time varying smooth transition autoregressive models nonlinear regime switching behavior and structural change are often perceived as competing alternatives to linearity in this article we study the so called time varying smooth transition autoregressive tv star model which can be used both for describing simultaneous nonlinearity and structural change and for distinguishing between these features two modeling strategies for empirical specification of tv star models are developed monte carlo simulations show that neither of the two strategies dominates the other a specific to general to specific procedure is best suited for obtaining a first impression of the importance of nonlinearity and or structural change for a particular time series a specific to general procedure is most useful in careful specification of a model with nonlinear and or time varying properties an empirical application to a large dataset of u s macroeconomic time series illustrates the relative merits of both modeling strategies

the american business cycle continuity and change in recent decades the american economy has experienced the worst peace time inflation in its history and the highest unemployment rate since the great depression these circumstances have prompted renewed interest in the concept of business cycles which joseph schumpeter suggested are like the beat of the heart of the essence of the organism that displays them in the american business cycle some of the most prominent macroeconomics in the united states focuses on the questions to what extent are business cycles propelled by external shocks how have post 1946 cycles differed from earlier cycles and what are the major factors that contribute to business cycles they extend their investigation in some areas as far back as 1875 to afford a deeper understanding of both economic history and the most recent economic fluctuations seven papers address specific aspects of economic activity consumption investment inventory change fiscal policy monetary behavior open economy and the labor market five papers focus on aggregate economic activity in a number of cases the papers present findings that challenge widely accepted models and assumptions in addition to its substantive findings the american business cycle includes an appendix containing both the first published history of the nber business cycle dating chronology and many previously unpublished historical data series

censored latent effects autoregression with an application to us unemployment a new time series model is proposed to describe observed asymmetries in postwar unemployment data we assume that recession periods when unemployment increases rapidly are caused by unobserved positive shocks the generating mechanism of these latent shocks is a censored regression model where linear combinations of lagged explanatory variables lead to positive shocks while otherwise shocks are equal to zero we apply our censored latent effects autoregression clear to monthly us unemployment where the positive shocks are found to depend on lagged oil prices industrial production the term structure of interest rates and a stock market index the model fits the data well and its out of sample forecasts appear to outperform those from alternative models

monetary policy housing and heterogeneous regional markets we quantify the importance of heterogeneity for monetary policy using a new heterogeneous agent var havar model that integrates national monetary financial markets with regional housing markets via the mortgage rate although the havar model has linear regional vars its aggregate impulse responses exhibit two nonlinearities 1 time variation stemming from aggregation over heterogeneous regions and 2 state dependence on initial economic conditions in regions thus monetary policy has long and variable lags because monetary transmission depends on the extent and nature of regional heterogeneity which both vary over time the model is estimated with data for u s regions from 1986 to 1996 and simulated to show how coastal housing booms might influence the efficacy of monetary policy

u s and canadian industrial production indices as coupled oscillators abstract this paper uses ozaki s 1985 variable amplitude coefficient model to explore the impact of different types of dynamical linkages coupling between the indices of industrial production for the u s and canada empirical analysis reveals that for each country the requisite lag structure extends for up to six years and that the coupling linkages are functions of lagged changes in growth rates incorporating these linkages leads to an increased degree of oscillation in the equilibrium paths a marginal improvement in stability and somewhat greater synchronization between the two series the out of sample forecasts for each series are improved by the coupling

conditional asymmetries in real gnp a seminonparametric approach two critical assumptions are often made in empirical research regarding the relationship between economic variables and economic disturbances linearity and gaussianity together these two assumptions place strong restrictions on the time series behavior of a model most important these restrictions imply conditional symmetry using seminonparametric snp techniques this article presents evidence that real gross national product growth displays conditional asymmetry although these results confirm related results of brock and sayers sichel and hamilton the snp approach is novel in that it emphasizes the relationship between common modeling assumptions and the restrictions that these assumptions place on data

