bluuebunny/crossref_metadata_2025 huggingface dataset:
The Statistical Analysis of Preference Data
Authors: Taplin Ross H.
Published: March 2003

A new statistic and a new method of analysis are proposed for data where a sample of respondents provides a preference ordering of some treatments. The new preference statistic is compared with the Friedman statistic, particularly for an example where 12 home owners each ranked four grasses. The new analysis provides a more natural and less misleading assessment of where the differences occur than an analysis based on the rank sums of the Friedman statistic. The new analysis is also more robust to deviations from the classical location problem, is not related to election methods known to have undesirable characteristics and adheres to the Condorcet criterion for election methods.
Designing and Integrating Composite Networks for Monitoring Multivariate Gaussian Pollution Fields
Authors: Zidek James V. , Sun Weimin , Le Nhu D.
Published: March 2003

Networks of ambient monitoring stations are used to monitor environmental pollution fields such as those for acid rain and air pollution. Such stations provide regular measurements of pollutant concentrations. The networks are established for a variety of purposes at various times so often several stations measuring different subsets of pollutant concentrations can be found in compact geographical regions. The problem of statistically combining these disparate information sources into a single ‘network’ then arises. Capitalizing on the efficiencies so achieved can then lead to the secondary problem of extending this network. The subject of this paper is a set of 31 air pollution monitoring stations in southern Ontario. Each of these regularly measures a particular subset of ionic sulphate, sulphite, nitrite and ozone. However, this subset varies from station to station. For example only two stations measure all four. Some measure just one. We describe a Bayesian framework for integrating the measurements of these stations to yield a spatial predictive distribution for unmonitored sites and unmeasured concentrations at existing stations. Furthermore we show how this network can be extended by using an entropy maximization criterion. The methods assume that the multivariate response field being measured has a joint Gaussian distribution conditional on its mean and covariance function. A conjugate prior is used for these parameters, some of its hyperparameters being fitted empirically.
Meta-Analysis Using Multilevel Models with an Application to the Study of Class Size Effects
Authors: Goldstein Harvey , Yang Min , Omar Rumana , Turner Rebecca , Thompson Simon
Published: March 2003

Meta-analysis is formulated as a special case of a multilevel (hierarchical data) model in which the highest level is that of the study and the lowest level that of an observation on an individual respondent. Studies can be combined within a single model where the responses occur at different levels of the data hierarchy and efficient estimates are obtained. An example is given from studies of class sizes and achievement in schools, where study data are available at the aggregate level in terms of overall mean values for classes of different sizes, and also at the student level.
Analysing the Interevent Time Distribution to Identify Seismicity Phases: A Bayesian Nonparametric Approach to the Multiple-Changepoint Problem
Authors: Pievatolo Antonio , Rotondi Renata
Published: March 2003

In the study of earthquakes, several aspects of the underlying physical process, such as the time non-stationarity of the process, are not yet well understood, because we lack clear indications about its evolution in time. Taking as our point of departure the theory that the seismic process evolves in phases with different activity patterns, we have attempted to identify these phases through the variations in the interevent time probability distribution within the framework of the multiple-changepoint problem. In a nonparametric Bayesian setting, the distribution under examination has been considered a random realization from a mixture of Dirichlet processes, the parameter of which is proportional to a generalized gamma distribution. In this way we could avoid making precise assumptions about the functional form of the distribution. The number and location in time of the phases are unknown and are estimated at the same time as the interevent time distributions. We have analysed the sequence of main shocks that occurred in Irpinia, a particularly active area in southern Italy: the method consistently identifies changepoints at times when strong stress releases were recorded. The estimation problem can be solved by stochastic simulation methods based on Markov chains, the implementation of which is improved, in this case, by the good analytical properties of the Dirichlet process.
Missing Time-Dependent Covariates in Human Immunodeficiency Virus Dynamic Models
Authors: Wu Lang , Wu Hulin
Published: March 2003

The study of human immunodeficiency virus dynamics is one of the most important areas in research into acquired immune deficiency syndrome in recent years. Non-linear mixed effects models have been proposed for modelling viral dynamic processes. A challenging problem in the modelling is to identify repeatedly measured (time-dependent), but possibly missing, immunologic or virologic markers (covariates) for viral dynamic parameters. For missing time-dependent covariates in non-linear mixed effects models, the commonly used complete-case, mean imputation and last value carried forward methods may give misleading results. We propose a three-step hierarchical multiple-imputation method, implemented by Gibbs sampling, which imputes the missing data at the individual level but can pool information across individuals. We compare various methods by Monte Carlo simulations and find that the multiple-imputation method proposed performs the best in terms of bias and mean-squared errors in the estimates of covariate coefficients. By applying the favoured multiple-imputation method to clinical data, we conclude that there is a negative correlation between the viral decay rate (a virological response parameter) and CD4 or CD8 cell counts during the treatment; this is counter-intuitive, but biologically interpretable on the basis of findings from other clinical studies. These results may have an important influence on decisions about treatment for acquired immune deficiency syndrome patients.
Analysing Partial Ranks by Using Smoothed Paired Comparison Methods: An Investigation of Value Orientation in Europe
Authors: Francis Brian , Dittrich Regina , Hatzinger Reinhold , Penn Roger
Published: March 2003

