# Department of Economics, University of Victoria

# Econometrics Working Papers

**Contact information of Department of Economics, University of Victoria:**

Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2

Phone: (250)721-6197

Fax: (250)721-6214

Web page: http://web.uvic.ca/econ

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**Editor:**

Additional information is available for the following
registered editor(s): David E. A. Giles
**For corrections or technical questions regarding this series, please contact
(Lori Cretney)** **Series handle:** repec:vic:vicewp
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### 2014

**1402 Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory***by*David E. Giles & Qinlu Chen**1401 On Variance Estimation for a Gini Coefficient Estimator Obtained from Complex Survey Data***by*Judith A. Clarke & Ahmed A. Hoque

### 2013

**1301 Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets***by*David E. Giles & Yanan Li

### 2012

**1204 Health and Wealth: Short Panel Granger Causality Tests for Developing Countries***by*Judith A. Clarke & Nilanjana Roy & Weichun Chen**1203 A Note on Improved Estimation for the Topp-Leone Distribution***by*David E. Giles**1202 Constructing Confidence Bands for the Hodrick-Prescott Filter***by*David E. Giles**1201 Exact Asymptotic Goodness-of-Fit Testing For Discrete Circular Data, With Applications***by*David E. Giles

### 2011

**1111 Bias Reduction for the Maximum Likelihood Estimator of the Parameters of the Generalized Rayleigh Family of Distributions***by*David E. Giles & Xiao Ling**1110 Testing for Multivariate Cointegration in the Presence of Structural Breaks: p-Values and Critical Values***by*David E. Giles & Ryan T. Godwin**1109 Improved Maximum Likelihood Estimation of the Shape Parameter in the Nakagami Distribution***by*Jacob Schwartz & Ryan T. Godwin & David E. Giles**1107 The Optimal Construction of Instruments in Nonlinear Regression: Implications for GMM Inference***by*Kenneth G. Stewart**1106 On the Inconsistency of Instrumental Variables Estimators for the Coefficients of Certain Dummy Variables***by*David E. Giles**1105 Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution***by*David E. Giles & Hui Feng & Ryan T. Godwin**1104 On the Bias of the Maximum Likelihood Estimator for the Two-Parameter Lomax Distribution***by*David E. Giles & Hui Feng & Ryan T. Godwin**1103 Quantity versus Quality: What’s in a (Journal) Name?***by*David E. Giles**1102 Biased-Reduced Maximum Likelihood Estimation for the Zero-Inflated Poisson Distribution***by*Jacob Schwartz & David E. Giles**1101 Interpreting Dummy Variables in Semi-logarithmic Regression Models: Exact Distributional Results***by*David E. Giles

### 2010

**1004 Bayesian Estimation of a Possibly Mis-Specified Linear Regression Model***by*David E. Giles**1003 The Extreme-Value Dependence Between the Chinese and Other International Stock Markets***by*David E. Giles**1002 On Statistical Inference for Inequality Measures Calculated from Complex Survey Data***by*Judith A. Clarke & Nilanjana Roy**1001 Hermite Regression Analysis of Multi-Modal Count Data***by*David E. Giles

### 2009

**0909 Almost Unbiased Estimation of the Poisson Regression Model***by*David E. Giles & Hui Feng**0908 Bias of the Maximum Likelihood Estimators of the Two-Parameter Gamma Distribution Revisited***by*David E. Giles & Hui Feng**0907 Finite-Sample Properties of the Maximum Likelihood Estimator for the Poisson Regression Model With Random Covariates***by*Qian Chen & David E. Giles**0906 Finite-Sample Properties of the Maximum Likelihood Estimator for the Binary Logit Model With Random Covariates***by*Qian Chen & David E. Giles**0905 Capital Structures in an Emerging Market: A Duration Analysis of the Time Interval Between IPO and SEO in China***by*Yang Ni & Shasha Guo & David E. Giles**0904 On Statistical Inference for Inequality Measures Calculated from Complex Survey Data***by*Judith A. Clarke & Nilanjana Roy**0903 Bayesian Fuzzy Regression Analysis and Model Selection: Theory and Evidence***by*Hui Feng & David E. Giles**0902 Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution***by*David E. Giles & Hui Feng**0901 Bias Reduction for the Maximum Likelihood Estimator of the Scale Parameter in the Half-Logistic Distribution***by*David E. Giles

