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This paper studies test of hypotheses for the slope parameter in a linear time trend panel data model with serially correlated error component disturbances. We propose a test statistic that uses a bias corrected estimator of the serial correlation parameter. The proposed test statistic which is based on the corresponding fixed effects feasible generalized least squares (FE-FGLS) estimator of the slope parameter has the standard normal limiting distribution which is valid whether the remainder error is I(0) or I(1). This performs well in Monte Carlo experiments and is recommended.

In the spirit of White’s (1982) paper, this paper examines the consequences of model misspecification using a panel data regression model. Maximum likelihood, random and fixed effects estimators are compared using Monte Carlo experiments under normality of the disturbances but with a possibly misspecified variance-covariance matrix. We show that the correct GLS (ML) procedure is always the best according to MSE performance, but the researcher does not have perfect foresight on the true form of the variance covariance matrix. In this case, we show that a pretest estimator is a viable alternative given that its performance is a close second to correct GLS (ML) whether the true specification is a two-way, a one-way error component model or a pooled regression model. Incorrect GLS, ML or fixed effects estimators may lead to a big loss in MSE.

The Hausman test is used in applied economic work as a test of misspecification. It is most commonly thought of as a test of whether one or more explanatory variables in a regression model are endogenous. The usual Hausman contrast test requires one estimator to be efficient under the null hypothesis. If data are heteroskedastic, the least squares estimator is no longer efficient. The first option is to estimate the covariance matrix of the difference of the contrasted estimators, as suggested by Hahn, Ham, and Moon (2011). Other options for carrying out a Hausman-like test in this case include estimating an artificial regression and using robust standard errors. Alternatively, we might seek additional power by estimating the artificial regression using feasible generalized least squares. Finally, we might stack moment conditions leading to the two estimators and estimate the resulting system by GMM. We examine these options in a Monte Carlo experiment. We conclude that the test based on the procedure by Hahn, Ham, and Moon has good properties. The generalized least squares-based tests have higher size-corrected power when heteroskedasticity is detected in the DWH regression, and the heteroskedasticity is associated with a strong external IV. We do not consider the properties of the implied pretest estimator.

The purpose of this paper is to provide an extensive review of the monetary model of exchange rate determination which is the main theoretical framework on analyzing exchange rate behavior over the last 40 years. Furthermore, we test the flexible price monetarist variant and the sticky price Keynesian variant of the monetary model. We conduct our analysis employing a sample of 14 advanced economies using annual data spanning the period 1880–2012.

The theoretical background of the paper relies on the monetary model to the exchange rate determination. We provide a thorough econometric analysis using a battery of unit root and cointegration testing techniques. We test the price-flexible monetarist version and the sticky-price version of the model using annual data from 1880 to 2012 for a group of industrialized countries.

We provide strong evidence of the existence of a nonlinear relationship between exchange rates and fundamentals. Therefore, we model the time-varying nature of this relationship by allowing for Markov regime switches for the exchange rate regimes. Modeling exchange rates within this context can be motivated by the fact that the change in regime should be considered as a random event and not predictable. These results show that linearity is rejected in favor of an MS-VECM specification which forms statistically an adequate representation of the data. Two regimes are implied by the model; the one of the estimated regimes describes the monetary model whereas the other matches in most cases the constant coefficient model with wrong signs. Furthermore it is shown that depending on the nominal exchange rate regime in operation, the adjustment to the long run implied by the monetary model of the exchange rate determination came either from the exchange rate or from the monetary fundamentals. Moreover, based on a Regime Classification Measure, we showed that our chosen Markov-switching specification performed well in distinguishing between the two regimes for all cases. Finally, it is shown that fundamentals are not only significant within each regime but are also significant for the switches between the two regimes.

The results are of interest to practitioners and policy makers since understanding the evolution and determination of exchange rates is of crucial importance. Furthermore, our results are linked to forecasting performance of exchange rate models.

The present analysis extends previous analyses on exchange rate determination and it provides further support in favor of the monetary model as a long-run framework to understand the evolution of exchange rates.

Recent research has examined the effect of the Financial Services Modernization Act of 1999, more commonly known as the Gramm–Leach–Bliley Act (GLB), on the market value of U.S. commercial banks, life insurers, property-liability insurers, thrifts, finance companies, and securities firms. This study fills a gap in our understanding of the Act by measuring the price and trading volume effects of the GLB on U.S.-listed foreign banks. A primary contribution of this study is to examine the role, if any, of two corporate governance perspectives, the stakeholder (code law), and shareholder (common law) models, in a cross-sectional analysis of foreign bank market reaction to the GLB.

Using a generalized least squares (GLS) portfolio approach, Corrado's rank statistic, and confirmed by the traditional market model approach, we find significant negative share price reactions to certain legislative announcements surrounding the passage of the GLB. Trading volume reactions corroborate the significant share price responses. In general, our results indicate that investors in foreign banks reacted negatively to key legislative action. In a cross-sectional analysis, younger, higher-risk foreign banks with less concentrated ownership and more subordinated debt from countries with higher quality accounting standards appear to have more positive (or less negative) share price reactions.

Panel data, where observations of entities are repeated over time, are common in strategic management research. However, explorations of the role of time on predictors of interest are often unexplored. In this chapter, we illustrate how the use of mixed-effect growth models can enhance theory and research in strategic management by exploring changes in outcomes of interest over time. Mixed-effects models allow for testing both within and between effects, while also calculating specific intercepts (firm average values) and slopes (trajectories of specific firms over time) using empirical Bayes estimates. We also illustrate how a discontinuous growth model could be used to assess differences in firm intercepts and slopes surrounding exogenous events (e.g., global pandemics) without requiring a control group.

The unique characteristic of Islamic bank leads in governance and disclosure. Using stakeholder, signaling, and market discipline theory, governance and adequate disclosure may increase bank soundness. This study aims to investigate the relationship of sharia disclosure and Sharia Supervisory Board in influencing Islamic bank soundness in the different regulatory framework of the country. Using purposive sampling, the research covered 84 Islamic banks in 16 countries during the period 2013–2015 with lag data of Islamic bank soundness. The result shows sharia disclosure influences on Islamic bank soundness for management efficiency, capital adequacy ratio, asset quality, and liquidity. The results also show that sharia disclosure mediates the indirect effect of SSB on Islamic bank soundness. The regulatory framework (sharia accounting standard and SSB regulation) shows moderating effect of regulation framework proved on the association of sharia disclosure with management efficiency, capital, and liquidity. The effect is indirectly depending on the regulatory framework for proxy management efficiency, capital, and liquidity. The implication of the research suggests that sharia disclosure could increase the market discipline mechanism of Islamic bank stream. The Islamic bank can increase the transparency using sharia disclosure as a branding for increasing public trust, even though in the deficient Islamic bank regulation countries.