theoretical and empirical advantages of truncated count data estimators for analysis of deer hunting in california truncated poisson and truncated negative binomial count data models as well as standard count data models ols nonlinear normal and truncated nonlinear normal mle were used to estimate demand for deer hunting in california the truncated count data estimators and their properties are reviewed a large sample n 2223 allowed random segmenting of the data into specification estimation and out of sample prediction portions statistics of interest are therefore unbiased by the specification search and the prediction results allow comparison of the statistical models robustness the new estimators are found to be more appropriate for estimating and predicting demand and social benefits than the alternative estimators based on a variety of criteria

debt dynamics in europe a network general equilibrium gvar approach in this work we investigate the dynamic interdependencies among the eu12 economies using a competitive general equilibrium network system representation additionally using bayesian techniques we estimate the autoregressive scheme that characterizes the equilibrium price system of the network while characterizing each economy node in the universe of our network in terms of its degree of pervasiveness in this context we unveil the dominant s unit s in our model and estimate the dynamic linkages between the economies nodes lastly in terms of robustness analysis we compare the findings of the degree pervasiveness of each economy against other popular quantitative methods in the literature according to our findings the economy of germany acts as weakly dominant entity in the eu12 economy meanwhile all shocks die out in the short run without any long lasting effect

the effect of within season variability on estimates of recreational value for trout anglers in new zealand abstract recreational benefit estimates can be substantially improved by incorporation of data on attributes that are averaged over shorter periods of time so as to better represent within season variability this approach may be advantageous across a wide range of non market valuation settings we use angling survey data that includes bimonthly data on angler demand water quality and fish weight in the rotorua lakes and compare our results with those obtained using attribute data averaged over the year estimates of marginal willingness to pay for catching fish based on annual data are 5 times higher than those based on bimonthly data likewise the estimated welfare gain from a 1 m increase in water clarity is 1 5 times higher in models using annual data we find that within season variability in recreational site attributes can have a statistically significant effect on welfare estimates the effect of seasonal variation in site attributes has rarely been accounted for in travel cost random utility models of recreation we conclude that appropriate treatment of temporal variability can assist environmental managers to design more cost effective policies based on improved estimates of welfare gains

joint recreation choices and implied values of time a model of joint recreation quantity choices is developed individuals choose both total time spent at distant sites and the number of trips taken implicitly choosing average on site time the model permits nonzero marginal utility of travel makes on site time endogenous and is linear in the constraints the scarcity value of time is analyzed without assuming the marginal utility of work time is zero a partially testable assumption about relative marginal values of travel and on site time yields nonparametric calculations of the scarcity value of time and marginal values of trips and days on site from people s observed optimal quantity choices

the dual structure of incomplete demand systems integrability of incomplete demand systems is discussed the concepts of weak integrability quasi expenditure function quasi indirect utility function and quasi utility function are defined their relationships to the expenditure function indirect utility function and utility function are developed the dual structure of the quasi functions permits exact welfare analysis and reveals the conditional preference structure for the commodities of interest new results relating the uniqueness and exactness of consumer s surplus to the structure of the expenditure and indirect utility functions are obtained

handling unobserved site characteristics in random utility models of recreation demand abstract this paper presents a new random utility model of recreation demand that addresses the unobserved characteristics of recreation sites most random utility recreation demand models implicitly assume that all relevant site characteristics are observed by the researcher or allow for the possibility of unobserved characteristics in a restrictive manner unlike traditional approaches the proposed model avoids the bias unobserved site characteristics can cause in welfare estimates and the travel cost parameter monte carlo simulations motivate the proposed model by showing that it provides more efficient parameter estimates in contrast existing methods yield less efficient estimates and biased standard errors that overstate precision an empirical application to recreational fishing in wisconsin illustrates the potential importance of this modeling innovation in this application controlling for unobserved characteristics is important for a range of model specifications

nonlinear mean reversion in the short term interest rate using a new bayesian method for the analysis of diffusion processes this article finds that the nonlinear drift in interest rates found in a number of previous studies can be confirmed only under prior distributions that are best described as informative the assumption of stationarity which is common in the literature represents a nontrivial prior belief about the shape of the drift function this belief and the use of flat priors contribute strongly to the finding of nonlinear mean reversion implementation of an approximate jeffreys prior results in virtually no evidence for mean reversion in interest rates unless stationarity is assumed finally the article documents that nonlinear drift is primarily a feature of daily rather than monthly data and that these data contain a transitory element that is not reflected in the volatility of longermaturity yields the drift of the short term interest rate is an important determinant of a wide variety of asset prices both inside and outside the boundaries of what is often called fixed income while volatilities may be estimated relatively accurately using high frequency observations of the short rate the short rate s extreme persistence makes identifying the true shape of the drift function a particularly elusive goal if our goal is merely to fit prices then the difficulty in estimating a drift function can be avoided by backing out implied drifts using a no arbitrage approach such as hull and white 1990 or heath jarrow and morton 1992 these methods bypass the true distribution entirely focusing on solving for the risk neutral drift function that is consistent with the cross section of bond prices if our goal however is to learn from prices and to be able to assess theories such as the expectations hypothesis that link short and long rates then estimating the drift function under the true measure is unavoidable in several recent articles a variety of sophisticated econometric techniques have been brought to bear on the problem in particular

