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These are flat stata files used in the paper.
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Issue addressed: The impacts of drinking on productivity in the labour market (measured by wages) and how this relationship is affected by the incidence of smoking. Methods: A recent econometric study of labour market outcomes that... more
Issue addressed: The impacts of drinking on productivity in the labour market (measured by wages) and how this relationship is affected by the incidence of smoking. Methods: A recent econometric study of labour market outcomes that estimates a model of wage determination is reviewed. The model is a modification of a human capital model where representative workers can to some extent influence their earnings by their choice of education, occupation and health. The model is estimated using data for males from the 1995 Australian National Household survey. Results: The model is estimated separately for smokers and nonsmokers. Previous literature has found evidence of an inverted-U-shaped relationship ( ) between alcohol consumption and productivity as measured by wages; that is, moderate alcohol consumption leads to increased earnings relative to abstention and heavy drinking. This study shows that this relationship only holds for the group of nonsmokers. At the consumption of 44.3 ml per day, a representative individual may increase their income by at least 11% (depending on their other characteristics) over a corresponding individual who either does not drink at all or who drinks more than double that amount. The most striking result is that the separate examination of smokers shows no significant relation between alcohol consumption and wages. Conclusions: Moderate drinkers who smoke do not receive the labour market benefits gained by moderate drinkers who do not smoke. So what?: Anyone who took solace from earlier studies that found a positive link between moderate alcohol consumption and income should be aware that smoking appears to negate all the positive influence of moderate drinking. (author abstract)
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Recent changes in smoking laws have influenced gambling behaviour at Electronic Gaming Machine (EGM) venues. In this paper we review the literature that examines the interrelationship between gambling, problem gambling and smoking in... more
Recent changes in smoking laws have influenced gambling behaviour at Electronic Gaming Machine (EGM) venues. In this paper we review the literature that examines the interrelationship between gambling, problem gambling and smoking in order to gauge the indirect effects of smoking bans in gaming venues. We then perform an analysis on the consequences of a smoking ban in Victoria, Australia that was instituted on September 1st , 2002. This analysis investigates the nature of the pattern of drops in local EGM revenue and the impact on the state tax revenue.
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A model of the distribution of income is derived from a two market general equilibrium model consisting of a goods market and a labor market. The dynamics of income distributional changes as well as their stationary counterparts are also... more
A model of the distribution of income is derived from a two market general equilibrium model consisting of a goods market and a labor market. The dynamics of income distributional changes as well as their stationary counterparts are also derived.
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ABSTRACT Privatisation has become a common governement policy in many countries. This paper summarizes the salient features of privatisations by public share float in Australia during the period 1989 to 1997. The costs associated with... more
ABSTRACT Privatisation has become a common governement policy in many countries. This paper summarizes the salient features of privatisations by public share float in Australia during the period 1989 to 1997. The costs associated with these privatisations is examined, including both direct costs and the opportunity cost of Australian gorvernments selling assets cheaply. Furthermorem, the impact that such sales have on the net worth of the public sector is estimated.
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A simple curve-fitting technique based on a generalization of the exponential family is applied to approximating the distributions of a range of test statistics. Applications of the procedure consist of approximating the distribution of... more
A simple curve-fitting technique based on a generalization of the exponential family is applied to approximating the distributions of a range of test statistics. Applications of the procedure consist of approximating the distribution of (i) tests for autocorrelation; (ii) the Dickey-Fuller unit root statistics; and (iii) the distribution of the estimated autocorrelation coefficient. The generalized exponential family subordinates are compared, where applicable, with either the actual distribution or with other approximations including the nonparametric kernel density estimator, and the Edgeworth and saddlepoint approximations. In all cases, the generalized exponential approximations are shown to yield more than satisfactory results.
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... A NON-LINEAR MODEL OF THE REAL US/UK EXCHANGE RATE JOHN CREEDY, JENNY LYE AND VANCE L. MARTIN Department of Economics, University of Melbourne, Parkville, Victorio, 3052, Australia E-Mail: vance-martin.economics @muwaye.unimelb.... more
... A NON-LINEAR MODEL OF THE REAL US/UK EXCHANGE RATE JOHN CREEDY, JENNY LYE AND VANCE L. MARTIN Department of Economics, University of Melbourne, Parkville, Victorio, 3052, Australia E-Mail: vance-martin.economics @muwaye.unimelb. edu.au ...
