the probability of sale and price premiums in withdrawn auctioned properties this paper examines the impact of the auction process of residential properties that whilst unsuccessful at auction sold subsequently the empirical analysis considers both the probability of sale and the premium of the subsequent sale price over the guide price reserve and opening bid the findings highlight that the final achieved sale price is influenced by key price variables revealed both prior to and during the auction itself factors such as auction participation the number of individual bidders and the number of bids are significant in a number of the alternative specifications

on the dynamics of demand for leisure and the production of health our article develops and estimates a structural model of household health production that jointly determines the demand for leisure and the demand for consumption for elderly males we use a stochastic dynamic programming framework based on the assumption that an individual maximizes lifetime utility subject to budget and time constraints and a health production function by choosing hours of leisure and levels of consumption of health related and health neutral goods and services moreover we use a very comprehensive health index that combines four scales measuring a variety of dimensions in the quality of life the euler equations derived from our model are estimated using data from six biennial panels of the retirement history survey

market share market value and innovation in a panel of british manufacturing firms this paper examines the empirical relationship between technological innovations market share and stock market value new developments in the estimation of dynamic count data models are used to control for unobserved firm specific heterogeneity we find a robust and positive effect of market share on observable headcounts of innovations and patents although increased product market competition in the industry tends to stimulate innovative activity furthermore the impact of innovation on market value is larger for firms with higher market shares we argue that our results are consistent with models where high market share firms have incentives to pre emptively innovate

asymmetric loss and herding behaviour of exchange rate forecasters evidence from south africa this study examines the asymmetry of the loss function for private forecasters in exchange rate forecasts of the south african rand it tests rationality under the possibility of an asymmetric loss function the results indicate less evidence of asymmetry for a horizon of 1 month but considerable evidence of asymmetry for a horizon of 3 months however the shapes of the distributions formed by estimated asymmetry parameters of sub samples for each forecaster are symmetric regardless of the forecast horizons which implies that these forecasters do not herd or antiherd in fact the results of our empirical herding test show that forecasters neither herd nor antiherd which is in sharp contrast to recent findings on antiherding for foreign exchange rates in emerging market economies our findings provide consistent evidence for a recent suggestion that antiherding might result in the rejection of rationality even under asymmetric loss functions our findings also suggest that central bank transparency m

inflation and asset returns in a monetary economy postwar u s data are characterized by negative correlations between real equity returns and inflation and by positive correlations between real equity returns and money growth these patterns are closely matched quantitatively by an equilibrium monetary asset pricing model the model also implies negative correlations between expected asset returns and expected inflation and it predicts that the inflationasset return correlation will be more strongly negative when inflation is generated by fluctuations in real economic activity than when it is generated by monetary fluctuations the co movements of real asset returns inflation and money growth have been studied extensively over the past fifteen years table i displays some of the statistical properties of these series using quarterly u s data from 1959 to 1990 note first the significantly negative correlation between real equity returns and inflation note also the negative correlation between inflation and the ex post real return to nominally riskless bonds while this fact is not particularly surprising numerous studies conclude that the correlations between ex ante real asset returns and expected inflation are also negative 2 in contrast to these patterns the correlation between money growth and real equity returns is weakly positive in the data while the correlation between money growth and the real bond return is virtually zero initially these empirical patterns were viewed as anomalies negative correlations between inflation and ex post real stock returns contradict the traditional view that equities ought to act as an inflation hedge 3 negative correlations between expected inflation and ex ante real returns violate the

the effect of work experience on female wages and labour supply this paper develops and implements a semiparametric estimator for investigating with panel data the importance of human capital and time nonseparable preferences to females when aggregate shocks are present it provides a set of conditions for making statistical inferences about agents expectations of their correlated future choices from a short panel under the assumption that observed allocations are pareto optimal a dynamic model of female labour supply and participation is estimated in which experience on the job raises future wages and time spent off the job in the past directly affects current utility or indirectly through productivity in the nonmarket sector

a time series analysis of representative agent models of consumption andleisure choice under uncertainty this paper investigates empirically a model of aggregate consumption and leisure decisions in which utility from goods and leisure is nontime separable the nonseparability of preferences accommodates intertemporal substitution or complementarity of leisure and thereby affects the comovements in aggregate compensation and hours worked these cross relations are examined empirically using postwar monthly u s data on quantities real wages and the real return on the one month treasury bill the estimated values of the parameters governing preferences differ significantly from the values assumed in several studies of real business models several possible explanations of these discrepancies are discussed

habit formation in consumer preferences evidence from panel data this paper tests for the presence of habit formation using household data a simple model of habit formation implies a condition relating the strength of habits to the evolution of consumption over time when the condition is estimated with food consumption data from the panel study on income dynamics the results yield no evidence of habit formation at the annual frequency this finding is robust to a number of changes in the specification it also holds for several proxies for nondurables and services consumption created by combining psid variables with weights estimated from consumer expenditure survey data

interpreting the results of empirical analyses of intertemporal allocation an identification problem abstract empirical analyses of household behaviour often find that behaviour is intertemporally non additive in the sense that past state variables affect current behaviour this may be because preferences are nonadditive because of habits or satiation or because budgets are non additive for example because of human capital formation or imperfections in credit markets in this note i show that there is a fundamental identification problem in that we cannot infer from observed quantities and prices whether any nonadditivity in behaviour is coming from the budget constraint or the utility function

