bluuebunny/crossref_metadata_2025_split huggingface dataset:
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

AbstractThis 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

AbstractAn 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.
Compositional change, aggregation, and dynamic factor demand. Estimates on a panel of manufacturing firms
Authors: Wolfson P. 
Published: July 2007

AbstractMost 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

AbstractThis 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

AbstractIn 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

AbstractImmigrant 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

AbstractA 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

AbstractWe 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

AbstractIn 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

AbstractIn 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.
The response of small and medium‐size business customers to Time‐of‐Use (TOU) electricity rates in Israel
Authors: Aigner D. J. , Newman J. , Tishler A. 
Published: July 2007

AbstractThis paper reports on the methodology, data, and results of the Israeli Time‐of‐Use (TOU) electricity pricing experiment in the industrial/commercial sector. We concentrate on the estimation of the demand functions for electricity under TOU, and the net welfare gains which result from applying TOU rates to small and medium‐size business customers in Israel. This experiment, which was preceded by a 15‐month load research study to allow an optimal sample design, was concluded in June 1992. The analysis yielded four major conclusions: (1) The estimated gains of small and medium‐size customers in Israel from TOU rates are sufficient to justify investment in TOU metering technology. (2) There have been small, but noticeable, shifts of electricity from the peak to the mid‐peak (if relevant) and to the off‐peak periods during all seasons of the year, and particularly during the winter. (3) The structure and number of labour shifts during the day, and weather, are important factors in determining the response of business customers to the TOU rates. (4) Price elasticities vary substantially over the seasons and across SIC groups; they do not vary with customer size.
Energy crises and change of technology
Authors: Ilmakunnas P. , Törmä H. 
Published: July 2007

AbstractA production model is formulated for the Finnish metal product and machinery industry for studying energy crises‐related structural changes. Two models are estimated: a partial static equilibrium model, where capital is treated as a fixed input in the short run, and a dynamic model, where adjustment costs of the capital input are taken into account. Alternative hypotheses of structural change are formulated as gradual parameter shifts. The results show that some of the energy‐related parameters have changed over time. Also the contributions of parameter changes and variations in the average values of the variables on the changes in the energy demand elasticities are studied. The most important effect is the strengthening of the energy‐saving bias in technical change.
Rank‐ordered logit models: An empirical analysis of Ontario voter preferences
Authors: Koop G. , Poirier D. J. 
Published: July 2007

AbstractThis study provides a Bayesian investigation of rank‐ordered multinominal logit models employing conjugate priors for standard multinomial logit models as well as other priors. Also considered is a specification test of the independence of irrelevant alternatives assumption. The proposed techniques are demonstrated in an empirical investigation of Ontario voter preferences before the 1988 Canadian Federal Election.
The determinants of Australian trade union membership
Authors: Borland J. , Ouliaris S. 
Published: July 2007

AbstractThis paper investigates the determinants of trade union membership in Australia using the Engle and Granger (1987) theory of co‐integrated economic variables. Applying the theory of co‐integration yields a model of union membership which can be interpreted as distinguishing between long‐run and ‘business cycle’ determinants of union membership. The principal long‐run determinant of union membership is found to be the level of employment disaggregated by industry classification. Business cycle variables—the real wage and the change in unemployment—are also shown to influence movements in union density. These findings are consistent with recent studies which have attributed the decline in union membership in Australia since the early 1980s to the changing composition of employment and movements in the rate of unemployment.
A review of stata 3.1
Authors: Ferrall C. 
Published: July 2007

AbstractStata 3.1 is a program for data management, graphics, and statistical analysis. Since Version 2.1 was reviewed by Pederson (1991), Stata has added several platforms, third‐party products, supporting services, and many features of interest to econometricians. The result is that Stata 3.1 integrates fast and reliable manipulation of data with high‐powered statistical analysis. For users who do no more than run regressions, the new features do not detract from the feel of ease and control Stata gives the researcher working with any data set, large or small. A unique system to disseminate user‐written programs lets Stata grow continuously without becoming unwieldy, ensuring that Stata will become a standard package in several branches of applied statistics. This review summarizes the hardware requirements of Stata, demonstrates a short but typical Stata session, and discusses some of the unique elements of Stata.
Cointegration tests of present value models with a time‐varying discount factor
Authors: Timmermann Allan 
Published: July 2007