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Using econometric modelling Kate MacNeill, Jenny Lye and Paul Caulfield examine the relationships between Australian federal government arts expenditure and the political persuasion of the government and government reviews of the arts and... more
Using econometric modelling Kate MacNeill, Jenny Lye and Paul Caulfield examine the relationships between Australian federal government arts expenditure and the political persuasion of the government and government reviews of the arts and cultural sector. Their research adds to a number of international studies that have examined cultural expenditures in the United States of America, Austria and in the Organisation for Economic Co-operation (OECD) and finds little evidence that the political persuasion of the government had an impact on the level of cultural expenditures. Their results express expenditure relative to total government outlays, and similarly find no consistent evidence of a correlation between political persuasion of the government and funding for the arts—however, correlations are observed between government instigated reviews and arts expenditures.
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Econometric analysis often results in highly specialised quantitative results. 1 However, as the old mantra of the computer programmer states, GIGO—‘garbage in garbage out’ which applies here with respect to the nature of the data used in... more
Econometric analysis often results in highly specialised quantitative results. 1 However, as the old mantra of the computer programmer states, GIGO—‘garbage in garbage out’ which applies here with respect to the nature of the data used in the analysis. Thus it is crucial to examine the data used in analysis prior to the application of computational analysis. In addition, to paraphrase an old adage, ‘one graph is worth a thousand numbers’—the human eye can analyse data better in a visual format than in a tabular form. To serve both of these ends it is important to understand how graphic methods can be used to check and to carefully look at data before performing econometric analysis. Computer-driven pen plotters were one of the first additional output peripherals attached to computers back in the era of the mainframe systems. Prior to the availability of computers the majority of graphic representations of data were done by hand. Today the wide availability of graphic screens, laser ...
The paper extends the theory of trade unions. In past studies, the union members derive utility exclusively from the consumption of goods produced in markets. We consider the case where the union insider is a member of a household which... more
The paper extends the theory of trade unions. In past studies, the union members derive utility exclusively from the consumption of goods produced in markets. We consider the case where the union insider is a member of a household which derives utility both from market produced goods and from a non-market activity (such as household production or leisure). The model in the paper determines the equilibrium levels of the bargained wage, employment, unemployment, discouraged workers and non-market activity.
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Regression specifications frequently employ regressors that are defined as the product of two other regressors to form an interaction. Unfortunately, these models have a number of potential difficulties when it comes to interpretation. In... more
Regression specifications frequently employ regressors that are defined as the product of two other regressors to form an interaction. Unfortunately, these models have a number of potential difficulties when it comes to interpretation. In this paper, we discuss two common aspects of these specifications that can lead to difficulties. The first is the change in parameter estimates and tstatistics when different definitions of dummy variables are used. The second involves an application of Fieller’s theorem to draw appropriate inferences from a regression with interaction variables.
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Research Interests: Mathematics, Economics, Econometrics, Statistics, High Frequency, and 11 moreFinancial time series, Social Science Research Network, Arch, ARCH model, Flexibility in engineering design, Exchange rate, Mixture Distribution, Parametric Statistics, Time varying, New institutional economics, and Conditional Variance
Regression analysis constitutes an important statistical procedure for modelling structural change using dummy variables. This ad hoc mechanism potentially masks the underlying dynamics of the process being modelled. Some processes... more
Regression analysis constitutes an important statistical procedure for modelling structural change using dummy variables. This ad hoc mechanism potentially masks the underlying dynamics of the process being modelled. Some processes exhibit jumping behaviour and they need to be addressed. This article investigates a class of models which caters for jumping behaviour in a more natural way without the aid of dummy variables, and the timing of jumps is determined endogenously rather than imposed exogenously. A higher-order moment model is applied to modelling the Australian stock market crash in 1987.Reviewer: Mariano Ruiz Espejo (Madrid)
Research Interests: Computer Science and Jump
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Page 1. Robust Estimation, Nonnormalities, and Generalized Exponential Distributions JENNY N. LYE and VANCE L. MARTIN* The detection and treatment of outliers in data has represented an important area of research. The ...
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ABSTRACT The two most common limited-information estimators in Simultaneous Equation Models are the two-stage least squares and limited-information maximum likelihood estimators. As both of these estimators are complicated functions of... more
ABSTRACT The two most common limited-information estimators in Simultaneous Equation Models are the two-stage least squares and limited-information maximum likelihood estimators. As both of these estimators are complicated functions of the underlying random variables, their exact distributions are difficult to derive. Consequently, their use was first justified on the basis of large sample criteria, such as consistency and asymptotic efficiency. However, in the early 1960s the analysis of the exact distributions and moments of these estimators began, and since this time substantial progress has been made. Although these estimators are asymptotically equivalent, recent research has shown that their finite-sample properties are substantially different. However, the majority of this research has simply concentrated on a correctly specified system of equations, even though, since typically in applied studies theory provides some guidance but falls short of specifying the precise form of structural relationship, the possibilities for misspecification in simultaneous equation models are numerous. The objective of this paper is to extend the finite-sample analysis of these two estimators to include various cases of misspecification.
