bluuebunny/crossref_metadata_2025 huggingface dataset:
A new power electronic converter for switched reluctance motor
Authors: Faiz J. , Salehi M. R. , Hosseini S. H.
Published: July 2007

This paper presents a new topology of bridge converter for a four‐phase switched reluctance motor (SRM). It consists of a four‐quadrant conventional bridge converter and extra switches for selecting phases of the motor. The converter is capable to control the phases of SRM properly and to operate similar compared to the conventional converter with different torques and speeds. There is a minimum number of passive elements and the rated voltage and current of solid‐state components are also minimum. This converter is very convenient for a four‐phase (in general even‐phases) SRM with high voltage and torque. Different modes of operation of SRM are analyzed using the proposed converter and simulation results for a typical 8/6 SRM are presented.
Waveform distortion caused by high power adjustable speed drives part I: High computational efficiency models
Authors: De Rosa F. , Langella R. , Sollazzo A. , Testa A.
Published: July 2007

Waveform distortion caused by high power adjustable speed drives is considered and two high computational efficiency models are proposed. Both models are essentially based on the switching function theory and on a new simplified control system representation. The first refers to the solution based on the Line Commutated Inverters, the second to the case of the Pulse Width Modulated Inverters. Models' accuracy and computational efficiency are demonstrated. In a companion paper, the proposed models are applied inside a simulation procedure for the probabilistic analysis of waveform distortion on both the supply and motor sides of the two types of Adjustable Speed Drives here considered.
Waveform distortion caused by high power adjustable speed drives part II: Probabilistic analysis
Authors: Castaldo D. , De Rosa F. , Langella R. , Sollazzo A. , Testa A.
Published: July 2007

Waveform distortion caused by high power adjustable speed drives is considered in a probabilistic scenario. In a companion paper, two high computational efficiency drive models, one using the Line Commutated Inverter and the other the Pulse Width Modulated Inverter, have been proposed. These models are used inside a simulation procedure for the probabilistic analysis of waveform distortion on both the supply and motor sides of the two kinds of drives considered. The results obtained considering both mechanical and supply voltage variability are presented and commented.
Effect of tall instrumented towers on the statistical distributions of lightning current parameters and its influence on the power system lightning performance assessment
Authors: Borghetti A. , Nucci C. A. , Paolone M.
Published: July 2007

Statistical distributions of lightning current amplitude, time‐to‐peak and other lightning current parameters used in power system insulation coordination are based on experimental data obtained by means of tall instrumented towers. It is, however, generally accepted that these distributions, which we will call ‘classical’ ones, are affected by the presence of the tower, as the tower ability to attract lightning flashes tends to increase for flashes with larger currents. Current amplitudes are thus biased towards higher values with respect to those which refer to flashes at ground. In this paper, we adopt a procedure recently proposed by the authors to infer the statistical distributions of lightning current parameters at ground level starting from those obtained from data measured using tall instrumented towers. The procedure is first applied to classical statistical distributions of lightning current parameters to quantify the tower bias, and this for various models that have been proposed in the literature to represent the exposure of the tower to direct strokes. Then, the statistical distributions at ground, calculated by applying the proposed procedure, are used to calculate the indirect‐lightning performances of an overhead line above an ideal and a lossy ground. The results are also compared with those obtained using the original distributions of lightning current parameters, i.e. by neglecting the bias introduced in the distributions by the presence of the instrumented tower, and a significant difference is found.
Quality of supply management by means of interruption statistics and voltage quality measurements
Authors: Kjølle G. H. , Seljeseth H. , Heggset J. , Trengereid F.
Published: July 2007

Quality of supply regulation is a growing area of interest in liberalized energy markets. An important basis for the quality of supply regulation and management is the documentation of existing quality levels. The documentation should be based on standardized terms for recordings and measurements. In Norway the interruption recordings are standardized from 2000 by using the fault and interruption collection tool FASIT. Voltage quality measurements are based on EN 50160. This paper presents results from six years of mandatory interruption recordings in Norway as well as results from the national voltage measurement program going on since 1992.
Embedded generation planning under uncertainty including power quality issues
Authors: Carpinelli G. , Celli G. , Pilo F. , Russo A.
Published: July 2007

In the last years there has been a considerable growing interest in connecting generation to distribution systems. Thus, Embedded Generation is predicted to play an increasing role in the future electric systems. For this reason, distribution system engineers should properly take into account its impact in the system studies. On the other hand, power quality has recently become an important concern for utility, facility and consulting engineers since the electric disturbances have significant economic consequences. In this paper a three step procedure, based on Genetic Algorithm and Decision Theory, is applied to obtain the best generation sizing and siting on a medium voltage distribution network, considering in the objective function and in the constraints the power quality disturbances and taking into account the unavoidable uncertainties that the Embedded Generation production introduces. A numerical application to a simple distribution test system gives evidence of the power quality and uncertainty influence.
Evaluation methods and accuracy in probabilistic harmonic power flow
Authors: Caramia P. , Carpinelli G. , Esposito T. , Varilone P.
Published: July 2007