a utility consistent combined discrete choice and count data model assessing recreational use losses due to natural resource damage abstract a two stage budgeting approach can often be taken when analyzing consumer choice situations in this paper we examine the particular situation where a consumer makes purchases of a discrete commodity of which there are a number of brands in the first stage the consumer decides how many purchases to make in the second stage the consumer decides how to allocate these purchases across brands our econometric approach to this type of situation uses a utility consistent combined discrete choice and count data model the second stage which is specified as a multinomial choice model produces a price index for the commodity which is used to estimate the first stage which is specified as a count data model we apply the model to recreational demand behavior in alaska in order to estimate the welfare losses suffered by recreational users due to the exxon valdez oil spill these results may provide useful input to government agencies attempting to estimate the appropriate level of taxes fines or regulations for deterring damage to the environment

the performance of nested logit models when welfare estimation is the goal in this paper we examine the performance of nested logit models in the face of two specification errors the first specification error arises when a nested logit model is appropriate but the wrong nesting structure is chosen the second specification error occurs when the underlying stochastic process is not consistent with nested logit particular attention is placed upon the impact that these errors can have on welfare predictions monte carlo experiments are used together with analytical results to examine the resulting bias to welfare estimates in addition we explore the value of alternative model selection criteria in choosing nesting structures

china s official rates and bond yields abstract recent research shows that bond yields are influenced by monetary policy decisions to learn how this works in a bond market that differs significantly from those in the us and europe we model chinese bond yields using the one year deposit interest rate as a state variable we also include the spread between the one year market interest rate and the one year deposit interest rate as another factor the model is developed in an affine framework and closed form solutions are obtained we then test the model empirically with a markov chain monte carlo simulation procedure the results show that the new model that incorporates the official rate in china characterizes the changing shape of the yield curve well

possibilities for including the opportunity cost of time in recreation demand systems recreation demand modelers have attempted to identify and incorporate the opportunity cost of an individual s time in travel and on site in the model larson 1993b focused on the value of leisure time in a model where individuals face a fixed work week in this paper we examine the connection between labor supply and recreation demands and focus on conditional demand systems we illustrate that corner solution models are not needed to explain several interesting time related recreation issues

nonlinear income effects in random utility models random utility models rums are used in the literature to model consumer choices from among a discrete set of alternatives and they typically impose a constant marginal utility of income on individual preferences this assumption is driven partially by the difficulty of constructing welfare estimates in models with nonlinear income effects recently mcfadden 1995 developed an algorithm for computing these welfare impacts using a monte carlo markov chain simulator for generalized extreme value variates this paper investigates the empirical consequences of nonlinear rums in the case of sportfishing modal choice while refining and contrasting the available methods for welfare estimation

does joint modelling of the world economy pay off evaluating global forecasts from a bayesian gvar we analyze how modeling international dependencies improves forecasts for the global economy based on a bayesian gvar with ssvs prior and stochastic volatility to analyze the source of performance gains we decompose the predictive joint density into its marginals and a copula term capturing the dependence structure across countries the gvar outperforms forecasts based on country specific models this performance is solely driven by superior predictions for the dependence structure across countries whereas the gvar does not yield better predictive marginal densities the relative performance gains of the gvar model are particularly pronounced during volatile periods and for emerging economies

site aggregation in a random utility model of recreation random utility models are commonly used to model the choice among a set of alternatives often due to data or computational constraints the analyst must use aggregated alternatives to estimate the model these aggregates are defined by averaging characteristics of alternatives over prespecified groups in this analysis we demonstrate that unless some very restrictive conditions hold the use of aggregated alternatives will lead to biased results then using a data set of recreational fishing in wisconsin we show the effects that this bias can have on the results estimated from the model

an analysis of congestion measures and heterogeneous angler preferences in a random utility model of recreational fishing the potential importance ofcongestion effects on the management andrationing of recreational facilities andservices in the presence of heterogeneouspreferences were highlighted nearly twenty fiveyears ago by freeman and haveman 1977 whilethere have been a number of theoretical modelsextending and expanding upon this work mcconnell 1988 anderson 1993 empiricalresearch evaluating such impacts is limited evidence of the potential impacts of congestionon resource usage is of obvious importance especially for natural resource managers whounderstand that congestion can be an effectiverationing device and because users likelydiffer in both their preferences for use andaversion to congestion it is the objective ofthis research to compare alternative measuresof congestion for explaining site choice withina random utility modeling framework thecongestion measures differ with respect to thetime horizon over which they are assumed to beformulated and the measure of central tendencyused to represent them furthermore weinvestigate how the response to thesecongestion measures may differ across twodistinct angler types and the implications ofthose differences on the per trip willingnessto pay for stock enhancement

a repeated nested logit model of atlantic salmon fishing participation and site choice for atlantic salmon fishing are modeled in the context of a repeated three level nested logit model consumer s surplus measures are derived for different levels of species availability in the penobscot river the most important salmon river in new england for comparison six other travel cost models are estimated these include restrictive cases of the nested logit model a partial demand model and two single site demand models comparisons across these models indicate the importance of modeling the participation decision including income effects and of adopting a nested logit structure rather than a single level logit structure