the strategic interaction between firms and formulary committees effects on the prices of new drugs we study the strategic interaction between the pricing decisions of a pharmaceutical firm and the reimbursement decisions of a government agency which grants reimbursement rights to patients for whom new drugs are most cost effective if the reimbursement decision precedes pricing the agency only reimburses some patients if the drug s private and public health benefits diverge this is there are consumption externalities and the variable cost of the drug exceeds the alternative s contrarily if the firm can commit to a price before reimbursement a strategic effect implies that by setting a sufficiently high price the firm can make the agency more willing to reimburse than without commitment

the role of international reserves holding in buffering external shocks an extended literature analyzes the accumulation foreign exchange holding observed in many developing and emerging countries since the 2000s empirical studies on the self insurance motive suggest that high reserves economies are more resilient to financial crises and to international capital inflows volatility they show also that pre crisis foreign reserve accumulation explains post crisis growth however some papers suggest that the relationship between international reserves holding and reduced vulnerability is nonlinear meaning that reserve holding is subject to diminishing returns this paper devotes more attention to the potential nonlinear relationship between the foreign reserves holding and macroeconomic resilience to shocks for a sample of 9 emerging economies we assess to what extent the accumulation of international reserves allows to mitigate negative impacts of external shocks on the output gap while a major part of the literature focuses on the global financial crisis we investigate this question by considering two sub periods 1995 2003 and 2004 2013 we implement threshold var tvar model in which the structure is allow to change if the threshold variable crosses a certain estimated threshold we find that the effectiveness of reserve holding to improve the resilience of domestic economies to shocks has increased over time hence the diminishing returns of foreign reserve holding stressed in the previous literature must be qualified

does seasonality change over the business cycle an investigation using monthly industrial production series abstract this paper examines the proposition that the business cycle affects seasonality in industrial production with output being switched to the traditionally low production summer months when recent annual growth has been strong this is investigated through the use of a restricted threshold autoregressive model for the monthly growth rate in a total of 74 industries in 16 oecd countries approximately one third of the series exhibit significant nonlinearity with this nonlinearity predominantly associated with changes in the seasonal pattern estimates show that the summer slowdown in many european countries is substantially reduced in the regime of higher recent growth

a floor and ceiling model of us output abstract building on previous nonlinear time series models we further examine the form of nonlinearity in us output we develop a model of us output that allows for floor and ceiling effects to alter the dynamics of output growth the model estimated on post korean war quarterly data displays features similar to nonlinear trade cycle models of the 1940s and 1950s thus as predicted by many of the earlier theoretical models our empirical results suggest that the turning points of the business cycle provide new initial conditions for the ensuing growth process we also find important asymmetries in the responses of output to positive and negative shocks this history and shock dependence property is not present in linear or approximately linear models of the type that arise in the standard implementations of real business cycle theory

a simple multivariate test for asymmetry since many macroeconomic models are linear it is not desirable to use themwith an asymmetric dependent variable in this article we formulate aunivariate test for symmetry based on the third cen

business cycle non linearities in uk consumption and production this paper develops non linear smooth transition autoregressive star models with two additive smooth transition components to capture the business cycle characteristics of uk real consumers expenditure and industrial production the results indicate consumption has essentially two business cycle regimes recession and expansion industrial production however is characterized by the three regimes of recession normal growth and high growth the transitions describing recovery from recession are very similar for the two variables stochastic simulations illustrate the dynamic responses of these models and emphasize that they are locally linear our results also indicate that the two transition star models have some forecast advantages over other specifications for periods of contraction copyright 2000 john wiley sons ltd

a nonlinear approach to us gnp a univariate nonlinear model is estimated for us gnp that on many criteria outperforms standard linear models the estimated model is of the threshold autoregressive type and contains evidence of asymmetric effects of shocks over the business cycle in particular the nonlinear model suggests that the post 1945 us economy is significantly more stable than the pre 1945 us economy

high and declining prices signal product quality high and declining prices signal a high quality product high prices are the efficient means of signaling because the consequent loss of sales volume is most damaging for lower cost lower quality products as time passes and the number of informed consumers increases the signaling distortion lessens resulting in a declining price profile the prediction of high and declining prices is robust across a variety of dynamic models and is consistent with recent empirical findings copyright 1991 by american economic association

