bluuebunny/crossref_metadata_2025_split huggingface dataset:
Sluggish quantity adjustment in a non‐clearing market—a disequilibrium econometric application to the loan market
Authors: Browne F. X. 
Published: July 2007

AbstractThe paper argues that the estimated speed of price adjustment in a disequilibrium econometric model is likely to be biased if allowance is not made for quantity adjustment inertia on both sides of the market. Furthermore, if the model estimated is static rather than dynamic then, in certain circumstances, an excess demand regime may be mistaken for one of excess supply and vice‐versa. In an empirical application to the loan market for the clearing banks in Ireland we can claim to have obtained some support for this belief.
Prices, wages, and import prices in Israel: 1970–1983
Authors: Melnick Rafi 
Published: July 2007

AbstractThis paper presents an empirical investigation of the dynamics of prices, wages and import prices in a small open economy using data for Israel in the accelerating inflationary period of 1970–1983. The appropriateness of the specification of a price equation as a function of import prices and wages is critically reviewed using Sims's methodology. The main finding is that the only significant lags in the representation of the rate of change in prices, wages and import prices are the lags of the rate of change in prices (the rate of inflation). Other factors in the representation are attributed to market forces influencing real wages and the real exchange rate. Testing the correlation of the estimated VAR residuals leads to the conclusion that a short‐term inflation equation specified as a function of present and past wages is not acceptable. A further decomposition of the VAR residuals presents evidence in favour the hypothesis that price shocks contribute to the explanation of the inflationary process in Israel. A rational expectation interpretation of the results is proposed, followed by some policy implications.
A test for the existence of allocative inefficiency in firms
Authors: Melfi C. A. , Rogers A. J. 
Published: July 2007

AbstractThis paper is concerned with the problem of testing for the presence of allocative inefficiency in firms for models in which the cost function is stochastic, the possibility of technical inefficiency is allowed, and the efficient input cost share equations are stochastic. The test exploits the relationships among the disturbances in the cost and share equations to derive implications of the existence of allocative inefficiency. This leads to the use of a Wald‐type statistic to take account of the one‐sided nature of the alternative. Some empirical experience is reported.
The econometric analysis of models with risk terms
Authors: Pagan Adrian , Ullah Aman 
Published: July 2007

AbstractIn this paper we have attempted to provide an integrated approach to the estimation of models with risk terms. It was argued that there exist orthogonality conditions between variables in the information set and higher‐order moments of the unanticipated variable density. These could be exploited to provide consistent estimators of the parameters associated with the risk term. Specifically, it was recommended that an IV estimator should be applied, with instruments constructed from the information set. Four existing methods commonly used to estimate models with risk terms are examined, and applications of the techniques are made to the estimation of the risk term in the $US/$C exchange market, and the effects of price uncertainty upon production.
Efficient estimation with panel data: An empirical comparison of instrumental variables estimators
Authors: Cornwell Christopher , Rupert Peter 
Published: July 2007

AbstractHausman and Taylor (1981) proposed an efficient instrumental variables estimator for panel data regression models where the individual effects may be correlated with some of the regressors. Amemiya and MacCurdy (1986) and Breusch, Mizon, and Schmidt (1986) have suggested instrumental variables estimators that are potentially more efficient than the Hausman and Taylor estimator. We address the empirical question of how large these efficiency gains might be. In our returns to schooling example noticeable efficiency gains are limited to the coefficients of time‐invariant endogenous variables. This is important, however, since education does not vary over time in our sample.
Constructing the true cost of living index from the Engel curves of the PIGLOG model
Authors: Fry Vanessa , Pashardes Panos 
Published: July 2007

AbstractThis paper investigates the properties of the Tornqvist index and shows how this can be used to construct a true cost of living index from a simple system of Engel curves. This allows the substitution bias inherent in a fixed weight index to be estimated using the maximum degree of commodity disaggregation available in the data. Furthermore the proposed index can be decomposed to show the impact of inflation on households with different expenditure levels and household chararacteristics. An empirical application of the method is given, using data on UK food expenditures.
The relationship between the level and variability of inflation: Theory and evidence
Authors: Demetriades Panikos O. 
Published: July 2007