This paper introduces the paired comparison model as a suitable approach for the analysis of partially ranked data. For example, the Inglehart index, collected in international social surveys to examine shifts in post-materialistic values, generates such data on a set of attitude items. However, current analysis methods have failed to account for the complex shifts in individual item values, or to incorporate subject covariates. The paired comparison model is thus developed to allow for covariate subject effects at the individual level, and a reparameterization allows the inclusion of smooth non-linear effects of continuous covariates. The Inglehart index collected in the 1993 International Social Science Programme survey is analysed, and complex non-linear changes of item values with age, level of education and religion are identified. The model proposed provides a powerful tool for social scientists.
Data Analytic Methods for Latent Partially Ordered Classification Models
Authors: Tatsuoka Curtis
Published: March 2003

A general framework is presented for data analysis of latent finite partially ordered classification models. When the latent models are complex, data analytic validation of model fits and of the analysis of the statistical properties of the experiments is essential for obtaining reliable and accurate results. Empirical results are analysed from an application to cognitive modelling in educational testing. It is demonstrated that sequential analytic methods can dramatically reduce the amount of testing that is needed to make accurate classifications.
A Compound Poisson Model for Word Occurrences in DNA Sequences
Authors: Robin Stéphane
Published: March 2003

We present a compound Poisson model describing the occurrence process of a set of words in a random sequence of letters. The model takes into account the frequency of the words and their overlapping structure. The model is compared with a Markov chain model in terms of fit and parsimony. Special attention is given to the detection of poor or rich regions. Several applications of the model are presented and a combination of the Markov and compound Poisson models is proposed.
Stochastic Regression Model with Dependent Disturbances
Authors: Choy Kokyo , Taniguchi Masanobu
Published: March 2003

In this paper, we consider the estimation of the coefficient of a stochastic regression model whose explanatory variables and disturbances are permitted to exhibit short‐memory or long‐memory dependence. Three estimators of the coefficient are proposed. A variety of their asymptotics are illuminated under various assumptions on the explanatory variables and the disturbances. Numerical studies of the theoretical results are given. They show some unexpected aspects of the asymptotics of the three estimators.
Prediction in ARMA Models with GARCH in Mean Effects
Authors: Karanasos Menelaos
Published: March 2003

This paper considers forecasting the conditional mean and variance from an ARMA model with GARCH in mean effects. Expressions for the optimal predictors and their conditional and unconditional MSEs are presented. We also derive the formula for the covariance structure of the process and its conditional variance.

JEL. C22.
On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
Authors: HALDRUP NIELS , LILDHOLDT PETER
Published: March 2003

We examine some of the consequences on commonly used unit root tests when the underlying series is integrated of order two rather than of order one. It turns out that standard augmented Dickey–Fuller type of tests for a single unit root have excessive density in the explosive region of the distribution. The lower (stationary) tail, however, will be virtually unaffected in the presence of double unit roots. On the other hand, the Phillips–Perron class of semi‐parametric tests is shown to diverge to plus infinity asymptotically and thus favouring the explosive alternative. Numerical simulations are used to demonstrate the analytical results and some of the implications in finite samples.
Adjusting forecast intervals in arch‐m models
Authors: MIGUEL JESÚS , OLAVE PILAR
Published: March 2003

In this paper, we extend predictor expressions from an ARMA model with GARCH(1,1) innovations that allow for the conditional variance to be a regressor variable. We also obtain all the theoretical moments of the multi‐step prediction error distribution from this model. The forecast error has a distribution that depends nontrivially on the information set and, therefore, the classical forecast intervals do not work well. To improve those forecast intervals, we suggest adjusting the quantile of the conditional distribution for the s‐step‐ahead forecast error by means of the Cornish–Fisher asymptotic expansion.
Selecting the forgetting factor in subset autoregressive modelling
Authors: Brailsford T. J. , Penm Jack H. W. , Terrell R. D.
Published: March 2003

