Review of Economics and Statistics
Опубликовано на портале: 01-07-2004William A. Brock, Blake LeBaron Review of Economics and Statistics. 1996. Vol. 78. No. 1. P. 94-122.
An examination is made of an adaptive beliefs model that is able to roughly reproduce the following features seen in the data: 1. The autocorrelation functions of the volatility of returns and trading volume are positive with slowly decaying tails. 2. The cross-correlation function of volatility is approximately zero for squared returns with past and future volumes and is positive for squared returns with current volumes. 3. Abrupt changes in prices and returns occur that are hard to attach to "news." The last feature is obtained because the Law of Large Numbers can fail in the large economy limit.
Опубликовано на портале: 03-10-2003Robert H. Ballance, Helmut Forstner, Tracy Murray Review of Economics and Statistics. 1987. Vol. 69 . No. 1. P. 157-161.
The commodity pattern of comparative advantage across countries is a central concept in international trade theory. Since the concept is based upon autarkic prices which are not observable in post-trade equilibria, its use in empirical research is most difficult. The literature reports numerous alternative indices that purport to "measure" comparative advantage. This paper examines the extent to which various measures are consistent using a large sample of trade flows. The results have important implication for judging empirical studies based upon particular choices of a measure for comparative advantage.
Опубликовано на портале: 22-09-2003Peter Rathjens, Russell P. Robins Review of Economics and Statistics. 1995. Vol. Vol. 77. No. 1. . P. pp. 170-172..
In 1991, the U.S.Council of Economic Advisers undertook an initiative to increase the quality of economic statistics. One specific objective was to reduce the size of revisions in GNP estimates. We present evidence that one straightforward and inexpensive way of forwarding this objective is for the Department of Commerce to utilize better publicly available information released by other governmental agencies. An important caveat, however, applies: the relationship appears to be non-linear. Specifically, the inefficient use of information is concentrated in those quarters where the change in the preliminary GNP estimate is large in absolute value.
Опубликовано на портале: 22-09-2003Clinton R. Shiells Review of Economics and Statistics. 1993. Vol. Vol. 73. No. 2. . P. pp. 378-382..
Disaggregated import-demand elasticity estimates based on import unit-value indexes are used in virtually all trade policy simulation models. However, unit-value indexes have been criticized especially by Kravis and Lipsey (1974). To examine the effect of using unit-value indexes on estimates of disaggregated import-demand elasticities, this paper compares regression results using unit-value indexes with results using U.S. Bureau of Labor Statistics import-price indexes for several detailed trade categories based on quarterly data for 1978-88. Results show that using unit-value indexes does not greatly affect estimated import-demand elasticities.
Опубликовано на портале: 26-04-2003Nanak Kakwani Review of Economics and Statistics. 1997. Vol. Vol. 79. No. 2. P. pp. 201-211.
This paper is concerned with the measurement of aggregate growth rates, where the aggregation is over time. The paper demonstrates that any mechanical procedures for computing aggregate growth rate has welfare implications, and value judgments implicit in various commonly used procedures are not appealing. A new procedure suggested in the paper captures all the essential properties of a welfare function. The methodology of the paper is applied to an analysis of growth rates of per capita GNP of 83 developing countries during the 1970-1987 period.
Опубликовано на портале: 22-09-2003Mary F. Kokoski Review of Economics and Statistics. 1987. Vol. Vol. 69. No. 1. . P. pp. 83-89.
Leisure-inclusive welfare indices, such as the real wage index, have been previously investigated only with aggregate data. Using micro data, however, these indices show the effects of increasing labor market employment of household members. Real wage, expenditure, and nonlabor income indices are compared across six types of husband/wife households. These indices are also compared to ad hoc real wage and leisure-exclusive index measures. Doubt is cast on past results based upon aggregate data.
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model [статья]
Опубликовано на портале: 01-07-2004Tim Bollerslev Review of Economics and Statistics. 1990. Vol. 72. No. 3. P. 498-506.
A multivariate time series model with time varying conditional variances and covariances but with constant conditional correlations is proposed. In a multivariate regression framework, the model is readily interpreted as an extension of the seemingly unrelated regression (SUR) model allowing for heteroskedasticity. Each of the conditional variances are parameterized as a univariate generalized autoregressive conditional heteroskedastic (GARCH) process. The descriptive validity of the model is illustrated for a set of 5 nominal European-US dollar exchange rates following the inception of the European Monetary System (EMS). EMS results are compared to estimates obtained for the same model using data over the pre-EMS period, July 1973 to March 1979. When compared to the pre-EMS free float period, the comovements between the currencies are found to be significantly higher over the later period.
Опубликовано на портале: 22-09-2003Robert C. Feenstra Review of Economics and Statistics. 1995. Vol. 77. No. 4. P. 634-653..
Using the marginal value of characteristics, we show how to construct bounds on the exact hedonic price index. When prices are above marginal costs then our bounds still apply, but the value of characteristics cannot be measured so easily from a hedonic regression. Since the price--cost markups are an omitted variable, they will bias the coefficients obtained. For a special class of utility functions, we argue that a linear regression will still provide a measure of the marginal value of characteristics, but a log-linear regression will overstate these values.
Опубликовано на портале: 26-04-2003Michel Truchon Review of Economics and Statistics. 1984. Vol. Vol. 66. No. 2. P. pp. 329-334.
A device is presented that allows the user of any input-output price model to induce modifications in some selected coefficients in response to changes in prices. These modifications are induced by specifying the values of some elasticities, whenever they are defined. These values may come from other studies, from the user's own knowledge or beliefs about the situation, or from those of experts. If subjective elasticities are used, a simple rationality rule greatly reduces the task of determining their values when the substitution between two inputs or two groups of inputs is assumed to be a function of their prices only. This assumption does not prevent there being, in a second stage, substitution between these two inputs treated as a group and other inputs or groups of inputs.