In this thesis, a simulation study is held and a statistical model is fitted to the simulated data. This data is assumed to be the satisfaction of the customers who withdraw their salary from a particular bank. It is a longitudinal data which has bivariate and binary response. It is assumed to be collected from 200 individuals at four different time points. In such data sets, two types of dependence -the dependence within subject measurements and the dependence between responses- are important and these are considered in the model. The model is Marginalized Transition Random Effects Models, which has three levels. The first level measures the effect of covariates on responses, the second level accounts for temporal changes, and the third level measures the difference between individuals. Markov Chain Monte Carlo methods are used for the model fit. In the simulation study, the changes between the estimated values and true parameters are searched under two conditions, when the model is correctly specified or not. Results suggest that the better convergence is obtained with the full model. The third level which observes the individual changes is more sensitive to the model misspecification than the other levels of the model.

This study aims to investigate the direction of the relationship between financial deepening and economic growth after the completion of financial liberalization in Turkey. In order to do this, an unbalanced panel data set of 49 OECD and emerging countries for 1953-2005 period is examined with Granger causality and panel data estimation techniques. In the light of panel data analysis results, quarterly Turkish time series data for 1987-2006 period is examined by using Granger causality, cointegration and Vector Error Correction Model (VECM) procedures. Although the unbalanced panel data analysis reveals a relationship that is from financial deepening to economic growth, country specific Granger causality analysis employed with the panel data gives the opposite relationship for Turkey. Moreover, it is observed that quarterly time series data analysis mainly gives a relationship that is from economic growth to financial deepening.

Using 2002-2006 Household Budget Survey, this thesis investigates the income, consumption and saving dynamics of Turkish households within a life-cycle theory framework by employing cross-sectional analyses and cohort techniques. Cohort techniques are used not only to analyze these variables, but also to investigate the demographics and components of income and consumption. The analyses are deepened by dividing the sample according to the location of the households (urban-rural areas), and significant differences are found between urban and rural households, especially in terms of saving behaviors. Income, consumption and savings of formal and informal households are also investigated. Analyzing these households provides information regarding the precautionary saving since the higher income uncertainty of the informal households is expected to force them for extra saving due to precautionary motive. Finally, the life-cycle model and the precautionary saving hypothesis are tested by estimating log-linearized Euler equations. In the test of precautionary saving hypothesis, formal-informal data are used as a proxy for the risk variable. According to the estimation results, the predictions of the life-cycle model do not hold for Turkey but there is no evidence that this is due to precautionary saving.

This thesis investigates the nature, extent and dynamics of informal employment in the Turkish labor market using 2006-2009 Turkish Income and Living Conditions Survey. It is mainly a collection of three essays. In the first essay, an attempt is made to analyze the relevance and implications of three alternative characterizations of informality which include an enterprise-based definition associating informality with small firms, an extended enterprise-based definition incorporating social security protection, and a definition based exclusively on social security coverage. Using probit analysis, we show that social security criterion is the best measure given its ability to capture key relationships between individual characteristics and informality. In the second essay, we compute Markov transition probabilities of individuals moving across six labor market states, then estimate multinomial logit regressions to identify underlying dynamics of variant mobility patterns. Confirming traditional theory which sees formal employment as the ultimate desirable state, we find that formal-salaried individuals are the most reluctant to move and that the probability of transition from informal-salaried state to formal-salaried state is five times that of reverse transition. In the third essay, we examine formal/informal employment earnings differentials. OLS estimation of standard Mincerian equations reveals an informal penalty, half of which can be explained by observable characteristics. Moreover, applying fixed effects regressions, we show that unobserved individual fixed effects when combined with controls for observable individual and employment characteristics explain the pay differentials entirely.

本研究利用Hansen(1999)所推導的Panel data門檻迴歸模型，欲找出一客觀的券資比門檻，研究目的為希望利用得出的迴歸係數嘗試分析處置股票的特性，並利用券資比門檻設計一容易分辨出處置股票的方法，最後探討券資比門檻是否有預測股票即將被處置的能力。 本文資料期間為民國九十一年十月至民國九十四年九月，研究樣本為在資料期間曾受證交所公佈為處置股票的上市電子公司，定義為處置股票集合；另建立一「乾淨股票集合」為對照組，乾淨股票集合定義為，所有上市電子公司扣除在資料期間被公佈為注意股票的上市電子公司。主要實證結果如下： 　　一、處置股票集合不存在股價淨值比效應，券資比和股票報酬有顯著正相關，高券資比公司的成交量和股價成反比。處置股票集合的高券資比公司，可能是空方擁有內線消息，使得資訊擁有者敢大量放空，成交量大增，股價下跌，造成高券資比公司的成交量和股價呈反比，這過程正是禿鷹放空手法。另外可推論乾淨股票集合較不易出現禿鷹放空現象。 　　二、若已知某公司為小規模且高券資比的公司，此公司為處置股票的機率遠高於乾淨股票。 　　三、以券資比做為預測股票是否將被處置的能力並不好，推測原因為只用券資比單一變數來預測股票是否將被處置是不足的。