Abstract. Conventional methods to determine the forgetting factors in autoregressive (AR) models are mostly based on arbitrary or personal choices. In this paper, we present two procedures which can be used to select the forgetting factor in subset AR modelling. The first procedure uses the bootstrap to determine the value of a fixed forgetting factor. The second procedure starts from this base and applies the time‐recursive maximum likelihood estimation to a variable forgetting factor. In one illustration using real exchange rates, we demonstrate the effect of the forgetting factor in subset AR modelling on ex ante forecasting of non‐stationary time series. In a second illustration, these two procedures are applied to time‐update forecasts for a stock market index. Subset AR models not including a forgetting factor act as a set of benchmarks for assessing ex ante forecasting performance, and consistently improved forecasting performance is demonstrated for these proposed procedures.
Bayesian methods for change‐point detection in long‐range dependent processes
Authors: Ray Bonnie K. , Tsay Ruey S.
Published: March 2003

Abstract.We describe a Bayesian method for detecting structural changes in a long‐range dependent process. In particular, we focus on changes in the long‐range dependence parameter,d, and changes in the process level,μ. Markov chain Monte Carlo (MCMC) methods are used to estimate the posterior probability and size of a change at timet, along with other model parameters. A time‐dependent Kalman filter approach is used to evaluate the likelihood of the fractionally integrated ARMA model characterizing the long‐range dependence. The method allows for multiple change points and can be extended to the long‐memory stochastic volatility case. We apply the method to three examples, to investigate a change in persistence of the yearly Nile River minima, to investigate structural changes in the series of durations between intraday trades of IBM stock on the New York Stock Exchange, and to detect structural breaks in daily stock returns for the Coca Cola Company during the 1990s.
Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data
Authors: MA CHUNSHENG
Published: March 2003

For a first‐order autoregressive and first‐order moving average model with nonconsecutively observed or missing data, the closed form of the exact likelihood function is obtained, and the exact maximum likelihood estimation of parameters is derived in the stationary case.
The Variance Ratio Test with Stable Paretian Errors
Authors: TSE Y. K. , ZHANG X. B.
Published: March 2003

This paper examines the distribution of the overlapping variance ratio (OVR) statistic when the errors are distributed with thick tails as described by the family of stable Paretian distributions. The asymptotic distribution of the OVR statistic, which depends on the characteristic exponent, can be estimated using simulation. It is found that the convergence of the distribution of the OVR statistic to its asymptotic limit is extremely slow. Thus, the asymptotic results will not be able to provide any useful approximation in finite samples. To facilitate the OVR statistic as a test for the random walk hypothesis, the tail quantiles are estimated for several finite sample sizes.
The British Docks: A Test of Alternative Models of Wage and Employment Determination
Authors: Gavosto Andrea
Published: March 2003

In this paper we compare two well‐known models of union bargaining: labour demand and efficient bargains. We use data on the British docks which belonged to the national Dock Labour Board, abolished in 1989. The docks industry is particularly well‐suited for a test of the competing models: in fact it had a long tradition of union bargaining on manning levels and, at the same time, it experienced a long‐run decline in employment. Also, jobless dockers were granted some form of unemployment compensation.

The institutional features of the industry allow to test a strong version of the efficient bargain model, where the union equates the utility of those who work and those who do not. Our evidence supports the strong efficiency hypothesis: employment depends only on the opportunity cost of working. The secular decline in employment in the industry is explained mainly by technological progress, i.e. the introduction of containers.
Delegation, Union Leaders and Capital Allocation
Authors: Skåtun John Douglas F.
Published: March 2003

This paper looks upon the effects of delegation of the bargaining process within unions. It investigates the allocation of capital when investment is sunk and there is an absence of binding contracts. Although capital investment is inefficient, capital allocation can be improved by precommitment. Strong union members precommit by hiring a weak leader, whilst weak union members hire a strong union leader. Governments can increase the efficiency of capital by reducing the intrinsic union strength, but could reduce the efficiency of capital if intrinsic internal union leader strength is reduced.
Tasks and Types: An Application of Mechanism Design to Self‐Selection in Labour Markets
Authors: Porro Giuseppe
Published: March 2003

The Baron–Myerson (1982) regulatory mechanism is applied to the screening activity of a monopolist, who hires workers differentiated by quality and assigns them to different tasks. The employer charges a price to the workers for the screening service: necessary and sufficient conditions are provided for a self‐selective price function to exist. It is shown that under the optimal price function tasks are assigned in such a way that workers' effort is increasing in workers' quality. It is not necessarily true, however, that the price function must be increasing in workers' quality. A simple two‐types model is provided, showing the same results. Also the extension of the model to a dynamic context and, particularly, the requirements of a credible pre‐commitment available to the screener are discussed.
The Effects of Macroeconomic Aggregates on Employment Levels in Greece: A Causal Analysis
Authors: Chletsos Michael , Kollias Christos
Published: March 2003

This paper, using the technique of cointegration and error correction investigates the presence of a causal relationship between employment levels and key macroeconomic variables in Greece during the period 1960–92. The results reported here suggest the presence of such a relationship only in the case of secondary and non‐agricultural gross output as well as military spending.
Pension Systems in the European Context — Introductory Remarks
Authors: Bartocci Enzo
Published: March 2003