AbstractThe paper analyses the impact of persistence and volatility in the discount rate in present‐value models on cointegration tests in levels and in logarithms. In simulations we find that the probability of not rejecting the null of no cointegration depends on the persistence of the discount rate process and can be very high when the expected returns process is highly persistent. In contrast, the cointegration tests are very robust with respect to the level of volatility in the discount rate. We discuss the relevance of our findings for the US stock market where standard ADF tests do not reject the null of no cointegration between stock prices and dividends. Based on estimates of persistence in four asset pricing models, we find that a model which links expected returns to the dividend yield is sufficiently persistent to explain the failure of rejecting the null that stock prices and dividends are not cointegrated.
Separability test for the electricity supply industry
Authors: Lee Byung‐Joo 
Published: July 2007

AbstractThis paper examines the vertical integration issue of the electricity industry. This industry is typically vertically integrated and heavily regulated. The paper investigates the potential technological efficiency loss due to the vertical disintegration using the translog production function. Three separability hypotheses using the Allen‐Uzawa elasticity of substitution are tested to examine the feasibility of various degrees of disintegration of the current industry structure. All three separability hypotheses are rejected, and the cost of disintegration is estimated. Further, estimates indicate that the electricity industry appears to have exhausted economies of scale. Unlike other deregulated industries, disintegration of the electricity industry will entail technological efficiency loss.
Efficiency in the provision of university teaching and research: An empirical analysis of UK universities
Authors: Glass J. C. , McKillop D. G. , Hyndman N. 
Published: July 2007

AbstractA flexible three‐output, two‐input cost function model is used to examine the cost efficiency of UK universities as producers of teaching and research ‘outputs’. Unlike previous studies, a comprehensive peer review of research quality is incorporated. Overall, product‐specific and input‐specific economies of scale, global and product‐specific economies of scope, marginal costs and cost complementarities are estimated. Overall and product‐specific scale results indicate considerable increasing returns, while the scope results generally suggest neither economies nor diseconomies. Sensitivity analysis is used to simulate the impact of current government policy, regarding the expansion of undergraduate teaching output, on these results.
The distribution of personal income: Revisited
Authors: McDonald James B. , Mantrala Anand 
Published: July 2007

AbstractIn a recent paper, Majumder and Chakravarty (1990) propose a four‐parameter model which they find provides a better fit to some income data than the lognormal, gamma, Singh‐Maddala, Dagum, and generalized beta of the second kind (GB2) distributions. This note (1) demonstrates that the model proposed by Majumder and Chakravarty is a reparameterization of the GB2 and (2) reconciles the corresponding contradictory empirical findings reported by Majumder and Chakravarty.
A simple and efficient method for estimating the magnitude and precision of welfare changes
Authors: Breslaw Jon A. , Smith J. Barry 
Published: July 2007

AbstractIn this article we propose a simple and efficient method of estimating welfare measures in an n‐equation system. We also estimate the variance of these measures. The accuracy and convergence properties of our approach are studied: the algorithm converges quadratically. This is a distinct improvement over the Vartia algorithm which converges linearly. We demonstrate the method by evaluating the welfare consequences of price changes in the provision of health care. The GAUSS code, which is very short, is included.
Multiple regimes and cross‐country growth behaviour
Authors: Durlauf Steven N. , Johnson Paul A. 
Published: July 2007

AbstractThis paper provides some new evidence on the behaviour of cross‐country growth rates. We reject the linear model commonly used to study cross‐country growth behaviour in favour of a multiple regime alternative in which different economies obey different linear models when grouped according to initial conditions. Further, the marginal product of capital is shown to vary with the level of economic development. These results are consistent with growth models which exhibit multiple steady states. Our results call into question inferences that have been made in favour of the convergence hypothesis and further suggest that the explanatory power of the Solow growth model may be enhanced with a theory of aggregate production function differences.
Modelling market fundamentals: A model of the aluminium market
Authors: Gilbert Christopher L. 
Published: July 2007