the distributional impacts of recreational fees a discrete choice model with incomplete data in this manuscript we explore the consequences to different income groups of various policies to reduce overfishing in the gulf marine recreational fishery to do so we estimate a discrete choice model of marine recreational fishing demand allowing for incomplete data and a non constant marginal utility of income by allowing the marginal utility of income to vary across three categorical income groups our model allows us to explore the distributional consequences of various fee schemes and other policy programs that would change catch in the fishery we find that flat fees have a strong proportional effect on the participation of shore fishermen where low income anglers predominate and a relatively small impact on the expensive charter fishing mode we also find that the welfare consequences of declining catch rates would fall disproportionately on low income anglers jel q51 q22

what is consumer s surplus per day of use when is it a constant independent of the number of days of use and what does it tell us about consumers surplus abstract an individual s consumer s surplus per day of use for a change in the price of recreational site is the price change so it is a constant independent of the number of days of use consumer s surplus per day of use for a change in a site s characteristics is not in general a constant when a constant compensating variation per day of use exists it multiplied by the number of days at the site in the original state proposed state bounds the compensating variation cv from below above the average of these two approximations is an almost second order approximation to the cv simulations indicate the approximation biases can be large

annual fees and recreation choice models of recreation behavior have typically ignored the role of fixed annual fees such as the fee for a recreational license in determining choice and welfare we demonstrate how techniques from the literature on discrete continuous choice and two part tariffs can address a situation where fixed annual fees are essential to determining the choice of a recreation site we explore how accounting for value captured by fixed fees can influence the way resource changes are assessed

short term interest rate dynamics a spatial approach abstract we use new fully functional methods to describe and study the dynamics of the short term interest rate process in continuous time the suggested procedure exploits the spatial properties embodied in the local time process of the diffusion of interest and is robust against deviations from stationarity our results indicate that the misspecification of a standard constant elasticity of variance model with linear mean reverting drift cannot be attributed to the nonlinear behavior of the infinitesimal first moment of the short term interest rate process at high rates rather it should be attributed to the martingale nature of the process over most of its empirical range i e between 3 and about 15

modeling multiple objective recreation trips with choices over trip duration and alternative sites traditionally recreation demand studies have focused on single day single activity trips despite anecdotal and empirical evidence that many recreational trips involve overnight stays and multiple purposes this paper develops a random utility model that explores how visitors choose alternative sites and trip durations for multiple objective trips we focus on a recreational activity beach visits that appear to have significant proportions of the population taking single and multiple day trips and many of the multiple day trips involve multiple objectives multiple duration and multiple objective issues are incorporated in pricing trip costs the results of the research suggest that the accepted method for incorporating travel costs into random utility models can lead to biased estimates of the structural utility parameters and consequently biased measures of welfare in a multiple objective trip setting for single and multiple day users

welfare losses due to livestock grazing on public lands a count data systemwide treatment backcountry hikers willingness to pay for removing grazing from trails in the hoover wilderness is analyzed using a multinomial dirichlet negative binomial distribution this multivariate discrete distribution allows the direct calculation of seasonal welfare measures that are derived from an incomplete demand specification the welfare maximizing choice of activities is examined on a trail by trail basis using the results of the analysis our findings suggest that a mix of hiking and grazing activities provide the greatest social welfare

out of sample performance of discrete time spot interest rate models we provide a comprehensive analysis of the out of sample performance of a wide variety of spot rate models in forecasting the probability density of future interest rates although the most parsimonious models perform best in forecasting the conditional mean of many financial time series we find that the spot rate models that incorporate conditional heteroscedasticity and excess kurtosis or heavy tails have better density forecasts generalized autoregressive conditional heteroscedasticity significantly improves the modeling of the conditional variance and kurtosis whereas regime switching and jumps improve the modeling of the marginal density of interest rates our analysis shows that the sophisticated spot rate models in the existing literature are important for applications involving density forecasts of interest rates

a structural equations approach to modeling consumptive recreation demand abstract in this analysis we develop a two equation structural model of a count travel cost model of recreational angling demand and angling success by modeling the two equations jointly we avoid the difficulties associated with the usual approach which estimates the demand for recreational fishing sites assuming the existence of an exogenous measure of fishing quality our analysis explicitly develops the joint log likelihood function that combines the two processes we estimate our model using full information maximum likelihood methods

a representative consumer theory of the logit model the log it model is usually derived from a discrete choice approach with stoc hastic utilities it is shown here that the logit demand system may also be derived from the maximization of a deterministic entropy type utility the latter may be interpreted as the preference function of a representative consumer with variety seeking behavior this altern ative view suggests a generalization of the standard logit which allo ws total demand to be determined endogenously copyright 1988 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

estimation and welfare analysis with large demand systems we develop an approach for estimating individual or household level preferences for a large set of quality differentiated goods and for constructing hicksian welfare measures within the demand system framework our approach uses a maximum simulated likelihood procedure to recover estimates of the structural parameters and a multistage monte carlo markov chain algorithm for constructing hicksian consumer surplus estimates we illustrate our approach with a recreation dataset consisting of day trips to 62 mid atlantic beaches