The author, initially, examines the major stages in the development of the pension system from the 19th century onwards. The paper then focuses on the reasons behind the changes from the funded system to the pay‐as‐you‐go system. These two systems have constituted the transposition, on the macroeconomic plane, of the two alternatives between individual savings and family solidarity at the microeconomic level. In the second part he considers the weak elements in the funded system and the growing lack of support on the part of the State budget. In conclusion the author underlines the need for European countries to modify the pension systems, taking the existing interdependence between all the sectors of social protection into account, on the one hand, and proceeding along lines of convergence on the other.
The Pace of Job Creation and Destruction, Cyclical Shocks and Employment Dynamics
Authors: Den Butter Frank A. G. , Van Dijk Mark
Published: March 2003

This paper investigates (un)employment dynamics in response to labour demand shocks using a small empirical flow model for the labour market in The Netherlands. The model explicitly takes account of the propagation of shocks through the various duration classes of unemployment and allows for duration dependence in the state of unemployment. A sensitivity analysis shows that 1. congestion in the matching process due to the increase in the pace of job creation and destruction may have substantial effects on (un)employment dynamics; 2. the effects depend very much on the initial pace of labour market dynamics and they are larger when the initial pace is low; 3. the labour market may be out of its equilibrium for quite a long time after a shock occurs; 4. fluctuations in the pace of job creation and destruction only lead to unemployment persistence in the model when the escape probability from long term unemployment is zero; otherwise, the economy returns to its original equilibrium, albeit with long adjustment lags in the case that the initial pace of structural change and/or the escape probability for long term unemployed is low.
The Management of Redundancies in Europe: The Case of the Netherlands
Authors: Delsen Lei , Jacobs* Antoine
Published: March 2003

The paper presents the findings of comparative and interdisciplinary legal and economic study on managing labour redundancies in seven EU member countries. It is structured for comparability between the systems examined. The introductory section contains an account of the evolution of the Dutch labour market, with special reference to redundancy trends, of the features of the programmes for managing redundancies, of the roles of firms and the ‘external environment’ in handling workforce adjustments. The second section presents a map of policies that work to prevent labour redundancies (preventive measures) such as flexibility, training etc. Next, the instruments for handling temporary labour redundancies (retentive measures) are examined (e.g. short‐time working, temporary layoffs etc.). The following section is devoted to instruments and programmes involved in the management of permanent labour redundancies (expulsive measures), e.g. collective dismissals, severance pay etc. The final section provides an overall assessment of the Dutch system for managing labour redundancies, and briefly discusses the national debate on the prospects for reform, in light of the principles and policies of convergence set forth by the European Union.
The Management of Redundancies in Europe: The Case of Germany
Authors: Heseler Heiner , Mückenberger* Ulrich
Published: March 2003

The paper presents the findings of comparative and interdisciplinary legal and economic study on managing labour redundancies in seven EU member countries. It is structured for immediate comparability between the systems examined. The introductory section contains an account of the evolution of the German labour market, with special reference to redundancy trends, of the features of the programmes for managing redundancies, of the roles of firms and the ‘external environment’ in handling workforce adjustments. The second section presents a map of policies that work to prevent labour redundancies (preventive measures) such as flexibility, training etc. Next, the instruments for handling temporary labour redundancies (retentive measures) are examined (e.g. short‐time working, temporary layoffs etc.). The following section is devoted to instruments and programmes involved in the management of permanent labour redundancies (expulsive measures), e.g. collective dismissals, severance pay etc. The final section provides an overall assessment of the German system for managing labour redundancies, and briefly discusses the national debate on the prospects for reform, in light of the principles and policies of convergence set forth by the European Commission.
Measuring the Cost of the Fear of Unemployment: An Information Approach
Authors: Leslie Derek , Blackaby David
Published: March 2003

A method of measuring the insecurity costs of unemployment or what might be termed the fear of unemployment effect is proposed. The approach is from an individual perspective and builds on a cost measure first suggested by Lucas. The measure is designed to abstract away from any output losses that might be incurred in a recession. The latter is the traditional Keynesian way of measuring recession costs. The paper demonstrates the intuitively sensible properties of the measure and argues that to neglect the fear of unemployment effect as is done with standard Keynesian cost measures could seriously underestimate recession costs for some individual types. The paper concludes with a multiperiod simulation of the insecurity cost measure.
Human Capital Accumulation, Social Mobility and Migrations
Authors: Pozzolo Alberto
Published: March 2003