AbstractThe standard approach to modelling primary commodity markets under rational expectations is to relate the commodity price to the production and consumption ‘surprises’ (i.e. the innovations on the equations). Using the world aluminium market, we show how this approach can be modified so that both the price and stock can be written in terms of one or more market ‘fundamentals’ which reflect the supply—demand balance on the market. This approach allows joint estimation of production, consumption, stock demand and price equations subject to cross‐equation restrictions. It may be seen as a formalization of the approach adopted by metals industry analysts.
A class of binary response models for grouped duration data
Authors: Sueyoshi Glenn T. 
Published: July 2007

AbstractThis paper explores the relationship between conventional models for binary response such as the probit and logit, and the proportional hazard (PH) and related specifications for grouped duration data. I outline a general class of hazard models for grouped duration data based upon the choice of period‐specific distribution functions, facilitating a thorough analysis of the implications of various specifications and consideration of various issues of model identification. This class of models nests, among others, the proportional hazard, probit, and logit specifications for interval survival. I consider the implications of various specifications for hazard behaviour, focusing on familiar specifications. While the specifications will generally yield results that are quite similar along a number of dimensions, there are significant differences. The probit model generates non‐proportional effects of variables on the discrete hazard, while the logit and PH tend to show only slight non‐proportionality. Furthermore, while the effects of variables on the derivatives are considerably larger for the probit specification, the time‐pattern of the probit effects is relatively insensitive to changes in explanatory variables. I illustrate these issues by providing an example taken from Katz's (1986) unemployment data from the Panel Study of Income Dynamics.
Japan's financial deregulation and linkage of the Gensaki and Euroyen deposit markets
Authors: Lin Wen‐Ling 
Published: July 2007

AbstractThis paper examines whether Japan's financial deregulation weakened the linkage between the Euroyen and Gensaki markets. It defines and analyses the linkage of the two markets in terms of the persistence and predictability of yield spreads, as well as cross‐market causality. By using Johansen tests and an error correction model, this paper shows first, cross‐market causality before and after deregulation; and second, one common trend in interest rates, substantial Gensaki—Euroyen yield spreads, and a slower response of the one‐month Gensaki—Euroyen yield spread to a shock after deregulation.
South African fish products. Part XX. Mode and degree of fat storage in the Cape John Dory (Zeus capensis C. and V.) in relation to the chemical compositions of the liver and body fats
Authors: Black M. M. , Rapson W. S. , Schwartz H. M. , Van Rensburg N. J. 
Published: July 2007

AbstractComponent acid analyses have been carried out on body And liver oils from the Cape John Dory (Z. capensis C. and V.) in fat or thin condition. In both liver and body, increase in fat content of the fish results in an increase in the content of the highly unsaturated C20, C22 and C,14 acids in the oil, and a decrease in the degree of average unsaturation of the C18 and C26 acids. In the liver the latter effect is dominant and therefore the iodine value of the liver oil tends to decrease with increase in fat content of fish: in the body, however, the former effect prevails and increase in iodine value of the body oil results.As in other species with a diffuse system of fat storage, the liver oil in distinguished from the body oil by its higher content of C18 unsaturated acids, and by a decreased content of the more highly unsaturated C20 and C23 acids. The distinction between the liver and body oils is not as marked as is usual in such species, however, and this is related to the comparatively high degree of fat storage in the liver of the John Dory.
A flame method of spectrochemical analysis
Authors: Roach W. A. 
Published: July 2007

AbstractA flame method of spectrochemical analysis suitable for routine use is described and illustrated by detailed drawings. The material (e.g, 25 mg. leaf powder) is folded between filter paper, heated in ammonium chloride vapour and finally fed automatically into an oxy‐acetylene blow pipe flame in front of a spectrograph. It is suitable both for comparative diagnostic work end for quantitative analysis.