• Journal of Korea Technology Innovation Society
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• v.8 no.3
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• pp.1225-1249
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• 2005

This study aims at investigating whether foreign direct investment plays a role as a channel of international technology diffusion. We used the annual panel data from 1980 to 2002. The nonstationary panel techniques, in particular group mean panel FMOLS(fully modified OLS) was exploited as an empirical methodology in order to tackle the heterogeneity between members and low frequency. The empirical results show that inflow direct investments lead to an increase in total factor productivity and economic growth. Also outflow direct investments contribute to an higher total factor productivity and economic growth. These results confirms that both inflow and outflow direct investments are important channels for international technology diffusion or spillover.

• Journal of Korea Technology Innovation Society
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• v.9 no.3
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• pp.606-625
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• 2006

This Study is to show the impact of IT capital stock accumulation on the total factor productivity in 9 industries during 1980 through 2000. We construct the If capital stock using input and output table provided by Bank of Korea (2000). Using sequence testing methodologies, we investigate the nonstationary characteristics of the relevant data and test the cointegration relationship between total factor productivity and IT capital stock. Over the past two decades, IT capital stock contributed between 0.19 to 0.07 percentage point per IT capital stock on total factor productivity. Our empirical results, therefore, do not support Solow's IT paradox in using the long period panel data case in Korea.

• Journal of Technology Innovation
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• v.10 no.2
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• pp.91-105
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• 2002

This paper extends the empirical analysis on R&D based growth model so that the nonstationary panel unit root testing methods can be used to distinguish the exogenous growth model and R&D based growth model for the 1981-1999 period with fourteen OECD economies including Korea. Our results show that first, using U.S. and Group mean as benchmarking, the stochastic R&D productivity convergence to benchmarking is not supported in our data set. Second, the empirical results for stochastic nonconvergence to the U.S. or group mean also are robustness to panel unit root methods. We, therefore, find strong support for the implications for R&D based growth model.

• Asia-Pacific Journal of Business
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• v.15 no.2
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• pp.207-222
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• 2024

Purpose - This study investigates whether the lagged price difference ratio between preferred and common stocks is related to the return and closing price of the preferred stock using three panel models. Design/methodology/approach - As a first step, we use a two-way fixed effect panel model with stationary preferred stock returns as a dependent variable. For robustness, we then apply the autoregressive distributed lag model (ARDL) and error correction model (ECM) with nonstationary closing prices of the preferred stocks as a dependent variable and compare the results of each model. The ARDL and ECM models provide an advantage of estimating a long-run equilibrium equation together if a long-run relationship exists between the two time-series variables compared to the fixed effect model. Findings - Our sample consists of 107 preferred stocks with at least four years of daily observations as of the end of December 2023. The coefficients of the error correction terms in the ARDL and ECM models are highly statistically significant, approximately -0.08. This indicates that the disequilibrium between the closing prices of common and preferred stocks adjusts by about 8% per day toward equilibrium. In all three models, the price difference ratio on day t-1 was statistically significant in explaining the preferred stock returns or closing prices on day t, implying that trading based on the previous day's price difference ratio is effective for one day. Research implications or Originality - Furthermore, the returns on preferred stocks are higher for firms with a lower proportion of foreign investors or a lower foreign market capitalization of preferred stocks. This suggests that foreign investors with informational advantages do not actively engage in profit-taking by trading preferred stocks, thus not narrowing the price difference. In summary, the recent surge in preferred stock prices is likely driven mainly by the irrational behavior of retail investors.

• The Korean Journal of Applied Statistics
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• v.23 no.5
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• pp.909-921
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• 2010

Cross-wave regression imputation and carry-over imputation method are generally used in the analysis of panel data with missing values. Recently it is known that the BLS non-response adjust method has good statistical properties. In this paper we show that the BLS method can be considered as an imputation method with a similar formula of a ratio-estimator. In addition, we show that the carry-over imputation and BLS imputation are approximately the same under the assumption that data follow a non-stationary process with drift. Small simulation studies and real data analysis are performed. For the real data analysis, a monthly labor statistic (2007) is used.