modeling nonlinearity of business cycles choosing between the cdr and star models nonlinear modeling has become popular in applied macroeconomics successful attempts include beaudry and koop s cdr current depth of the recession model of real gnp and various star smooth transition autoregression models of industrial production however these models have not been directly compared we compare cdr and star models of u s real gnp and industrial production we find i within sample the cdr model fits slightly better than the star model ii out of sample the cdr model forecasts better than the star model and iii the cdr model generates very different dynamics than the star model

a setar model for canadian gdp non linearities and forecast comparisons this paper investigates the forecasting performance of the non linear time series setar model by using canadian gdp data from 1965 to 2000 besides the within sample fit the forecasting performance of a standard linear arima model for the same sample has also been generated for comparative purposes two forecasting methods one step ahead and multi step ahead forecasting are compared for each type of model

a monte carlo study of the forecasting performance of empirical setar models in this paper we investigate the multi period forecast performance of a number of empirical selfexciting threshold autoregressive setar models that have been proposed in the literature for modelling exchange rates and gnp amongst other variables we take each of the empirical setar models in turn as the dgp to ensure that the non linearity characterises the future and compare the forecast performance of setar and linear autoregressive models on a number of quantitative and qualitative criteria our results indicate that non linear models have an edge in certain states of nature but not in others and that this can be highlighted by evaluating forecasts conditional upon the regime

bayes estimates of markov trends in possibly cointegrated series stylized facts show that average growth rates of u s per capita consumption and income differ in recession and expansion periods because a linear combination of such series does not have to be a constant mean process standard cointegration analysis between the variables to examine the permanent income hypothesis may not be valid to model the changing growth rates in both series we introduce a multivariate markov trend model that accounts for different growth rates in consumption and income during expansions and recessions and across variables within both regimes the deviations from the multivariate markov trend are modeled by a vector autoregression var model bayes estimates of this model are obtained using markov chain monte carlo methods the empirical results suggest the existence of a cointegration relation between u s per capita disposable income and consumption after correction for a multivariate markov trend this result is also obtained when per capita investment is added to the var

modelling the ff mm rate by threshold cointegration analysis this paper investigates a sticky price model of exchange rate determination extension of krugman s target zone model with price inertia applied to the french franc a novel theoretical argument is considered threshold cointegration such that the long run relationship between the parity and its fundamentals is dormant within a certain range of disequilibria but is restored when the system crosses the boundaries over the period 1987 1993 nonlinearities in the ff dm rate consistent with the credibility of this target zone were detected by pointing out a band reversion mechanism a shock persistence analysis which highlights a nonlinear reversion of the exchange rate deviation is also implemented

is the business cycle characterized by deterministic chaos abstract tests are conducted on u s macroeconomic data for the presence of low dimensional deterministic chaos where deterministic chaos is defined as in grandmont s 1985 walras bowley lecture or in brock 1986 the idea is to test for evidence of endogenous instability causing the business cycle low order autoregressions are hard to reject with our methods evidence of chaos is weak but our tests may be too weak to detect it evidence of nonlinearity is present in employment 1950 i to 1983 iv unemployment 1949 i to 1982 iv monthly post war industrial production and pig iron production 1877 1937

the menu setting problem and subsidized prices drug formulary illustration the menu setting problem msp determines the goods and services an institution offers and the prices charged it appears widely in health care from choosing the services an insurance arrangement offers to selecting the health plans an employer proffers the challenge arises because purchases are subsidized and consumers or their physician agents may make cost ineffective choices the intuitively comprehensible msp model readily solved by computer using actual data helps structure thinking and support decision making about such problems the analysis uses drug formularies lists of approved drugs in a plan or institution to illustrate the framework

threshold nonlinear interest rates abstract this note shows that the federal funds rate is consistent with a nonlinear three regime threshold process in which temporary permanent innovations dominate in the two outer middle regimes this nonlinear process is consistent with a stabilizing force for interest rates