Some evaluation methods to obtain the probability density functions of voltage and current harmonics in multi‐convertor power systems are presented. The approaches are based on Monte Carlo simulation applied to the non linear and linear harmonic power flow equations, on convolution process and on Pearson distributions. These methods are compared in terms of time execution and accuracy in the evaluation of harmonic probability density functions, and in particular of their 95 percentiles and maximum values, being these quantities the statistical measures of greatest interest in many International harmonic Standards and Recommendations. Several numerical applications are presented and discussed with reference to a multiconvertor test system.
Effect of adverse weather on the voltage dip mitigation capability of a static transfer switch
Authors: Sannino A. , Bollen M. H. J.
Published: July 2007

This paper discusses the effect of time‐varying failure rates due to adverse weather on the voltage dip mitigation capability of a static transfer switch (STS). A model that takes into account the increase in both failure rate and repair time due to adverse weather is proposed. Applicabilty of the model and additional effort needed in collecting data are discussed. Sensitivity of the model to uncertainties in the data is assessed.
Valuing reductions in on‐the‐job illness: ‘presenteeism’ from managerial and economic perspectives
Authors: Pauly Mark V. , Nicholson Sean , Polsky Daniel , Berger Marc L. , Sharda Claire
Published: July 2007

This paper reports on a study of manager perceptions of the cost to employers of on‐the‐job employee illness, sometimes termed ‘presenteeism,’ for various types of jobs. Using methods developed previously, the authors analyzed data from a survey of more than 800 US managers to determine the characteristics of various jobs and the relationship of those characteristics to the manager's view of the cost to the firm of absenteeism and presenteeism. Jobs with characteristics that suggest unusually high cost (relative to wages) were similar in terms of their ‘absenteeism multipliers’ and their ‘presenteeism multipliers.’ Jobs with high values of team production, high requirements for timely output, and high difficulties of substitution for absent or impaired workers had significantly higher indicators of cost for both absenteeism and presenteeism, although substitution was somewhat less important for presenteeism. Copyright © 2007 John Wiley & Sons, Ltd.
Selection criteria for a microeconometric model of labour supply
Authors: Blundell Richard , Meghir Costas
Published: July 2007

The wide variety of observed behaviour that is displayed in survey data suggests that microeconometric models should allow a reasonable degree of flexibility in specification. However, since these models are generally used for policy analysis they are required to satisfy some degree of theoretical consistency. This requirement has generally led to the adoption of rather simple ‘inflexible’ models based on additive preferences or linear labour supply responses. We estimate and test a sequence of models for the labour supply of married working women, emphasizing the importance of testing both the thecretical and statistical assumptions underlying the models.
A Bayesian approach to assessing the robustness of hedonic property value studies
Authors: Atkinson Scott E. , Crocker Thomas D.
Published: July 2007

Hedonic price models are widely employed to estimate implicit prices for bundled attributes. Residential property value studies dominate these applications. Using a representative cross‐sectional property value data set, we employ Bayesian methods to translate a range of priors in covariate selection typical of hedonic property value studies into a range of posterior estimates. We also formulate priors regarding measurement error in individual covariates and compute the ranges of resulting posterior means. Finally, we empirically demonstrate that a greater and more systematic use of prior information drawn from one's own data and from other studies can break the collinearity deadlock in this data.
On estimating dynamic factor demands
Authors: Mahmud S. F. , Robb A. L. , Scarth W. M.
Published: July 2007

Many recent empirical studies on inter‐related factor demands involve factor demand functions whose arguments depend on the researcher's arbitrary normalization rule. This paper shows how sensitive the estimated elasticities are to the various normalizations that are possible. Alternatives that are not dependent on a normalization are suggested.
The performance of coal‐burning electric generating units in the United States: 1960–1980
Authors: Joskow Paul L. , Schmalensee Richard
Published: July 2007

This paper studies determinants of the thermal efficiency and reliability of coal‐burning electric generating units using a new, comprehensive, unbalanced panel data set. For two major technological groups consistent and efficient estimates are obtained of the effects of unit age, vintage, scale, operating practices, and coal quality. Large utilities integrated into design and engineering appear to obtain superior unit performance. Implications of our results for life‐cycle generation costs, regulators' performance norms, and the complex pattern of technological change in this industry are discussed.
Empirical evidence on the sign of the slope of the hazard rate from unemployment from a fixed effects model
Authors: Alaouze Chris M.
Published: July 2007