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An empirical model of the distribution of exchange rate returns based on a combination of the generalized Student t distribution and conditional variance specifications, is formulated and estimated for four daily bilateral exchange rates... more
An empirical model of the distribution of exchange rate returns based on a combination of the generalized Student t distribution and conditional variance specifications, is formulated and estimated for four daily bilateral exchange rates over the period 1984 to 1991. The empirical results show that the stylized characteristics of exchange rate returns such as volatility clustering, leptokurtosis and skewness, are consistently captured by this model, in contrast with other model specifications based on more restrictive distributional assumptions. Implications of the analysis are also investigated for the pricing of currency options, including comparisons with Black–Scholes prices.
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ABSTRACT Privatisation has become a common governement policy in many countries. This paper summarizes the salient features of privatisations by public share float in Australia during the period 1989 to 1997. The costs associated with... more
ABSTRACT Privatisation has become a common governement policy in many countries. This paper summarizes the salient features of privatisations by public share float in Australia during the period 1989 to 1997. The costs associated with these privatisations is examined, including both direct costs and the opportunity cost of Australian gorvernments selling assets cheaply. Furthermorem, the impact that such sales have on the net worth of the public sector is estimated.
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... each with one degree of freedom and noncentrality parameter 6*2 = [P'Qf pj12. J The details of Lemma 2 can be found in Koerts and Abraharnse (1969, pp 81-87). ... the comments of Zellner (1W9, p.630) and Taylor (1983, p.31)). ...
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ABSTRACT The assumption of normally distributed disturbances in the linear regression model implies that the disturbances are both uncorrelated and independent. Recently however, attention has focussed on possibly nonnonnally distributed... more
ABSTRACT The assumption of normally distributed disturbances in the linear regression model implies that the disturbances are both uncorrelated and independent. Recently however, attention has focussed on possibly nonnonnally distributed disturbances, and in this case a distinction needs to be made between only uncorrelated disturbances and independently distributed disturbances. In this paper, general specification errors associated with misspecifying uncorrelatedness and independence for student - t distributed disturbances is examined. This class of distributions is a reasonable way of modelling tails that are fatter than those of the normal distribution which has applications to the modelling of series such as prices in financial and commodity markets, growth -curve models and astronomical data. Specification tests which test for only uncorrelatedness versus independence are also discussed.
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... Jenny N. Lye and Vance L. Martin ... from time invariant (see for example, Nelson and Plosser, 1982; and Engle and Granger, 1987), non-stationary time series, and in particular integrated processes, have almost monopolized the... more
... Jenny N. Lye and Vance L. Martin ... from time invariant (see for example, Nelson and Plosser, 1982; and Engle and Granger, 1987), non-stationary time series, and in particular integrated processes, have almost monopolized the interest of econometricians in recent years. ...
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ABSTRACT A number of papers have reported a link between the consumption of alcohol and wages earned. This relationship has been found to be positive for low to moderate levels of alcohol but then turns to negative as the level of... more
ABSTRACT A number of papers have reported a link between the consumption of alcohol and wages earned. This relationship has been found to be positive for low to moderate levels of alcohol but then turns to negative as the level of consumption reaches a certain level of consumption although. Although this relationship differs between men and women and it also appears to be mitigated by other activities such as smoking very little of this research attempts to make inferences concerning the location of the point of inflection - the level of consumption where the negative aspects begin to dominate the relationship. Although this inflection point as been defined and in fewer cases a confidence interval has been constructed (for example MacDonald and Shields, 2001). In this paper we use the published evidence to make inferences concerning the turning points found in these studies. The aim of this study to determine whether there are some overarching conclusions as to the nature of the turning point for this relationship. Alternatively, it may be that these studies do not have sufficient information to draw inferences about the level of alcohol consumption at which the down turn occurs. The rationale for the beneficial aspects of alcohol consumption is mainly due to conjecture about the socializing aspects of drinking and the allusion to the medical literature. The analysis we use is a generalization of the Fieller solution for the construction of confidence intervals of the ratio of means. Through the use of simulations based on the type of data under examination in each study we can infer sufficient information to apply the traditional Fieller method when the models in use are quadratic in the level of alcohol. An extension of this method can be applied even in the case of other nonlinear functions such as higher order polynomials and splines.