strategic pricing of new pharmaceuticals this paper provides empirical evidence on the leading factors affecting the prices of new pharmaceuticals both at introduction and after 4 6 and 8 years most important is the extent of therapeutic advance embodied in a new product for drugs which represent important therapeutic gains launch prices can be two or three times those of existing drugs used for the same purposes while drugs that largely duplicate the actions of currently available products are typically priced at comparable levels in addition the number of branded substitutes has a substantial negative effect on launch prices which reflects the importance of competitive pressures duplicate products thereby play an important economic role in pharmaceutical markets

nonlinear autoregressive leading indicator models of output in g 7 countries this paper studies linear and nonlinear autoregressive leading indicator models of business cycles in g 7 countries our models use the spread between short term and long term interest rates as leading indicators for gdp we examine data admissibility by determining whether these models have the ability to produce time series with classical cycles that resemble the observed classical cycles in the data and then we ask whether this data admissibility lends itself to better predictions of the probability of recession copyright 2007 john wiley sons ltd

are output growth rate distributions fat tailed some evidence from oecd countries this work explores some distributional properties of aggregate output growth rate time series we show that in the majority of oecd countries output growth rate distributions are well approximated by symmetric exponential power densities with tails much fatter than those of a gaussian fat tails robustly emerge in output growth rates independently of i the way we measure aggregate output ii the family of densities employed in the estimation iii the length of time lags used to compute growth rates we also show that fat tails still characterize output growth rate distributions even after one washes away outliers autocorrelation and heteroscedasticity

credit growth monetary policy and economic activity in a three regime tvar model we employ a threshold vector autoregression tvar methodology in order to examine the nonlinear nature of the interactions among credit market conditions monetary policy and economic activity we depart from the existing literature on the subject along two dimensions first we focus on a model in which the relevant threshold variable describes the state of economic activity rather than credit market conditions second in contrast to the existing tvar literature which concentrates exclusively on single threshold models we allow for the presence of a second threshold which is overwhelmingly supported by all relevant statistical tests our results indicate that the dynamics of the interactions among credit market conditions monetary policy and economic activity change considerably as the economy moves from one phase of the business cycle to another and that single threshold tvar models are too restrictive to fully capture the nonlinear nature of those interactions the impact of most shocks tends to be largest during periods of sub par economic growth and smallest during times of moderate economic activity by contrast credit risk shocks have the largest impact when output growth is considerably above it long term trend

volatility transmission and volatility impulse response functions in crude oil markets abstract using daily data from july 2005 to february 2011 for wti dubai and brent futures contracts we employ a var bekk model to investigate crude oil markets integration on the second moment we also quantify the size and persistence of these connections through the analysis of volatility impulse response functions virf for two historical shocks namely the 2008 financial crisis and the bp deepwater horizon oil spill we observe that brent and dubai crude are highly responsive to market shocks whereas wti crude shows the least responsiveness of the three benchmarks which creates questions about its predominance as a benchmark crude oil furthermore we fit the density of the virf at different forecast horizons these fitted distributions are asymmetric showing that the probability of observing a large impact of a shock is lower while the probability of a relatively smaller impact is much higher finally we simulate the virf for a given probability of a random shock the virf shows that only a large shock derived from a smaller probability will result in an increase in expected conditional volatilities these results provide useful insights into the volatility transmission mechanism in crude oil markets and their associated risk estimation and may have significant implications for various market participants and regulators

nonlinear time series modelling an introduction recent developments in nonlinear time series modelling are reviewed three main types of nonlinear model are discussed markov switching threshold autoregression and smooth transition autoregression classical and bayesian estimation techniques are described for each model parametric tests for nonlinearity are reviewed with examples from the three types of model finally forecasting and impulse response analysis is developed

