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We study asymptotic inferences of the OLS estimator in the first order autoregressive model with an explosive root and a nonzero drift. Recent literatures focus on driftless model in dealing with explosive parameter in relation with financial bubbles detection. We consider an extension by allowing a non-zero drift, where the process behaves as a linear time trend during the non- bubble period, and it exhibits an exponential trend during the explosive era. Consistency of the least squares estimator and of the right-tailed coefficient-based Dickey-Fuller unit root test are shown in case of the presence of drift term.

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This paper studies how customer loyalty impinges on the existence of
a multi-stop shopping equilibrium. A particular focus lies on the pricing decisions
of firms in two distinct modes of retail, the department store and the shopping mall.
We show that a multi-stop shopping equilibrium exists, but the required level of
customer loyalty exceeds the total traveling costs. This seemingly unnatural gap
arises only to discourage the individual retailer of the shopping mall from raising
the price independently, knowing that the loyal customers would not leave him
easily.

Abstract | PDF (204 kilobytes)

In this paper, I estimate the returns to tenure of the Korean labor
market and investigate the relationship between returns to tenure and labor market
mobility. I begin with the two methods introduced by Altonji and Shakotko
(1987) and Topel (1991) to estimate returns to tenure in Korea and the US using
panel data sets and confirm that both returns to tenure and job mobility are higher
in Korea. Next, the industry- and occupation-wise returns to tenure are estimated
for Korea and are found to be widely variable across different divisions. Finally,
the correlation coefficients between returns to tenure and job mobility among industries
and occupations are estimated and show almost zero or slightly positive
correlations. These patterns contradict the conventional wisdom, which predicts
a negative correlation, and suggest the possibility that returns to tenure work as
an incentive device to retain workers in Korea.

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The advantages of the CES utility function in the consumer model are the generality of elasticity of substitution and the natural extension to multi- layer CES. The disadvantage is that complex calculations are required to derive a closed-form solution of the demand functions. Deriving a closed solution of the demand function from the multi-layer CES model is almost impossible due to the exponential increase in complexity. In the consumer model, there is Shephard’s lemma, which induces the compensated demand by the ’partial differentiation’ of the expenditure function. However, there is no such convenient tool for the market demand. This paper showed that market demand is induced by the ‘logarithmic partial differentiation’ of the expenditure function using the linear homogeneity of the CES function and the basic duality theory between market demand and compensated demand. This is essential for a multi-layer CES model that needs to solve both the compensated demand and the market demand simultaneously.