Wally Smieliauskas, A Simulation Analysis of the Power Characteristics of Some Popular Estimators Under Different Risk and Materiality Levels, Journal of Accounting Research, Vol. 24, No. 1 (Spring, 1986), pp. 217-230
Stephan E. Sefcik, Rex Thompson, An Approach to Statistical Inference in Cross-Sectional Models with Security Abnormal Returns As Dependent Variable, Journal of Accounting Research, Vol. 24, No. 2 (Autumn, 1986), pp. 316-334
Robert E. Hoskin, John S. Hughes, William E. Ricks, Evidence on the Incremental Information Content of Additional Firm Disclosures Made Concurrently with Earnings, Journal of Accounting Research, Vol. 24, Studies on Alternative Measures of Accounting Income (1986), pp. 1-32
A series of studies reported in this Journal has addressed the question of whether evaluative styles of managers, which vary in terms of their reliance on accounting-based performance assessments, have systematically different behavioral consequences. These studies have produced conflicting results. In particular, Otley [1978] failed to confirm Hopwood's [1972] earlier findings that evaluative styles dominated by a heavy reliance on accounting performance measures, or a high budget-emphasis (BE), had adverse effects on job-related tension (JRT) and managerial performance. In two independent attempts to reconcile this conflict, Brownell [1982] found that a high (low) BE had positive effects on performance so long as budget participation is also high (low), and Hirst [1983] found that a high (low) BE is associated with low JRT in situations of low (high) task uncertainty. In this paper we report the results of a study which links the Brownell and Hirst attempts to reconcile the above conflict. More specifically, our objective was to assess the extent to which Brownell's finding also depends on the level of task uncertainty, the primary independent variable in the Hirst study. Arguments are presented which predict that
[This paper studies conditions for competitiveness of strategic market games where agents set prices and quantities (a game is said to be competitive if its Nash equilibria are Walrasian). Some necessary conditions are first derived which show that discontinuities in the strategic outcome functions may be an essential element for competitiveness. Then a set of economically meaningful sufficient conditions for competitiveness are derived. These bridge the gap between visions of competition "à la Bertrand" and some recent non-Walrasian concepts.]
In many countries holders of patents must pay an annual renewal fee in order to keep their patents in force. This paper uses data on the proportion of patents renewed, and the renewal fees faced by, post World War II cohorts of patents in France, the United Kingdom, and Germany, in conjunction with a model of patent holders' renewal decisions, to estimate the returns earned from holding patents in these countries. Since patents are often applied for at a nearly stage in the innovation process, the model allows agents to be uncertain about the sequence of returns that will be earned if the patent is kept inforce. Formally, then, the paper presents and solves a discrete choice optimal stochastic control model, derives the implications of the model on aggregate behaviour, and then estimates the parameters of the model from aggregate data. The estimates enable a detailed description of the evolution of the distribution of returns earned from holding patents over their life spans,and calculations of both; the annual returns earned from holding the patents still in force (or the patent stocks) in the alternative countries, and the distribution of the discounted value of returns earned from holding the patents in a cohort.
We consider a regression in which one of the observed variables is a proxy for some unobserved variable. Given a lower bound for the correlation between the proxy and the unobserved true variable for which it substitutes, we derive intervals in which the coefficients of the unobserved true regression must lie, regardless of any other correlations involving unobserved variables or disturbances. We present a simple solution for the important special case in which only the signs of the coefficients are of concern and one seeks the smallest correlation between the proxy and the true variable that guarantees the correctness of the signs of the coefficients in the proxy regression. We also present an algorithm for extending these results to the multiple-proxy problem. ATTEMPrS TO CONFRONT economic theories with data are often hampered by the problem that some of the relevant variables are unavailable or even unobservable. In the case of regression models it is customary to substitute proxies for the unavailable variables. Though the coefficients in the proxy regression will not coincide with those in the regression of the dependent variable on the explanatory variables, it is clear by continuity that the differences will be small if each proxy is sufficiently highly correlated with the unobserved true variable for which it substitutes, even if its error is correlated with other errors or variables. Moreover, in many instances the theory predicts not the magnitudes but only the signs of the regression coefficients. Correct inferences will then be drawn from the model provided that the pairwise correlations between the proxies and the true variables are high enough to guarantee that the signs of the regression coefficients would be unchanged if the proxies were replaced by the true variables. In applications econometricians can generally assess those pairwise correlations subjectively, but how high do they need to be? In this paper we present a complete answer to this question when only one variable is a proxy, and describe an algorithm for determining the required correlations when there are several proxies. The effects of proxy variables have been extensively studied in the special case of errors-in-variables (EIV), in which the differences between the proxies and the corresponding true variables (the errors) are independent of the true variables, of each other, and of the disturbances in the true regression. We require no such independence. In the EIV case it is sometimes possible to guarantee correctness of the signs of the coefficients even without prior information about the variances of the measurement errors. For example, if the coefficient vector from the direct regression and the coefficient vectors from the reverse regressions (as one varies the left-side variable) all lie in the same orthant, then the coefficient vector in the true regression must also lie in that orthant (see
[In markets with satiation, competitive equilibria may fail to exist, because no matter what the prices are, the satiation points of some traders may be in the interiors of their budget sets. Thus some traders will be using less than the maximum budget available to them, creating a total budget excess. This suggests a revision of the equilibrium concept that allows the budget excess to be divided among all the traders, as dividends. Each trader's budget is then the sum of his dividend and the market value of his endowment. A given system of dividends and prices defines a dividend equilibrium if it generates equal supply and demand. This in itself is not satisfactory because it is too broad: Every Pareto optimal allocation is sustained by some system of dividends and prices. However, the Shapely value yields much more specific information. We prove that, when there are many individually insignificant agents, every Shapely value allocation is generated by a system of dividends and prices in which all dividends are nonnegative and depend only on the net trade sets of the agents, not on their utilities. Moreover, the dependence is monotonic; the larger the net trade set, the higher the dividend. The same result holds for markets with fixed prices, which can be analyzed formally as a special case of markets with satiation. On a more technical level, our analysis has some unusual features. We use a finite-type asymptotic model, rather than a nonatomic continuum. Surprisingly, the results are qualitatively different. (The continuum is too rough a tool for our problem, and leads to inconclusive results.) Also, small coalitions play a critical role in our analysis. (We are led to equations in which the first-order terms cancel; the second-order terms, which take events of small probability into account, become decisive.)]
A test of weak exogeneity in the simultaneous equation Tobit model is proposed and illustrated using a female labour supply model estimated using cross-section data. The test statistic can be simply output from any standard Tobit maximum likelihood package, and is asymptotically efficient. The procedure provides consistent estimators for the simultaneous Tobit model whose asymptotic covariance matrix is a simple extension of the usual Tobit formula. We also provide the Lagrange Multiplier test of weak exogeneity. (This abstract was borrowed from another version of this item.)