### 2008

**0802 Competition Within a Cartel: Correction***by*Scott A. Brave & Donald G. Ferguson & Kenneth G. Stewart**0801 Finite-Sample Moments of the MLE for the Binary Logit Model***by*Qian Chen & David E. Giles

### 2007

**0710 Bayesian Fuzzy Regression Analysis and Model Selection: Theory and Evidence***by*Hui Feng & David E. Giles**0709 Nonjointness and Scope Economies in the Multiproduct Symmetric Generalized McFadden Cost Function***by*Kenneth G. Stewart**0708 Extreme Value Analysis of Daily Canadian Crude Oil Prices***by*Feng Ren & David E. Giles**0707 A Survival Analysis of the Approval of U.S. Patent Applications***by*Ying Xie & David E. Giles**0706 Some Properties of Absolute Returns as a Proxy for Volatility***by*David E. Giles**0705 An Application of Extreme Value Theory to U.S. Movie Box Office Returns***by*Guang Bi & David E. Giles**0704 An Updated Assessment of the Lucas Supply Curve***by*Brant Abbott & Cristina Martinez**0703 A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in an Autoregressive Model: New Insights Into the PPP Puzzle***by*Qian Chen & David E. Giles**0702 General Saddlepoint Approximations: Application to the Anderson-Darling Test Statistic***by*Qian Chen & David E. Giles**0701 On Weighted Estimation in Linear Regression in th Presence of Parameter Uncertainty***by*Judith A. Clarke

### 2006

**0607 The Exact Asymptotic Distribution Function of Watson's UN-Squared for Testing Goodness-of-Fit With Circular Discrete Data***by*David E. A. Giles**0606 Benford's Law and Psychological Barriers in Certain eBay Auctions***by*Ocean Fan Lu & David E. A. Giles**0605 Modelling the Duration of Interest Rate Spells Under Inflation Targeting in Canada***by*Ruby Shih & David E. A. Giles**0604 On the Robustness of Racial Disrcimination Findings in Motgage Lending Studies***by*Judith A. Clarke & Nilanjana Roy & Marsha J. Courchane**0603 Spurious Regressions With Time-Series data: Further Asymptotic Results***by*David E. A. Giles**0602 Accounting for Achievement in Athens: A Count Data Analysis of National Olympic Performance***by*Glen Roberts**0601 Determinants of Capital Flows: A Cross-Country Analysis***by*Mukesh Ralhan

### 2005

**0517 The Bias of Elasticity Estimtors in Linear Regression: Some Analytic Results***by*Chen Qian & David E. Giles**0516 On the Robustness of Racial Discrimination Findings in Mortgage Lending Studies***by*Judith A. Clarke & Marsha J. Courchane & Nilanjana Roy**0515 Real-Time or Current Vintage: Does the Type of Data Matter for Forecasting and Model Selection?***by*Hui Feng**0514 The Bias of Inequality Measures in Very Small Samples: Some Analytic Results***by*David E. Giles**0513 Are Sports Teams Multi-Product Firms?***by*Kenneth G. Stewart & J. C. H. Jones**0512 Direct and Indirect Causality Between Exports and Economic Output for Bangladesh and Sri Lanka: Horizon Matters***by*Judith A. Clarke & Mukesh Ralhan**0511 Superstardom in the U.S. Popular Music Industry Revisited***by*David E. Giles**0510 Increasing Returns to Information in the U.S. Popular Music Industry***by*David E. Giles**0509 Does Trade Openness Affect the Speed of Output Convergence? Some Empirical Evidence***by*David E. Giles & Chad N. Stroomer**0508 Rational Exuberance at the Mall: Addiction to Carrying a Credit Card Balance***by*Kaili Shen & David E. Giles**0507 Survival of the Hippest: Life at the Top of the Hot 100***by*David E. Giles**0506 Failed States and Failed Economies: Nationalism and Economic Behavior, 1955-1995***by*Carl Mosk**0505 Benford’s Law and Naturally Occurring Prices in Certain ebaY Auctions***by*David E. Giles**0504 Price Index Convergence Among Provinces and Cities of Canada: 1978 - 2001***by*Ajit Dayanandan & Mukesh Ralhan**0503 A Recursive Thick Frontier Approach To Estimating Production Efficiency***by*Rien Wagenvoort & Paul Schure**0502 Convergence of Income Among Provinces in Canada – An Application of GMM Estimation***by*Mukesh Ralhan & Ajit Dayanandan**0501 Government Size and Economic Growth: Time-Series Evidence for the United Kingdom, 1830-1993***by*Wing Yuk