AbstractThis paper emphasizes the role played by asymmetric stabilization policies in producing the widely reported positive association between the level and variability of inflation. A simple theoretical model is constructed which shows how asymmetric policies give rise to this association. The empirical findings presented provide support to the proposition that variations in inflation uncertainty are policy‐induced.
A qualitative response analysis of UK firms' employment and output decisions
Authors: McIntosh James , Schiantarelli Fabio , Low William 
Published: July 2007

AbstractThis paper investigates firms' employment and output decisions and presents some empirical evidence concerning the rationality of firms' expectations. The dymanic model is based on the assumptions of convex adjustment costs and monopolistic competition in the product market. The results are obtained using categorical information on individual firms contained in business surveys collected by the Confederation of British Industry. Ordered probit models are used to estimate the employment and output equations. We find that expected demand is a critical determinant of firms' decisions, the effect of changes in cost conditions is not as well determined, and the data are not consistent with the rational expectations hypothesis.
Consistent estimation when the left‐hand variable is exogenous over part of the sample period
Authors: Kohli U. 
Published: July 2007

AbstractThis paper proposes a consistent estimation method for regression equations with a left‐hand variable that is endogenous for some observations, and exogenous for others. This method is applied to the estimation of a demand‐for‐money function for Switzerland over a time interval which includes periods of monetary control; that is periods when the quantity of money can best be viewed as exogenous.
A random walk through the Gibson paradox
Authors: Corbae Dean , Ouliaris Sam 
Published: July 2007

AbstractEvidence to support the Gibson paradox is often given in the form of a simple correlation between the nominal interest rate and the log of price level, or in the form of a simple linear regression between these two variables. Authors then show, using standard procedures of statistical inference, that the price level possesses a significant coefficient. We argue that this class of evidence is spurious since the nominal interest rate and the price level (both integrated variables) do not form a cointegrated system.
Semiparametric efficiency bounds
Authors: Newey Whitney K. 
Published: July 2007

AbstractSemiparametric models are those where the functional form of some components is unknown. Efficiency bounds are of fundamental importance for such models. They provide a guide to estimation methods and give an asymptotic efficiency standard. The purpose of this paper is to provide an introduction to research methods and problems for semiparametric efficiency bounds. The nature of the bounds is discussed, as well as ways of calculating them. Their uses in solving estimation problems are outlined, including construction of semiparametric estimators and calculation of their limiting distribution. The paper includes new results as well as survey material.
Distribution of personal income: Development of a new model and its application to U.S. income data
Authors: Majumder Amita , Chakravarty Satya Ranjan 
Published: July 2007

AbstractThis paper proposes a four‐parameter statistical model of the personalized distribution of income using the ‘income share elasticity’ approach suggested by Esteban (1986). Our proposed model includes the Singh–Maddala (1976) and Dagum (1977) distributions as special cases. The generalized beta II distribution of McDonald (1984) is also a variant of this model. It appears to give an excellent fit to US income data and its empirical performance turns out to be superior to those of the Singh–Maddala (1976), Dagum (1977), the five‐parameter Champernowne (1953) distributions and the generalized beta II distribution of McDonald (1984) on some data.
Asymptotic least‐squares estimation efficiency considerations and applications
Authors: Kodde D. A. , Plam F. C. , Pfann G. A. 
Published: July 2007