Empirical evidence on the sign of the slope of the hazard rate from unemployment is obtained from a fixed effects model based on the gamma distribution for unemployment duration. The data used are pairs of unemployment spells for adult males in the control and experimental groups of the Denver Income Maintenance Experiment. The sample selection issue involved in selecting the pair of spells used in the empirical work is discussed. The empirical results suggest that for these samples the hazard function is monotone decreasing and support the assumptions that the first two spells of unemployment are identically distributed and can be modelled using the gamma distribution.
Semiparametric econometrics: A survey
Authors: Robinson P. M.
Published: July 2007

Semiparametric econometric models contain both parametric and nonparametric components, reflecting in some fashion what has been learned from economic theory and previous empirical experience, and what remains unknown. They raise such questions as how well the parametric component can be estimated, and how to construct rules of inference with good statistical properties. The paper attempts to survey the econometric and most relevant statistical literature on semiparametric inference, and includes a partial bibliography.
Formation of firms' production decisions in finnish manufacturing industries
Authors: Rahiala Markku , Teräsvirta Timo
Published: July 2007

Business survey data have recently been used in several studies to shed light on the formation of firms' plans and expectations. The main tool for analysis has been the multivariate conditional log‐linear model. The trichotomous answers in a typical business survey have an ordering. This makes it possible to analyse firms' production decisions with a categorized version of Cox's proportional hazards model. In this paper the production decisions of Finnish firms are investigated using data from the Finnish business survey. The results obtained are largely in accord with the implications of the production smoothing model of Blinder (1982).
Asymptotic theory and econometric practice
Authors: Koenker Roger
Published: July 2007

The classical paradigm of asymptotic theory employed in econometrics presumes that model dimensionality, p, is fixed as sample size, n, tends to inifinity. Is this a plausible meta‐model of econometric model building? To investigate this question empirically, several meta‐models of cross‐ sectional wage equation models are estimated and it is concluded that in the wage‐equation literature at least that p increases with n roughly like n l/4, while that hypothesis of fixed model dimensionality of the classical asymptotic paradigm is decisively rejected. The recent theoretical literature on ‘large‐p’ asymptotics is then very briefly surveyed, and it is argued that a new paradigm for asymptotic theory has already emerged which explicitly permits p to grow with n. These results offer some guidance to econometric model builders in assessing the validity of standard asymptotic confidence regions and test statistics, and may eventually yield useful correction factors to conventional test procedures when p is non‐negligible relative to n.
Employment contracts, job search theory, and labour turnover: Preliminary empirical: Results
Authors: Kiefer Nicholas M.
Published: July 2007

The empirical implications of a model in which a worker participates in a labour market in which a job offer consists of a wage‐hour pair are examined. Here, hours are not freely adjustable and the wage rate is typically different from the marginal value of leisure. A theoretical model is proposed; some natural conjectures on effects of wage changes are shown not to hold; and a preliminary empirical investigation based on Denver Income Maintenance Experiment data is undertaken.
Testing the martingale hypothesis in deutsche mark futures with models specifying the form of heteroscedasticity
Authors: McCurdy Thomas H. , Morgan Ieuan G.
Published: July 2007

We examine the form of heteroscedasticity in Deutsche Mark futures price data and compare different specifications of the particular way that the variance is changing over time. The martingale hypothesis is tested with daily and weekly rates of change of futures prices for the Deutsche Mark and some evidence is found against this hypothesis in analyses of daily data from 1981 to 1985. This rejection of the martingale hypothesis may be attributed to trading day effects in foreign currency prices and the resulting day‐of‐the‐week patterns in futures prices. When the martingale hypothesis is tested with weekly data the null hypothesis is retained.
Econometric modelling on microcomputers: A review of major software packages
Authors: Brillet Jean‐Louis
Published: July 2007

In their present state, both in terms of price and power, microcomputers are taking over applied econometics. Now even model simulation is feasible. This paper tries to help the model‐builder in determining which of the following modelling software is appropriate to his/her specific needs: AREMOS, ESP, Micro‐TSP, MODLER and SORITEC. Tables devoted to data management, estimation, model specification, simulation, and presentation of results, detail the availability of desirable features. Finally, individual short reviews stress the best and worst points of each software.
Ex‐post rational price approximations and the empirical reliability of the present‐value relation
Authors: Shea Gary S.
Published: July 2007

