bluuebunny/crossref_metadata_2025_split huggingface dataset:
Asymptotic theory and econometric practice
Authors: Koenker Roger 
Published: July 2007

AbstractThe 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

AbstractThe 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

AbstractWe 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

AbstractIn 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

AbstractExcess 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

AbstractSchool 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

AbstractMultiple‐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

AbstractThis 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

AbstractThis 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

AbstractIn 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

AbstractAn 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

AbstractA 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.
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

AbstractStarting 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

AbstractThe 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

AbstractInvestment 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

AbstractThis 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.
On efficient estimation with panel data: An empirical comparison of instrumental variables estimators
Authors: Baltagi Badi H. , Khanti‐Akom Sophon 
Published: July 2007

AbstractThis 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

AbstractThe ‘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

AbstractIn 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

AbstractIn 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

AbstractAny 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

AbstractA 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

AbstractIf 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

AbstractPCBRAP (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

AbstractAutomobile 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

AbstractIn 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

AbstractIf 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

AbstractWe 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.