A NOTE ON SPURIOUS REGRESSION IN PANELS WITH CROSS-SECTION DEPENDENCE

This paper analyses regression of two independent stationary panels with cross-sectional dependence. It is shown that the pooling least squares (PLS) estimator converges to zero in probability while the individual OLS estimator converges to a random variable. However, the PLS-based and the OLS-based t-statistics diverge, so the null hypothesis of no correlation tends to be spuriously rejected.Research Methods/ Statistical Methods,

Investigating the interaction effect of democracy and economic freedom on corruption: a cross-country quantile regression analysis

This paper explores the interaction effects of economic freedom and democracy in controlling corruption for 100 countries by using quantile regression technique. The main contribution is to explore the interaction effects throughout conditional distribution of corruption across nations. Our results reinforce some findings in the literature, but also provide new conclusions. The findings suggest a stronger and significant interaction effect in reducing corruption, especially in the most-corrupt countries. However, democratic and economic freedoms alone may not cure corruption effectively in the most-corrupt nations, a sound democratic reform can eliminate corruption substantially only after achieving a threshold level of economic freedom

Testing for no autocorrelation using a modified Lobato test

This paper suggests modifying the Lobato test for no autocorrelation by using the bandwidth parameter (M) of the covariance estimator as a fixed proportion of the sample size (T): M=bT, where b (0,1] is a constant. It is shown by means of simulations that the modified test has good control over size regardless the choice of b and a higher testing power can be achieved if a mall b is chosen.

Is there a consensus towards transparency: International\u27s Corruption Perceptions Index?

Given the clandestine nature, corruption is intrinsically a complex phenomenon and hard to measure. This paper examines whether Transparency International\u27s corruption perception index converges towards consensus over time? Furthermore, we estimate the speed of adjustment towards general agreement. The results indicate differences in the degree of concordance, i.e. high level of agreement for the mostlyclean and most-corrupt countries but disagreement remains high for the mediumcorrupt countries. The speed of converge is high for the most-corrupt and mostlyclean countries and a decline for the medium corrupt countries

Lag selection of the augmented Kapetanios-Shin-Snell nonlinear unit root test

We provide simulation evidence that shed light on several size and power issues in relation to lag selection of the augmented (nonlinear) KSS test. Two lag selection approaches are considered-the Modified AIC (MAIC) approach and a sequential General to Specific (GS) testing approach Either one of these approaches can be used to select the optimal lag based on either the augmented linear Dickey Fuller test or the augmented nonlinear KSS test, resulting in four possible selection methods, namely, MAIC, GS, NMAIC and NGS. The evidence suggests that the asymptotic critical values of the KSS test tends to result in oversizing if the (N) GS method is used and under-sizing if the (N) MAIC method is utilised. Thus, we recommend that the critical values should be generated from finite samples. We also find evidence that the (N) MAIC method has less size distortion than the (N) GS method, suggesting that the MAIC-based KSS test is preferred. Interestingly, the MAIC-based KSS test with lag selection based on the linear ADF regression is generally more powerful than the test with lag selection based on the nonlinear version

Does Political and Economic Freedom Matter for Inbound Tourism? A Cross-National Panel Data Estimation

The paper examines the impact of political and economic freedom on inbound tourism for over 110 countries during 1995-2012. Panel country fixed-effects techniques are utilized to examine the relationship after controlling for other factors that contribute to inbound tourism. The results show that civil liberties and economic freedom (among several other freedom measures) are positively and significantly associated with inbound tourism. Examination of the moderation effect reveals that civil liberties (economic freedom) tend to play a more influential role on inbound tourism when the level of economic freedom (civil liberties) is relatively low

Observation of associated near-side and away-side long-range correlations in √sNN=5.02 TeV proton-lead collisions with the ATLAS detector

