GMM Tests Research Articles

The impact of population influx on infectious diseases - from the mediating effect of polluted air transmission.

The global population influx during the COVID-19 pandemic poses significant challenges to public health, making the prevention and control of infectious diseases a pressing concern. This paper aims to examine the impact of population influx on the spread of infectious diseases, with a specific emphasis on the mediating role of air pollution in this process. A theoretical analysis is conducted to explore the relationship between population influx, air pollution, and infectious diseases. Additionally, we establish a series of econometric models and employ various empirical tests and analytical techniques, including mediation effect test, threshold effect test, and systematic GMM test, to evaluate our hypotheses. The results indicate that: (1) Population influx directly and indirectly impacts infectious diseases. Specifically, population influx not only directly elevates the risk of infectious diseases, but also indirectly increases the incidence rate of infectious diseases by intensifying air pollution. (2) The impact of population inflow on infectious diseases exhibits regional heterogeneity. Compared to central and western China, the eastern regions exhibit a significantly higher risk of infectious diseases, exceeding the national average. (3) External factors influence the relationship between population influx and infectious diseases differently. Personal income and medical resources both help mitigate the risk of infectious diseases due to population influx, with medical resources having a more substantial effect. Contrary to expectations, abundant educational resources have not reduced the risk, instead, they have exacerbated the risk associated with population influx. This paper provides a scientific basis for formulating effective strategies for the prevention and control of infectious diseases.

Public debt and macroeconomic stability among sub-Saharan African countries: a system GMM test approach

Public debt and macroeconomic stability among sub-Saharan African countries: a system GMM test approach

The Optimal Tax Structure from GDP-growth Perspective

The tax multiplier in macroeconomics assumes a negative relationship between the volume of tax revenue in a country and its GDP. However, it may also be relevant to GDP growth whether the same volume of tax burden is levied in a different structure. Can the fiscal government stimulate the GDP growth by restructuring the tax revenues? The following study analyses the linkage between GDP growth rate and the structure of tax revenues. A database contains data from 25 EU countries which are open economies in the European single market. The period starts in 1996 and lasts until 2018. The Eurostat classification is used for tax types. Dynamic GMM tests are applied for GDP equations based on expenditure and output approach and extended with taxation category determinants. The conclusions are that tax structure based on consumer taxes on production and income tax can support the economic growth, meanwhile higher weight of social contribution is a destructive factor for income expansion. The policy recommendation is to reweight the tax structure toward indirect taxes from direct taxes if economic growth is a preference in the tax system in a trade-oriented open economy. Novelty of the research: Application of Arellano-Bond version of Dynamic GMM test, comparable results for Solow-Swan and augmented Cobb-Douglas approaches, the composition of database, the falsification and verification of statements of the existing literature.

Capital flight from BRICS nations: Does every cloud have a silver lining?

This study investigates the potential determinants of capital flight from BRICS countries. We use the residual method to estimate capital flight and employ GMM testing approach. We find a surge in the volume of capital flight from BRICS especially in the aftermath of global financial crisis. The empirical results suggest that, past values of the capital flight, real GDP growth rates, exchange rate depreciation, unemployment rate, business confidence index and financial stability indicator as significant factors causing resident capital outflows from BRICS nations. These findings call for an effective policy framework by the fiscal and monetary authorities.

Low Equality for Women, Slower Economic Growth for All? Evidence from D-8 Countries

Gender equality promotes economic improvement and reduces income inequality. Considering the goal of all countries to achieve faster and stronger economic growth, improving gender equality may represent a promising solution. This paper examines the link between gender equality and economic growth in the ‘Developing Eight’ (D-8) countries from 1998 to 2021. This study provides estimation using a system GMM and panel causality test to determine the effect of gender equality on economic growth. The results indicate a positive and significant effect of gender equality on economic output in D-8 countries. Heterogenous panel non-causality findings suggest that gender equality and economic output have a bidirectional relationship in D-8 countries, indicating that economic output also affects gender equality.

Does effective corporate governance mitigate the negative effect of ESG controversies on firm value?