government expenditures and revenues evidence from asymmetric modeling 1 introductionexamining the empirical relationship between government revenues and expenditures is a crucial step in understanding the future path of the budget deficit four alternative explanations have been used to describe the relationship between these variables in the budgetary process i the tax and spend hypothesis ii the spend and tax hypothesis iii the fiscal synchronization hypothesis and iv the institutional separation hypothesis the issue of which hypothesis best describes the nature of the budgetary process has yet to be resolved in the literature however existing research has implicitly assumed that the state of the budget and whether or not the budget deficit or surplus is worsening or improving does not matter we argue that government decision makers may take these factors into account when determining expenditures and tax policy as such this article reexamines the tax spend debate by using a more robust econometric technique that allows for asymmetry in the relationship between revenues and expenditures until now the empirical evidence on the tax spend debate has focused almost exclusively on two conventional econometric techniques depending on the cointegrating properties between revenues and expenditures these techniques are based on either variations of the unrestricted vector autoregression uvar or the vector autoregression error correction model ecm 1 if for example the two budgetary variables are not cointegrated then the application of causality2 tests requires the use of stationary variables in the uvar model 3 on the other hand if the two budgetary variables are cointegrated then the application of causality tests requires an ecm specification it is important to note that the ecm specification implicitly assumes that the adjustment process of expenditures and revenues due to disequilibrium between the variables is strictly symmetric indeed if the adjustment is asymmetric then the symmetric adjustment implicitly assumed in the conventional techniques to ascertain causality implies model misspecification this specification error may lead to misguided and perhaps inappropriate fiscal policy decisions accurate estimation of the revenue and expenditure process is especially important as changes in taxes and spending alter incentives for work investment and productive activity cea 2004 thus the anticipated behavioral responses of households and businesses may be better captured by more general models that allow for asymmetry in the tax spend relationship to this end this article examines the existence of cointegration between revenues and expenditures and the corresponding ecm specification by using the recently developed techniques of asymmetric modeling in particular we employ the threshold autoregression tar and momentum threshold autoregression m tar models developed by enders and granger 1998 and enders and siklos 2001 within the context of these models we shed new light on whether budget surpluses versus budget deficits or an improving budget versus a worsening budget have asymmetric effects on the dynamic behavior of expenditures and revenues there is an a priori rationale for modeling asymmetry in the budget and for the response of its components to disequilibrium this rationale can be categorized into four factors first the fiscal policymakers may respond differently to a deviation of the deficit or surplus from its long run trend one would expect for example that the response would be more aggressive if the deficit was greater than its long run trend than if it was less than its trend second it is widely acknowledged that there is a very close connection between the budget and the business cycle through automatic fiscal stabilizers and discretionary fiscal measures to the extent that the business cycle is asymmetric the associated change in the budget may also be asymmetric

are economic time series asymmetric over the business cycle it has long been argued that major cyclical variables such as the unemployment rate display an asymmetric behavior over various phases of the business cycle the paper provides a statistical test for this hypothesis using the framework of finite state markov processes i implement a test to see if the behavior of the unemployment rate is characterized by sudden jumps and slower drops it is argued that the framework provided in the paper can also be used to test other sample path properties of economic time series

characterizing nonlinearities in business cycles using smooth transition autoregressive models during the past few years investigators have found evidence indicating that various time series representing business cycles such as production and unemployment may be nonlinear in this paper it is assumed that if the time series is nonlinear then it can be adequately described by a smooth transition autoregressive star model the paper describes the application of these models to quarterly logarithmic production indices for 13 countries and europe tests reject linearity for most of these series and estimated star models indicate that the nonlinearity is needed mainly to describe the responses of production to large negative shocks such as oil price shocks

do recessions permanently change output abstract this paper examines whether negative innovations to gnp are more or less persistent than positive innovations we find that once we allow for the impulse response of gnp to be asymmetric negative innovations to gnp are observed to be much less persistent than positive ones in particular the effect of a recession on the forecast of output is found to be negligible after only eight to twelve quarters while the effect of a positive shock is estimated to be persistent and amplified over time our results may therefore help reconcile two antagonistic views about the nature of business cycle fluctuations