This paper studies the effects of migrations on growth and income distribution when social mobility is imperfect. Workers migrate in response to differences in expected wages between home and a foreign country, but their choice depends also whether they qualified themselves as skilled workers by accumulating human capital or not. Such an activity has a cost, which depends on each agent’s family background: sons of skilled workers have lower human capital accumulation costs. The effects of labour migrations on per capita income depend only on the degree of social mobility: if there is a difference in the cost of accumulating human capital for the sons of educated and non‐educated people, migrations reduce total earnings of unskilled workers in the receiving country, and increase those of skilled workers.
Work Attitudes, Work Conditions and Hours Constraints: An Explorative, Cross‐national Analysis
Authors: Sousa‐Poza Alfonso , Henneberger Fred
Published: March 2003

In this paper, individuals’ desire to work more or less than they actually do (hours constraints) is analysed in nine OECD countries using data from the 1989 International Social Survey Program (ISSP). Our results show that hours constraints deviate substantially from country to country. However, in all countries, the proportion of individuals wanting to work more (and earn more) than they actually do is larger than the fraction of workers wanting to work less (and earn less). Socio‐economic and demographic characteristics, work attitudes, and work conditions have a significant effect on hours constraints.
The Roles of L1 Influence and Lexical Aspect in the Acquisition of Temporal Morphology
Authors: Collins Laura
Published: March 2003

Two cross‐sectional studies (N= 70; N= 91) used a replication design to investigate the degree to which adult Francophone ESL learners’ use of tense/aspect markers in past contexts supported the predictions of the aspect hypothesis (Andersen & Shirai, 1994; Bardovi‐Harlig, 1994) and the degree to which it showed L1 influence. Consistent with the aspect hypothesis, the learners were significantly more successful in using simple past with telics, struggled most with statives, and, in their nontarget responses, preferred progressive for activities and present for statives. The Role of the L1 was restricted to the learners’ association of nontarget perfect (a French‐influenced form) with telics. The interpretation of the findings takes into account methodological issues and developmental constraints.
Savings in the Relearning of Second Language Vocabulary: The Effects of Time and Proficiency
Authors: Hansen Lynne , Umeda Yukako , McKinney Melanie
Published: March 2003

This article extends the line of research that has recently applied the savings paradigm from cognitive psychology to vocabulary relearning. Second language (L2) data from 304 returnees from Japan and Korea provide evidence of the strongest savings effect yet reported in studies of lexical reactivation. The extent of the savings advantage appears to decline over time (with age a confounding factor) and relates significantly to current vocabulary size. No significant gender effects in savings are evident, but unexpected differences between the L2 Japanese and L2 Korean subgroups are reported in both lexical maintenance and savings accessibility. Substantial Matthew effects in both data sets help elucidate sources of individual differences in vocabulary learning and relearning.
Taking Back Druid Hills: An Evaluation of a Community Policing Effort in Birmingham, Alabama
Authors: Kessler David A. , Borella Diane
Published: March 2003

This paper examines the effectiveness of a cooperative police‐citizen effort to eradicate open‐air drug markets in the Druid Hills neighborhood of Birmingham, Alabama. Using calls‐for‐service data, the study found that calls increased during initial efforts to organize citizen cooperation. As efforts to implement police activities in the area began, calls decreased; the types of calls changed as well. The results indicate the program was effective in reducing problems associated with the open‐air drug market in this neighborhood and illustrate the usefulness of calls for service as a way to monitor the value of a program's efforts.
Systemic Reform Litigation and Child Welfare Policy: The Case of Illinois
Authors: Gluck Mezey Susan
Published: March 2003

This study examines systemic litigation against the Illinois Department of Children and Family Services (DCFS). Focusing on B.H., a 1988 class action suit, it looks at the litigation process, conceptualized as continual interaction among litigants, the court, and affected non‐litigants. Dividing the litigation process into five phases, it discusses the effect of B.H. on child welfare policy in Illinois. The study concludes that B.H. provided a stimulus for reform, yet has been unable to completely satisfy the hopes of the litigants in achieving significant systemic reform.
Warranted and Unwarranted Complexity in the U.S. Sentencing Guideline
Authors: Ruback Barry
Published: March 2003

The U.S. Sentencing Guidelines are highly complex because of both initial policy decisions and subsequent pressures from Congress and appellate courts. The two initial policy decisions that were largely responsible for this complexity were (a) basing guidelines on “relevant conduct” rather than on the offense of conviction and (b) specifying in detail the number and precise sentencing value of aggravating and mitigating factors. Given this initial bias toward specificity, it was inevitable that the complexity in the guidelines would become worse as Congress pressed for further distinctions and the Sentencing Commission responded to those statutory actions. The complexity of the U.S. Sentencing Guidelines has detrimental effects on both the perceived and actual fairness of the laws. Although statistical analyses indicate that the most complex guidelines (as indexed by the length of each guideline, the length of application notes for each guideline, and the number of amendments to each guideline) are also those that are most frequently used, there is also evidence that at least some of the complexity in the guidelines (the number of specific offense characteristics in each guideline and the number of cross references) is unwarranted.
“The Legal Culture Must Assimilate the Scientific Culture” and Vice Versa?
Authors: Levine Murray
Published: March 2003

