Simulated z-tests in multinomial probit models

Within the framework of Monte Carlo experiments, this paper systematically compares different versions of the simulated z-test (using the GHK simulator) in one- and multiperiod multinomial probit models. One important finding is that, in the flexible probit models, the tests on parameters of explanatory variables mostly provide robust results in contrast to the tests on variance-covariance parameters. Overall, neither the amount of random draws in the GHK simulator nor the choice of a certain version of the simulated z-test have a strong influence on the test results. This finding refers to the conformity between the shares of type I errors and the basic significance levels as well as to the number of type II errors. In contrast, the number of type II errors in the simulated z-tests on variance-covariance parameters is reduced by increasing the sample size. Effects of misspecifications on simulated z-tests only appear in the multiperiod multinomial probit model. In this case, the inclusion of the concept of the quasi maximum likelihood theory in the simulated z-test provides comparatively more favourable results. --

Disentangling Specific Subsets of Innovations : A Micro-Econometric Analysis of their Determinants

Based on a unique firm-level data set from the German manufacturing sector, this paper disentangles environmental and non-environmental product and process innovations. The multivariate probit analysis shows that the various innovation types are determined by different factors. The estimation results suggest a policy mix which comprises the encouragement of R&D activities, certified management systems, and specific management activities referring to environmentally friendly products when the implementation of all innovation types is to be supported.Product and process innovations, Environmental and non-environmental innovations, Management systems, Multivariate probit models

Individual Characteristics and Stated Preferences for Alternative Energy Sources and Propulsion Technologies in Vehicles: A Discrete Choice Analysis

This paper empirically examines the determinants of the demand for alternative energy sources and propulsion technologies in vehicles. The data stem from a stated preference discrete choice experiment with 598 potential car buyers. In order to simulate a realistic automobile purchase situation, seven alternatives were incorporated in each of the six choice sets, i.e. hybrid, gas, biofuel, hydrogen, and electric as well as the common fuels gasoline and diesel. The vehicle types were additionally characterized by a set of attributes, such as purchase price or motor power. Besides these vehicle attributes, our study particularly considers a multitude of individual characteristics, such as socio-demographic and vehicle purchase variables. The econometric analysis with multinomial probit models identifies some population groups with a higher propensity for alternative energy sources or propulsion technologies in vehicles, which can be focused by policy and automobile firms. For example, younger people and people who usually purchase environment-friendly products have a higher stated preference to purchase biofuel, hydrogen, and electric automobiles than other population groups. Methodologically, our study highlights the importance of the inclusion of taste persistence across the choice sets. Furthermore, it suggests a high number of random draws in the Geweke-Hajivassiliou-Keane simulator, which is incorporated in the simulated maximum likelihood estimation and the simulated testing of statistical hypotheses.Alternative energy sources and propulsion technologies in vehicles, stated preferences, discrete choice, multinomial probit models, unobserved heterogeneity, simulated maximum likelihood estimation

Is it Beneficial to be Included in a Sustainability Stock Index? A Panel Data Study for European Firms

This paper empirically examines the effect of the inclusion in one of the most prominent sustainability stock indexes, namely the Dow Jones Sustainability World Index (DJSI World), on corporate financial performance. On the basis of panel data for European firms that were included in the Dow Jones Stoxx 600 Index over time, our micro-econometric analysis confirms the relevance of unobserved firm heterogeneity since the validity of restricted pooled regression models is statistically rejected in favor of random or fixed effects models. As a consequence, the strong positive impacts of the inclusion in the DJSI World on return on assets and Tobin’s Q in pooled regression models become weaker and less robust in the case of return on assets and even insignificant for Tobin’s Q in the flexible panel data models that include unobserved firm heterogeneity. Therefore, we conclude that the application of misspecified panel data approaches, similar to cross-sectional models, can lead to biased parameter estimates and thus to premature conclusions with respect to the impact of corporate sustainability performance on financial performance. Our estimation results can be explained by the high number of confounding financial effects of corporate environmental or social activities. Another explanation for the predominant weak or neutral impacts of the inclusion in the DJSI World could be the composition of this stock index, which is influenced by factors that need not necessarily be directly connected to corporate environmental or social activities.Sustainability stock index, Corporate environmental and social activities, Corporate financial performance, Panel data models