This study examines the effect of corporate governance on the relationship between ESG controversies and firm value. Panel data consisting of 883 non-financial Chinese listed firms from 2018 to 2022 are analyzed. We find a significant and negative impact of ESG controversies on firm value. The presence of effective corporate governance is found to mitigate the negative impact of ESG controversies on firm value. The findings are robust to the two step GMM, 2SLS method and heteroskedasticity test. Then we explore the influence of internal governance factors and external corporate governance factors respectively. Among the internal factors, we find that board gender diversity, board independence, equity incentive, and high reputation VC/PE shareholdings all have a significant and positive impact, while board size and sustainability committees have no significant impact. In terms of external governance factors, ESG controversies in regions with fierce market competition have a relatively small impact on firm value, while those in regions with perfect legal environment have a more severe impact on firm value. Further analysis shows that environmental, social and governance controversies urge enterprises to improve their environmental and social performance and reduce inefficient investment respectively, and these effects are more pronounced in the corporate governance group with high level. However, governance controversies have no impact on accounting information quality. These findings have important policy implications for managers and practitioners by supporting the idea of companies adopting appropriate corporate governance practices that can effectively mitigate the negative effects of corporate controversies.

Ownership Concentration and Audit Actions

This study presents current evidence on the impact of different corporate ownership types on audit quality in Oman and potentially in other developing countries with similar institutional environments, such as GCC countries. While previous research has primarily focused on overall ownership concentration, this study aims to examine the role of specific shareholder identities and their influence on the demand for audit quality. This research sheds light on the relationship between ownership identities and audit quality of Omani financial companies listed on the Muscat Stock Exchange from 2014 to 2020. This study employs additional analysis to mitigate potential confounding factors and ensure robust results. Additionally, a GMM test establishes the robustness of our findings, alleviating potential endogeneity concerns. The findings highlight the positive impact and significance of bank, government, and foreign ownership in promoting high audit quality. In contrast, ownership by financial institutions (non-banks) and block holder concentrations negatively and significantly impact audit quality. In addition, this study found that family members on boards play positive moderating roles in the relationship between ownership concentration and audit quality. In addition to contributing to the existing literature, this study provides valuable insights for regulatory bodies to consider the role of ownership types in their decision-making processes. Our findings also assist investors in making informed choices and offer a better understanding of how ownership structures influence audit quality for other stakeholders. The implications of this research extend beyond Oman and can be relevant to countries with similar ownership structures and regulatory frameworks.

Ownership concentration and R&D investment: the moderating role of stock options

PurposeThis study aims to elaborate on how firms manage research and development (R&D) activities by examining the relationship between ownership concentration and corporate R&D investment, as well as the moderating role of stock options in this relationship.Design/methodology/approachThe study sample comprised 354 Chinese listed firms from 2011 to 2019, and the Tobit model and the system GMM test are used to check robustness.FindingsThe results reveal that ownership concentration and R&D investment have an inverted U-shaped relationship. In the presence of stock options, this inverted U-shaped relationship is significantly weaker.Originality/valueThe results have important managerial implications for firms that aim to grant stock options and improve the impact of ownership concentration on R&D investment strategies.

RETRACTED: Financial development, financial inclusion and natural resource management for sustainable development: Empirical evidence from Asia

A nation's economy relies heavily on the interplay of the nexus between the financial sector and the income generated by its natural resources. The key reasons for doing this research are the recent advancement and significant rise in the academic literature about the resource‐finance nexus. This study aims to assess the impact of financial development, financial inclusion and natural resources development on environmental sustainability in Asia's presence of renewable sources and foreign direct investment from 2000 to 2020. We used the Cross‐section dependency and second‐generation unit root tests to fix the data. Panel threshold model findings, the significant research model, reveal that green innovation significantly affects environmental sustainability and is an efficient method for lowering pollution levels. The strong correlation between financial growth and environmental sustainability further underscores the importance of financial development in resolving environmental concerns. Granger causality demonstrates the strong long‐run influence of financial growth and natural resources management on environmental sustainability in leading countries. The robustness of the GMM test ensures the validity of the research conclusions. This research is useful because it informs policymakers and other interested parties about the significance of green innovation and financial development in reducing environmental consequences while emphasizing the relevance of energy choices in achieving long‐term environmental goals.