the distribution of dairy farm size in poland a markov approach based on information theory this article sets out to analyse the evolution of the dairy farm structure of poland during the post socialist period after focusing on how the farm structure has changed over time an instrumental variable generalized cross entropy estimator is used to develop and estimate a markov model in order to explore how farm structure will probably develop in the coming decade the estimator exploits both sample data and prior information including general and plausible information on farm mobility and structural adjustments based on independent literature next several statistical indicators are computed for farm mobility and for which farms are likely to survive finally milk projections are made and related to policy scenarios the projections show that the number of dairy farms will continue to decline but the number of medium and large farms will increase in the coming decade subsistence dairy farms are expected to leave the sector slowly milk projections show that under the status quo milk quotas w

comment sequential moment restrictions in panel data 1992 comment sequential moment restrictions in panel data journal of business economic statistics vol 10 no 1 pp 20 26

business cycles with distorting taxes and disaggregated capital markets abstract this paper studies a neoclassical growth model to examine the linkages between distorting corporate and personal taxes and cyclical movements of aggregates such as investments in equipment and structures suppose tax variables vary stochastically and annually we solve quarterly individual and aggregate decision rules by recursive methods and quantify the dynamic impacts on aggregates from unit changes in tax structures and individual and joint tax specifications the findings suggest that corporate income tax is the major factor leading to substantial tax effects on business cycles moreover the impact of investment tax credit for equipment on disaggregated investments is equally significant

stock auction bidding behavior and information asymmetries an empirical analysis using the discriminatory auction model framework abstract this paper empirically analyzes bidding behavior and information asymmetries of stock auctions using a discriminatory auction model framework analyzing stock auctions using auction theory is important because it provides a logical framework for explaining observable behaviors and a solid foundation for empirical testing because of limited availability of stock auction data existing empirical research based on auction theory focus mainly on treasury auctions away from the treasury markets however there is a significant paucity of literature on this subject in this study we make use of a detailed stock auction data set from the taiwan stock exchange to empirically examine the behaviors of the taiwan stock auction market within the framework of the auction theory our results show that the level of competition the dispersion of opinion among bidders and the bidder s risk aversion are significant in determining auction prices results also show that if the offering prices are set equal to the average offering prices the first day post initial public offering abnormal return will be equal to zero additionally we find institutional bidders possess superior bidding skills compared to small bidders and that underwriter s characteristics influence the bidding results

federal credit private credit and economic activity the federal open market committee has been monitoring total domestic nonfinancial debt since early 1983 the evidence reported in this paper shows that the federal and non federal private components of the debt have significantly different impacts on economic activity thus monitoring total debt rather than its major subcomponents implies that the federal open market committee is ignoring important information contained in a more disaggregated analysis copyright 1990 by ohio state university press

asymmetry and nonstationarity in the farm size distribution of wisconsin milk producers an aggregate analysis a markov model is developed to test the nonstationarity and asymmetry of factors affecting the evolution of wisconsin dairy farms using aggregate data the model is used to examine how prices interest rates debt drought and the dairy termination program affected farm growth and the entry and exit of wisconsin dairy farms by size categories during 1972 92

simple solutions to the initial conditions problem in dynamic nonlinear panel data models with unobserved heterogeneity i study a simple widely applicable approach to handling the initial conditions problem in dynamic nonlinear unobserved effects models rather than attempting to obtain the joint distribution of all outcomes of the endogenous variables i propose finding the distribution conditional on the initial value and the observed history of strictly exogenous explanatory variables the approach is flexible and results in simple estimation strategies for at least three leading dynamic nonlinear models probit tobit and poisson regression i treat the general problem of estimating average partial effects and show that simple estimators exist for important special cases copyright 2005 john wiley sons ltd

co determination and innovation this paper examines the effect of the german co determination law of 1976 mitbestg on the innovative activity of german firms co determination applies to firms with 2 000 employees or more data from 1971 1976 and 1981 1990 on 148 firms are used to compare the number of patents granted to co determined firms before and after the introduction of the law several control variables are applied and in particular in order to avoid a possible bias from specific effects of firm size we compare the co determined firms with others before and after 1976 the results do not support the view that co determination slows down technological progress and reduces innovativity

treasury auction bids and the salomon squeeze recent press accounts claim that collusion is common practice in treasury auctions and that as a result the auction profits are excessive but this paper finds that the auction prices are on average marginally higher than the secondary market bid prices the auction profits however are systematically related to the total fraction of winning bids tendered by banks and dealers the postauction prices of the two year notes in which salomon brothers had a 94 percent holding are also examined the secondary market prices of these notes were significantly higher than the estimated competitive prices in the four week postissue period