There are many differentiated product industries in which firms offer multiple products in the same market. In making strategic decisions regarding entry, quality and quantity to be supplied for their multiple products firms must consider the competition with rivals as well as cannibalization of their own products that are close substitutes. In this setting, understanding the relationship between the behavior of consumer demand and firms decisions' regarding product characteristics and strategic variables like advertising are fundamental issues in industrial organization. This dissertation empirically explores these fundamental issues in the pharmaceutical and airline industries. The first paper of my dissertation estimates consumer demand for different anti-cholesterol drugs using panel data on a nationally representative sample of individuals who were diagnosed with cholesterol problems in the period 1996-2002. The data provides detailed information on individuals' medical conditions, medical and drug insurance coverage, drug purchases (if any), and other demographic and medical information. Individuals choose whether to purchase an anti-cholesterol rug and, if so, which drug to buy. The model permits flexible substitution patterns among drug choices and persistence in those choices by incorporating both observed and unobserved consumer heterogeneity. The estimates suggest that lower income patients without prescription drug insurance are very price sensitive: they are less likely to use drugs and, if they do use them, they tend to purchase the less expensive drugs. I find that roughly 500 thousand individuals without drug insurance who are currently not purchasing anti-cholesterol drugs would do so in the counterfactual world in which they are given the standard co-payment plan. The second paper also looks at consumer demands for anti-cholesterol drugs. While the first paper focused on the differentiated products, this paper explores the market expansion effects of direct-to-consumer advertising (DTCA). The study combines the individual data used in the first paper with monthly expenditure data on DTCA for the period 1996-2002. The dynamic demand model estimated in this paper explores the heterogeneous effects of DTCA. Overall, I find a positive effect from DTCA with short term elasticity of 0.107. Through persistence in consumer demand this effect lasts over multiple time periods. I find that individuals not taking a cholesterol drug respond more to advertising than those on the drug. In addition, I find that less educated individuals, those that may be unaware of their health condition, and those without health insurance are most responsive to DTCA. Finally, the third paper studies the effect of product ownership and quality on entry in the airline industry. Specifically, this paper empirically examines the decision of an airline to offer high quality nonstop service between cities given that the airline may or may not be offering lower quality one-stop service. I find that airlines that offer one-stop service through a hub are less likely to enter that same market with nonstop service than those that do not. In addition, the quality of the one-stop service is another determinant of entry. Airlines are more likely to enter a market with nonstop service if their own or their rival's one-stop service in the market are of lower quality. / text

Uppsatsens syfte är att undersöka hur Sveriges utrikeshandel har påverkat arbetskraftenssammansättning. Det är viktigt att utreda då den internationella handeln ständigt ökar. Enligthandelsteori leder utrikeshandel till att produktion av varor och tjänster specialiseras efter dekomparativa fördelar som förekommer. I Sveriges fall innebär det specialisering motkapitalintensiv produktion vilket bör leda till en ökad efterfråga på högskoleutbildadarbetskraft.Syftet besvaras med hjälp av en ekonometrisk studie där data från svensk tillverkningsindustriför åren 1995 – 2005 struktureras som paneldata. Andelen importerade insatsvaror användssom proxyvariabel för utrikeshandelns påverkan. Arbetskraftens sammansättning definierassom fördelningen mellan individer med och utan högskoleutbildning.Uppsatsens resultat är att utrikeshandel kan ha påverkat arbetskraftens sammansättning itillverkningsindustrin då efterfrågan på högskoleutbildad arbetskraft har ökat under studeradtidsperiod. Kapitalintensiva näringsgrenar påverkas i lägre grad jämfört medarbetskraftsintensiva näringsgrenar av en förändring i andelen importerade insatsvaror. / The purpose of this study is to analyse how Sweden’s foreign trade has affected thecomposition of the country’s workforce. International trade is growing constantly; thereforethere is a need to understand the importance and consequences of this. According to tradetheory, international trade will lead to specialisation of the production of goods and servicestowards areas where comparative advantages are prominent. In Sweden’s case, this meansspecialisation in capital-intensive production, which should increase the demand for skilledlabour.An econometric study of the Swedish manufacturing industry for the years 1995 – 2005 is thebasis for the study. Data is structured as panel data where the share of imported inputs is usedas a proxy for the impact of foreign trade on the composition of the workforce. Thecomposition consists of skilled and non-skilled labour.Results of this study demonstrate that foreign trade has affected the composition of theworkforce in the manufacturing industry, as the demand for skilled labour has increasedduring the time period.