Book reviewed in this article:

Faigman, David, Kaye, David, Saks, Michael and Sanders, Joseph, Modern Scientific Evidence. The Law and Science of Expert Testimony
Appealing (but not Necessarily Winning) to Improve Your Social Status
Authors: Barclay Scott
Published: March 2003

In this article, I argue that litigants identify the appellate courts as offering a powerful and public arena where litigants’ claims are placed (at least temporarily) on an equal footing with the current state of the law. In this context, the initiation of appeals is treated as synonymous with receiving endorsements from the appellate courts that the litigants’ original claims had sufficient merit to deserve better treatment than they had received previously from either the opposing parties or the trial courts. These actions work to raise appellants’ social status, and I propose that such activity is one additional reason why some litigants might appeal.
Fuzzy Legality and National Styles of Regulation: Government Intervention in the Israel Downstream Oil Market
Authors: Cohn Margit
Published: March 2003

This article examines the role of statute law in regulation and government intervention through a detailed historical case study of a crucial retail market. The history of state intervention in the Israeli oil supply market is dominated by “fuzzy legality,” a concept expounded in a former article. Legal fuzziness allowed the industry, acting in concert with the government regulator, to retain a lucrative, practically non–accountable arrangement in changing politico–economic climates. Three central forces encouraged continuing fuzziness: a “cloud” of state security, institutional stickiness that preserved colonial mandatory legal structures, and a prevalent national culture of nonlegalism. The article ends with a careful suggestion regarding the Israeli national style of regulation. Compared to American “adversarial legalism,” and its opposite, “consensual nonlegalism” the Israeli style may be termed “adversarial nonlegalism,” and holds less promise for balancing market and public interests.
The Demand for Money in Greece: Further Empirical Results and Policy Implications
Authors: Papadopoulos Athanasios P. , Zis George
Published: March 2003

In this paper we investigate the determinants and the stability of the demand for broad and narrow definitions of money in Greece. The demand for M2 has not been previously studied. The findings of the empirical work suggest that the demand for M1 is unstable. For M2 the results presented are not sufficiently unambiguous to provide a basis for a policy prescription in favour of the adoption of a monetary target. In terms of anti‐inflation policy efficiency, it is argued that a potentially better policy choice for Greece would be to join the exchange rate mechanism of the European Monetary System.
Quasi‐Rational Search under Incomplete Information: Some Evidence from Experiments
Authors: Butler David , Loomes Graham
Published: March 2003

This paper presents an aspiration‐satisficing model of consumer search under limited information where no optimal strategy is defined. The model is contrasted with the Hey (Journal of Economic Behaviour and Organization (1982), Vol. 3, No. 1, pp. 65–81; (1987), Vol. 8, No. 2, pp. 137–144) ``bounce rules''. Experimental evidence is presented which, in this environment, lends support for the former explanation over the latter. In particular, the order in which price quotes were received was not accorded significance. These contrasting results suggest that subjects may utilize rules of varying degrees of sophistication depending on the costs and expected benefits attached to their use in different informational environments. A simpler version of the aspiration‐satisficing model is then developed that produces an ``order effect''.
Idiosyncratic Features of Kalecki's Pricing Models
Authors: Carson John D.
Published: March 2003

The paper shows that Kalecki's pricing models have some surprising analytical properties which, for the most part, appear to have been both unintended and unrecognized by Kalecki. These include the possibility of multivalued demand levels at given prices and counter‐intuitive comparative statics. Most of these features are related to Kalecki's use of the (weighted) industry average price as a proxy for the prices of each firm's competitors.
Voters' Tax‐price Perceptions and the Provision of Government Non‐marketed Goods
Authors: Gemmell Norman
Published: March 2003

In this paper we address the issue of fiscal illusion in the form of voter tax‐price misperceptions. Using a simple two‐sector, general equilibrium, “decisive voter” model of government and private goods we demonstrate that a range of possible voter tax‐price perceptions do not yield unambiguous predictions either of excess provision of non‐marketed goods relative to provision via the market mechanism or of excess supply relative to a decisive voter's demand. Outcomes depend on the nature of tax‐price misperceptions, the publicness of government goods (and perceptions regarding “publicness”), population size and the relative income of the decisive voter.
On the Proper Use of Ordinal Variables—Reply
Authors: Leslie Derek
Published: March 2003

This note details a brief reply to Peter Skott’s critique of my paper that appeared in The Manchester School, Vol. 63, No. 2, pp. 196–205.
An Empirical Model of Pricing, Market Share and Market Conduct: An Application to Import Competition in US Manufacturing
Authors: Allen Chris
Published: March 2003