Excess volatility and regression tests have resulted in apparent rejections of the present‐value relation when ex‐post price approximations are employed. These approximations are based upon a sample terminal condition for prices, are not ergodic time‐series, and do not result in statistics with readily calculable standard errors. Kleidon (1986a) has demonstrated that ex‐post price approximations can subtly affect the reliability of certain volatility tests. We use a bootstrapped cointegration model to demonstrate some of these same effects in Mankiw, Romer and Shapiro's (1985) volatility statistics. The volatility statistics rarely have positive expected value in finite samples and still do not reject the presentvalue relation. Approximations based upon a ‘rolling’ terminal condition result in volatility statistics which have calculable large‐sample errors, but even these standard errors greatly overstate the accuracy of volatility statisics in small samples. Regression tests of the present value relation are also affected by the price approximations.
Does school matter for educational achievement? a two‐way nested‐error components analysis
Authors: Montmarquette Claude , Mahseredjian Sophie
Published: July 2007

School effectiveness is a much‐debated question both at an analytical level and as a policy issue. In this paper we used a two‐way nested‐error components educational production function model to evaluate the relative importance of latent class and school variables in explaining student school achievement. The analysis is carried out with a sample of Montreal francophone public elementary school students. As for the observable variables, the empirical results suggest that the latent class and school variables are negligible with respect to the latent personal and socioeconomic variables. Related policy issues are discussed in the conclusion.
An examination of the equilibrium specification and structure of production for Canadian telecommunications
Authors: Bernstein Jeffrey I.
Published: July 2007

Multiple‐output models of Canadian telecommunications production are estimated under different production equilibria. A specification test is conducted between the short‐ and long‐run equilibrium models and the long‐run equilibrium is rejected. In order to capture the nature of the disequilibrium, a dynamic cost of adjustment model is estimated for Bell Canada. There are significant adjustment costs and it is estimated that for $1.00 of marginal capital costs the carrier must incur an additional cost of $0.30 to install the new capital into the production process.
Differences in the properties of large‐scale macroeconometric models: The role of labour market specifications
Authors: Turner David S. , Wallis Kenneth F. , Whitley John D.
Published: July 2007

This paper examines important differences in simulation properties of four leading UK macroeconometric models that arise from features of their labour market specifications. Econometric evaluation of model equations and their subsequent re‐specification, together with sensitivity analysis of simulation results, explains and resolves differences in overall model properties. The examples cover the determination of non‐manufacturing employment, the modelling of employment, unemployment and the working population, and the effect of the retention ratio on wage determination. Increased attention to systematic comparison and testing leads to increased convergence of model simulation results or, as second best, increased understanding of the reasons for divergence.
A Monte Carlo comparison of semiparametric Tobit estimators
Authors: Moon Choon‐Geol
Published: July 2007

This paper focuses on a performance comparison of semiparametric Tobit estimators. Firstly, a conditional expectation version of Horowitz's distribution‐free least‐squares estimator is proposed, together with a short description of the other estimators considered in the later Monte Carlo experiment. Then, a performance comparison of the following selected estimators is made through a Monte Carlo experiment: the standard Tobit maximum‐likelihood estimator, the Buckley–James estimator, Horowitz's distribution‐free least‐squares estimator, a conditional version of Horowitz's estimator and Powell's least absolute deviations estimator. An empirical example of Engel curve estimation with zero expenditures follows.
Flexible parametric estimation of duration and competing risk models
Authors: Han Aaron , Hausman Jerry A.
Published: July 2007

In this paper we specify and estimate a flexible parametric proportional hazards model. The model specification is flexibly parametric in the sense that the baseline hazard is non parametric while the effect of the covariates takes a particular functional form. We also add parametric heterogeneity to the underlying hazard model specification. We specify a flexible parametric proportional competing risks model which permits unrestricted correlation among the risks. Unemployment duration data are then analysed using the flexible parametric duration and competing risks specifications. We find an important effect arising from the exhaustion of unemployment insurance and significantly different hazards for the two types of risks, new jobs and recalls.
Interpreting an error correction model: Partial adjustment, forward‐looking behaviour, and dynamic international money demand
Authors: Domowitz Ian , Hakkio Craig S.
Published: July 2007

An error correction model is derived from a stochastic dynamic programming problem incorporating rational expectations. A parametric restriction is derived that allows a test for the theoretical proposition that the optimal strategy behind the error correction from entails the failure to asymptotically close the gap between the choice variable and the growing target. This is accomplished by nesting a partial adjustment model with forward‐looking expectations within the error correction paradigm. The counterintuitive behaviour embodied in the error correction model is not supported by the data in the context of a cross‐country comparison of cash balances relationships.
Estimating stochastic frontier systems with unbalanced panel data: The case of floor tile manufactories in egypt
Authors: Seale James L.
Published: July 2007

A generalized stochastic frontier system is fitted with unbalanced panel data of Egyptian floor tileries and estimated using OLS, ‘within’, feasible GLS, and maximum likelihood. Hausman tests indicate ‘within’ is the correct estimator for the data. Estimates of firm‐level technical and allocative inefficiencies (and their costs) are presented for each of the estimators. Finally, sources of technical inefficiency are investigated.
Comment on ‘the dynamics of job separation: The case of federal employees’
Authors: Gotz Glenn A.
Published: July 2007