structural transformation and smallholder agriculture an information theoretic analysis of the nicaraguan case in light of continued debate regarding the capacity of small scale agricultural producers to compete amidst globalization and or liberalization we examine recent trends in the distribution and use of agricultural landholdings in developing nations via refined exploration of the nicaraguan case with nationally representative living standards measurement survey type data for the years 1998 2001 and 2005 we employ markov chain methods within an information theoretic framework in an attempt to advance the analysis of structural transformation in developing countries beyond the examination of trends in mean farm sizes or gini coefficients approaches ill suited to the detection of the apparent complexities of structural change further while markov chain analysis has witnessed relatively widespread application in the investigation of structural transformation in developed nations we offer a novel methodological extension by allowing for the simultaneous exploration of structural transformation across multiple dimensions namely structural change in both the distribution and use of agricultural landholdings as well as the incorporation of microlevel determinants of farm size and land use change the results of the inquiry above all suggest that nicaragua s agricultural and livestock sector is characterized by a definitive persistence of smallholders while a moderate tendency toward bifurcation in the distribution of landholdings would appear to obscure any immediate relationship between operational landholdings and land productivity we contend that such trends are in fact consistent with the often observed inverse farm size productivity relationship

estimation of a censored dynamic panel data model panel data models have a long history in econometrics and have become increasingly popular in empirical economics over the past two decades panel data expand our opportunities to study more complex economic relationships by for example allowing for individual heterogeneity and dynamic feedback these goals are often achieved by including in the model individual specific effects and lagged dependent variables these two features of the dynamic panel data model however often create difficulties in estimation although much progress has been made in the linear panel data model see among others hsiao 1986 baltagi 1995 and arellano and honore 2001 for review our knowledge of general nonlinear dynamic panel data models is very limited in most nonlinear models strict exogeneity of the explanatory variables is still the key assumption the main difficulty is that with nonlinearity it is not obvious how to difference away the individual specific effects and how to use instrumental variable type techniques 2 despite these difficulties some developments have been made on estimating certain nonlinear dynamic models using the fixed effects approach for example the censored regression models honore 1993 honore and hu 2001 the sample selection models kyriazidou 2001 the discrete choice models honor6 and kyriazidou 2000 and the models with multiplicative individual effects chamberlain 1992 wooldridge 1997

the expected stop out price in a discriminating auction abstract optimal bidding strategies and expected seller revenues in price discriminating auctions have been derived in previous studies we extend this research by characterizing the behavior of the expected stop out price for such auctions

estimation of fractional dependent variables in dynamic panel data models with an application to firm dividend policy fractional dependent variables and models with state dependence arise in many economic applications however estimating models with fractional dependent variables is complicated by the presence of two corner solution outcomes when coupled with a dynamic panel data setting estimating quantities of interest can be quite complex or computationally difficult this article demonstrates a method for estimating fractional response variables which is easy to implement and presents an application of the technique to the determination of firm dividend policy the estimation demonstrates that neglecting dynamics unobserved heterogeneity or the doubly censored nature of the dependent variable can generate misleading conclusions

signalling by underwriter retention rate in the ipo market underwriters in taiwan have to purchase 10 25 of shares offered in initial public offerings ipos for their own accounts we present a signalling model showing that the underwriter retention rate can serve as a signal of firm value to investors because underwriters are investors as well this mechanism can reduce information asymmetry between issuers and investors the model shows that when underwriters retain more proportion of ipo shares in equilibrium the initial return is greater and the subscription success rate is lower we further test the propositions using 616 ipo firms in taiwan for the period 1998 2004 overall the empirical results support the propositions developed from the signalling model

saving growth and investment a macroeconomic analysis using a panel of countries this paper provides a descriptive analysis of the long and short run correlations among saving investment and growth rates for 123 countries over the period 1961 94 three results are robust across data sets and estimation methods i lagges saving rates are positively related to investment rates ii investment rates granger cause growth rates with a negative sign iii growth rates granger cause investment with a positive sign

children as income producing assets the case of teen illegitimacy and government transfers this paper develops a classical model of the teen fertility decision in the presence of public income transfers the theoretical model predicts that welfare payments will encourage fertility holding constant other economic opportunities and that better economic opportunities will discourage fertility considering the possible simultaneity of illegitimacy rates and benefit levels due to the collective choice process the authors confirm the theoretical models predictions with state level data from 1980 through 1990 the authors find that including fixed effects in the regression to control for unobserved differences between states does not sufficiently control for endogeneity after controlling for endogeneity real welfare benefits are strongly and robustly related to teen illegitimacy the point estimates of the elasticity with respect to changes in the illegitimacy rate are around 1 3 for white teens and 2 1 for black teens real wages for women with a high school education or less are negatively related to teen illegitimacy for white teens with an elasticity of around 0 4 finally male wages appear to have little effect on the illegitimacy rate for white teens but appear negatively correlated with the illegitimacy rate for black teens in some model specifications authors

optimal instruments in time series a survey abstract this article surveys estimation in stationary time series models using the approach of optimal instrumentation we review tools that allow construction and implementation of optimal instrumental variables estimators in various circumstances in single and multiperiod models in the absence and presence of conditional heteroskedasticity by considering linear and non linear instruments we also discuss issues adjacent to the theme of optimal instruments the article is directed primarily towards practitioners but econometric theorists and teachers of graduate econometrics may also find it useful