In this paper we set out a new empirical model of pricing, market share and market conduct for a differentiated products industry. The model exhibits the property of a variable elasticity of firm demand: as a firm’s market share increases, it faces increasingly inelastic demand. Price–cost margins therefore increase as market share rises. Market conduct is described using conjectural variations. The model has a flexible functional formulation and is particularly suitable for time series estimation. We illustrate its use by investigating the structure of market competition in pricing strategies between domestic and importing firms in different sectors of US industry during the 1980s.
Policy Regimes and the Persistence of Wage Inflation and Unemployment
Authors: Anderton Robert
Published: March 2003

Time‐varying parameter estimation techniques are used to discover whether countries in the exchange rate mechanism (ERM) experienced a regime change to a lower degree of persistence for both wage inflation and unemployment in the 1980s. The results show that the persistence of wage inflation may have changed over the 1980s for some countries but that this experience was not unique to ERM membership (although the time profile of the persistence parameter for some ERM member countries corresponds to policy shifts related to ERM membership). Furthermore, only a few countries show a decline in the persistence of unemployment in the 1980s.
Monetary Regimes as Insurance Schemes. Old Wine in New Bottles?
Authors: Lossani Marco , Natale Piergiovanna
Published: March 2003

The paper applies the tools of insurance economics to address the trade‐off between commitment and flexibility arising in monetary policy. Monetary regimes are considered as alternative insurance policies designed to stabilize output. This approach provides a simple and straightforward reinterpretation of some seminal contributions to the literature on time inconsistency—such as the desirability of monetary policy delegation to an independent conservative central banker—and it accounts for some novel results deriving from informational asymmetries about the central banker’s degree of conservatism.
School Performance and Staying On: A Micro Analysis for Northern Ireland
Authors: Armstrong David M.
Published: March 2003

Microeconomic survey data are used to investigate the impact of a number of measures of school performance on the chances of young people staying on in full‐time education. Multinomial logit models are estimated for the main destinations of young people in Northern Ireland at age 16, namely school, further education, employment, vocational training and unemployment. The analysis is based on a sample which was stratified according to the choices made by young people. Since this stratification is endogenous, ‘choice‐based’ models are estimated to account for this. Some evidence is found of a statistically significant ceteris paribus relationship between school performance and staying on. This is interpreted in terms of aspects of school culture which are captured in the school performance indicators.
Common Trends and Cycles in European Industrial Production: Exchange Rate Regimes and Economic Convergence
Authors: Mills Terence C. , Holmes Mark J.
Published: March 2003

We analyse monthly data on six European industrial production series to ascertain the presence of common cycles and trends. Particular attention is paid to the exchange rate regime, with the Bretton Woods and Exchange Rate Mechanism (ERM) regimes being analysed separately. We employ recently developed techniques in vector autoregressive (VAR) modelling (a) to test for and estimate both common trends and common cycles, (b) to estimate VAR models subject to these ‘common feature’ restrictions, (c) to compare and contrast these models with those obtained from an alternative approach, that of estimating unrestricted levels VAR models, and (d) to present a permanent–transitory decomposition of the series that is based on the common trends found in the systems. We find limited evidence of convergence during the ERM, and this is of a long‐run nature. In the short run, asymmetric shocks seem to have produced a divergence compared with the earlier Bretton Woods regime. There is also some evidence of German ‘leadership’ over Belgium, France and the Netherlands.
The Asian Crisis: Causes and Consequences
Authors: Nixson Frederick I. , Walters Bernard
Published: March 2003

This paper reviews the explanations and the consequences of the Asian crisis. Two major competing explanations are identified. These place the roots of the crisis either in the affected economies or within the international capital market. We locate these explanations within alternative paradigms about the effectiveness of market coordination. The consequences of the crisis are discussed in terms of the impact on unemployment and poverty, growth and trade. The role of the International Monetary Fund is also considered and its evaluation is shown to depend on which model of explanation is thought most plausible. A number of concluding comments complete the discussion.
A Non‐Linear Analysis of Excess Foreign Exchange Returns
Authors: Coakley Jerry , Fuertes Ana‐Maria
Published: March 2003

In this paper we explore the dynamics of US dollar excess foreign exchange returns for the G10 currencies and the Swiss franc, 1976–97. The non‐linear framework adopted is justified by the results of linearity tests and a parametric bootstrap likelihood ratio statistic which indicate threshold effects or differential adjustment to small and large excess returns. Impulse response analysis suggests that the effect of small shocks to excess returns inside the no‐arbitrage band exhibits most persistence. Large shocks outside the band decay most rapidly and also exhibit overshooting. These phenomena are explained in terms of noise trading strategies and transaction costs.
Two Factors Along the Yield Curve
Authors: Gong Fangxiong , Remolona Eli M.
Published: March 2003

Are all two‐factor term structure models the same? We specify three models and estimate each on different parts of the U.S. yield curve. The exercise provides insights on reconciling the term structure's time series with its cross‐section and on relating it to fundamentals. Our evidence favours models where one factor reverts to a time‐varying mean. One such model explains shorter‐term yields and another longer‐term yields. The models differ primarily because mean reversion is much faster near the yield curve's short end than near its long end. The factors seem to capture mean reversion in inflation and the Fed's target rate.
Learning from the Wise People
Authors: Budd Alan
Published: March 2003

This paper describes the origins and work of the Panel of Independent Forecasters which was set up by the UK Chancellor of the Exchequer, Norman Lamont, in the aftermath of the UK’s departure from the Exchange Rate Mechanism in 1992.

