Review of Economics and Statistics
Опубликовано на портале: 01-07-2004
William 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: 03-10-2003
Robert 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: 22-09-2003
Peter 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: 22-09-2003
Clinton 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: 26-04-2003
Nanak 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: 22-09-2003
Mary 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: 04-11-2004
Martin 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: 01-07-2004
Tim 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: 22-09-2003
Robert 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: 31-03-2004
Ernst 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: 07-04-2004
Hashem 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: 24-06-2004
John 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.
Опубликовано на портале: 15-11-2004
John 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: 26-04-2003
Michel 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.
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