New Approach to Estimating Gravity Models with Heteroscedasticity and Zero Trade Values

This paper proposes new estimation techniques for gravity models with zero trade values and heteroscedasticity. We revisit the standard PPML estimator and we propose an improved version. We also propose various Heckman estimators with different distributions of the residuals, nonlinear forms of both selection and measure equations, and various process of the variance. We add to the existent literature alternative estimation methods taking into account the non-linearity of both the variance and the selection equation. Moreover, because of the unavailability of pre-set package in the econometrics software (Stata, Eviews, Matlab, etc.) to perform the estimation of the above-mentioned Heckman versions, we had to code it in Matlab using a combination of fminsearch and fminunc functions. Using numerical gradient matrix G, we report standard errors based on the BHHH technique. The proposed new Heckman version could be used in other applications. Our results suggest that previous empirical studies might be overestimating the contribution of the GDP of both import and export countries in determining the bilateral trade

New Approach to Estimating Gravity Models with Heteroscedasticity and Zero Trade Values

This paper proposes new estimation techniques for gravity models with zero trade values and heteroscedasticity. We revisit the standard PPML estimator and we propose an improved version. We also propose various Heckman estimators with different distributions of the residuals, nonlinear forms of both selection and measure equations, and various process of the variance. We add to the existent literature alternative estimation methods taking into account the non-linearity of both the variance and the selection equation. Moreover, because of the unavailability of pre-set package in the econometrics software (Stata, Eviews, Matlab, etc.) to perform the estimation of the above-mentioned Heckman versions, we had to code it in Matlab using a combination of fminsearch and fminunc functions. Using numerical gradient matrix G, we report standard errors based on the BHHH technique. The proposed new Heckman version could be used in other applications. Our results suggest that previous empirical studies might be overestimating the contribution of the GDP of both import and export countries in determining the bilateral trade

Dependence patterns across Gulf Arab stock markets: a copula approach

Underpinned by rising hydrocarbon revenues, the stock markets of the six GCC (Gulf Cooperation Council) countries have demonstrated significant integration over the past decade. This paper studies the dependence patterns of the bivariate distribution of returns across seven GCC stock markets over the period 2004-2013 using copula models. The results of the marginal models indicate strong volatility persistence in all the seven equity markets. The results from the copula models indicate that the conditional dependence across all 21 pairs of equity markets’ returns is not strictly symmetric in that the lower tail dependence is significantly greater that the upper tail dependence. The stock markets of Abu Dhabi and Dubai appear as the primary source of asymmetric dependence across the different equity market pairs

Analysis of the performance of TAM in oil and gas industry: Factors and solutions for improvement

Although it is well recognized that turnaround maintenance (TAM) projects are key determinant of the performance of oil and gas (O&G) companies, little is known about the factors that determine their performance and what solutions can be proposed to improve their reliability and efficiency. This paper aims at filling this gap. For this purpose, a focus group analysis was conducted to identify the factors affecting the performance of TAM projects and propose alternatives for improvement. Next, a questionnaire was administered with managers and practitioners of O&G TAM in Qatar to collect the required data set for the analysis. Using the Analytic Hierarchy Process (AHP) approach, our empirical findings reveal that the top five factors affecting TAM's performance in the O&G sector are labor skills, lack of supervision, communication skills, safety-related issues and on-site labor transportation. The study found that improving estimates of activities' durations and resources is the best solution to improve the performance of TAM in O&G companies. 2020 The Author(s)Scopu

New nonlinear estimators of the gravity equation

The gravity model of international trade is often applied by economists to explain bilateral trade between countries. Nevertheless, some estimation practices have been subject to criticism, namely how zero trade values and the heteroskedasticity are handled. This paper proposes new nonlinear estimation techniques to address these issues. In particular, we propose standard and generalized versions of the nonlinear Heckman two-step approach that do not require the log-linearization of the gravity equation and corrects for non-random selection bias, and a generalized nonlinear least squares estimator that can be viewed as an iterative version of the normal family Quasi-Generalized Pseudo-Maximum-Likelihood estimator. Monte Carlo simulations show that our proposed estimators outperform existent linear and nonlinear estimators and are very efficient in correcting the selection bias and reducing the standard deviation of the estimates. Empirical results show that previous studies have overestimated the contribution of variables such as importer’s income, distance, remoteness, trade agreements, and openness

Impact of terrorist attacks on stock market volatility in emerging markets

We use an event study methodology alongside an improved bootstrapping test to evaluate the impact of terrorist attacks on the volatility of stock markets in 12 MENA countries, and test for regional financial integration. Results show that the impact of terrorist attacks on financial markets volatility lasts about 20 trading days, which is considered to be long compared to the term effect of similar events in developed markets. Moreover, we find evidence of regional financial integration. Our robustness check shows that the bootstrapping approach is more robust, and that theoretical p-values might be misleading if underlying assumptions are violated. 2016 Elsevier B.V.Scopu

Does sukuk market development spur economic growth?

We investigate the impact of sukuk market development on economic growth using a sample comprising all sukuk-issuing countries spanning the period 1995-2015. We use the system GMM estimator to tackle potential omitted variable bias, endogeneity, and simultaneity issues. We report a strong and robust evidence that sukuk market development is conducive to economic growth, even after controlling for various measures of financial market development, institutional quality, and classical determinants of economic growth. In addition, the evidence does not support the well-known positive association between financial development and economic growth. We conclude that the development of sukuk markets may have promoted financial inclusion by eliminating the negative effects of religious self-exclusion, which stimulates investment and economic growth. 1 2017 Elsevier B.V.Scopu

Managing sustainable development through goal programming model and satisfaction functions

Managing the sustainable development path of a nation requires the aggregation of incommensurable and conflicting objectives related to economic, environmental and social dimensions. Their aggregation requires some tradeoffs from stakeholders with different priorities and preferences. The aim of this paper is to develop a multiple objectives decision aid model where stakeholders preferences are explicitly integrated within a group decision-making process based on consensus and tradeoffs. This model is based on the concept of the satisfaction function, where stakeholders preferences are explicitly taken into consideration. The developed model is illustrated through an example related to the Canadian 2030 agenda for sustainable development.Scopu