Simulated Classical Tests in the Multiperiod Multinomial Probit Model

This paper compares different versions of the simulated counterparts of the Wald test, the score test, and the likelihood ratio test in the multiperiod multinomial probit model. Monte Carlo experiments show that the simple form of the simulated likelihood ratio test delivers the most favorable test results in the five-period three-alternative probit model considered here. This result applies to the deviation of the frequency of type I errors from the given significance levels as well as to the frequency of type II errors. In contrast, the inclusion of the quasi maximum likelihood theory into the simulated likelihood ratio test leads to substantial computational problems. The combination of this theory with the simulated Wald test or the simulated score test also produces no general advantages over the other versions of these two simulated classical tests. Neither an increase in the number of observations nor a rise in the number of random draws in the considered GHK simulator systematically lead to a more precise conformity between the frequency of type I errors and the basic significance levels. An increase in the number of observations merely reduces the frequency of type II errors. --Simulated classical tests,multiperiod multinomial probit model,Monte Carlo simulation

Two-parameter scaling theory of transport near a spectral node

We investigate the finite-size scaling behavior of the conductivity in a two-dimensional Dirac electron gas within a chiral sigma model. Based on the fact that the conductivity is a function of system size times scattering rate, we obtain a two-parameter scaling flow toward a finite fixed point. The latter is the minimal conductivity of the infinite system. Depending on boundary conditions, we also observe unstable fixed points with conductivities much larger than the experimentally observed values, which may account for results found in some numerical simulations. By including a spectral gap we extend our scaling approach to describe a metal-insulator transition.Comment: 4.5 pages, 4 figures, published versio

Quantum Hall effect induced by electron-phonon interaction

When phonons couple to fermions in 2D semimetals, the interaction may turn the system into an insulator. There are several insulating phases in which the time reversal and the sublattice symmetries are spontaneously broken. Examples are many-body states commensurate to Haldane's staggered flux model or to lattice models with periodically modulated strain. We find that the effective field theories of these phases exhibit characteristic Chern-Simons terms, whose coefficients are related to the topological invariants of the microscopic model. This implies that the corresponding quantized Hall conductivities characterize these insulating states.Comment: Accepted for publishing with Annals of Physics on April 30th, 202

Renormalized transport properties of randomly gapped 2D Dirac fermions

We investigate the scaling properties of the recently acquired fermionic non--linear $\sigma$--model which controls gapless diffusive modes in a two--dimensional disordered system of Dirac electrons beyond charge neutrality. The transport on large scales is governed by a novel renormalizable nonlocal field theory. For zero mean random gap, it is characterized by the absence of a dynamic gap generation and a scale invariant diffusion coefficient. The $\beta$ function of the DC conductivity, computed for this model, is in perfect agreement with numerical results obtained previously.Comment: Version published with minor change

Perturbative analysis of the conductivity in disordered monolayer and bilayer graphene

The DC conductivity of monolayer and bilayer graphene is studied perturbatively for different types of disorder. In the case of monolayer, an exact cancellation of logarithmic divergences occurs for all disorder types. The total conductivity correction for a random vector potential is zero, while for a random scalar potential and a random gap it acquires finite corrections. We identify the diagrams which are responsible for these corrections and extrapolate the finite contributions to higher orders which gives us general expressions for the conductivity of weakly disordered monolayer graphene. In the case of bilayer graphene, a cancellation of all contributions for all types of disorder takes place. Thus, the minimal conductivity of bilayer graphene turns out to be very robust against disorder.Comment: 4 pages, 2 figures + supplementary material. Final version as published with PR

Emergent Chern-Simons excitations due to electron--phonon interaction

We address the problem of Dirac fermions interacting with longitudinal phonons. A gap in the spectrum of fermions leads to the emergence of the Chern--Simons excitations in the spectrum of phonons. We study the effect of those excitations on observable quantities: the phonon dispersion, the phonon spectral density, and the Hall conductivity.Comment: 9 pages, 4 figure