inventories and the three phases of the business cycle this article demonstrates that recessions typically are followed by high growth recovery phases that push output back to its prerecession level thus postwar fluctuations in real output in the united states have consisted of three sequential phases rather than two contractions high growth recoveries and moderate growth periods following recoveries data from before world war ii also exhibit this pattern for the postwar period the three phase pattern is shown to reflect swings in inventory investment and suggests that output fluctuations have an important transitory component the evidence in this article supports delong and summers s output gaps view and friedman s plucking model view of fluctuations

presidential approval and macroeconomic conditions evidence from a nonlinear model abstractcontrary to previous empirical studies that find a linear link between economic conditions and presidential approval this study argues for and finds a nonlinear relationship a threshold regression is used to assess potential nonlinear relationships between macroeconomic variables and presidential popularity a quarterly data analysis for the 1960q1 2012q2 time period reveals that domestic factors prevail in shaping presidential approval most compelling is evidence of a threshold relationship involving economic conditions when unemployment is slightly over 7 its decline impacts significantly and favourably on presidential approval an effect that virtually disappears below the threshold value change in consumer sentiment affects presidential approval in a limited way while inflation shows no association at all these results combine to encourage further investigation of nonlinear processes in the nexus of economics and politics

addiction as a market failure using rational addiction results to justify tobacco regulation abstract tobacco regulation efforts have been criticized by some academic economists for failing to provide adequate welfare analytic justification this paper attempts to address these criticisms unlike previous research that has discussed second hand smoke and health care financing externalities this paper develops the logic for identifying the much larger market failures attributable to the failure of smokers to fully internalize the costs of their addictive behavior the focus is on teen addiction as a form of intrapersonal externality and observed adult consumption behavior consistent with partial myopia the importance of peer effects in the consideration of welfare impacts is also emphasized

on the dynamic properties of asymmetric models of real gnp there is now a substantial body of evidence that suggests business cycles are asymmetric however the evidence has been accumulated using a wide array of statistical techniques and consequently is based on various definitions of asymmetry this paper examines several parametric models that have been used to study asymmetries in real gnp although these models capture asymmetries in very different ways their dynamic properties are remarkably similar

money and output viewed through a rolling window abstract we examine the extent to which fluctuations in the money stock anticipate or granger cause fluctuations in real output using a variety of rolling window and increasing window estimation techniques various models are considered using simple sum as well as divisia measures of m 1 and m 2 income prices and both the t bill rate and the commercial paper rate findings indicate that the relation between income money prices and interest rates is stable as long as sufficient data are used and that there is cointegration among the variables considered although cointegration spaces become very difficult to estimate precisely when smaller windows of data are used further both m 1 and m 2 are shown to be important predictors of income for the entire period from 1960 2 1996 3 based on modified versions of what we term the most damaging specifications from friedman and kuttner 1993 and thoma 1994 our new evidence is based in part on a rather novel model selection approach to examining the relationship between money and income 1998 elsevier science b v all rights reserved

spatial price transmission and asymmetry in the ghanaian maize market abstract this paper utilizes recently developed threshold cointegration tests that allow for asymmetric adjustment toward a long run equilibrium relationship to examine price linkages between principal maize markets in ghana unlike previous studies the approach employed here assumes that economic agents only act to move the system back to equilibrium when the deviation from equilibrium exceeds a critical threshold whereby the benefits of this adjustment exceed the costs the findings indicate that major maize markets in ghana are well integrated both the threshold cointegration and asymmetric error correction models reveal that wholesale maize prices in local markets accra and bolgatanga respond more swiftly to increases than to decreases in central market techiman prices accra prices are found to react faster than bolgatanga prices to changes in techiman market prices

business cycle duration dependence a parametric approach this paper reexamines duration dependence in u s business cycles using parametric hazard models positive duration dependence would indicate that expansions or contractions are more likely to end as they become older this paper provides statistically significant evidence of positive duration dependence for expansions before world war ii and contractions after world war ii the evidence is stronger than in earlier research utilizing nonparametric techniques because certain nonparametric techniques have low statistical power against the type of duration dependence found in this paper evidence is also presented suggesting that expansions became longer on average after world war ii while contractions became shorter copyright 1991 by mit press

