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남준우 서강대학교 경제연구소 2003 시장경제연구 Vol.32 No.1
This paper focuses to analyze the financial constraints and the business group internal capital market using panel data model Our research is to find out whether firm's investment depends on internal cash flow If the investment is sensitive to cash flow, then we suppose firms have the liquidity constraint caused by capital market imperfection like information asymmetry, agency problem, etc. With sample data of 1999-2001, we found the firm faces the financial constraints, however, there are no internal capital
동태적 패널 모형을 이용한 한국 상장기업의 자본구조 결정요인 : Evidence from Panel Data
이소영,남준우 서강대학교 경제학연구원 2005 시장경제연구 Vol.34 No.1
This paper analyzes the determinants of capital structure for a panel of 314 Korean companies listed in the Korea stock exchange from 1994 to 2003. This study also develops a target adjustment process, which is a trade-off between the adjustment costs towards a target ratio and the cost of being in disequilibrium. In this framework, the GMM estimation procedure is used to estimate this dynamic panel model consistently. It is found that the non-debt tax shield is positively related to debt ratio, while profitability and liquidity are negatively associated with debt ratio. The sign of these relations suggest that the pecking order theory is at work in explaining the capital structure of Korea companies. This paper also shows that Korean firms adjust toward a target debt ratio, but the adjustment process is much slower than in other countries. This study also empirically analyze whether financial crisis in 1997 affect the determinants of capital structure. The result confirms that the adjustment process toward a target has become slower since financial crisis. The negative signs of profitability and liquidity and the positive sign of growth opportunity after financial crisis provide strong evidence on the pecking order theory.
Nonparametric Poolability Test: Test for Difference between Means in Regressions
Nahm, Joon-Woo THE KOREAN ECONOMIC SOCIETY 1998 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.4 No.2
A New test for combing two similar regression curves are proposed based on the idea of exploiting the close connection between the conditional moment test and nonparametric tests. The limiting distribution of the test statistics has been approximated using the second-order U-statistic theory. The test is also useful to testing the presence of possible outlier in empirical application. Also the testing procedure can be applied to testing the presence of the time effect or individual effect in panel data model with certain error structure and it may be extended to testing the structural change in time series data. This paper has provided a consistent nonparametric specification test of combing two similar regression curves against general alternatives. The idea of the test exploits the close connection between the conditional moment test and nonparametric tests. The limiting distribution of the test statistics has been approximated using the second-order U-statistic theory. The test is show to be consistent against local alternatives. The test can be applied to testing the presence of possible outlier in empirical application. Also the testing procedure can be applied to testing the presence of the time effect or individual effect in panel data model with certain error structure and it may be extended to testing the structural change in time series data.
R & D Expenditure and Sales : A Nonparametric analysis
Nahm,Joon-Woo THE KOREAN ECONOMIC SOCIETY 1996 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.2 No.1
This paper has applied nonparametric estimation techniques to the relation between R&D expenditures and sales for Korea data. Due to the huge mass at zero expenditures of R&D data, the use of modified kernel function is suggested. The nonparametric method allows the construction of several measures of elasticity of R&D expenditure with respect to sales amount. Their behaviors are compared using survey data. While the pointwise measure of the derivative is sensitive to the choice of evaluation point, the global measures such as density weighted average or simple average for the trimmed data would be a more appropriate measure for the whole curvature or elasticity. Contrast to the pointwise measure of elasticity, the global measures show small value of elasticity and differences across industries would not exist.
Estimation of Sales Elasticity of R&D by Average median Derivative
Nahm, Joon-Woo 서강대학교 경제학연구원 2002 시장경제연구 Vol.31 No.2
This paper examines the R&D expenditure-sales profiles at firm level and derives estimates of the sales elasticity using Korean manufacturing firms' data. Usually the data sets on R&D expenditure typically include a few observations with very large expenditures and have a huge mass at zero amount, distribution-oriented estimation methods such as nonparametric quantile regression, are more suitable to analyze the R&D data. Since the shape of the R&D expenditure-sales profile is unknown, we use nonparametric quantile regression estimation method. This method also allows the construction of robust measures for sales elasticity by average median derivative estimation.