nep-ict New Economics Papers
on Information and Communication Technologies
Issue of 2007‒07‒20
two papers chosen by
Walter Frisch
University Vienna

  1. Time Series Modelling with Semiparametric Factor Dynamics By Szymon Borak; Wolfgang Härdle; Enno Mammen; Byeong U. Park
  2. Are labor regulations driving computer usage in India ' s retail stores ? By Amin, Mohammad

  1. By: Szymon Borak; Wolfgang Härdle; Enno Mammen; Byeong U. Park
    Abstract: High-dimensional regression problems which reveal dynamic behavior are typically analyzed by time propagation of a few number of factors. The inference on the whole system is then based on the low-dimensional time series analysis. Such highdimensional problems occur frequently in many different fields of science. In this paper we address the problem of inference when the factors and factor loadings are estimated by semiparametric methods. This more flexible modelling approach poses an important question - Is it justified, from inferential point of view, to base statistical inference on the estimated times series factors? We show that the difference of the inference based on the estimated time series and true unobserved time series is asymptotically negligible. Our results justify fitting vector autoregressive processes to the estimated factors, which allows one to study the dynamics of the whole high-dimensional system with a low-dimensional representation. We illustrate the theory with a simulation study. Also, we apply the method to a study of the dynamic behavior of implied volatilities and discuss other possible applications in finance and economics.
    Keywords: semiparametric models, factor models, implied volatility surface, vector autoregressive process, asymptotic inference.
    JEL: C14 C32 G12
    Date: 2007–04
  2. By: Amin, Mohammad
    Abstract: A recent survey of 1,948 retail stores in India conducted by the World Bank ' s Enterprise Surveys shows that 19 percent of the stores use computers for their business. In some states like Kerala, computer use is as high as 40 percent. Using this data the author finds labor regulation as an important determinant of computer use. His estimates suggest that when faced with burdensome labor regulations, the probability of using a computer rises by over 36 percentage points for an average store. These findings formally confirm a commonly held but untested view that labor regulation may be responsible for the spread of labor saving modern technology.
    Keywords: Labor Markets,Regulatory Regimes,Public Sector Regulation,Urban Economics,Public & Municipal Finance
    Date: 2007–07–01

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