threshold nonlinearities in output some international evidence the empirical adequacy of linear ar and nonlinear setar models of trend stationary and difference stationary representations of output for canada germany japan the uk and the us are appraised test results suggest the presence of linear model residual structure of some form for all series and nonlinearities of specifically threshold form in trend stationary data for canada germany japan and the us and difference stationary data for germany japan and the us with the exception of canada estimated threshold nonlinear models imply asymmetric dynamics are able to account for all nonlinear structure in the data on the basis of bds statistics and provide sizeable reductions in residual variance in several cases most notably for germany

non linear adjustment of real wages employment and output in the uk we employ the brock dechert and scheinkman statistic to investigate non linearity in conditional mean in uk real wages employment and output and to fit threshould regression models to the series the latter porvide reasonable representations for thenon lineraity in real wages and output but the residuals from the threshold autoregressive model for employment still contain a non linear component in a forecast comparison the tar models performed better than simple autoregressions using the lagged share of wages as an error correction term we find evidence that all three series respond asymmetrically to lagged changes in wage share and other variables fore casts of real wages and employment derived from these models were superior to those derived from standard symmetric ecms

a nonparametric measure of convergence towards purchasing power parity it has been claimed that the deviations from purchasing power parity are highly persistent and have quite long half lives under the assumption of a linear adjustment of real exchange rates however inspired by trade cost models nonlinear adjustment has been widely employed in recent empirical studies this paper proposes a simple nonparametric procedure for evaluating the speed of adjustment in the presence of nonlinearity using the largest lyapunov exponent of the time series the empirical result suggests that the speed of convergence to a long run price level is indeed faster than what was found in previous studies with linear restrictions copyright 2006 john wiley sons ltd

dynamic epidemiology and the market for vaccinations abstract the intent of this paper is to raise the question of how and when externalities can arise in the market for vaccinations static and dynamic models of such markets are developed and compared a special case in a continuous time dynamic framework is examined and is found to be efficient i e there is no externality this is in contrast to the results from the static formulation raising doubts about the suitability of a static approach these results indicate that the question of whether there are externalities in individual immunization decisions is more involved than is generally supposed

the distortionary effects of government procurement evidence from medicaid prescription drug purchasing in 2003 the federal state medicaid program provided prescription drug coverage to more than 50 million people to determine the price that it will pay for each drug medicaid uses the average private sector price when medicaid is a large part of the demand for a drug this creates an incentive for its maker to increase prices for other health care consumers using drug utilization and expenditure data for the top 200 drugs in 1997 and in 2002 we investigate the relationship between the medicaid market share mms and the average price of a prescription our estimates imply that a 10 percentage point increase in the mms is associated with a 7 to 10 percent increase in the average price of a prescription in addition the medicaid rules increase a firm s incentive to introduce new versions of a drug in order to raise price we find empirical evidence that firms producing newer drugs with larger sales to medicaid are more likely to introduce new versions taken together our findings suggest that government procurement rules can alter equilibrium price and product proliferation in the private sector

resilience weather and dynamic adjustments in agroecosystems the case of wheat yield in england the paper presents an investigation of agroecosystem dynamics with an application to wheat yield data in england over the period 1885 2012 the analysis relies on a threshold quantile autoregressive model the model allows for lag effects to vary across quantiles of the distribution as well as with the values taken by the lagged variables the analysis documents the dynamics and persistence of yield adjustments to shocks the estimates indicate the presence of dynamic instability in the lower quantile of the distribution the analysis shows that after controlling for the role of technological trend wheat yield exhibits resilience to adverse weather shocks

can non linear time series models generate us business cycle asymmetric shape abstract fifteen univariate non linear time series models of us output are evaluated by their ability to reproduce the asymmetric shape of the us business cycle two models account for the growth being faster after a trough and slower before a peak