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This paper describes the estimation and testing of regression models that include multivariate generated or computed regressors in the presence of heteroskedasticity in the cross-section case. Heteroskedasticity is often a problem in... more
This paper describes the estimation and testing of regression models that include multivariate generated or computed regressors in the presence of heteroskedasticity in the cross-section case. Heteroskedasticity is often a problem in cross-section data and the usual tests for its ...
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ABSTRACT The good health of an individual is a combination of uncontrollable factors that includes genetics and random events and controllable factors through the regulation of activities such as smoking, drinking, eating, exercise and... more
ABSTRACT The good health of an individual is a combination of uncontrollable factors that includes genetics and random events and controllable factors through the regulation of activities such as smoking, drinking, eating, exercise and other informed choices. Since the work of Grossman (1972) a significant relationship between health and earnings is predicted. This paper investigates this relationship using four indicators of healthy activity in the context of Australia. Using the 1995 Australian National Health Survey we simultaneously examine the effects of drinking, smoking, eating and exercising on wages. Special attention is given to nonlinearities and interaction of these effects between each other and with age as is suggested in the medical literature. To model the interaction of smoking with these other effects separate models are fit for smokers and nonsmokers which account for the potentional for selectivity bias. Results are given separately for men and women.
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We evaluate the impact of the Graduated Driver Licensing (GDL) system introduced in Victoria, Australia as they influence both injury and fatality rates. Since 1990, the Victorian GDL scheme has undergone several modifications including... more
We evaluate the impact of the Graduated Driver Licensing (GDL) system introduced in Victoria, Australia as they influence both injury and fatality rates. Since 1990, the Victorian GDL scheme has undergone several modifications including the introduction of new requirements and the stricter enforcement of existing regulations. Our evaluation of the GDL is based on monthly mortality and morbidity data for drivers 18-25 for the period January 2000 to June 2017. We estimate the immediate and long-term impacts of each policy change to the GDL system. Our results indicate that several initiatives in the GDL system have had impacts on both fatalities and injuries requiring hospitalisation when differentiated by gender. In a number of cases we observe that reactions to these measures are common to both genders. These include: the signalling of the proposed GDL changes in the media, the introduction of an extra probationary year for those under 21, the total alcohol ban for the entire probationary period, and limits on peer passengers for the first year. Stricter mobile phone restrictions appear to have had no impact on injuries for either males or females although they were associated with lower fatality rates for both. In addition, we found an indication that in the period prior to the introduction of the mandatory requirement of 120 h supervised driving, there was a rise in male driver injuries possibly caused by a rush of more inexperienced learners to obtain their probationary licence.
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Research Interests: Economics, Econometrics, Personality, Mental Health, Alcohol Studies, and 12 moreHuman Capital, Applied Economics, Sample Selection Bias, Turning Point, Meta Analysis, Publication Bias, Alcohol Consumption, Earnings, Educational Outcomes, Retrospective Study, Personality Trait, and consumption sociology
Using a two-regime model of the inflation-unemployment process for US data 1960:2 to 2000:2, this paper finds strong evidence to support the Eisner puzzle, which occurs when the short-run Phillips curve (SRPC) is flatter at low rates of... more
Using a two-regime model of the inflation-unemployment process for US data 1960:2 to 2000:2, this paper finds strong evidence to support the Eisner puzzle, which occurs when the short-run Phillips curve (SRPC) is flatter at low rates of unemployment than at higher rates. The puzzling aspect of this pattern is the expectation of excess demand to become apparent at very
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This study examines matching effects as a determinant of mobility in the market for Australian Rules football coaches between 1931 and 1994. Among other results, the authors find direct evidence of a coach-team match-specific effect on... more
This study examines matching effects as a determinant of mobility in the market for Australian Rules football coaches between 1931 and 1994. Among other results, the authors find direct evidence of a coach-team match-specific effect on team performance. One implication is that two teams might both significantly improve their performance by switching coaches, depending on the specific team and coach characteristics.
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This paper describes the estimation and testing of regression models that include multivariate generated or computed regressors in the presence of heteroskedasticity in the cross-section case. Hetero- skedasticity is often a problem in... more
This paper describes the estimation and testing of regression models that include multivariate generated or computed regressors in the presence of heteroskedasticity in the cross-section case. Hetero- skedasticity is often a problem in cross-section data and the usual tests for its presence cannot be applied when the heteroskedasticity is in some measure due to computed regressors. We investigate the case