Can Equity Incentives Restrain Defensive Behaviors in Corporate Cash Holding Decisions?

The present study aims to explore the effect of equity incentive intensity on defensive behavior in enterprise cash holding decision-making using ordinary least squares, System GMM, and Heckman tests. This study finds that the higher the intensity of equity incentives, the lower the level of corporate excess cash holdings. The intensity of equity incentives inhibits defensive behavior in corporate cash holding decisions. A substitute relationship is observed between equity incentive intensity and product market competition in the inhibition of management defensive behavior in cash holding decision. Our further research finds that the inhibitory effect of equity incentive intensity on the defensive behavior of cash holding decisions mainly exists in the case of ineffective supervision by large shareholders and creditors. For theoretical contribution, this paper tries to explore the governance effect of equity incentive on the management defensive behavior in a company’s cash holding decision making. It also reveals the substitute relationship between the intensity of equity incentive and the product market competition in suppressing the management defensive behavior in the cash holding decision of enterprises. Moreover, it provides new evidence for the governance effect of equity incentive in the institutional environment and expands the literature on equity incentive effects.

Ecological Civilization and High-Quality Development: Do Tourism Industry and Technological Progress Affect Ecological Economy Development?

The tourism industry is considered a smokeless industry or green economy. Under the circumstances of carbon peaking and carbon neutrality, it is essential and urgent to explore whether the tourism industry and technological progress can promote ecological economy development. Based on the panel data of 30 provinces in mainland China from 2007-2019, this paper, for the first time, incorporates the tourism industry, technological progress, and ecological economy development into the analytical framework by constructing a PVAR model. In addition, this paper calculates the indicator weights of each variable using the entropy weighting method. This paper utilizes GMM tests, impulse response analysis, Monte Carlo simulation, and variance decomposition to empirically investigate the dynamic impact mechanism of variables interacting with each other. The conclusions are as follows. First, the tourism industry always contributes positively to ecological economy development, while technological progress can facilitate ecological economy development in the long run rather than in the short term. Second, the tourism industry also positively contributes to technological progress. Third, ecological economy development has a "crowding out effect" on the tourism industry. Fourth, the tourism industry in developed eastern regions has a more powerful impact on ecological economy development than in underdeveloped middle and western regions. Based on the empirical results, we provide practical implications: first, the assessment system of the regional economy should include ecological development indicators; second, the tourism industry should accelerate the use of clean energy and the transformation of green technological innovation.

Assessing the consistency of the fixed-effects estimator: a regression-based Wald test

Under large-n and fixed-T panel data asymptotics, we develop a method to test a sufficient condition for the FE estimator’s consistency using a stacked regression framework. The resulting test exploits a previously unnoted relation between the fixed-effects estimator and the short- and long-differences estimators. It takes the familiar form of a panel-robust Wald test, but is also shown to be asymptotically equivalent to a GMM test. We provide a theoretical comparison between our test and two existing ones from the literature, which are shown to focus on generic strict exogeneity conditions instead of being specifically related to the FE estimator’s moment conditions. We investigate our test’s finite-sample properties in a simulation study, where we continue the comparison with the other tests. We show that our test has good finite-sample properties, especially if the estimator of the covariance matrix is based on a panel bootstrap. The practical use of our test is illustrated in two applications to existing data from the literature.