This thesis presents an econometric methodology for analyzing the impact of market concentration (HHI) on the day rate prices paid by E&P operators for the lease of drilling rigs. It is an extension of the work of Lee (2008), ‘Measuring the Impact of Concentration in the Drilling Rig Market’. Specifically, the work entailed using a more detailed time series data than was initially used (quarterly), analyzing impact of concentration on day rate prices by water depth specification of drilling rigs, and accounting for the impact of autocorrelation on the analysis. The results for jack-ups, without adjustment for autocorrelation, supported the results of the prior study i.e. showing that increase in HHI causes rig day rate price increase. However, the results for semi-submersibles was inconclusive as it varied from region to region and also was contrary to the assumptions of positive relationships between HHI and day rate prices made in this study. These results imply that market concentration caused both price increase and decrease within the industry depending on whether it increased market power or increased cost efficiency and technological ability. / text

Le but de cette thèse est d étendre la théorie du bootstrap aux modèles de données de panel. Les données de panel s obtiennent en observant plusieurs unités statistiques sur plusieurs périodes de temps. Leur double dimension individuelle et temporelle permet de contrôler l 'hétérogénéité non observable entre individus et entre les périodes de temps et donc de faire des études plus riches que les séries chronologiques ou les données en coupe instantanée. L 'avantage du bootstrap est de permettre d obtenir une inférence plus précise que celle avec la théorie asymptotique classique ou une inférence impossible en cas de paramètre de nuisance. La méthode consiste à tirer des échantillons aléatoires qui ressemblent le plus possible à l échantillon d analyse. L 'objet statitstique d intérêt est estimé sur chacun de ses échantillons aléatoires et on utilise l ensemble des valeurs estimées pour faire de l inférence. Il existe dans la littérature certaines application du bootstrap aux données de panels sans justi cation théorique rigoureuse ou sous de fortes hypothèses. Cette thèse propose une méthode de bootstrap plus appropriée aux données de panels. Les trois chapitres analysent sa validité et son application. Le premier chapitre postule un modèle simple avec un seul paramètre et s 'attaque aux propriétés théoriques de l estimateur de la moyenne. Nous montrons que le double rééchantillonnage que nous proposons et qui tient compte à la fois de la dimension individuelle et la dimension temporelle est valide avec ces modèles. Le rééchantillonnage seulement dans la dimension individuelle n est pas valide en présence d hétérogénéité temporelle. Le ré-échantillonnage dans la dimension temporelle n est pas valide en présence d'hétérogénéité individuelle. Le deuxième chapitre étend le précédent au modèle panel de régression. linéaire. Trois types de régresseurs sont considérés : les caractéristiques individuelles, les caractéristiques temporelles et les régresseurs qui évoluent dans le temps et par individu. En utilisant un modèle à erreurs composées doubles, l'estimateur des moindres carrés ordinaires et la méthode de bootstrap des résidus, on montre que le rééchantillonnage dans la seule dimension individuelle est valide pour l'inférence sur les coe¢ cients associés aux régresseurs qui changent uniquement par individu. Le rééchantillonnage dans la dimen- sion temporelle est valide seulement pour le sous vecteur des paramètres associés aux régresseurs qui évoluent uniquement dans le temps. Le double rééchantillonnage est quand à lui est valide pour faire de l inférence pour tout le vecteur des paramètres. Le troisième chapitre re-examine l exercice de l estimateur de différence en di¤érence de Bertrand, Duflo et Mullainathan (2004). Cet estimateur est couramment utilisé dans la littérature pour évaluer l impact de certaines poli- tiques publiques. L exercice empirique utilise des données de panel provenant du Current Population Survey sur le salaire des femmes dans les 50 états des Etats-Unis d Amérique de 1979 à 1999. Des variables de pseudo-interventions publiques au niveau des états sont générées et on s attend à ce que les tests arrivent à la conclusion qu il n y a pas d e¤et de ces politiques placebos sur le salaire des femmes. Bertrand, Du o et Mullainathan (2004) montre que la non-prise en compte de l hétérogénéité et de la dépendance temporelle entraîne d importantes distorsions de niveau de test lorsqu'on évalue l'impact de politiques publiques en utilisant des données de panel. Une des solutions préconisées est d utiliser la méthode de bootstrap. La méthode de double ré-échantillonnage développée dans cette thèse permet de corriger le problème de niveau de test et donc d'évaluer correctement l'impact des politiques publiques. / The purpose of this thesis is to develop bootstrap methods for panel data models