entry and patenting in the software industry to what extent are firms kept out of a market by patents covering related technologies do patents held by potential entrants make it easier to enter markets we estimate the empirical relationship between market entry and patents for 27 narrowly defined categories of software products during the period 1990 2004 controlling for demand market structure average patent quality and other factors we find that a 10 increase in the number of patents relevant to market reduces the rate of entry by 3 8 and this relationship intensified following expansions in the patentability of software in the mid 1990s however potential entrants with patent applications relevant to a market are more likely to enter it finally patents appear to substitute for complementary assets in the entry process because patents have both greater entry deterring and entry promoting effects for firms without prior experience in other markets this paper was accepted by bruno cassiman business strategy

seniority and efficiency the role of seniority in efficient compensation and employment arrangements between a firm and its labor pool is examined seniority is treated as an endogenous factor in a dynamic model with uncertainty nonseparability over time in preferences and production emerges as a pivotal aspect of seniority provisions in efficient allocations the analysis focuses on two dynamic factors that have been emphasized in the literature nonseparable worker preferences in leisure and a learning by doing process of human capital accumulation copyright 1992 by the editors of the scandinavian journal of economics

are wages habit forming evidence from micro data although utility functions play a central role in economics the axiom that utility depends only on the absolute levels of its arguments is rarely tested this paper uses panel data on 2000 british employees who remain with the same employer and who are not promoted from one wave to the next it is shown that one important measure of well being overall job satisfaction is strongly positively correlated with the change in the worker s pay between waves but is unrelated to the current level of pay empirical tests suggest that a reference dependent satisfaction function where individual well being depends on current pay relative to past pay is more consistent with these regression results than are productivity or agency explanations of increasing wage profiles some evidence is presented of greater job satisfaction effects of pay rises for lower paid less well educated and younger workers these results provide some micro evidence consistent with the theory widespread in social science of habituation individuals may become used to any given level of consumption or income as such they tie in with the finding that a country s well being as measured by the average happiness of its citizens is only weakly correlated with its per capita gnp

the demand for stocks an analysis of ipo auctions we analyze a unique dataset that includes the full demand schedules of 27 israeli ipos that were conducted as nondiscriminatory uniform price auctions to the best of our knowledge this is the first time the whole demand schedule for any asset is described the demand schedules are relatively flat around the auction clearing price the average elasticity is 27 the elasticity is low when the return distribution contains a large unique component we also find a significant average abnormal return of 4 5 on the first trading day and a positive correlation between the abnormal return and the elasticity of demand article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

long term care utility and late in life saving older wealth holders spend down assets much more slowly than predicted by classic life cycle models this paper introduces health dependent utility into a model with incomplete markets in which pre

a superior measure of consumption from the panel study of income dynamics abstract this paper provides a simple technique for assigning a measure of total consumption to households in the panel study of income dynamics psid using regressions from the consumer expenditure surveys of 1972 1973 and 1983 linear predictions of total consumption are estimated which are stable over time and explain up to 78 percent of the total variance in consumption

estimating a dynamic adverse selection model labour force experience and the changing gender earnings gap 1968 1997 this paper addresses two questions what accounts for the gender gap in labour market outcomes what are the driving forces behind the changes in the gender labour market outcomes over the period 1968 1997 it formulates a dynamic general equilibrium model of labour supply occupational sorting and human capital accumulation in which gender discrimination and an earnings gap arise endogenously it uses this model to quantify the driving forces behind the decline in the gender earnings gap and the increase in female labour force participation the proportion of women working in professional occupations and hours worked it finds that labour market experience is the most important factor explaining the gender earnings gap in addition statistical discrimination accounts for a large fraction of the observed gender earnings gap and its decline it also finds that a large increase in aggregate productivity in professional occupations plays a major role in the increase in female labourforce participation number of hours worked and the proportion of females working in professional occupations although of less importance demographic changes account for a substantial part of the increase in female labour force participation and hours worked whereas home production technology shocks do not

the sensitivity of an empirical model of married women s hours of work to economic and statistical assumptions this study undertakes a systematic analysis of several theoretic and statistical assumption s used in many empirical models of female labor supply using a singl e data set psid 1975 labor supply data the author is able to replic ate most of the range of estimated income and substitution effects fo und in previous studies in this field he undertakes extensive specif ication tests and finds that most of this range should be rejected du e to statistical and model misspecifications the two most important assumptions appear to be the tobit assumption used to control for sel f selection into the labor force and exogeneity assumptions on the wi fe s wage rate and her labor market experience copyright 1987 by the econometric society

intertemporal preferences and labor supply in this paper the authors examine whether nonseparable preference structures ar e important in characterizing life cycle labor supply using longitud inal data on prime age males from the panel study of income dynamics they estimate a model of life cycle leisure and consumption under un certainty in which intertemporal preferences are allowed to be nonsep arable in leisure the model tests several alternative specifications considered in the literature they investigate the robustness of the ir findings to certain forms of population heterogeneity and types of model misspecification across alternative specifications the autho rs find that the standard assumption of intertemporally separable pre ferences for leisure is not consistent with the data copyright 1988 by the econometric society

semiparametric bayesian inference for dynamic tobit panel data models with unobserved heterogeneity summary this paper develops semiparametric bayesian methods for inference of dynamic tobit panel data models our approach requires that the conditional mean dependence of the unobserved heterogeneity on the initial conditions and the strictly exogenous variables be specified important quantities of economic interest such as the average partial effect and average transition probabilities can be readily obtained as a by product of the markov chain monte carlo run we apply our method to study female labor supply using a panel data set from the national longitudinal survey of youth 1979 copyright 2008 john wiley sons ltd

