Forthcoming and Online First Articles

International Journal of Computational Economics and Econometrics

International Journal of Computational Economics and Econometrics (IJCEE)

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International Journal of Computational Economics and Econometrics (13 papers in press)

Regular Issues

  • Polarisation, institutional quality, and social cohesion: evidence in worldwide scenario   Order a copy of this article
    by Muhammad Nadeem, Mumtaz Anwar, Zahid Pervaiz 
    Abstract: The current study is an effort to investigate the impact of legal institutional quality on social cohesion in the presence of polarisation by using panel data. The results of the study indicate that legal institutions help to nurture social cohesion, polarisation is a threat to social cohesion and this threat is more when there is the coexistence of low legal institutional quality and high polarisation. To check the impact of coexistence of legal institutional quality and polarisation on social cohesion an interaction term has been used. The results of the interactive term indicate that in the presence of better-quality legal institutions, the negative effects of polarisation are vanished. Income inequality and globalisation are also found bad for social cohesion. Gender equality, per capita income level, enhance the level of social cohesion in a society. There is a need to develop high-quality legal institutions to enhance the level of social cohesion.
    Keywords: polarisation; institutional quality; social cohesion; income inequality; globalisation; gender equality; per capita income; panel data; Hausman test; fixed-effect model.
    DOI: 10.1504/IJCEE.2022.10049339
  • The (relative) importance of the attack in the game of football: evidence from a team-level study of Italian Serie A   Order a copy of this article
    by Siyan Chen, Saul Desiderio 
    Abstract: Attackers are recognised as the most important players of football, and this reflects on their high wages and market values. A natural question is whether such high financial costs are justified by the actual contribution of the attack to the success of a football team. In this paper we use team-level data relative to 34 seasons of Italian Serie A to see if the offensive sector as a whole is indeed the major determinant of the strength of a team. Results show only a moderate prevalence of the attack over the defence, which suggests that offensive players are likely to be overvalued with respect to their actual contribution to the strength of the team. In addition, we found that a good defence is the key for ending the season on top spots, whereas a bad attack is the main reason for ending at the bottom of the ranking.
    Keywords: football; strikers; team success; Italian Serie A; pooled OLS; probit.
    DOI: 10.1504/IJCEE.2022.10044361
  • Quantile regression-based seasonal adjustment   Order a copy of this article
    by Massimiliano Caporin, Mohammed Elseidi 
    Abstract: We introduce a seasonal adjustment method based on quantile regression that focuses on capturing different forms of deterministic seasonal patterns. Given a variable of interest, by describing its seasonal behaviour over an approximation of the entire conditional distribution, we are capable of removing seasonal patterns affecting the mean and/or the variance or seasonal patterns varying over quantiles of the conditional distribution. We provide empirical examples based on simulated and real data through which we compare our proposal to least squares approaches.
    Keywords: quantile regression; seasonal adjustment; deterministic seasonal patterns.
    DOI: 10.1504/IJCEE.2022.10045739
  • Measuring market power in antitrust: a new hybrid approach   Order a copy of this article
    by Walid Gani 
    Abstract: This paper proposes a new hybrid approach for measuring market power in antitrust using a mixture of market share calculation, price comparison, and mark-up assessment. The proposed approach is termed 'hybrid' because it combines elements from structural and non-structural approaches. These elements are directly observable and measurable, making our proposed approach more practical and realistic for the antitrust analysis requirements. Through an empirical study involving the use of real industrial data, we show that our hybrid approach provides a more reliable estimation of market power in comparison with existing methods. Also, we empirically prove that classical approaches are myopic regarding the pricing behaviour of firms with market power. This drawback may increase the type I error in the assessment of market power and lead to the over-enforcement of competition law.
    Keywords: algorithm; competition law; computational antitrust; market power; market share; mark-up.
    DOI: 10.1504/IJCEE.2022.10048420
  • Fiscal policy feasibility in Tunisia: a neo-Keynesian DSGE model approach   Order a copy of this article
    by Slah Slimani 
    Abstract: The main objective of this article is to apply a neo-Keynesian DSGE model with nominal rigidity and monopolistic competition to analyse the impact of public expenditure’s variation in Tunisia on the main macroeconomic aggregates (business cycle, private consumption, wages, interest rate and inflation rate). The simulation results show that the implementation of fiscal policy via the increase in public spending in Tunisia is pro-cyclical. Indeed, the increase in public spending generates two first effects. GDP increases due to the rise in labour supply and the rise in aggregate demand due to an incomplete crowding out of private consumption. Thus, after the rise in aggregate demand, the Central Bank increases the nominal interest rate, which evolves in concert with the inflation rate to counter inflationary pressures. Consequently, households reduce their consumption expenditure as the real interest rate rises. At this level, some companies react to the change in the interest rate by reducing their expenses, their employment requirements and their capital utilisation rates.
    Keywords: neo-Keynesian model; dynamic and stochastic general equilibrium; DSGE; fiscal policy; public spending; shocks.
    DOI: 10.1504/IJCEE.2022.10049136
  • Price stickiness and wage stickiness in generalised new Keynesian model   Order a copy of this article
    by Rui Wang 
    Abstract: Given different non-zero annual target inflation rates, we extend the standard new Keynesian dynamic stochastic general equilibrium (DSGE) model to allow both staggered price setting and staggered wage setting and derive a generalised version of new Keynesian model to study how these distortions affect the steady state and dynamics of model. The main finding is that the imperfection of labour market has more distortionary power on aggregate output and aggregate welfare given positive target inflation rate. The change in structural parameters that represents the monopolistic competition in intermediate-good market and labour market result in asymmetric distortion effect on the steady state of aggregate output and aggregate welfare. This asymmetric effect is especially significant given higher target inflation rate. Given the same target inflation rate, wage stickiness is more distortionary than the price stickiness. The existence of positive target inflation rate can also change the first-order dynamics of model, amplifying or reducing the dynamic response of model according to the type of exogenous shocks. Numerical results also provide us a macroeconomic structural model-based explanation for the reason that the most central banks set the target inflation rate within a range from 1% to 2%.
