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.
Опубликовано на портале: 04-11-2004Martin N. Baily, Eric J. Bartelsman, John Haltiwanger Review of Economics and Statistics. 2001. Vol. 83. No. 1. P. 420-433.
A longstanding issue in empirical economics is the behavior of average labor productivity over the business cycle. This paper provides new insights into the cyclicality of aggregate labor productivity by examining the cyclical behavior of productivity at the plant level as well as the role of reallocation across plants over the cycle. We find that plant-level productivity is even more procyclical than aggregate productivity, because short-run reallocation yields a countercyclical contribution to labor productivity. At the plant level, we find that cyclicality of productivity varies systematically with long-run employment growth. Over the course of the cycle, plants that are long-run downsizers exhibit significantly greater procyclicality of productivity than do long-run upsizers. When we control for the direction of a cyclical shock, we find that the fall in productivity from an adverse cyclical shock for long-run downsizers is significantly larger in magnitude than is the fall in productivity from an equivalent adverse cyclical shock for long-run upsizers. We argue that these findings raise questions about one of the most popular explanations of procyclical productivity: changing factor utilization over the cycle.
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: 31-03-2004Ernst R. Berndt, David O. Wood Review of Economics and Statistics. 1975. Vol. 57. No. 3. P. 259-268.
Industrial demand for energy is essentially a derived demand: the firm's demand for energy is an input is derived from demand for the firm's output. Inputs other than energy typically also enter the firm's production process. Since firms tend to choose that bundle of inputs which minimized the total cost of producing a giving level of output, the derived demand for inputs, including energy, depends on the level of output, the submitions possibilies among inputs allow by production technology, and the relative prices of all inputs.
Опубликовано на портале: 07-04-2004Hashem Dezhbakhsh Review of Economics and Statistics. 1990. Vol. 72. No. 1. P. 126-132.
A survey of several economic journals reveals that very often the Durbin-Watson and the portmanteau (Box-Pierce or Ljung-Box) tests are inappropriately applied to linear models with lagged dependent variables and exogenous regressors. Sampling experiments indicate that the Durbin-Watson performs poorly in models with more than one lag of the dependent variable, a situation commonly considered in the literature. The experiments also indicate that the portmanteau test is inadequate when applied to dynamic linear models with exogenous regressors. In addition, the performance of Durbin's h and m tests in models commonly used in the literature but not considered by previous studies is evaluated. The results reveal that among the four tests examined, the one which is the least frequently used in practice (the m test) has the best performance.
The Uses of Tobit Analysis [статья]
Опубликовано на портале: 24-06-2004John F. McDonald, Robert A. Moffitt Review of Economics and Statistics. 1980. Vol. 62. No. 2. P. 318-321.
In this paper authors point out that the coefficients obtained from using Tobit-here called "beta" coefficients - provide more information than is commonly realized. In particular, authors show that Tobit can be used to determine both changes in the probability of being above the limit and changes in the value of the dependent variable if it is already above the limit$ and authors show that this decomposition can be quantified in rather useful and insightful ways.
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets [статья]
Опубликовано на портале: 15-11-2004John Lintner Review of Economics and Statistics. 1965. Vol. 47. No. 1. P. 13-37.
The effects of risk and uncertainty upon asset prices, upon rational decision rules for individuals and institutions to use in selecting security portfolios, and upon the proper selection of projects to include in corporate capital budgets have increasingly engaged the attention of professional economists and other students of the capital markets and of business finance in recent years. The first two sections of this paper deal with the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return (or borrowing at the same rate of interest) and who can self short if whey wish. In section III we develop various significant equilibrium properties within the risk asset portfolio. However unceelisic the latter assumption may be, it enables, in section IV, to derive a set of (stable) equilibrium market prices which at least fully and explicity reflect the presence of uncertainty per se (as distinct from the effects of diverse expectations), and to derive further implications of such uncertainty. The next section considers some of the implications of these results for the normative aspects of the capital budgeting decisions of a company whose stock is traded in the market. The final section of the paper briefly examines the complications introduced by institutional limits on amounts which either individuals or corporations may borrow at given rates, by rising costs of borrowed funds, and certain other "real world" complications.
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.