the effects of health insurance and self insurance on retirement behavior this paper provides an empirical analysis of the effects of employer provided health insurance medicare and social security on retirement behavior using data from the health and retirement study we estimate a dynamic programming model of retirement that accounts for both saving and uncertain medical expenses our results suggest that medicare is important for understanding retirement behavior and that uncertainty and saving are both important for understanding the labor supply responses to medicare half the value placed by a typical worker on his employer provided health insurance is the value of reduced medical expense risk raising the medicare eligibility age from 65 to 67 leads individuals to work an additional 0 074 years over ages 60 69 in comparison eliminating 2 years worth of social security benefits increases years of work by 0 076 years

an application of maximum entropy estimation the demand for meat in the united kingdom in many econometric studies of demand relationships the design matrix is frequently subject to severe collinearity in this paper the generalized maximum entropy methodology is introduced and used to estimate a set of demand relationships the ability of generalized maximum entropy to estimate economic relationships that are typically subject to a high degree of collinearity among the explanatory variables thus potentially causing traditional methods of estimation to be unreliable is explained the results derived by this alternative method of estimation for a uk meat demand data set are analysed and examined the potential for this emerging estimation methodology is discussed

intertemporal substitution in labor supply evidence from micro data the sensitivity of the supply of labor to intertemporal variation in the wage is an important issue in macroeconomics the analysis of social security and pensions and the study of life cycle patterns of work this paper explores two approaches to the measurement of intertemporal substitution that have appeared in the literature the first approach is to use consumption to control for wealth and unobserved expectations about future wages in the labor supply equation the second approach is to estimate a first difference equation for hours in which labor supply from the previous period serves as a control for wealth and wage expectations the results indicate that intertemporal substitution elasticity for married men is positive but small

dynamic hours of work functions for husbands wives and single females hours of work equations are derived from the constrained maximization of a utility function that is not separable over time and that varies with a household s demographic structure these equations are fitted to observations on wage rates nonlabor income and other variables for husbands wives and unmarried women the dependence of each household s current work and consumption behavior upon its work and consumption behavior in the past is examined closely and different interpretations of the relationship are confronted with the data

medicaid insurance in old age the old age provisions of the medicaid program were designed to insure retirees against medical expenses we estimate a structural model of savings and medical spending and use it to compute the distribution of lifetime medicaid transfers and medicaid valuations across currently single retirees compensating variation calculations indicate that current retirees value medicaid insurance at more than its actuarial cost but that most would value an expansion of the current medicaid program at less than its cost these findings suggest that for current single retirees the medicaid program may be of the approximately right size

estimating life cycle labor supply tax effects we present an econometrically tractable life cycle labor supply model for panel data including intertemporally progressive taxes on uncertai wage and nonwge incomes our two stage fixedeffects generalized method of moments approach first extimates intretemporal and then intertemporal preferences specification testing domonstrates the value of incorporating joint progressive taxation of labor and nonlabor incomes results for prime age men emphasize the roles played by hourly wage endogeneity worker specific effects the measure of the rate of pay and intemporal budget constaint nonseparability simulations indicate that recent tax reform while not self financing stimulated made labor supplied by about 3 percent and reduced deadweight loss about 16 percent

did oil prices trigger an innovation burst in biofuels abstract this paper documents an innovation burst in biofuels in the second half of the years 2000s and empirically confronts it to the massive variations of oil prices between 1985 and 2009 our results show that increases in oil prices greatly spurred innovation in biofuels the elasticity of the number of patent families in biofuels with respect to oil prices is greater than 1 and holds both at the country and at the firm level we find that the effect cannot be caused by the contagion of oil prices to cereal prices an important input for biofuels similarly we find that the effect is very specific no such effect is found substituting oil prices with electricity prices or substituting biofuel patents with biotechnology or environment related patents delving into applicants sectors suggests that specialized biofuel firms were less responsive to oil price variations than diversified firms

the valuation of complex derivatives by major investment firms empirical evidence this article examines the auction of a portfolio of collateralized mortgage obligations cmos to major broker dealers and institutional investors the unique data set allows us to analyze a number of important empirical questions related to the valuation of cmos by the bidders and the elasticity of demand for the securities the results reveal that the valuations differ substantially implying a significant elasticity of demand this article is designed to shed light on two related questions first it extends the work of bagwell 1991 1992 brown and ryngaert 1990 and bradley desai and kim 1988 among others on shareholder heterogeneity and the elasticity of the demand for financial assets to date the empirical research on investor heterogeneity has focused on common stock this article supplements previous work by examining an auction of another class of securities complex collateralized mortgage obligations cmos to major securities dealers and institutional investors second it provides perspective on fixed income valuation models in the spirit of cox ingersoll and ross 1985 and black derman and toy 1990 virtually all of these models even those that specify relatively complex interest rate processes assume homogeneous beliefs this implies that within the constraints imposed by estimation error sophisticated investors should place equal values on fixed income securities bagwell observes that investors can be heterogeneous along several dimensions first heterogeneity can be induced by tax rules to the extent that different investors are taxed in different ways their demand for securities will be affected second transaction costs can cause heterogeneity by driving a wedge between buyers sellers and owners of a security third investors can differ in their assessments of the value of a security either because they possess different information or because they analyze that information in different ways fourth investors can face different nontradeable risks and thus can have different assessments of the value of a security depending on how it interacts with these risks finally it has been suggested by lee shleifer and thaler 1991 among others that investors may differ for idio

