A unifying theory of tests of rank

The general principles underlying tests of matrix rank are investigated. It is demonstrated that statistics for such tests can be seen as implicit functions of null space estimators. In turn, the asymptotic behaviour of the null space estimators is shown to determine the asymptotic behaviour of the statistics through a plug-in principle. The theory simplifies the asymptotics under a variety of alternatives of empirical relevance as well as misspecification, clarifies the relationships between the various existing tests, makes use of important results in the numerical analysis literature, and motivates numerous new tests. A brief Monte Carlo study illustrates the results

Testing subspace Granger causality

The methodology of multivariate Granger non-causality testing at various horizons is extended to allow for inference on its directionality. Empirical manifestations of these subspaces are presented and useful interpretations for them are provided. Simple vector autoregressive models are used to estimate these subspaces and to find their dimensions. The methodology is illustrated by an application to empirical monetary policy, where a conditional form of Okun’s law is demonstrated as well as a statistical monetary policy reaction function to oil price changes

Geometric and long run aspects of Granger causality

This paper extends multivariate Granger causality to take into account the subspaces along which Granger causality occurs as well as long run Granger causality. The properties of these new notions of Granger causality, along with the requisite restrictions, are derived and extensively studied for a wide variety of time series processes including linear invertible processes and VARMA. Using the proposed extensions, the paper demonstrates that: (i) mean reversion in is an instance of long run Granger non-causality, (ii) cointegration is a special case of long run Granger non-causality along a subspace, (iii) controllability is a special case of Granger causality, and finally (iv) linear rational expectations entail (possibly testable) Granger causality restriction along subspaces

The Spectral Approach to Linear Rational Expectations Models

This paper considers linear rational expectations models in the frequency domain under general conditions. The paper develops necessary and sufficient conditions for existence and uniqueness of particular and generic systems and characterizes the space of all solutions as an affine space in the frequency domain. It is demonstrated that solutions are not generally continuous with respect to the parameters of the models, invalidating mainstream frequentist and Bayesian methods. The ill-posedness of the problem motivates regularized solutions with theoretically guaranteed uniqueness, continuity, and even differentiability properties. Regularization is illustrated in an analysis of the limiting Gaussian likelihood functions of two analytically tractable models.Comment: JEL Classification: C10, C32, C62, E3

Social Responsibility Accounting and its Role in the Assessment of the Social Performance of the Business Organizations

The social difficulties have been grown worldwide, in particular in the developing countries, under which the Arab countries are classified and form an important part thereof. This era is characterized by the era of giant organizations (The incorporated companies) as well as known the era of globalization, where the whole world becomes a small town in the light of the modern communication means. To avoid efforts scattering, losing accountabilities and resources, all individuals of the Arab Society must cooperate, to confront these challenges. This requires the development of concept and then the role which can be played by the Business Organizations in both aspects; the economic activity and social activity, in the consideration that these organizations have rights and at the same time commitments towards the society. Due to the fact that these organizations enjoy the wealth of the society, including the various natural, material and human resources, so they must contribute in solving its difficulties within their capabilities and capacity. This will lead us to the position of recognition the social responsibilities side by side with the special responsibility (financial) of the organizations owners.

Consistent estimation of panel data sample selection models

Consistent estimation of panel data sample selection model