模、完善独立董事制度、适度分散总经理权力、进一步引入机构投资者、适度集中股权以及完善激励机制等是基金管理公司持续健康发展的保障。     

Multivariate regression analysis of panel data with binary outcomes applied to unemployment data

Summary  In panel studies binary outcome measures together with time stationary and time varying explanatory variables are collected over time on the same individual. Therefore, a regression analysis for this type of data must allow for the correlation among the outcomes of an individual. The multivariate probit model of Ashford and Sowden (1970) was the first regression model for multivariate binary responses. However, a likelihood analysis of the multivariate probit model with general correlation structure for higher dimensions is intractable due to the maximization over high dimensional integrals thus severely restricting ist applicability so far. Czado (1996) developed a Markov Chain Monte Carlo (MCMC) algorithm to overcome this difficulty. In this paper we present an application of this algorithm to unemployment data from the Panel Study of Income Dynamics involving 11 waves of the panel study. In addition we adapt Bayesian model checking techniques based on the posterior predictive distribution (see for example Gelman et al. (1996)) for the multivariate probit model. These help to identify mean and correlation specification which fit the data well. C. Czado was supported by research grant OGP0089858 of the Natural Sciences and Engineering Research Council of Canada.     

Estimation of long-run inefficiency levels: a dynamic frontier approach

Cornwell, Schmidt, and Sickles (1990) and Kumbhakar (1990), among others, developed stochasticfrontier production models which allow firm specific inefficiency levels to change over time. These studies assumed arbitrary restrictions on the short-run dynamics of efficiency levels which have little theoretical justification. Further, the models are inappropriate for estimation of long-run efficiencies. We consider estimation of an alternative frontier model in which firmspecific technical inefficiency levels are autoregressive. This model is particularly useful to examine a potential dynamic link between technical innovations and production inefficiency levels. We apply our methodology to a panel of US airlines.     

The Influence of Intimate Violence on Transitions out of Cohabitation

Does the experience of violence in a cohabiting union lead participants away from marriage and toward separation, or does violence have only minimal impact once other characteristics of unions and their participants are controlled? This issue is examined using a sample of 411 cohabiting couples followed in both waves of the National Survey of Families and Households. Marriage and separation are treated as competing risks. Results show that violence does have an effect, although dissimilar effects emerge for transitions to separation, as opposed to marriage. Net of other factors, intense male violence—male violence that is more severe than the female partner's—raises the hazard of separation. In contrast, female violence, but not male violence, lowers the rate of marriage. The findings appear robust to a variety of operationalizations of partner violence.     

Bivariate income distributions with lognormal conditionals

In this paper, the most general bivariate distribution with lognormal conditionals is fully characterized, using the methodology proposed by [3]. The properties of the new family are studied in detail, including marginal and conditional distributions, regression functions, dependence measures, moments and inequality measures. The new distribution is very broad, and contains as a particular case the classical bivariate lognormal distribution. Several subfamilies are studied and a generalization of the basic model is discussed. Finally, we present an empirical application. We estimate and compare the basic model proposed in the paper with a classical model, using data from the European Community Household Panel in different periods of time.     

Stochastic Production Frontier and Technical Inefficiency: A Sensitivity Analysis

The present paper focuses attention on the sensitivity of technical inefficiency to most commonly used one-sided distributions of the inefficiency error term, namely the truncated normal, the half-normal, and the exponential distributions. A generalized version of the half-normal, which does not embody the zero-mean restriction, is also explored. For each distribution, the likelihood function and the counterpart of the estimator of technical efficiency are explicitly stated (Jondrow, J., Lovell, C. A. K., Materov, I. S., Schmidt, P. ([1982]), On estimation of technical inefficiency in the stochastic frontier production function model, J. Econometrics19:233-238). Based on our panel data set, related to Tunisian manufacturing firms over the period 1983-1993, formal tests lead to a strong rejection of the zero-mean restriction embodied in the half normal distribution. Our main conclusion is that the degree of measured inefficiency is very sensitive to the postulated assumptions about the distribution of the one-sided error term. The estimated inefficiency indices are, however, unaffected by the choice of the functional form for the production function.