short term interest rates as subordinated diffusions in this article we cbaracterize and estimate the process for short term interest rates using federal funds interest rate data we presume that we are observing a discrete time sample of a stationary scalar diffusion we concentrate on a class of models in whicb the local volatility elasticity is constant and the drift has aflexible specufication to accommodate missing observations and to break the link between economic time and calendar time we model the sampling scheme as an increasing process that is not directly observed we propose and implement two new methods for estimation we find evidence for a volatility elasticity between one and onehalf and two when interest rates are high local mean reversion is smaul and the mechanism for inducing stationarity is the increased volatility of the diffusion process

global prediction of recessions abstract we present evidence that global vectorautoregressive gvar models produce more accurate recession forecasts than country specific time series models in a bayesian framework this result holds for most countries and forecast horizons as well as for several country groups

tests for the consistency of three level nested logit models with utility maximization abstract this paper provides necessary conditions for testing the local consistency of three level nested logit models with random utility maximization we find that for a model with two sub nests per nest the conditions can lead to a substantial increase in the range of acceptable dissimilarity parameters irrespective of the number of alternatives per sub nest

benefit incidence of public recreation areas have the winners taken almost all this study presents a framework for investigating the benefit incidence of provision of public recreation opportunities the proportion of individuals who use outdoor recreation services increases with income and frequency of use differs by the users gender and life situation e g depending on whether they are students or older citizens the decomposition of distributive incidence shows that a bias in favor of high income groups may be accentuated when the perceived value of these services is taken into account in monetary terms we compare alternative strategies in terms of equity for improving recreation opportunities e g reduced distance to or increased acreage of recreation sites our results indicate that although these strategies improve the welfare distribution among the income groups a considerable proportion of benefits nevertheless accrue to high income groups

applied welfare economics with discrete choice models economists have been paying increasing attention to the study of situations in which consumers face a discrete rather than a continuous set of choices such models are potentially very important in evaluating the impact of government programs upon consumer welfare but very little has been said in general regarding the tools of applied welfare economics indiscrete choice situations this paper shows how the conventional methods of applied welfare economics can be modified to handle such cases it focuses on the computation of the excess burden of taxation and the evaluation of quality change the results are applied to stochastic utility models including the popular cases of probit and logit analysis throughout the emphasis is on providing rigorous guidelines for carrying out applied work this abstract was borrowed from another version of this item

narrow choice sets in a random utility model of recreation demand we consider the implications of narrow choice sets on welfare estimation in a random utility model of recreation demand we hypothesize that careful formulation of the choice set focusing on the sites of policy interest and their closest substitutes will give reasonably accurate welfare estimates we use nearby sites as close substitutes and treat more distant sites as aggregate alternatives in our application to fishing in maine we find that the welfare estimates are rather sensitive to narrowing choice sets in this manner the sensitivity largely tracts variation in the estimated travel cost coefficient across the different models considered

an empirical investigation of the consistency of nested logit models with utility maximization global conditions under which nested logit models are consistent with utility maximization are provided by daly and zachary and by mcfadden recently borsch supan and herriges and kling have provided conditions under which a nested logit model is locally consistent however previous work has not discussed implementation of these conditions here three alternative approaches to checking and formally testing for the consistency conditions using classical statistics are investigated in addition a bayesian approach to interpreting and imposing the local consistency conditions is provided the application is based on anglers choices regarding sportfishing alternatives in southern california

the welfare impacts of unanticipated trip limitations in travel cost models this paper uses an analysis of the gulf of mexico s recreational red snapper fishery to demonstrate the importance of theoretical behavioral model choice although travel cost models are frequently used in assessing the impact of policy changes on consumer s surplus this study shows that the standard use of consumer s surplus per trip can be inappropriate when the policy change leads to a partial closure of the resource depending on the theoretical behavior model underlying the analysis

how do policy and information shocks impact co movements of china s t bond and stock markets abstract we investigate the impacts of policy and information shocks on the correlation of china s t bond and stock returns using originally the asymmetric dynamic conditional correlation dcc model that allows for the coexistence of opposite signed asymmetries the co movements of china s capital markets react to large macroeconomic policy shocks as evidenced by structural breaks in the correlation following the drastic 2004 macroeconomic austerity we show that the t bond market and the bond stock correlations bear more of the brunt of the macroeconomic contractions we also find that the bond stock correlations respond more strongly to joint negative than joint positive shocks implying that investors tend to move both the t bond and stock prices in the same direction when the two asset classes have been hit concurrently by bad news but tend to shift funds from one asset class to the other when hit concurrently by good news however the stock stock correlation is found to increase for joint positive shocks indicating that investors tend to herd more for joint bullish than joint bearish stock markets in shanghai and shenzhen

measuring angling quality in count data models of recreational fishing a non nested test of three approaches this paper develops a methodology for investigating different specifications of angling quality in recreational demand models the methodology is used to compare three alternative specifications of the relationship between angling demand and site quality the site quality alternatives include chemical concentrations biological stress indices based on the chemicals and catch per unit effort the three alternatives are differentiated using a likelihood ratio non nested testing procedure

on real interest rate dynamics and regime switching abstract we find evidence of regime switching dynamics in the usa and the uk real interest rates over the period 1881 2003 for the uk there is a regime in which the real interest rate displays a relatively stronger mean reversion and a regime in which it displays a relatively weaker mean reversion the former regime is characterized by a relatively larger error in the estimation of the reversion parameter and higher volatility for the usa the two regimes differ in volatility the probability of transition from one regime to another is found to be significantly related to the inflation rate regime and to the political regime the results highlight the importance of regime switching in the dynamics of the real interest rate as well as the role of inflation and political regimes in explaining this switching