how important is improved water infrastructure to microenterprises evidence from uganda abstract despite the proliferation of micro and small enterprises mses in sub saharan africa ssa most have difficulty surviving let alone expanding their operations using empirical evidence from two ugandan towns we explore the impact of investments in water supply infrastructure on mses our findings suggest that despite perceptions among firm owners that water supply is a binding constraint economic benefits to mses of supply improvements may be limited current water infrastructure planning strategies may be based on erroneous assumptions about the relative demand for improved water supply by firms and households as well as the feasibility of cross subsidies between groups of users

analysis of variability and correlation in long term economic growth rates quantifying the uncertainty in future climate change is an important input into policy decisions two important sources of uncertainty are economic growth and technological change which in turn contribute to uncertainty in future emissions in this paper we focus on uncertainty in one type of technical change productivity growth estimates of uncertainty in future growth must necessarily include expert judgment since the future will not necessarily look like the past but previous uncertainty studies have taken expert judgments based on annual national growth rates and applied them to models with regional aggregations and multi year time steps and often have made crude assumptions about the correlation between regions this paper analyzes data on the variability and covariability of historical economic productivity growth rates and investigates the effect of spatial and temporal aggregation on variance the results are intended to inform participants in expert elicitation exercises on future economic growth uncertainty

are health expenditures and gdp characterized by asymmetric behaviour evidence from 11 oecd countries in this article we examine whether per capita health expenditures and per capita gdp for 11 oecd countries can be characterized by asymmetric behaviour we achieve this goal by using the nonparametric triples test suggested by randles et al 1980 we examine two forms of asymmetries namely deepness and steepness our main finding is that for 6 out of 11 countries namely for the usa the uk japan spain finland and iceland either per capita health expenditures or per capita gdp are characterized by asymmetric behaviour this finding to some extent casts doubt on those studies that model the relationship between health and gdp using unit root and cointegration tests that assume symmetric disturbances

testing for nonlinear autoregression this article considers consistent testing the null hypothesis that the conditional mean of an economic time series is linear in past values two specific tests are discussed the cramer von mises and the kolmogorov smirnov tests the particular feature of the proposed tests is that the bootstrap is used to estimate the nonstandard asymptotic distributions of the test statistics considered the tests are justified theoretically by asymptotics and their finite sample behaviors are studied by means of monte carlo experiments the tests are applied to five u s monthly series and evidence of nonlinearity is found for the first difference of the logarithm of the personal income and for the first difference of the unemployment rate no evidence of nonlinearity is found for the first difference of the logarithm of the u s dollar japanese yen exchange rate for the first difference of the 3 month t bill interest rate and for the first difference of the logarithm of the m2 money stock contrary to typically use

business cycle asymmetries characterisation and testing based on markov switching autoregressions tests for business cycle asymmetries are developed for markov switching autoregressive models the tests of deepness steepness and sharpness are wald statistics which have standard asymptotics for the standard two regime model of expansions and contractions deepness is shown to imply sharpness and vice versa whereas the process is always nonsteep two and three state models of u s gnp growth are used to illustrate the approach along with models of u s investment and consumption growth the robustness of the tests to model misspecification and the effects of regime dependent heteroscedasticity are investigated

retail price responses to changes in wholesale prices in the us beef industry differences among quality grades and primal cuts abstractthis study examines the transmission of wholesale prices to retail prices for differentiated beef products specifically we study vertical price movement for products differentiated by quality grades and primal cuts in the us beef industry our study considers two quality grades united states department of agriculture usda choice and usda select and three primal cuts chuck round and sirloin using threshold based autoregressive and error correction models and non linear impulse response functions we explore if characteristics of price adjustment differ by quality attributes of the products results show that there exists the rocket and feather effect in the adjustment of retail prices of most beef grades and cuts in response to changes in wholesale prices and such asymmetric adjustment effect is more pronounced for higher quality grade choice than lower quality grade select evidence of similar price adjustment is found from the high quality cut sirloin our results underscore th