Financial development and green innovation, the ultimate solutions to an environmentally sustainable society: Evidence from leading economies

The surge of economic activities in the world's top economies has resulted in a cumulative 57% of the world's pollution, leaving an innate impact on global environmental sustainability goals. This study investigates if financial development and green innovation play some role in de-escalating the pressing environmental challenges worldwide. By developing a comprehensive index for financial development, green innovation, and environmental sustainability from 2000 to 2019, this study aims to assess the impact of financial development and green innovation on environmental sustainability in the presence of renewable energy, non-renewable energy, industrial value-added, urbanization, gross domestic product, research and development and foreign direct investment as additional control variables. The Cross-section dependence and second-generation unit root tests have been deployed to rectify the data properties. Serving as the primary study model, the results of the panel threshold model shows that green innovation has a substantial impact on environmental sustainability and proves to be an effective tool for reducing the environmental pollution. Financial development also has a significant relationship with environmental sustainability, highlighting the significance of financial development in addressing environmental challenges. The robustness GMM test assured the validity of the study results, and granger causality reveals the substantial long-run impact of financial development and green innovation on environmental sustainability in leading economies. The present study helps policymakers and stakeholders identify the importance of green innovation and financial development to lessen environmental impacts while highlighting the role of energy choices in pursuit of long-run environmental interests.

Inclusive Insurance, Income Distribution, and Inclusive Growth.

Financial inclusion, whereby all adults have effective access to financial products, including insurance, has increasingly become a global priority, particularly in low and middle income economies. This study matches the measured development level of inclusive insurance in Chinese provinces with China Family Panel Studies (CFPS) data and evaluates the impact of inclusive insurance on income distribution and inclusive growth. The findings support that inclusive insurance has a positive impact on income distribution and inclusive growth. The effect is more pronounced in eastern areas, rural areas and low-income households. The policy shocks and instrumental variables introduced prove the robustness of the results. PSM-DID test indicate that the inclusive insurance policy has a significant positive effect on income distribution. Alternative measure of inclusive insurance and GMM test with instrumental variables indicate that the results are robust. Additionally, we also find that there is a threshold effect on the impact of the inclusive insurance on income. When the universal insurance index exceeds the threshold value, the promoting effect on income is enhanced.

How Does Chinese Outward Foreign Direct Investment Respond to Host Country Cultural Tolerance and Trust?

Based on 2010 to 2019 Chinese outward foreign direct investment (OFDI) panel data from 39 host countries, this paper studies the relationships between host country cultural characteristics and Chinese OFDI. The OLS regression results show that the cultural tolerance and trust in the host countries are significantly positively correlated with Chinese OFDI, which are robust according to the system GMM tests. Further analysis reveals that cultural tolerance is more positively related to Chinese OFDI in host countries with higher legislation and economic freedom, while cultural trust is positively associated with Chinese OFDI in host countries with lower legislation and economic freedom. In addition, higher cultural tolerance and trust promote Chinese OFDI in countries with greater cultural distance. Unlike traditional studies based on cultural distance in international trade, using more representative cultural characteristics, this paper provides references to Chinese OFDI decision-making based on the root characteristics associated with heterogeneous cultural influences.

Infrastructure investment and economic growth quality: empirical analysis of China’s regional development

ABSTRACT The study aims to systematically examine the role of infrastructure investment on the quality of economic growth by using the regional panel data of 29 Chinese provinces. A comprehensive index is developed using the principal component analysis (PCA) to observe the economic growth quality. Regression results show that China’s infrastructure investment has not exceeded the threshold, and the quality of economic growth has improved significantly. The results were robust using the regional average investment level and infrastructure stock as instrumental variables for 2SLS and system GMM testing. Further, the mediation analysis confirms that infrastructure investment improves economic growth through the physical and material circulation of resources, market integration, and knowledge capital evolution. Overall the results provide more profound policy enlightenment with regards to infrastructure investment.