resource security competition for global resources strategic intent and governments as owners we develop a resource security theory by examining the intent of acquisitions of scarce resources by multinational firms results suggest that owners of firms can shape the intent of resource acquisitions specifically state owned enterprises soes tend to acquire and pay more for resources for exploration rather than exploitation this is because soes owners governments are most concerned with securing their country s future we contribute to the literature by suggesting that ownership influences resource acquisitions that resource security is of importance to multinational enterprises and that soes invest abroad to safeguard both their own and their home countries future

instrumental variables procedures for estimating linear rational expectations models abstract this paper illustrates how to use instrumental variables procedures to estimate the parameters of a linear rational expectations model these procedures are appropriate when disturbances are serially correlated and the instrumental variables are not exogenous we compare our procedures to some alternative estimators that estimate free parameters from restrictions implied by the euler equations the procedures are applicable to a variety of linear rational expectations models several examples of which we cite

household choices in equilibrium this paper is an empirical investigation of equilibrium restrictions on household consumption and male labor supply it exploits a simple factor structure rationalized by two assumptions that household allocations are pareto optimal and that the labor market is competitive the paper estimates household preferences and tests how well this parsimonious factor structure represents panel data on married couples and time series data on asset returns most of the estimates are roughly comparable to those found in previous work no evidence against the simple factor representation is found and the intertemporal capital asset pricing model is not rejected copyright 1990 by the econometric society

gmm estimation of a money in the utility function model the implications of functional forms this paper studies consumer demand for real balances by allowing money to enter directly into an aggregate utility function as an asset that provides liquidity services the essay extends existing literature by investigating a money in the utility function model under a variety of specifications of the representative agent s objective function the empirical analysis employs the generalized method of moments technique to estimate the coefficients of the euler equations derived from the structural model the parameter estimates are compared across specifications of the utility function and across data sets the results provide some support for the view that the liquidity services provided by real balances contribute to utility

the effect of income taxation on consumption and labor supply we estimate the incentive effects of income taxation in a life cycle model of consumption and labor supply without intratemporal strong separability we find that consumption and hours worked are direct complements in utility both increase with a compensated increase in the net wage the compensated net wage elasticity is about 0 3 nearly double estimates for u s men from a linear labor supply specification estimated intertemporal elasticities indicate significant intertemporal smoothing of utility the estimated marginal welfare cost of government revenue is 6 20 which is about half the estimated welfare cost when additivity between consumption and leisure is incorrectly imposed

evaluating japanese corporate executives forecasts under an asymmetric loss function abstract we examine asymmetry in the loss function of japanese corporate executives in their output growth forecasts and test for rationality of the forecasts under the assumption of a possibly asymmetric loss function we find evidence of asymmetry and support for rationality under an asymmetric loss function

does self fulfilment of the inflation expectation exist abstractthis study examines the causal relationship between the actual and expected inflation in the u s using the bootstrap granger full sample causality test and sub sample rolling window estimation test to illustrate the self fulfilment of inflation expectations the full sample result indicates that there is a bidirectional causality between the actual and expected inflation showing the possibility of self fulfilment of inflation expectations which illustrates that inflation is driven by inflation expectation however considering structural changes in two series we find that the short run causal nexus between the actual and expected inflation using full sample data are fraudulent by adopting a time varying rolling window approach to revisiting the dynamic causal relationships this article identifies that the actual inflation has both positive and negative impacts on the expected inflation in distinct sub periods nevertheless inflation expectation exerts only negative effects on the actual inf

measuring consumer switching costs in the television industry in this article i develop and estimate a model of dynamic consumer behavior with switching costs in the market for paid television services i estimate the parameters of the structural model using data on cable and satellite systems across local us television markets over the period 1992 2006 the results suggest switching costs range from 159 to 242 for cable and from 212 to 276 for satellite providers in 1997 dollars using a simple dynamic model of cable providers i demonstrate that switching costs of these magnitudes can significantly affect the firms optimal strategies

nonparametric tests of utility maximization and weak separability for consumption leisure and money some of the most fundamental assumptions of economics are utility maximization and weak separability of the arguments in the represen tative consumer s utility function this paper contains results from nonparametric tests of these assumptions about consumer behavior the authors find that quarterly per capita data on consumption goods le isure and monetary assets are consistent with utility maximization further consumption goods and leisure meet necessary and sufficient conditions for weak separability additionally one grouping of relat ively liquid monetary assets meets the necessary conditions for weak separability they also test and find no evidence of homothetic prefe rences copyright 1987 by mit press

an analysis of bidding in the japanese government bond auctions we examine the bidding patterns and auction profits in the japanese government bond jgb auctions and empirically test the predictions of auction theory we find that the average profit in jgb auctions is not reliably different from zero and the degree of competition and the level of uncertainty are insignificant in determining auction profits the winning shares of the u s dealers are positively related to auction profits whereas the winning shares of their japanese counterparts show a negative association we also find that the share of winnings of japanese dealers tends to be correlated with the share of winnings of their compatriot dealers but a similar relation is not found for u s dealers