    Keywords: price stickiness; wage stickiness; generalised new keynesian model; distortion.
    DOI: 10.1504/IJCEE.2022.10050457
  • an empirical analysis of herding behavior : evidence from developed and frontier financial markets   Order a copy of this article
    by Abdelati Hakmaoui, Ouael El Jebari 
    Abstract: The present article aims at testing for the existence of herding under different market conditions in the financial markets of the USA, France, Morocco, and Tunisia. We use the newly innovated models of the cross-sectional absolute deviation (CSAD) suggested by Pochea et al. (2017), to which we apply a quantile regression for a more thorough analysis. The results confirm the existence of herding bias in the stock markets of the USA and Morocco, whilst the detailed analysis of herding dynamics has suggested different patterns of herding between developed and frontier markets. Herding behaviour is more pronounced in frontier markets under extreme market returns and volatility. This paper concludes that herding may be a viable investing strategy in developed markets under normal conditions, with investors tendency to rely on the fundamentals during periods of turbulent markets conditions. No evidence of herding is detected in the French and the Tunisian financial markets.
    Keywords: herding behaviour; quantile regression; extreme returns; volatility; developed markets; frontier markets; cross-sectional absolute deviation; CSAD.
    DOI: 10.1504/IJCEE.2022.10051460
  • Unreplicated factorial experimental designs for offline quality improvement and industrial process optimisation   Order a copy of this article
    by Hager Farhoud, Lotfi Taleb 
    Abstract: A problem frequently encountered in the industrial offline improvement of quality is to identify from among many factors, those which are responsible for large changes in the quality characteristics, namely factors with active location and/or dispersion effects. Unreplicated experimental designs propose economic tools to discover what manufacturing conditions minimise product variation, maintain product measurements near the desired target value and make the product insensitive to environmental changes. However, no degrees of freedom are left to estimate the experimental error. To remove this dependency structure of residuals at the high and low levels of factor combinations, this study first addresses a synthesis and a critical analysis of existing location and dispersion effect identification methods. Second, a new method is proposed, and robustness check is based on real example and extensive simulation study. Third, practical issues are presented to enlighten investigators in their decision-making process.
    Keywords: statistical process optimisation; quality engineering; screening designs; IER; EER; modified residuals.
    DOI: 10.1504/IJCEE.2023.10053919
  • Globalisation and the Nigerian environment: empirical evidence from quantile cointegration   Order a copy of this article
    by Olalekan Bashir Aworinde 
    Abstract: This paper examines the validity of the environmental Kuznets curve (EKC) in Nigeria by exploring the impact of economic growth, overall, economic, social, and political globalisation on Nigerian ecological footprint using the recently developed quantile autoregressive distributed lag (Q-ARDL) technique for the period of 1970Q1-2018Q4. The findings of the linear ARDL support the presence of a long-run relationship and validity of EKC in all the four models considered. The Q-ARDL results showed that the assumptions of the error-correction terms are met across all quantiles. The long-run results reveal evidence of an inverted U-shaped EKC in Nigeria. Additionally, the long-run period shows that overall, social, economic, and political globalisation worsens the Nigerian environment. This study, therefore, recommends that the Nigerian Government should adopt energy-efficient environmental policies that will promote green growth development.
    Keywords: globalisation; environment; Nigeria; environmental Kuznets curve; EKC; quantile autoregressive distributed lag; Q-ARDL; ecological footprint.
    DOI: 10.1504/IJCEE.2023.10053920
  • An S-curve efficient frontier on second-hand auto price   Order a copy of this article
    by Fadzilah Salim, Nur Azman Abu 
    Abstract: An efficient frontier has been a popular concept in a capital asset pricing model in the last 50 years. An efficient frontier will be explored as a practical predictive model for second-hand automobile prices. It is a practically useful model that comes with an upper price recommendation on the market to suggest maximum possible coverage by auto insurance. A nonlinear model has been observed to give a better estimate of price appreciation while describing real-life phenomena. In this paper, an S-efficient frontier curve model is proposed as a simple nonlinear model used for estimating second-hand automobile pricing. A dynamic S-shaped membership function (SMF) will be used as a basis to construct an S-curve algorithm in this automobile price model. An S-curve model is found to offer a useful and practical estimation regarding second-hand auto prices. Therefore, an S-curve efficient frontier model along automobile make years is expected to provide a better estimate of second-hand auto pricing in Malaysia.
    Keywords: S-curve model; efficient frontier; second-hand auto price; price modelling.
    DOI: 10.1504/IJCEE.2023.10050544
  • Simple methods to handle missing data   Order a copy of this article
    by Ruzhdie Bici 
    Abstract: Missing data are a common problem in big data sets. Specifically, missing data are present in surveys and in different studies, leading to increase of variance and unreliable results. While most of the researchers focus on the analysis of more sophisticated methods, the simplest techniques are not treated in detail. The article explains the theoretical concepts of different types of missing data, the causes of missing data, and analyses methods on how to deal with missing data. The focus is using simple imputation techniques (mean imputation, regression imputation and non-treating missing at all). The analysis is done using Malawi data, IHS5 2019-2020 survey data. In this article, the interest is to know the whole property values (selling and renting) in the country, while the information in these variables is partly not filled. The results show how the different imputation methods influence the results and sometimes the value is predicted from other auxiliary variables.
    Keywords: simple methods; missing data; handle missing data; imputation; regression; non-response.
    DOI: 10.1504/IJCEE.2022.10044307