AbstractThis paper is concerned with the large sample efficiency of the asymptotic least‐squares (ALS) estimators introduced by Gouriéroux, Monfort, and Trognon (1982, 1985) and Chamberlain (1982, 1984). We show how the efficiency of these estimators is affected when additional information is incorporated into the estimation procedure. The relationship between ALS and maximum likelihood is discussed. It is shown that ALS can be used to obtain asymptotically efficient estimates for a large range of econometric models. Many results from the literature on estimation are special cases of the framework adopted in this paper. An application of ALS to a dynamic rational expections factor demand model in the manufacturing sector in The Netherlands demonstrates the potential of the method in the estimation of the parameters in models which are subject to nonlinear cross‐equation restrictions.
Cointegration in a macroeconomic system
Authors: Kunst Robert , Neusser Klaus 
Published: July 2007

AbstractThis paper investigates the long‐run relationships within a set of six quarterly time‐series on the Austrian economy by means of cointegration. After analysing the univariate properties, especially with respect to the appropriate seasonal filter, the maximum‐likelihood method proposed by Johansen (1988) is applied to estimate and test the cointegrating relationships. We found three such relations, implying that the system is driven by three independent stochastic time trends. In a next stage we investigate whether the empirically determined cointegrating relationships are compatible with implications derived from the neoclassical growth model with exogenous stochastic technical progress. It is found that the Austrian data strongly reject the propositions that the real interest rate and the log ratios of consumption to output, investment to output, and the real gross wage sum to output are stationary.
Multiple and pairwise non‐nested tests of the influence of taxes on money demand
Authors: Smith Marlene A. , Smyth David J. 
Published: July 2007

AbstractThe minimal computational requirements of the linear embedding techniques initiated by Davidson and MacKinnon (1981) accommodate multiple and binary tests of autoregressive, non‐nested regression models with different dependent variables. The small sample adjustments of Fisher and McAleer (1981) effectively reduce the size of the P‐tests for our models. Our application to transactions demand for money models supports the Holmes and Smyth (1972) hypothesis that pre‐tax variables are preferred to GNP in M1 money equations.
Bivariate garch estimation of the optimal commodity futures Hedge
Authors: Baillie Richard T. , Myers Robert J. 
Published: July 2007

AbstractSix different commodities are examined using daily data over two futures contract periods. Cash and futures prices for all six commodities are found to be well described as martingales with near‐integrated GARCH innovations. Bivariate GARCH models of cash and futures prices are estimated for the same six commodities. The optimal hedge ratio (OHR) is then calculated as a ratio of the conditional covariance between cash and futures to the conditional variance of futures. The estimated OHRs reveal that the standard assumption of a time‐invariant OHR is inappropriate. For each commodity the estimated OHR path appears non‐stationary, which has important implications for hedging strategies.
A small linear model of wage‐ and price‐inflation in the Norwegian economy
Authors: Nymoen R. 
Published: July 2007

AbstractThis paper presents a model of inflation in a small open economy which features both wage‐wage linkages and a wage‐price spiral. Hence we have a simultaneous structure which contains the conventional Scandinavian model of inflation as a special case. Full system estimation results are reported. Great emphasis is placed on data coherency and on parameter stability. One interesting finding is that both wage growth and the wage level in the exposed (E)‐sector are strongly influenced by the outside wage. This contradicts the predictions of the Scandinavian model, which defines the wage‐leading role of the E‐sector by the absence of outside wage effects in E‐sector wage formation. Another result is that the speed of adjustment to exogenous shocks is greater for prices than for wages. This finding may be important in explaining real wage flexibility, which is often seen as the hallmark of low unemployment economies such as the Norwegian.
Flat priors vs. ignorance priors in the analysis of the AR(1) model
Authors: Kim In‐Moo , Maddala G. S. 
Published: July 2007

AbstractThe paper compares, by a Monte‐Carlo study based on an AR(1) model, the performance of the flat prior and the ignorance prior suggested by Phillips. It argues that the ignorance prior gives heavy weight to values of the autoregressive parameter p higher than 1, and hence distorts the sample evidence as summarized in the likelihood function. It yields bimodal posterior distributions, with the second mode at p higher than 1, even when the true value of p is substantially less than 1.
The case for trend‐stationarity is stronger than we thought
Authors: Dejong David N. , Whiteman Charles H. 
Published: July 2007