This paper recasts the model presented in ‘The Dynamics of Job Separation: The Case of Federal Employees’, as an optimal stopping problem. It shows that the individuals represented by the model are assumed to behave suboptimally and illustrates several policy analysis problems introduced by assuming such behaviour.
A comparison among partial adjustment, rational expectations and error correction estimates of the canadian demand for money
Authors: Keil M. W. , Richardson W.
Published: July 2007

Starting from a dynamic optimization principle, the currently most popular approaches to modelling money demand functions are derived. The partial adjustment/adaptive expectations, rational expectations, and error correction mechanism formulations are then estimated using a common data set. The error correction mechanism equation is found to dominate the others either because their implicit restrictions are rejected (rational expectations) or by employing the encompassing principle (partial adjustment/adaptive expectations). Surprisingly all three forms have similar long‐run solutions. Since the short‐run dynamics differ substantially, the results have important implications for the conduct of monetary policy.
N‐kernel: A review
Authors: Delgado Miguel A. , Stengos Thanasis
Published: July 2007

The package performs estimation and prediction in the context of time‐series or cross‐section nonparametric models. It is menu‐driven and very easy to operate. The manual reads well. This version has some limitations, which can easily be corrected. Nevertheless it provides a useful pedagogical and research tool, even for people not familiar with nonparametric analysis.
A re‐examination of the q theory of investment using u.s. firm data
Authors: Schaller Huntley
Published: July 2007

Investment models based on Tobin's q are theoretically appealing, but they have been an empirical disappointment when applied to aggregate time‐series data. This paper explores two potential explanations for the poor empirical performance of q investment models, problems arising from aggregation and imperfect competition. The results suggest that aggregation is responsible for spurious evidence of dynamic misspecification and at least partially responsible for an upward bias in estimated adjustment costs. The evidence also suggests that imperfect competition in output markets may have an effect on the investment behaviour of some firms.
Unions and the financial performance of british private sector establishments
Authors: Machin Stephen J. , Stewart Mark B.
Published: July 2007

This paper considers the relationship between unions and financial performance using data from the 1980 and 1984 Workplace Industrial Relations Surveys. A qualitative indicator of financial performance is utilized and ordered probit estimates presented. These indicate that unionized establishments are characterized by lower performance levels than are non‐union concerns. The interface between union effects and relative market power is also explored and the ability of unions to extract a share of the available rents is found to be greater if the plants in which they are located possess a higher market share.
Full information estimation and stochastic simulation of models with rational expectations
Authors: Fair Ray C. , Taylor John B.
Published: July 2007

A computationally feasible method for the full information maximum‐likelihood estimation of models with rational expectations is described in this paper. The stochastic simulation of such models is also described. The methods discussed in this paper should open the way for many more tests of the rational expectations hypothesis within macroeconomic models.
On efficient estimation with panel data: An empirical comparison of instrumental variables estimators
Authors: Baltagi Badi H. , Khanti‐Akom Sophon
Published: July 2007

This paper attempts a replication of the Cornwell and Rupert (1988) study—hereafter CR. The CR study investigated the efficiency gains in a returns to schooling example by applying alternative sets of instrumental variables estimators for panel data regressions proposed by Hausman and Taylor (1981), Amemiya and MaCurdy (1986), and Breusch, Mizon, and Schmidt (1989). Corrections on the CR data set lead to changes in the legitimate set of instruments, when the time dummies are excluded from the regression, and to much lower empirical gains in efficiency than those reported in CR. If the time dummies are retained in the wage equation, the experience coefficient is not estimable by the within regression, and the empirical gains in efficiency from using the IV procedures are not limited to the time‐invariant education coefficient.
Toward efficiency in the crude‐oil market
Authors: Green Steven L. , Mork Knut Anton
Published: July 2007

The ‘official’ (OPEC) prices of crude oil before the collapse in the oil market in the mid‐1980s can be interpreted as contract prices and analysed on the basis of the theory of futures (or forward) markets. This paper uses the generalized method of moments estimation technique to test for efficiency in the relationship between the official prices and the ex‐post spot prices at the time of delivery. Efficiency is rejected for the sample period 1978–1985 as a whole, but evidence is found of improvements over time. Further, the GMM Wald and Hansen tests, although asymptotically equivalent, are shown to differ greatly when applied to a small sample of monthly oil price data.
The time‐series properties of the risk premium in the Yen/Dollar exchange market
Authors: Canova Fabio , Ito Takatoshi
Published: July 2007