and to prove their validity. Panel data refers to data sets where observations on individual units (such as households, firms or countries) are available over several time periods. The availability of two dimensions (cross-section and time series) allows for the identi cation of effects that could not be accounted for otherwise. In this thesis, we explore the use of the bootstrap to obtain estimates of the distribution of statistics that are more accurate than the usual asymptotic theory. The method consists in drawing many ran- dom samples that resembles the sample as much as possible and estimating the distribution of the object of interest over these random samples. It has been shown, both theoretically and in simulations, that in many instances,this approach improves on asymptotic approximations. In other words, the resulting tests have a rejection rate close to the nominal size under the null hypothesis and the resulting con dence intervals have a probability of inclu- ding the true value of the parameter that is close to the desired level. In the literature, there are many applications of the bootstrap with panel data, but these methods are carried out without rigorous theoretical justi fication. This thesis suggests a bootstrap method that is suited to panel data (which we call double resampling), analyzes its validity, and implements it in the analysis of treatment e¤ects. The aim is to provide a method that will provide reliable inference without having to make strong assumptions on the underlying data-generating process. The rst chapter considers a model with a single parameter (the overall expectation) with the sample mean as estimator. We show that our double resampling is valid for panel data models with some cross section and/or temporal heterogeneity. The assumptions made include one-way and two- way error component models as well as factor models that have become popular with large panels. On the other hand, alternative methods such as bootstrapping cross-sections or blocks in the time dimensions are only valid under some of these models. The second chapter extends the previous one to the panel linear regression model. Three kinds of regressors are considered : individual characteristics, temporal characteristics and regressors varying across periods and cross-sectional units. We show that our double resampling is valid for inference about all the coe¢ cients in the model estimated by ordinary least squares under general types of time-series and cross-sectional dependence. Again, we show that other bootstrap methods are only valid under more restrictive conditions. Finally, the third chapter re-examines the analysis of di¤erences-in-differences estimators by Bertrand, Du o and Mullainathan (2004). Their empirical application uses panel data from the Current Population Survey on wages of women in the 50 states. Placebo laws are generated at the state level, and the authors measure their impact on wages. By construction, no impact should be found. Bertrand, Dufl o and Mullainathan (2004) show that neglected heterogeneity and temporal correlation lead to spurious ndings of an effect of the Placebo laws. The double resampling method developed in this thesis corrects these size distortions very well and gives more reliable evaluation of public policies.

This paper analyzes the influence of exchange rate regimes on fiscal performance, focusing on the difference between fixed and flexible exchange rates. For these ends, a sample of 83 countries for the 1974-1998 period, the GMM methodology for dynamic proposal panel models proposed by Arellano and Bond (1991) and diverse exchange rate classifications are used. In relation to the latter, this paper discusses recent regimes classifications and proposes a new one that permits to cover possible inconsistencies between the commitment of the central bank and its observed behavior. The results suggest that regimes’ influence on fiscal performance depend on the international context, specifically the possibility of indebtedness and of the characteristics of the international finance system –integration, volatility and dominant financial structure-. In other words, it depends on credit availability as well as on the conditions or potential sanctioning of the finance system. It is found that in contexts where there is no original fiscal discipline and the authorities have the possibility of financing with debt of relatively low cost, fixed regimes do not purvey per se greater fiscal discipline than the flexible ones. On the contrary, flexible ones generate more discipline. In contexts with strong financing restrictions, the discipline’s effects of both regimes are not substantially different. While in situations with abundance of capitals but where they are highly integrated, volatile and possibly subject to contagion effect, the same functioning of the international finance system can, through their potential sanction, achieve greater discipline in economies with fixed regimes that wish to remain as such.