estimating social welfare using count data models an application to long run recreation demand under conditions of endogenous stratification and truncation this paper develops a negative binomial model of recreation demand that corrects for both truncation and endogenous stratification this approach recovers the demand associated with the general population not just the users of the site this model demonstrates the importance of the joint nature of the population s latent demand for trips and the consumer surplus associated with those trips the empirical results provide an estimate of the willingness to pay by washington state residents for hiking opportunities in the cascade mountain range these results are used to forecast total trips and willingness to pay over the next forty years copyright 1995 by mit press

on the intertemporal behavior of the short term rate of interest this paper examines the intertemporal behavior of the short term rate of interest in a mean reverting model vasicek s elastic random walk model using the goldfeldquandt switching regressions technique we show that the mean reverting model switched regimes three times over the sample period march 1959 to december 1985 and that two of these switches coincide with the 1979 and 1982 changes in federal reserve monetary policy on interest rates parameter estimates prove to be unstable over the sample period there is evidence of slow mean reversion over the entire sample period yet significant mean reversion emerges only in the 1979 1982 regime

the effect of nesting structure specification on welfare estimation in a random utility model of recreation demand an application to the demand for recreational fishing nested logit has become common in estimating random utility models of recreation demand because welfare analysis is often the objective of estimating these models it seems natural to ask what effect does the choice of nesting structure have on the welfare estimates generated by these models therefore we compare the results of nine nesting structures andfindthat the variation in welfare estimates across the models is not large our results are contrary to those of kling and thomson and shaw and ozog the difference appears to originate with differences in the estimated dissimilarity coefficients in the nested models

a comparison of welfare estimates from four models for linking seasonal recreational trips to multinomial logit models of site choice we compare four methods of linking a site choice random utility model to a seasonal trip model the four approaches are those proposed by morey et al 1993 am j agric econom 75 578 592 hausman et al 1995 j public econom 56 1 30 parsons and kealy 1995 j environ econom management29 357 367 and feather et al 1995 j environ econom management29 214 227 we estimate the alternative models using a common data set and calculate a change in welfare for two policy scenarios across the models we find that there is little practical difference between the approaches of morey et al and hausman et al they are nearly the same mathematically and the welfare estimates in our empirical example are quite close the approaches of parsons and kealy and feather et al generated welfare estimates that were substantially different from the previous two approaches as well as from each other they also generated results that reveal the inconsistencies between their site choice and season trip models

the implications of model specification for welfare estimation in nested logit models nested logit models are increasingly being used to value environmental amenities the implications of nesting structure choice of estimator fiml or sequential and restrictions on parameters across nested groups on welfare estimates are examined these issues have received little previous attention model selection criteria that can be used to distinguish among the models are extended and applied additionally a simulation procedure is implemented to construct standard errors for the welfare measures

combining revealed and stated preference data to estimate the nonmarket value of ecological services an assessment of the state of the science this paper reviews the marketing transportation and environmental economics literature on the joint estimation of revealed preference rp and stated preference sp data the rp and sp approaches are first described with a focus on the strengths and weaknesses of each recognizing these strengths and weaknesses the potential gains from combining data are described a classification system for combined data that emphasizes the type of data combination and the econometric models used is proposed a methodological review of the literature is pursued based on this classification system examples from the environmental economics literature are highlighted a discussion of the advantages and disadvantages of each type of jointly estimated model is then presented suggestions for future research in particular opportunities for application of these models to environmental quality valuation are presented

what s the use welfare estimates from revealed preference models when weak complementarity does not hold abstract in this paper we consider the theoretical and empirical ramifications of welfare measurement in revealed preference models when weak complementarity does not hold in the context of a kuhn tucker model of recreation demand we show that while it is possible to estimate preferences that do not appear to exhibit weak complementarity the calculation of welfare measurements from these models requires a cardinal interpretation of preferences that cannot be tested furthermore we reiterate the under appreciated fact that even traditional use value estimates require a cardinal restriction on preferences that while often intuitive also cannot be tested we demonstrate empirically that the choice of restrictions can have significant ramifications as use value estimates can vary based on the assumed preference structure

determinants of charitable donations in canada a comparison over time two issues are examined the statistical significance of a number of socio economic factors that affect the level of charitable giving are evaluated family wealth and age of the head of household tend to be significant determinants of charitable giving regardless of whether it is to all charities or to religious charities only such is not the case for the price of giving for instance the price of giving is an important determinant of all charitable contributions but almost non existent as a determinant for religious donations results such as this suggest that changes in marginal tax rates prompted by a switch to a tax credit as a substitute for a deduction and hence a change in the price of giving may have virtually no impact on contributions to religious organizations but may affect conntributions to other charitable organizations the extent to which some socio economic factors changed in relative importance as determinants of charitable giving from 1982 to 1986 is also reviewed