In this paper a VAR model is employed to construct a measure of the conditional expectations of the future yen/dollar spot rate. This measure allows us to examine the dynamics of an ex‐ante time‐series for the risk premium in the market. The VAR model produces ‘better’ forecasts than the survey responses for turbulent periods such as 1981–1982 and 1984–1985. The VAR‐generated expectations are then used to construct a risk premium time‐series. This risk premium series seems to be more reliable than the ones obtained using either survey data on expectations of the future spot exchange rate or the ex‐post realized spot exchange rate. Tests on the risk premium series suggest that a risk premium was present, but that it was virtually constant throughout the sample. The conditional variance of the risk premium changed over time, but its unconditional distribution seemed stable across subsamples. Despite these features, the volatility of the series was substantial and varied considerably throughout the sample.
Specification tests based on the heterogeneous generalized gamma model of duration: With an application to Kennan's strike data
Authors: Jaggia Sanjiv
Published: July 2007

In this paper, tests for neglected heterogeneity and functional form misspecification of some commonly used parametric distributions are derived within a heterogeneous generalized gamma model. It is argued that the conventional test of heterogeneity may not be valid when the underlying hazard function is misspecified. Hence, if the estimated hazard function is deemed restrictive, tests for functional form misspecification should accompany any test of heterogeneity. An empirical illustration based on Kennan's (1985) model of strikes is used to show that incorrect inferences may be drawn, as in a number of previous analyses, if the relevant restrictions are not tested jointly.
Resampling a time‐series process: A method of estimating the probabilities associated with alternative plans for protecting pensions against inflation
Authors: Denton F. T. , Spencer B. G.
Published: July 2007

Any pension protection formula that falls short of complete compensation for inflation has associated with it a time‐series of probability distributions of future purchasing power losses. A method of estimating those distributions is proposed and applied. The method is based on the idea of representing inflation as a multivariate time‐series process and using a model fitted to historical data to generate a large artificial sample of ‘realized’ inflation sequences by means of a bootstrapping procedure. The purchasing power losses under a given protection plan can then be simulated for each inflation sequence and the sample distributions calculated.
Estimation of a continuous‐time dynamic demand system
Authors: Chambers Marcus J.
Published: July 2007

A continuous‐time dynamic model of consumers' demand, explicitly taking account of the roles of depreciation, interest rates, habits, and stocks, is estimated using recently developed techniques from discrete quarterly UK data on three broad commodity groupings. The results suggest that, whilst being a significant determinant of demand, the actual magnitude of the influence of changes in interest rates may be relatively small in the long run. The cross‐price effects of durable goods are also found to be statistically significant, and symmetry of long‐run compensated price responses is not rejected.
Bootstrapping the process of model selection: AN econometric example
Authors: Veall Michael R.
Published: July 2007

If a researcher has mined the data (i.e. selected an empirical model based on a series of trial estimates), inferences based on the final set of results are in general incorrect. This note treats the entire data mining process as an estimator and shows how a bootstrapping technique may improve the quality of inference. The method is applied to an empirical example on the deterrent effects of capital punishment.
Review of pcbrap
Authors: Koop Gary
Published: July 2007

PCBRAP (Bayesian Regression Analysis Package for the Personal Computer) is a computer program designed by Carlos de Silva, John Abowd, Brent Moulton, and Arnold Zellner to perform Bayesian analysis of the linear regression model with normal errors. It also contains numerical integration facilities for analysing more general types of models. Because the numerical integration package is intended for analysing a different class of problems than PCBRAP proper, and requires different software, the two parts of PCBRAP are kept separate for the purposes of discussion. This review is divided into four sections: Section 1 describes what PCBRAP can do; Section 2 discusses PCBRAP's technical aspects; Section 3 describes the accompanying manuals for PCBRAP; and Section 4 gives commercial information for those interested in purchasing the package.
Automobile insurance ratemaking in the presence of asymmetrical information
Authors: Dionne G. , Vanasse C.
Published: July 2007

Automobile insurance is an example of a market where multi‐period contracts are observed. This form of contract can be justified by asymmetrical information between the insurer and the insured. Insurers use risk classification together with bonus‐malus systems. In this paper we show that the actual methodology for the integration of these two approaches can lead to inconsistencies. We develop a statistical model that adequately integrates risk classification and experience rating. For this purpose we present Poisson and negative binomial models with regression component in order to use all available information in the estimation of accident distribution. A bonus‐malus system which integrates a priori and a posteriori information on an individual basis is proposed, and insurance premium tables are derived as a function of time, past accidents and the significant variables in the regression. Statistical results were obtained from a sample of 19,013 drivers.
Hypotheses testing concerning relationships between spot prices of various types of coffee
Authors: Vogelvang E.
Published: July 2007