Two-particle correlations in relative azimuthal angle (Δϕ) and pseudorapidity (Δη) are measured in √sNN=5.02  TeV p+Pb collisions using the ATLAS detector at the LHC. The measurements are performed using approximately 1  μb-1 of data as a function of transverse momentum (pT) and the transverse energy (ΣETPb) summed over 3.1<η<4.9 in the direction of the Pb beam. The correlation function, constructed from charged particles, exhibits a long-range (2<|Δη|<5) “near-side” (Δϕ∼0) correlation that grows rapidly with increasing ΣETPb. A long-range “away-side” (Δϕ∼π) correlation, obtained by subtracting the expected contributions from recoiling dijets and other sources estimated using events with small ΣETPb, is found to match the near-side correlation in magnitude, shape (in Δη and Δϕ) and ΣETPb dependence. The resultant Δϕ correlation is approximately symmetric about π/2, and is consistent with a dominant cos⁡2Δϕ modulation for all ΣETPb ranges and particle pT

Measurement of the inclusive and dijet cross-sections of b-jets in pp collisions at sqrt(s) = 7 TeV with the ATLAS detector

The inclusive and dijet production cross-sections have been measured for jets containing b-hadrons (b-jets) in proton-proton collisions at a centre-of-mass energy of sqrt(s) = 7 TeV, using the ATLAS detector at the LHC. The measurements use data corresponding to an integrated luminosity of 34 pb^-1. The b-jets are identified using either a lifetime-based method, where secondary decay vertices of b-hadrons in jets are reconstructed using information from the tracking detectors, or a muon-based method where the presence of a muon is used to identify semileptonic decays of b-hadrons inside jets. The inclusive b-jet cross-section is measured as a function of transverse momentum in the range 20 < pT < 400 GeV and rapidity in the range |y| < 2.1. The bbbar-dijet cross-section is measured as a function of the dijet invariant mass in the range 110 < m_jj < 760 GeV, the azimuthal angle difference between the two jets and the angular variable chi in two dijet mass regions. The results are compared with next-to-leading-order QCD predictions. Good agreement is observed between the measured cross-sections and the predictions obtained using POWHEG + Pythia. MC@NLO + Herwig shows good agreement with the measured bbbar-dijet cross-section. However, it does not reproduce the measured inclusive cross-section well, particularly for central b-jets with large transverse momenta.Comment: 10 pages plus author list (21 pages total), 8 figures, 1 table, final version published in European Physical Journal

Search for R-parity-violating supersymmetry in events with four or more leptons in sqrt(s) =7 TeV pp collisions with the ATLAS detector

A search for new phenomena in final states with four or more leptons (electrons or muons) is presented. The analysis is based on 4.7 fb−1 of $\sqrt{s}=7\;\mathrm{TeV}$ proton-proton collisions delivered by the Large Hadron Collider and recorded with the ATLAS detector. Observations are consistent with Standard Model expectations in two signal regions: one that requires moderate values of missing transverse momentum and another that requires large effective mass. The results are interpreted in a simplified model of R-parity-violating supersymmetry in which a 95% CL exclusion region is set for charged wino masses up to 540 GeV. In an R-parity-violating MSUGRA/CMSSM model, values of m 1/2 up to 820 GeV are excluded for 10 < tan β < 40

Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices

The creation of bitcoin heralded the arrival of digital or crypto-currency and has been regarded as a phenomenon. Since its introduction, it has experienced a meteoric rise in price and rapid growth accompanied by huge volatility swings, and also attracted plenty of controversies which even involved law enforcement agencies. Hence, claims abound that bitcoin has been characterized by bubbles ready to burst any time (e.g. the recent collapse of bitcoin’s biggest exchange, Mt Gox). This has earned plenty of coverage in the media but surprisingly not in the academic literature. We therefore fill this knowledge gap. We conduct an econometric investigation of the existence of bubbles in the bitcoin market based on a recently developed technique that is robust in detecting bubbles – that of Phillips et al. (2013a). Over the period 2010–2014, we detected a number of short-lived bubbles; most importantly, we found three huge bubbles in the latter part of the period 2011–2013 lasting from 66 to 106 days, with the last and biggest one being the one that ‘broke the camel’s back’ – the demise of the Mt Gox exchange