AbstractIn DeJong and Whiteman (1991a), we concluded that 11 of the 14 macroeconomic time‐series originally studied by Nelson and Plosser (1982) supported trend‐stationarity. Phillips (1991) criticizes this inference, claiming that our procedure is biased against integration, and that our results are sensitive to model and prior specification. However, Phillips' alternative models and priors bias his results in favour of integration; despite these biases, Phillips' own findings indicate that the data provide the greatest relative support to trend‐stationarity. This result is similar to our own (1989, 1990, 1991b) findings concerning the sensitivity of our results; the trend‐stationarity inference is remarkably robust.
Bayesian routes and unit roots: De rebus prioribus semper est disputandum
Authors: Phillips P. C. B. 
Published: July 2007

AbstractThis paper provides detailed responses to the following eight discussants of my paper ‘To criticize the critics: an objective Bayesian analysis of stochastic trends’: Gary Koop and Mark Steel; Edward Learner; In‐Moo Kim and G. S. Maddala; Dale J. Poirier; Peter C. Schotman and Herman K. van Dijk; James H. Stock; David DeJong and Charles H. Whiteman; and Christopher Sims. This reply puts new emphasis on the call made in the earlier paper for objective Bayesian analysis in time‐series; it underlines the need for a new approach, especially with regard to posterior odds testing; and it draws attention to a new methodology of Bayesian analysis developed in a recent paper by Phillips and Ploberger (1991a). Some new simulations that shed light on certain comments of the discussants are provided; new empirical evidence is reported with the extended Nelson‐Plosser data supplied by Schotman and van Dijk; and the new Phillips‐Ploberger posterior odds test is given a brief empirical illustration.
The role of the list price in housing markets: Theory and an econometric model
Authors: Horowitz Joel L. 
Published: July 2007

AbstractHouses are routinely sold at prices below, but rarely sold at prices above, their list prices. List prices appear to be price ceilings that preclude the possibility of sales at higher prices. This paper presents a theory of sellers' behaviour that explains why there are list prices in housing markets and why list prices are distinct from sellers' reservation prices. The theory forms the basis of an econometric model that has been estimated using data from the Baltimore, MD, area. The estimated model predicts sale and reservation prices conditional on list prices. The predictions of sale prices are considerably more accurate than those obtained from a standard hedonic price regression. The estimated model also explains why sellers may not be willing to reduce their list prices even after their houses have remained unsold for long periods of time.
Estimation of data measured with error and subject to linear restrictions
Authors: Weale Martin 
Published: July 2007

AbstractVariables are often measured subject to error, whether they are collected as part of an experiment or by sample surveys. A consequence of this is that there will be different estimates of the same variable, or, more generally, linear restrictions which the observations should satisfy but fail to. With knowledge of the variances of the various observations, it has been shown elsewhere that maximum‐likelihood estimates of the observations can be produced. This paper shows how, given a sequence of such observations, estimates can be produced without knowledge of data reliabilities. The method is applied to estimates of constant price US GNP. It suggests that 64 per cent of the discrepancy should be attributed to the expenditure estimate, with only 36 per cent going to the income/output estimate. The current method of presentation, on the other hand, places the whole of the error in the income/output estimate.
Some strange properties of panel data estimators
Authors: Robertson D. , Symons J. 
Published: July 2007

AbstractWe study the biases that are likely to arise in practice with panel data when parameters vary across individuals, but this is not allowed for in estimation. We consider both stationary and non‐stationary regressors. We find that biases can be severe for relatively small parameter variation, and that this problem is hard to detect. We study in some detail by Monte‐Carlo the performance of the Anderson‐Hsiao estimator in the presence of this particular mis‐specification.
Survey evidence on the rationality of expectations
Authors: Ivaldi Marc 
Published: July 2007