The impact of language and quality education on regional and economic development: a study of 99 countries

Language and quality education play an important role in enhancing the development of regions and economies. Education systems and language policies implemented by different countries depend upon their individual political, cultural, historic, and economic characteristics. However, it is important for each country to achieve a degree of harmony between their education and language policies (as is the case of Singapore and Ireland). This could help to improve their economic performance and accelerate the wheels of development. To investigate the impact of quality education and language on different regions and economies, this study used panel data from 99 non-English speaking economies during 2009–2017 period. Following the approach of Barro (1991) and Mankiw et al. (1992), a baseline model was augmented (Augmented Solow model) to include language and quality education indicators. In addition, the model was estimated using the Two-step system GMM test. The test also determined which variables could have a long-term impact on the development of the listed panel data (using STATA 15 software). The findings and estimations reveal that language and quality education have a positive impact on the regions and their economic growth. The impact of primary education quality is more significant than the impact of secondary education quality, while the impact of the English language on the development process is positive but not significant. The policy implications are that decision makers should adopt language policies which complement the education system and the economic strategy of the country.

Segmentasi Buah Mangga Menggunakan MLE dan GMM Sebagai Klasterisasi Pixel

Segmentation divides an image into parts or segments that are simpler and more meaningful so they can be analyzed further. The solution that has been found is using the Maximum Likelihood Estimation (MLE) method and the Gausian Mixture Model. GMM is a clustering method. GMM is a function consisting of several Gaussian, each identified by k ∈ {1, ..., K}, where K is the number of clusters in our dataset. Maximum Likelihood estimation is a technique used to find a certain point to maximize a function, this technique is very widely used in estimating a data distribution parameter. Tests carried out using mango images with 10 different backgrounds. GMM will cluster the pixels of the mango image to produce averages and covariates. Then the average and covariance will be used by MLE to qualify each pixel of the mango image. In this study GMM and MLE tests were carried out to segment mangoes. Based on the results obtained, the GMM and MLE methods have an error rate of 13.07% for 3 clusters, 8.06% for 4 clusters, and 6.63% for 5 clusters and good cluster quality with silhouette coefficient values ​​of 0.37686 for 3 clusters, 0.29577 for 4 clusters, and 0.26162 for 5 clusters.

Simple and trustworthy cluster-robust GMM inference

This paper develops a new asymptotic theory for GMM estimation and inference in the presence of clustered dependence. The key feature of our alternative asymptotics is that the number of clusters G is regarded as fixed as the sample size increases. Under the fixed-G asymptotics, we show that the Wald and t tests in two-step GMM are asymptotically pivotal only if we recenter the estimated moment process in the clustered covariance estimator (CCE). Also, the J statistic, the trinity of two-step GMM statistics (QLR, LM, and Wald), and the t statistic can be modified to have an asymptotic standard F distribution or t distribution. We suggest a finite-sample variance correction to further improve the accuracy of the F and t approximations. The proposed tests are very appealing to practitioners because the test statistics are simple modifications of conventional GMM test statistics, and critical values are readily available from F and t tables. No further simulations or resampling methods are needed. A Monte Carlo study shows that our proposed tests are more accurate than the conventional large-G asymptotic inferences.

IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models

Lieberman and Phillips (2016; Journal of Econometrics; LP) introduced a multivariate stochastic unit root (STUR) model, which allows for random, time varying local departures from a unit root (UR) model, where nonlinear least squares (NLLS) may be used for estimation and inference on the STUR coefficient. In a structural version of this model where the driver variables of the STUR coefficient are endogenous, the NLLS estimate of the STUR parameter is inconsistent, as are the corresponding estimates of the associated covariance parameters. This paper develops a nonlinear instrumental variable (NLIV) as well as GMM estimators of the STUR parameter which conveniently addresses endogeneity. We derive the asymptotic distributions of the NLIV and GMM estimators and establish consistency under similar orthogonality and relevance conditions to those used in the linear model. An overidentification test and its asymptotic distribution are also developed. The results enable inference about structural STUR models and a mechanism for testing the local STUR model against a simple UR null, which complements usual UR tests. Simulations reveal that the asymptotic distributions of the the NLIV and GMM estimators of the STUR parameter as well as the test for overidentifying restrictions perform well in small samples and that the distribution of the NLIV estimator is heavily leptokurtic with a limit theory which has Cauchy-like tails. Comparisons of STUR coefficient and a standard UR coefficient test show that the one-sided UR test performs poorly against the one-sided STUR coefficient test both as the sample size and departures from the null rise.