recreation nonparticipation as choice behavior rather than statistical outcome in recreation demand models nonparticipation is usually estimated as the probability mass on zero demand given a positive level of expected demand and a discrete distribution of demand outcomes researchers have attempted to improve predictions of nonparticipation by modifying the parameters of the demand distribution this study departs from previous approaches by explicitly incorporating nonparticipation into the behavioral model the choice to participate is described by a distribution of preferences combined with a choke price on individual demands to distinguish participants from nonparticipants the model is found to accurately predict nonparticipation and the size of the user group copyright 2008 oxford university press

evaluating the performance of benefit transfer an empirical inquiry abstract benefit transfers are used by public agencies needing information on costs and benefits of policy decisions although scientific debate regarding the validity of benefit transfer is ongoing this article develops a methodology to evaluate the performance of direct benefit transfer and benefit function transfer and applies the methodology to two pairs of similar non market amenities empirical results indicate that benefit function transfer is more robust than transfer of average site benefits our results suggest that the circumstances under which benefit function transfer provides valid policy relevant information may be limited and that errors from applying benefit transfer can be quite large even across seemingly similar amenities

on site time in the demand for recreation the standard travel cost model has treated on site time ambiguously over the years this paper shows how to handle on site time by exploring the implications of two assumptions in the travel cost model first people choose the amount of time that they spend on a site and second the time spent on site is exogenous this paper uses a duality result to show that when on site time is chosen the standard travel cost demand function takes a particularly simple form with slight modification standard estimation and welfare calculations continue to hold

beyond segmentation the case of china s repo markets this paper explores the reasons behind the discrepancy between interest rates in china s two repurchase agreement repo markets the interbank repo market and the exchange traded repo market the repo rates in the exchange market are at times significantly higher than those in the interbank market especially in the first three years of the 2000 2005 sample period while market segmentation clearly hinders arbitrage the causes of the repo rate discrepancy are related to the alternative investment opportunities available to market participants and to the volatility differences in the repo rates

the representative consumer approximation bias in discrete choice welfare analysis discrete choice welfare analysis is essential in non market valuation to accompany studies using choice experiments and recreation choice models mcfadden in melvin moore riezman eds trade theory and econometrics essays in honor of john s chipman routledge london 1999 shows that discrete choice welfare measures derived by the common representative consumer approach can be biased under nonlinear income effects and the percentage bias increases monotonically with the size of quality improvement we present contrary results that percentage measurement errors in such welfare measures can go either direction and provide conditions under which the direction of bias can be identified we also show that price and non price variables play different roles in discrete choice welfare analysis

estimating preferences for outdoor recreation a comparison of continuous and count data demand system frameworks abstract continuous and count data demand system models have emerged as attractive alternatives to the discrete choice random utility maximization models rums that currently dominate the seasonal multi site recreation demand literature this paper compares the frameworks conceptually and investigates their empirical performance with a common data set although the two modeling approaches employ substantially different behavioral and econometric assumptions results from a recreation application based on the 1997 iowa wetlands survey suggest that qualitatively similar policy inferences arise from the competing structures

searching for the opportunity cost of an individual s time a traditional assumption made in the literature is that the value of an individual s time spent in any activity is equal to his or her wage rate this result stems from the derivation of the value of leisure time in the context of the standard labor supply model this paper pre sents some reasons why the relationship be tween the wage rate and the value of time does not hold suggestions for what to do when the relationship breaks down and the investigator needs some value to impute to the individual are given in the final section of the paper

the economics of fish consumption advisories insights from revealed and stated preference data measuring how fish consumption advisories affect angler s utility has proven difficult relying on stated preference sp data is problematic because of hypothetical bias revealed preference rp data benefits from using actual behavior however co linearity often makes it difficult to model the array of advisory severity levels across different species and catch rates the array of advisories also makes traditional joint estimation impractical this paper describes an alternative joint estimation technique based on an index of sp parameter that we used for estimating the effect of fish consumption advisories on the fox river green bay

modeling hunting demand in the presence of a bag limit with tests of alternative specifications abstract bag limits complicate the measurement of consumer surplus from hunting because the point at which hunters cease taking trips is not necessarily the point at which they are unwilling to pay for additional hunting trips we develop and apply an econometric model which accounts for bag limits to data of deer hunting in california and we employ several alternative models that do not account for the bag limit we conduct non nested testing of the models and estimate welfare measures at existing conditions and after a quality improvement confidence intervals are provided for the welfare measurements

valuing food store access policy implications for the food stamp program food stamp recipients may lack access to larger stores reducing the availability of nutritious food reliance on smaller stores may have undesirable impacts policy alternatives include limiting food stamp redemption to larger stores and subsidizing store development i estimate that limiting redemption to supermarkets and grocery stores or supermarkets alone results in losses ranging from 499 2 million to 1 05 billion or 1 17 billion to 2 44 billion respectively annual loss in food stamp recipient welfare nationwide the impact of improving access is also significant ranging from 333 6 million to 931 2 million

do we need a global var model to forecast inflation and output in south africa this study determines whether the global vector autoregressive gvar approach provides better forecasts of key south african variables than a vector error correction model vecm and a bayesian vector autoregressive bvar model augmented with foreign variables the article considers both a small gvar model and a large gvar model in determining the most appropriate model for forecasting south african variables we compare the recursive out of sample forecasts for south african gdp and inflation from six types of models a general 33 country large gvar a customized small gvar for south africa a vecm for south africa with weakly exogenous foreign variables a bvar model autoregressive ar models and random walk models the results show that the forecast performance of the large gvar is generally superior to the performance of the customized small gvar for south africa the forecasts of both the gvar models tend to be better than the forecasts of the augmented vecm especially at longer forecast horiz