Special Issue on: ICOAE2018 Applied Economics

  • The stock market - oil prices variability relationship in the USA: the financial crisis effect   Order a copy of this article
    by Dimitrios Kartsonakis-Mademlis, Nikolaos Dritsakis 
    Abstract: This paper employs bivariate GARCH models to investigate the relationship between Dow Jones industrial average index and crude oil Brent. The models are used to generate the conditional variances of our indices and test for volatility spillover effects. Our evidence supports that for the entire sample period, there is no causal relationship between the volatilities of Dow Jones and Brent. For the period before the financial crisis, there is evidence of a unidirectional link regarding the transmission of shocks from the stock to the oil market and a bidirectional link concerning the volatility spillover between the markets. Considering the period of the crisis, bidirectional shock and volatility linkages are found. In contrast, for the period after the financial crisis, only the effect of the transmission of shocks and volatility spillover from Dow Jones to Brent is significant. We also compute the optimal portfolio weights and dynamic risk-minimising hedge ratios to highlight the importance of our empirical results.
    Keywords: BEKK-GARCH model; financial crisis; stock market; oil prices; volatility spillover.
    DOI: 10.1504/IJCEE.2023.10053918

Special Issue on: Health Economics and Econometrics

  • Technical efficiency in Irish public hospitals: a multi-output distance function SFA approach   Order a copy of this article
    by Niall Devitt, Marta Zieba, Declan Dineen 
    Abstract: This paper estimates output-oriented technical efficiency (TE) for 37 acute public hospitals in Ireland using monthly panel data for the years 2017-2018. To allow an accurate estimation of multi-output production technology, we utilise a trans-logarithmic output distance function (ODF) and apply the true random-effects (TRE) stochastic frontier model which accounts for both transient and persistent inefficiency. The findings indicate that Irish hospitals operate with an average short-run efficiency score of 0.93-0.94, whereas the persistent efficiency is 0.90. Furthermore, all input elasticities are positive but the returns to scale are decreasing. Inpatient discharges account for the highest output elasticity and the highest marginal rate of transformation. While the hospital model-type increases the level of output in hospitals, the share of emergency patients negatively affects the hospitals production. Moreover, the length of stay is an important contributor to hospitals inefficiency and medium-sized hospitals with 200 to 400 beds are the most efficient hospital units.
    Keywords: hospitals; technical efficiency; TE; output distance function; ODF; true random-effects; TRE; SFA; efficiency determinants; Ireland.
    DOI: 10.1504/IJCEE.2022.10051477