The Panel was required to provide forecasts of the UK economy and was also invited to comment on policy developments and to provide recommendations. The Panel’s forecasts, its analysis of wider economic issues and its policy advice are discussed. Comments on its contribution to UK policy‐making are put forward.
Financial Development and Income Convergence: A Non‐parametric Approach
Authors: Shu Chang
Published: March 2003

This paper addresses the issue of whether the financial environment is a mechanism determining club formation and membership. It first reviews the convergence debate and empirical approaches to the convergence issue. Then the empirical work follows Quah’s non‐parametric approach and mirrors, to some extent, the work on international openness and convergence carried out by Proudman, Redding and Bianchi. The findings from the first stage of the study corroborate some previous studies in establishing twin‐peak dynamics in cross‐country income distribution evolution. Then 73 countries with financial data for the initial year are divided into two groups, one with a high degree of financial intermediation and a low level of financial repression and the other with the opposite features. It is found that countries in the former group tend to converge to the top end of income distribution while countries from the latter converge to the lower end. The empirical results give support to the belief that financial environment is an important factor influencing economic growth and shaping world income distribution.
Public Debt and Inflation: the Role of Inflation‐Sensitive Instruments
Authors: Mandilaras Alexandros , Levine Paul
Published: March 2003

This paper examines the effect of inflation on the choice of government debt structure. We develop work by Missale and Blanchard (American Economic Review, Vol. 84 (1994), No. 1, pp. 309–319) to allow for the joint determination of inflation and the share of inflation‐sensitive securities. We assume that governments prefer domestic nominal long‐term debt. We show that the subgame perfect equilibrium involves a negative relation between inflationary expectations and the share of such debt. Panel data estimation for 15 OECD countries provides strong support for the theory.
Ergodicity, State Prices, and Long Bond Returns
Authors: Tessitore Anthony , Usmen Nilufer
Published: March 2003

We present an analysis of price systems in securities markets with infinitely many time periods and infinitely many uncertain states of the world. A key result is that a Markov price system (MPS) has a unique representation in terms of the returns on a known set of bonds. The result implies that securities prices are the discounted value of dividends, where discount factors are the reciprocal of the returns on a long‐horizon discount bond.
On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
Authors: Björk Tomas , Svensson Lars
Published: March 2003

We consider interest rate models of the Heath–Jarrow–Morton type, where the forward rates are driven by a multidimensional Wiener process, and where the volatility is allowed to be an arbitrary smooth functional of the present forward rate curve. Using ideas from differential geometry as well as from systems and control theory, we investigate when the forward rate process can be realized by a finite‐dimensional Markovian state space model, and we give general necessary and sufficient conditions, in terms of the volatility structure, for the existence of a finite‐dimensional realization. A number of concrete applications are given, and all previously known realization results (as far as existence is concerned) for Wiener driven models are included and extended. As a special case we give a general and easily applicable necessary and sufficient condition for when the induced short rate is a Markov process. In particular we give a short proof of a result by Jeffrey showing that the only forward rate models with short rate dependent volatility structures which generically possess a short rate realization are the affine ones. These models are thus the only generic short rate models from a forward rate point of view.
The Use of Archimedean Copulas to Model Portfolio Allocations
Authors: Hennessy David A. , Lapan Harvey E.
Published: March 2003

A copula is a means of generating ann‐variate distribution function from an arbitrary set ofnunivariate distributions. For the class of portfolio allocators that are risk averse, we use the copula approach to identify a large set ofn‐variate asset return distributions such that the relative magnitudes of portfolio shares can be ordered according to the reversed hazard rate ordering of thenunderlying univariate distributions. We also establish conditions under which first‐ and second‐degree dominating shifts in one of thenunderlying univariate distributions increase allocation to that asset. Our findings exploit separability properties possessed by the Archimedean family of copulas.
Hedging Options: The Malliavin Calculus Approach versus the Δ‐Hedging Approach
Authors: Bermin Hans‐Peter
Published: March 2003

In this paper we consider a Black and Scholes economy and investigate two approaches to hedging contingent claims. We show that the general Malliavin calculus approach can generate the classical Δ‐hedging formula under weaker conditions.