In this paper hypotheses are tested concerning long‐run relationships between the four indicator prices of coffee. These relationships are assumed to exist based on a previous study of the coffee market by the same author. The four coffee prices are investigated in more detail in this paper. After a brief introduction to the price formation on the coffee market the univariate properties of the coffee prices are checked first. Then the tests for co‐integration, as developed by Johansen (1988) and Johansen and Juselius (1989) are performed. These tests appear to be very informative with respect to the way the prices may be linked in the long run, concerning the number and the form of the relationships. Specifications of three equilibrium relationships among the coffee prices are detected and commented.
Nonresponse in panel data: The impact on estimates of a life cycle consumption function
Authors: Nijman Theo , Verbeek Marno
Published: July 2007

If missing observations in a panel data set are not missing at random, many widely applied estimators may be inconsistent. In this paper we examine empirically several ways to reveal the nature and severity of the selectivity problem due to nonresponse, as well as a number of methods to estimate the resulting models. Using a life cycle consumption function and data from the Expenditure Index Panel from the Netherlands, we discuss simple procedures that can be used to assess whether observations are missing at random, and we consider more complicated estimation procedures that can be used to obtain consistent or efficient estimates in case of selectivity of attrition bias. Finally, some attention is paid to the differences in identification, consistency, and efficiency between inferences from a single wave of the panel, a balanced sub‐panel, and an unbalanced panel.
The relationship between power and level for generic unit root tests in finite samples
Authors: Blough Stephen R.
Published: July 2007

We show that the maximum power of a generic unit root test against any stationary alternative is equal to the true level of the test. We then use Monte Carlo methods to investigate the implications for several such tests. We show patterns of rejection probabilities over a variety of unit root and stationary processes. We discuss the implications of these results for some of the uses of unit root tests in applied work.
Testing the differences between the determinants of moody's and standard & poor's ratings an application of smooth simulated maximum likelihood estimation
Authors: Moon C.‐G , Stotsky J. G.
Published: July 2007

This paper extends previous studies on bond ratings by modeling as a system of equations the determinants of a municipality's decision to obtain a bond rating and the determinants of the municipality's rating for the two major rating agencies. Our model provides a framework to examine formally the differences between the two agencies in the determinants of the ratings. We estimate the four‐equation system by smooth simulated maximum likelihood estimation and then construct minimum χ2 tests on cross‐equation restrictions based on optimal minimum distance estimation. Self‐selection is found to be important in Moody's ratings while not in those of S&P. Split ratings appear to reflect differences in both the weight attached to specific determinants of the ratings and differences in the way the bonds are classified.
On the estimation of simultaneous‐equations error‐components models with an application to a model of developing country foreign trade
Authors: Kinal T. , Lahiri K.
Published: July 2007

An empirical balance of payments model involving the demand and supply of imports and exports for 31 developing countries is estimated utilizing panel data over 1964‐1987. In order to compute error‐components 3SLS estimates of this model, which requires different instruments for different equations, we propose a generalization of the Fuller‐Battese transformation to obtain GMM estimates. Our empirical results suggest that very little of the short‐run adjustment in external imbalances is likely to be achieved by exchange rate policies, and most of the burden must fall on aggregate demand management.
An analysis of publication lags in econometrics
Authors: Trivedi P. K.
Published: July 2007

This note describes the lengthening in publication lags for econometric papers in seven journals since 1986 and briefly considers ways of shortening them.
Compositional change, aggregation, and dynamic factor demand. Estimates on a panel of manufacturing firms
Authors: Wolfson P.
Published: July 2007

Most empirical research on investment and dynamic factor demand has used aggregated data. The large number of authors who have cited this as a source of problems strongly suggests possible benefits from analyzing individual firm data. This paper presents an analysis of a panel dataset of US manufacturing firms. Several models, based on cost minimization and a three‐factor Cobb–Douglas technology, are developed. The differences concern whether the technology varies across two‐digit SIC industries, the presence of fixed adjustment lags, and the determinants of adjustment costs. Identification relies on the rational expectations hypothesis, and estimation on non‐linear 3SLS. The estimates indicate that versions with the adjustment lag perform better than others. Conditional elasticities reveal that factor demand responds rapidly to anticipated changes in output and factor prices, a finding consistent with other recent work. It appears that the factor demand of large firms is more price sensitive and less sensitive to output than small firms, consistent with recent work on credit market imperfections. Comparison of the results based on the pooled and the industry varying technologies indicate that the use of aggregate data is indeed a source of problems.
The long‐run implications of the production smoothing model of inventories: An empirical test
Authors: Rossana R. J.
Published: July 2007