likelihood based specification analysis of continuous time models of the short term interest rate an extensive collection of continuous time models of the short term interest rate is evaluated over data sets that have appeared previously in the literature the analysis which uses the simulated maximum likelihood procedure proposed by durham and gallant 2002 provides new insights regarding several previously unresolved questions for single factor models i find that the volatility not the drift is the critical component in model specification allowing for additional flexibility beyond a constant term in the drift provides negligible benefit while constant drift would appear to imply that the short rate is nonstationary in fact stationarity is volatility induced the simple constant elasticity of volatility model fits weekly observations of the three month treasury bill rate remarkably well but is easily rejected when compared with more flexible volatility specifications over daily data the methodology of durham and gallant can also be used to estimate stochastic volatility models while adding the latent volatility component provides a large improvement in the likelihood for the physical process it does little to improve bond pricing performance

accounting for choice set endogeneity in random utility models of recreation demand abstract modeling the choice among a discrete set of recreation alternatives is driven by the possible patterns of substitution among sites researchers typically assume that the individual s choice set is the same as the set of alternatives included in the recreation survey instrument our endogenous choice set model is a generalization of the standard multinomial logit random utility model which allows for the possibility of heterogeneous choice sets that are endogenously determined in the model using two examples we show that parameter and compensating variation estimates differ greatly between the endogenous choice set model and the traditional logit model

a discrete count model of recreational demand abstract discrete choice models generate welfare measures resulting from environmental quality changes on a per trip basis instead of over a longer more policy relevant time period seasonal or annual welfare measures resulting from a quality change are often computed by multiplying each individual s per trip welfare measure by the number of trips the individual is forecasted to take at the new quality level these models are typically formulated so that increases in the quality of any site causes every individual to increase his or her participation this paper presents an alternative method of linking the discrete choice model to a demand model enabling welfare changes to be estimated in a conventional manner

testing the consistency of nested logit models with utility maximization abstract this paper provides simple necessary conditions for testing the local consistency of nested logit models with stochastic utility maximization a graphical analysis illustrates the extent to which these conditions extend the range of admissible dissimilarity coefficients beyond the unit interval

modeling the dynamics of chinese spot interest rates using the daily data of chinese 7 day repo rates from january 1 1997 to december 31 2008 this paper tests a variety of popular spot rate models including single factor diffusion garch markov regime switching and jump diffusion models we document that chinese spot rates are subject to both market forces and administrative forces garch regime switching and jump diffusion models capture some important features of the dynamics of chinese spot rates but all models under study are overwhelmingly rejected we further explore possible sources of model misspecification using diagnostic tests

a parametric nonlinear model of term structure dynamics recent nonparametric estimation studies pioneered by ait sahalia document that the diffusion of the short rate is similar to the parametric function r superscript 1 5 estimated by chan et al whereas the drift is substantially nonlinear in the short rate these empirical properties call into question the efficacy of the existing affine term structure models and beg for alternative models which admit the observed behavior this article presents such a model our model delivers closed form solutions for bond prices and a concave relationship between the interest rate and the yields we show that in empirical analyses our model outperforms the one factor affine models in both time series as well as cross sectional tests article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

convergent validity of revealed and stated recreation behavior with quality change a comparison of multiple and single site demands we consider the convergent validity of several demand models using beach recreation data two models employ multiple site data a count data demand system model and the kuhn tucker demand system model we explore the role of existing variation in beach width in explaining trip choices and analyze a hypothetical 100 foot increase in beach width we compare these models to a single equation model where we jointly estimate revealed and stated preference trip data and focus on a hypothetical scenario considering a 100 foot increase in beach width in each case we develop estimates of the change in beach visits and the welfare impacts from the increase in width the trip change estimates from two of the three models are similar and convergent valid though the willingness to pay estimates differ in magnitude

the length of stay in the demand for tourism abstract one of the main characteristics of current tourism is the reduction in the length of stay at a destination nevertheless this variable has received little attention in literature this paper examines the microeconomic determinants of the length of stay at one of the mediterranean s leading sun and sand destinations the estimation of a conditional demand function model highlights the explanatory power of the tourist s sociodemographic profile and of holiday characteristics as well as the sensitivity of the length of stay to price changes

probabilistic forecasting of output growth inflation and the balance of trade in a gvar framework summary we apply a global vector autoregressive gvar model to the analysis of inflation output growth and global imbalances among a group of 33 countries 26 regions we account for structural instability by use of country specific intercept shifts the timings of which are identified taking into account both statistical evidence and our knowledge of historic economic conditions and events using this model we compute both central forecasts and scenario based probabilistic forecasts for a range of events of interest including the sign and trajectory of the balance of trade the achievement of a short term inflation target and the incidence of recession and slow growth the forecasting performance of the gvar model in relation to the ongoing financial crisis is quite remarkable it correctly identifies a pronounced and widespread economic contraction accompanied by a marked shift in the net trade balance of the eurozone and japan moreover this promising out of sample forecasting performance is substantiated by a raft of statistical tests which indicate that the predictive accuracy of the gvar model is broadly comparable to that of standard benchmark models over short horizons and superior over longer horizons hence we conclude that gvar models may be a useful forecasting tool for institutions operating at both the national and supra national levels copyright 2010 john wiley sons ltd