### 2004

**0406 Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering***by*David E. Giles & Chad N. Stroomer**0405 Testing for structural Change in Regression: An Empirical Likelihood Ratio Approach***by*Lauren Bin Dong**0404 The Behrens-Fisher Problem: An Empirical Likelihood Ratio Approach***by*Lauren Bin Dong**0403 No, Virginia, There Isn't a Santa Claus (For Most Countries' Growth Cycles)***by*David E. A. Giles**0402 An Empirical Likelihood Ratio Test for Normality in Linear Regression***by*Lauren Bin Dong & David E. A. Giles**0401 An Empirical Likelihood Ratio Test for Normality***by*Lauren Bin Dong & David E. A. Giles

### 2003

**0307 Does Trade Openness Affect the Speed of Output Convergence? Some Empirical Evidence***by*David E. A. Giles & Chad Stroomer**0306 Ruminant Eructation and a Long-Run Environmental Kuznets' Curve for Enteric Methane in New Zealand: Conventional and Fuzzy Regression Analysis***by*David E. A. Giles & Carl Mosk**0305 Some Finite Sample Results On Testing For Granger Noncausality***by*Judith A. Clarke & Sadaf Mirza**0304 Income Convergence and trade Openness: Fuzzy Clustering and Time Series Evidence***by*Chad Stroomer & David E.A. Giles**0303 Gender Convergence in Crime: Evidence From Canadian Adult Offence Charge Data***by*Jyh-Yaw Joseph Chen & David E.A. Giles**0302 Testing For Convergence in Output and in 'Well-Being' in Industrialized Countries***by*David E.A. Giles & Hui Feng**0301 Capital Taxation, Globalization, and International Tax Competition***by*Kenneth G. Stewart & Michael C. Webb

### 2002

**0206 A SETAR Model for Canadian GDP: Non-Linearities and Forecast Comparisons***by*Hui Feng & Jia Liu**0205 On the Relationship Between the Tax Burden and Income Convergence: Some Further Results***by*Kwami Adanu & Lili Sun**0204 A Cross-Province Comparison of Okun's Coefficient for Canada***by*Kwami Adanu**0203 On the Futility of Testing the Error Term Assumptions in a Spurious Regression***by*David E. A. Giles**0202 Calculating a Standard Error for the Gini Coefficient: Some Further Results***by*David E. A. Giles**0201 A Comparison of U.S. and Canadian Residential Mortgage Markets***by*Marsha J. Courchane & Judith A. Giles

### 2001

**0102 Output Convergence and International Trade: Time-Series and Fuzzy Clustering Evidence for New Zealand and Her Trading Partners, 1950-1992***by*David E. A. Giles**0101 Econometric Modelling based on Pattern recognition via the Fuzzy c-Means Clustering Algorithm***by*David E. A. Giles & Robert Draeseke