This paper provides an empirical test of the long‐run implications of the production smoothing model of inventories, the dominant framework for inventory investment research in the past. Intertemporal models of a firm holding inventories of finished goods predict a long‐run relationship between inventories, shipments, factor input prices, and the real interest rate which is tested here using cointegration test procedures. These tests provide little support for the predictions of the production smoothing model. In most of the data sets used, test statistics indicate that inventories, shipments, factor input prices, the nominal interest rate, and the inflation rate maintain a long‐run equilibrium relationship but parameter estimates of cointegrating vectors are often implausible, typically rejecting hypotheses implied by structural models of the production smoothing motive for holding inventories.
Can a well‐fitted equilibrium asset‐pricing model produce mean reversion?
Authors: Bonomo M. , Garcia R.
Published: July 2007

In recent papers, Cecchetti et al. (1990) and Kandel and Stambaugh (1990) showed that negative serial correlation in long horizon returns was consistent with an equilibrium model of asset pricing. In this paper, we show that their results rely on misspecified Markov switching models for the endowment process. Once the proper Markov specification is chosen for the endowment process, the model does not produce mean reversion of the magnitude detected in the data. Furthermore, the small amount of mean reversion produced by the model is due only to small sample bias. We also show that this model is unable to predict negative excess returns, contrary to empirical evidence.
Immigrant earnings, relative to what? The importance of earnings function specification and comparison points
Authors: Yuengert A. M.
Published: July 2007

Immigrant relative earnings estimates are sensitive to the choice of comparison point and the specification of earnings. Non‐sample mean comparisons (Borjas, 1985) understate relative earnings. Simple earnings specifications (linear education, quadratic experience) overstate relative earnings for both poorly and well‐educated immigrants. Specifications which ignore omitted variables understate the relative earnings of poorly educated immigrants and overstate those of well‐educated ones. Although measures of assimilation and changes in immigrant quality are insensitive to earnings specification, they indicate strong earnings growth for post‐1964 immigrants, an overall decrease in immigrant quality, and an increase in Mexican immigrant quality.
Prediction, filtering and smoothing in non‐linear and non‐normal cases using Monte Carlo integration
Authors: Tanizaki H. , Mariano R. S.
Published: July 2007

A simulation‐based non‐linear filter is developed for prediction and smoothing in non‐linear and/or non‐normal structural time‐series models. Recursive algorithms of weighting functions are derived by applying Monte Carlo integration. Through Monte Carlo experiments, it is shown that (1) for a small number of random draws (or nodes) our simulation‐based density estimator using Monte Carlo integration (SDE) performs better than Kitagawa's numerical integration procedure (KNI), and (2) SDE and KNI give less biased parameter estimates than the extended Kalman filter (EKF). Finally, an estimation of per capita final consumption data is taken as an application to the non‐linear filtering problem.
Large shocks, small shocks, and economic fluctuations: Outliers in macroeconomic time series
Authors: Balke Nathan S. , Fomby Thomas B.
Published: July 2007

We analyse fifteen post‐World War II US macroeconomic time series using a modified outlier identification procedure based on Tsay (1988a). ‘Large shocks’ appear to be present in all the series we examined. Furthermore, there are three basic outlier patterns: (1) outliers seem to be associated with business cycles, (2) outliers are clustered together—both over time and across series, (3) there appears to be a dichotomy between outlier behaviour of real versus nominal series. Also, after controlling for outliers, much of the evidence of non‐linearity in many of the time series is eliminated.
Modelling the UK gilt‐edged market
Authors: Davidson J. , Madonia G. , Westaway P.
Published: July 2007

In this paper we examine the sectoral demand for UK gilt‐edged securities. The Tobin–Markowitz model of portfolio choice generates the prediction that asset holdings should be negatively correlated with the own price, and positively correlated with the prices of major substitutes. In contrast, for all the five major groups of UK gilt holders, we find evidence consistent with a reverse correlation between the own price and market holdings which we argue arises due to the passive revaluation of existing holdings. We examine the empirical evidence using both cointegration analysis of stock holdings and a dynamic model of net transactions.
The cyclical nature of markups in Canadian manufacturing: A production theory approach
Authors: Morrison C. J.
Published: July 2007

In this paper the effects of cost and demand characteristics on the magnitude and cyclical behaviour of markups in Canadian manufacturing are measured within a production theory framework. Price to marginal cost ratios for various manufacturing industries are computed, and the impact art their secular and cyclical trends from changes in capacity utilization, scale economies, variable input prices, import competition, unemployment and other exogenous market and technological determinants are explored using adjusted markup indexes and elasticities. The measured price margins seem weakly procyclical. Further, evaluation of the determinants of these cycles suggests that the procyclical nature of markups is primarily related to exogenous factors affecting costs such as energy price ‘shocks’, and that cost characteristics underlying scale economies provide a countercyclical influence that counteracts the profitability arising from markups.