a theoretical foundation for count data models the paper develops a theoretical foundation for using count data models in travel cost analysis two micro models are developed a restricted choice model and a repeated discrete choice model we show that both models lead to identical welfare measures

modeling overnight recreation trip choice application of a repeated nested multinomial logit model in this paper we apply the repeated nested multinomial logit model a version of a random utility model rum to estimate the choice of an overnight versus single day recreation trip along with the other usual choice of which of the sites to visit and less typically the choice of whether to participate in our application to fish at all we also find statistically significant income effects in the empirical results the application is to atlantic salmon fishing and the data set is for maine resident angler s fishing trips to rivers in maine and canada

brand choice and purchase frequency revisited an application to recreation behavior the role that total purchases play in determining the choice among brands has been considered in microeconomic theory for quite some time but for traditional goods only consumption of outdoor recreation is an unusual good most often measured using an individual s recreational trip adding the trips made on a number of choice occasions seems the obvious way to aggregate this good but doing so leads to several problems in defining a meaningful price index the hicks leontief conditions for aggregation suggest that trips to destinations may be thought of as brand choices on consumption occasions andthe continuous analogue to total purchases may in fact be the individual s total travel an empirical example of the model is used to estimate welfare impacts for a group of anglers

the demand for local telephone service a fully discrete model of residential calling patterns and service choices we present an empirical model of households choices among local telephone service options for example between flat rate and measured service and the interrelation of these choices with the number and average duration of local calls households make at each time of day to each geographical zone using a nested logit model with estimation performed on a randomly selected subset of the households calling patterns we calculate elasticities of demand for each local service option number of calls average duration and revenues with respect to the fixed monthly charges and the usage charges for calling under each option we find moderate price elasticities of number of calls with respect to usage charges for households subscribing to measured service nevertheless raising usage charges has a negligible effect on revenues since a sufficient number of households either originally subscribe to flat rate service or convert to flat rate service in response to higher usage charges we find a high elasticity of demandfor each service option with respect to itsfixed monthlyfee this indicates high substitutability among service options the shift among service options induces new calling patterns which wefind to be a small but not negligible indirect effect e most telephone operating companies offer residential customers several options for local service there are two general categories of service flat rate service under which a household can for a fixed monthly charge make an unlimited number of calls within a specified geographical area and measured service for which the household pays a lower fixed monthly fee but can make only a specified number or dollar value of calls at no extra charge after which charges are incurred for additional calls various flat rate services differ in the size of the geographical area in which calling is at no extra charge with higher monthly fees for larger areas measured services differ with respect to the threshold number or dollar value of calls beyond which the customer is charged

another look at models of the short term interest rate the short term rate of interest is fundamental to much of theoretical and empirical finance yet no consensus has emerged on the dynamics of its volatility we show that models which parameterize volatility only as a function of interest rate levels tend to over emphasize the sensitivity of volatility to levels and fail to model adequately the serial correlation in condi tional variances on the other hand serial correlation based models like garch models fail to capture adequately the relationship between interest rate levels and volatility we introduce and test a new class of models for the dynamics of short term interest rate volatility which allows volatility to depend on both interest rate levels and information shocks two important conclusions emerge first the sensitivity of interest rate volatility to interest rate levels has been overstated in the literature while this relationship is important adequately modeling volatility as a function of unexpected information shocks is also important sec ond we conclude that the volatility processes in many existing theoretical models of interest rates are misspecified and suggest new paths toward improving the theory

monetary policy announcements and market interest rates response evidence from china abstract this paper examines the daily responses of market interest rates to three monetary policy announcements in china using the event study approach i find that the interest rate responses to announced changes in the regulated retail interest rate and the required reserve ratio are positive and significant at all maturities of interest rates but smaller at the long end of the yield curve by contrast market interest rates barely respond to the qualitative mpc announcements about the monetary policy stance these findings are robust to alternative econometric methods that correct for potential bias arising from violations of the identification assumption these findings suggest that the pbc should formulate its policy communication in a quantitative way

the statistical and economic role of jumps in continuous time interest rate models this paper analyzes the role of jumps in continuous time short rate models i first develop a test to detect jump induced misspecification and using treasury bill rates find evidence for the presence of jumps second i specify and estimate a nonparametric jump diffusion model results indicate that jumps play an important statistical role estimates of jump times and sizes indicate that unexpected news about the macroeconomy generates the jumps finally i investigate the pricing implications of jumps jumps generally have a minor impact on yields but they are important for pricing interest rate options

welfare measurement and representative consumer theory abstract this paper generalizes results from anderson et al 1992 linking individual random utility and aggregate representative individual demand models to consider a comparable relation for the willingness to pay functions for quality attributes of marketed goods it also suggests how the logic can be used to describe links between choice occasion and aggregate models across occasions for an individual

a demand theory for number of trips in a random utility model of recreation we present a simple random utility model of recreation site choice that incorporates an aggregate demand function for number of trips during a season we derive the trip demand function using conventional demand theory and use it to calculate seasonal welfare changes due to improvements in site characteristics or addition of new sites the model is based on bockstael et al s participation function