size distribution and growth in a sample of illinois cash grain farms falling agricultural incomes declining exports and emerging biotechnologies have rekindled concern over farm structure and the viability of the medium sized often identified as the family farm see stanton 1984 for a comprehensive discussion of farm structure issues recent studies by edwards smith and patterson zulauf and the office of technology assessment ota examine the changing nature of the size distribution of u s farms gardner and pope and also leiby and sumner investigate forces affecting farm growth these studies are difficult to compare because of differences in models time periods and size measures used in empirical analyses for example a comparison of the ota and the edwards smith and patterson studies leads to very different views of farm sector structure in 2000 the ota results based on analysis of deflated gross value of farm income from 1969 to 1982 suggest a movement towards a bimodal distribution of very small and very large farms in contrast the usda study using acreage to measure farm size over a shorter period 1974 to 1978 predicts a more stable distribution similar to today s interpretation of these results is complicated by the difficulty of defining farm size for a heterogenous set of multiple enterprise farms the limited range of categories used to describe farm growth and the lack of microlevel evidence to corroborate findings based on aggregate agricultural census data the purpose of this analysis is to assess evidence of change in the size distribution of a sample of 161 illinois cash grain farms over the past decade three issues are addressed in the empirical investigation markov transition probability matrices are estimated first to investigate changes in distribution of the sample over the period 1976 to 1985 second we consider whether the results of this analysis and our predictions of future farm structure are invariant with respect to the measure of size used third discriminant analysis is applied to identify factors associated with change in farm size

discriminatory versus uniform treasury auctions evidence from when issued transactions abstract we use when issued transactions data to assess the treasury s current experiment with uniform auctions when issued volume is higher under uniform as compared to discriminatory auctions suggesting a higher information release which should reduce pre auction uncertainty and the winner s curse under uniform auctions when issued volatility falls after the auction and again after the outcome announcement the pattern is the opposite for discriminatory auctions this is further evidence that uniform auctions increase pre auction information and lower the short squeeze a direct comparison of markups in uniform and discriminatory auctions yields mixed results

moment conditions for fixed effects count data models with endogenous regressors abstract this note shows that moment conditions originally proposed by wooldridge 1991 wooldridge j m 1991 multiplicative panel data models without the strict exogeneity assumption working paper 574 mit department of economics can be used for the consistent estimation of parameters in fixed effects count data models with endogenous regressors

a time series analysis of real wages consumption and asset returns summary this paper re examines whether the time series properties of aggregate consumption real wages and asset returns can be explained by a neoclassical model previous empirical rejections of the model have suggested that the optimal labour contract model might be appropriate for understanding the time series properties of the real wage rate and consumption we show that an optimal contract model restricts the long run relation of the real wage rate and consumption we exploit this long run restriction cointegration restriction for estimating and testing the model using ogaki and park s 1989 cointegration approach this long run restriction involves a parameter that we call the long run intertemporal elasticity of substitution ies for non durable consumption but does not involve the ies for leisure this allows us to estimate the long run ies for non durable consumption from a cointegrating regression tests for the null of cointegration do not reject our model as a further analysis our estimates of the long run ies for non durable consumption are used to estimate the discount factor and a coefficient of time nonseparability using hansen s 1982 generalized method of moments we form a specification test for our model a la hausman 1978 from these two steps this specification test does not reject our model this paper re examines whether the time series properties of aggregate consumption real wages and asset returns are consistent with a simple neoclassical representative agent economy previous empirical explorations of this issue have rejected the neoclassical model in large part because the marginal rate of substitution between consumption and leisure does not equal the real wage as is implied by the the first order conditions of the model in this paper we argue that an optimal labour contracting model is more appropriate for understanding the time series behaviour of real wages and consumption we show that a version of the optimal contract model restricts the long run relation between real wages and consumption we exploit this longrun restriction ri cointegration restriction to estimate preference parameters and test the model first we employ the cointegration approach suggested by ogaki and park 1989 to estimate the long run intertemporal elasticity of substitution for non durable consumption from a cointegrating regression we test the model by testing for the cointegration restriction

generalized method of moments and macroeconomics we consider the contribution to the analysis of economic time series of the generalized method of moments estimator introduced by hansen we outline the theoretical contribution conduct a small scale literature survey and discuss some ongoing theoretical research

on the construction of marginal federal personal and social security tax rates in the u s abstract in this article i correct and extend my earlier series on marginal federal personal income tax rates i also construct a measure of the marginal social security tax rate and add this to the income tax rate to obtain a measure of the effective marginal tax rate on income due to federal taxes finally i compare my series on marginal income tax rates and its method of construction with those of barro and sahasakul

what does the term structure tell us about future inflation abstract this empirical analysis indicates that for maturities of six months or less the term structure of nominal interest rates provides almost no information about the future path of inflation but does provide information about the term structure of real interest rates however as maturities lengthen to nine and twelve months the nominal term structure begins to contain information about future inflation but ceases to provide information about the real term structure these results are explained by differences in the relative variability of expected future inflation changes and real term structure slopes at different points in the term structure