AbstractData on expectations collected by business surveys offer the opportunity to test the rational expectation hypothesis. Tests directly based on qualitative data are not powerful because of the nature of the data. An alternative method is proposed in this paper. We apply the usual orthogonality conditions of rationality to the unobservable variables which are assumed to trigger the categorical responses of surveys when they cross certain thresholds. To implement the test, an original estimation method for latent variable models using indicators is required. The results show that the Hypothesis is not always rejected for the expectations of changes in demand drawn from surveys of French manufacturing industry.
International evidence on persistence in output in the presence of an episodic change
Authors: Raj Baldev 
Published: July 2007

AbstractThis paper uses some newly developed methods and techniques to examine the dynamic properties of international output in the presence of a structural break. We provide statistical evidence to show that the unit root test results can, in some cases, be sensitive to whether a one‐time structural break in the data is modelled exogenously or endogenously. However, in most cases the unit root test results remain robust to specification of the structural break exogenously or endogenously; moreover, we find that the null hypothesis of a unit root in output can be rejected in favour of a ‘flexible’ trend alternative for a number of countries such as Canada, Denmark, France, and the United States.
Polynomial approximations in cross‐sectional models
Authors: Byron R. P. 
Published: July 2007

AbstractThe time‐series distributed lag techniques of econometrics can be usefully applied to cross‐sectional, spatial and cross‐section time‐series situations. The application is perfectly natural in cross‐section, time‐series models when regression coefficients evolve systematically as the cross‐section grouping variable changes. The evolution of such coefficients lends itself to polynomial approximation or more general smoothing restrictions. These ideas are not new, Gersovitz and McKinnon (1978) and Trivedi and Lee (1981) providing two of the earliest applications of cross‐equation smoothing techniques. However, their applications were in the context of coefficient variation due to seasonal changes and this may account for the non‐diffusion of these techniques. The approach here is illustrated in the context of age‐specific household formation equations based on census data, using Almon polynomials when the regression coefficients vary systematically by age group. A second application is provided, using spatial data, explaining the incidence of crime, by region; using polynomial and geometric smoothing to model distance declining regional effects.
Intra‐day futures price volatility: Information effects and variance persistence
Authors: Locke P. R. , Sayers C. L. 
Published: July 2007

AbstractThis paper was prepared for presentation at the Conference on Nonlinear Dynamics and Econometrics, UCLA, 5–6 April, 1991, under the title ‘Information and chronological time effects in intra‐day futures price volatility.’ The authors are grateful to participants of the Nonlinear Dynamics Conference and to Leigh Riddick, George Wang, and two anonymous referees for helpful comments. The BDS program was provided by W. D. Dechert and the BISPEC program was provided by Doug Patterson. The views stated within are those of the authors, and do not necessarily reflect those of the Commodity Futures Trading Commission or its staff.This paper examines the role of the rate of information arrival proxy variables, as they relate to persistence in the variance structure of minute‐by‐minute S&P 500 Index Futures returns series. The role of contract volume, floor transactions, the number of price changes, executed order imbalance, and an information composite in reducing variance persistence is examined. All proxy variables are found to explain a significant amount of returns variance. While the characteristics of returns data vary daily, some evidence of remaining variance persistence is found, regardless of the definition of the rate of information arrival variable. Our results suggest that utilization of a pure ARCH‐type model for highfrequency returns data implies a mis‐specification.
The cyclical and secular behaviour of the labour input: Comparing efficiency units and hours worked
Authors: Hanse G. D. 
Published: July 2007

AbstractA monthly labour input series designed to correct for the fact that all hours worked are not of the same quality is constructed and its properties compared with unadjusted hours worked. This efficiency units series is constructed from BLS data on hours worked and earnings by age and sex. The cyclical fluctuations displayed by the efficiency units series are smaller on average than those displayed by hours worked, although the difference is not large. However, the secular behaviour of the series is quite different: hours worked per capita displays a significant positive trend while efficiency units per capita does not.