### 2000

**0008 Testing for Two-Step Granger Noncausality in Trivariate VAR Models***by*Judith A. Giles**0007 Stratified Sample Design for Fair Lending Binary Logit Models***by*Judith A. Giles & Marsha J. Courchane**0006 Taxes, Risk-Aversion, and the Size of the Underground Economy: A Nonparametric Analysis With New Zealand Data***by*David E. A. Giles & Betty J. Johnson**0005 A Saddlepoint Approximation to the Distribution Function of the Anderson-Darling Test Statistic***by*David E. A. Giles**0004 Preliminary-Test and Bayes Estimation of a Location Parameter Under 'Reflected Normal' Loss***by*David E. A. Giles**0003 Modelling the Underground Economies in Canada and New Zealand: A Comparative Analysis***by*Lindsay M. Tedds & David E. A. Giles**0002 Export-Led Growth: A Survey of the Empirical Literature and Some Noncausality Results, Part 2***by*Judith A. Giles & Cara L. Williams**0001 Export-Led Growth: A Survey of the Empirical Literature and Some Noncausality Results, Part 1***by*Judith A. Giles & Cara L. Williams

### 1999

**9914 Some Pretesting Issues on Testing for Granger Noncausality***by*Judith A. Giles & Sadaf Mirza**9913 Is Adaptive Estimation Useful for Panel Models With Heteroskedasticity in the Unit-Specific Error Component? Some Monte Carlo Evidence***by*Nilanjana Roy**9912 Testing for Unit Roots in Semi-Annual Data***by*Sandra G. Feltham & David E.A. Giles**9911 Asymmetric Responses of the Underground Economy to Tax Changes: Evidence From New Zealand Data***by*David E. A. Giles & Gugsa T. Werkneh & Betty J. Johnson**9910 Taxes, Risk-Aversion, and the Size of the Underground Economy: A Nonparametric Analysis With New Zealand Data***by*David E. A. Giles & Betty J. Johnson**9909 A Fuzzy Logic Approach to Modelling the Underground Economy***by*Robert Draeseke & David E. A. Giles**9908 The Rental Cost of Sunk and Regulated Capital***by*John P. Small & Henry Ergas**9907 The Canadian Underground and Measured Economies: Granger Causality Results***by*David E. A. Giles & Lindsay Tedds & Gugsa Werkneh**9906 The Timing and Scale of Investment Under Uncertainty***by*John P. Small**9905 Modelling the Hidden Economy and the Tax-Gap in New Zealand***by*David E. A. Giles**9904 The Learning Path of the Hidden Economy: The Tax Burden and Tax Evasion in New Zealand***by*David E. A. Giles, & Patrick J. Caragata**9903 Are Cigarette Bans Really Good Economic Policy?***by*Frank S. Reinhardt & David E.A. Giles**9902 Our Fans in the North: The Demand for British Rugby League***by*J. Colin H. Jones & John A. Schofield & David E.A. Giles**9901 Export-led Growth: A Survey of the Empirical Literature and Some Noncausality Results***by*Judith A. Giles, & Cara L. Williams

### 1998

**9811 Gauss-Newton, Milliken-Graybill, and Exact Misspecification Testing Using Artificial Regressions***by*Kenneth G. Stewart**9810 Modelling the Hidden Economy and the Tax-Gap in New Zealand***by*David E. A. Giles**9809 Measuring The Hidden Economy: Implications for Econometric Modelling***by*David E. A. Giles**9808 The Underground Economy: Minimizing the Size of Government***by*David E. A. Giles**9807 The Hidden Economy and the Tax-Gap in New Zealand: A Latent Variable Analysis***by*David E. A. Giles**9806 Robust Specification Testing in Regression: The FRESET Test and Autocorrelated Disturbances***by*Linda F. DeBenedictis, & David E. A. Giles**9805 The Learning Path of the Hidden Economy:Tax and Growth Effects in New Zealand***by*David E. A. Giles, & Patrick J. Caragata**9804 Simulating the Relationship Between the Hidden Economy and the Tax Level and Tax Mix in New Zealand***by*Patrick J. Caragata, & David E. A. Giles**9803 Modelling the Tax Compliance Profiles of New Zealand Firms: Evidence from Audit Records***by*David E. A. Giles**9802 Testing for Unit Roots With Missing Observations***by*Kevin F. Ryan & David E. A. Giles**9801 The Underground Economy: Minimizing the Size of Government***by*David E.A. Giles