free trade agreements and foreign direct investment the role of endogeneity and dynamics this article studies the impact of free trade agreements fta on outbound foreign direct investment fdi from one perspective fta may promote fdi since fta aim to promote economic activity between countries however lower trade barriers may lower the incentive of firms to conduct fdi therefore the net impact is an empirical question using a panel of countries for the years 1990 2006 this article effectively controls for participation in an fta when analyzing the impact on outbound fdi the lengthy time series also allows us to examine effectively the dynamic nature of the relationship failing to account for endogeneity and dynamics would likely generate inaccurate conclusions regarding the impact of fta on outbound fdi our analysis finds that outbound fdi is either unrelated to participation in an fta or is negatively affected

estimating the innovation function from patent numbers gmm on count panel data the purpose of this paper is to estimate the patent equation an empirical counterpart to the knowledge production function innovation output is measured through the number of european patent applications and the input by research capital in a panel of french manufacturing firms estimating the innovation function raises specific issues related to count data using the framework of models with multiplicative errors we explore and test for various specifications correlated fixed effects serial correlations and weak exogeneity we also present a first extension to lagged dependent variables 1997 john wiley sons ltd

a framework for estimating dynamic unobserved effects panel data models with possible feedback to future explanatory variables abstract i show how to construct the likelihood function for the conditional maximum likelihood estimator in dynamic unobserved effects models where not all conditioning variables are strictly exogenous the method for handling the initial conditions problem appears to be novel and offers a flexible relatively simple alternative to existing methods

measuring the average marginal tax rate from the individual income tax the economic effects of taxation depend on the configuration of marginal tax rates we consider here the appropriate measure of a marginal tax rate for the federal individual income tax which has a graduated rate structure and allows for numerous legal and illegal deductions from total income our conclusion is that the explicit marginal rate from the tax schedule is the right concept for many purposes hence we construct approximately weighted averages of these marginal tax rates for 1916 80 when weighted by adjusted gross income the arithmetic average of marginal tax rates is 5 in 1920 2 in 1930 6 in 1940 20 in 1950 23 in 1960 24 in 1970 and 30 in 1980 we also discuss the dispersion of marginal tax rates as well as the behavior of average tax rates and deductions from taxable income one noteworthy result concerns the fraction of adjusted gross income that accrues to families that face a marginal tax rate of at least 35 this fraction quadruples from 1964 to 1980 this abstract was borrowed from another version of this item

the permanent income hypothesis and consumption durability analysis based on japanese panel data the permanent income hypothesis with durability of commodities is tested on a panel of about 2 000 japanese households for several commodity groups under static expectations about real interest rates and for some class of utility functions consumption which is a distributed lag function of current and past expenditure follows a martingale main empirical results are i the durability of commodities usually classified as services is substantial ii the hypothesis applies to about 85 percent of the population consisting of wage earners and iii income changes explain only a small fraction of the movements in expenditure

cost structure customer profitability and retention implications of self service distribution channels evidence from customer behavior in an online banking channel this paper uses the context of online banking to investigate the consequences of using self service distribution channels to alter customer interactions with the firm using a sample of retail banking customers observed over a 30 month period at a large u s bank we test whether changes in service consumption cost to serve and customer profitability are associated with the adoption of online banking we find that customer adoption of online banking is associated with 1 substitution primarily from incrementally more costly self service delivery channels automated teller machine and voice response unit 2 augmentation of service consumption in more costly service delivery channels branch and call center 3 a substantial increase in total transaction volume 4 an increase in estimated average cost to serve resulting from the combination of points 1 3 and 5 a reduction in short term customer profitability however we find that use of the online banking channel is associated with higher customer retention rates over one two and three year horizons the documented relationship between the use of online banking and customer retention remains positive even after controlling for self selection into the online channel we also find evidence that future market shares for our sample firm are systematically higher in markets with high contemporaneous utilization rates for the online banking channel this finding holds even after controlling for contemporaneous market share suggesting it is not simply the result of increased market power leading to the acquisition of online banking customers

determinants of technical efficiency of crop and livestock farms in poland la pologne est l un des pays d europe de l est candidats a une accession a l union europeenne qui rencontre de graves problemes de restructuration agricole l article etudie l efficacite technique en 2000 d exploitations agricoles individuelles polonaises specialisees en elevage et en grandes cultures l efficacite est estimee par la methode de frontiere stochastique et sa variabilite statistique evaluee par la construction d intervalles de confiance l article examine egalement les determinants de l efficacite les resultats obtenus pas la methode de frontiere stochastique sont compares avec ceux obtenus par la methode de data envelopment analysis dea en moyenne l efficacite technique des exploitations d elevage est superieure a celle des exploitations de grandes cultures pour les deux specialisations la relation entre l efficacite et la taille des exploitations est positive les grandes exploitations sont les plus efficaces les resultats obtenus par la methode de frontiere stochastique sont generalement confirmes par la methode dea la qualite de la terre et le degre d integration dans les marches d aval sont d importants determinants de l efficacite la faible education est un obstacle majeur a l efficacite en particulier pour les exploitations de grandes cultures de plus celles ci utilisent beaucoup les marches de facteurs terre et travail alors que les exploitations d elevage utilisent plutot leurs propres terres et le travail familial