-
作者：Abdelkhalek, T; Dufour, JM
作者单位：Universite de Montreal
摘要：We study the problem of measuring the uncertainty of computable general equilibrium (CGE) (or RBC)-type model simulations associated with parameter uncertainty. We describe two approaches for building confidence sets on model endogenous variables. The first uses a standard Wald-type statistic. The second approach assumes that a confidence set (sampling or Bayesian) is available for the free parameters, from which confidence sets are derived by a projection technique. The latter has two advanta...
-
作者：Kolstad, CD; Turnovsky, MHL
作者单位：University of California System; University of California Santa Barbara; University of Washington; University of Washington Seattle
摘要：The paper is concerned with developing a production theory for the case when some inputs have nonlinear prices because the price depends on endogenous quality. This involves extending the notion of a cost function to the case where nonlinear prices are parameters of costs. After developing the appropriate theory, we apply our results to the case of coal-fired electric power generation where fuel quality depends on sulfur and ash impurities. Environmental regulations induce a negative value on ...
-
作者：Ghysels, E; Ng, S
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Boston College
摘要：Many continuous-time term structure of interest rate models assume a factor structure where the drift and volatility functions are affine functions of the state-variable process. These models involve very specific parametric choices of factors and functional specifications of the drift and volatility. Moreover, under the affine term structure restrictions not all factors necessarily affect interest rates at all maturities simultaneously. This class of so-called affine models covers a wide vari...
-
作者：Lastrapes, WD
作者单位：University System of Georgia; University of Georgia
摘要：This paper proposes a Bayesian approach to incorporating specification and identification uncertainty into a VAR analysis of the dynamic effects of money supply shocks on the macroeconomy. The approach follows Poirier (1991) in averaging over discrete model specifications in forming posterior densities of the dynamic responses to such shocks. Two distinct means of identifying money supply shocks are considered here: one that imposes contemporaneous restrictions, and one that imposes long-run m...
-
作者：Carey, K
摘要：This paper estimates a multiple-output hospital cost function using a panel data technique that allows for correlation between unobservable individual effects and observable determinants of behavior. Analysis of 1733 facilities for the period of 1987-1991 yields estimates that differ widely from those obtained from a more standard cross-sectional procedure. While the latter method results in negative and stable measures of ray economies of scale, the panel model indicates positive economies of...
-
作者：Butler, JS; Chatterjee, P
摘要：This note presents tests of the specification of univariate and bivariate ordered probit. The test is sensitive to deviations from either normality or the exogeneity of the explanatory variables. As an example, the ownership of dogs and televisions, both sources of time-intensive entertainment, is studied. The specification for dogs is not rejected, the specification for televisions is rejected at the 2.0% level, and the specification of both together is rejected at the 1.3% level.
-
作者：Horioka, CY
作者单位：National Bureau of Economic Research
摘要：This paper analyzes the impact of the age structure of the population on Japan's household saving rate by applying cointegration techniques to time-series data for the 1955-1993 period. It finds that the ratio of miners to the working-age population and that of the aged to the working-age population both have a negative and significant impact on the household saving rate. This finding suggests that the life-cycle model applies even in a country such as Japan, in which this model is less likely...
-
作者：Attfield, CLF; Silverstone, B
作者单位：University of Waikato
摘要：This paper reassesses a finding by Martin Prachowny (1993) that the value of the Okun coefficient for the United States (linking unemployment changes to output changes) is only around -0.67 rather than around the more typical value of -2.25. Using a cointegration framework, and the same data sets as Prachowny, we find, for one of the data sets, that the Okun coefficient is much closer to a value of -2.25, which supports previous research work.
-
作者：Canjels, E; Watson, MW
作者单位：Princeton University
摘要：This paper studies the problems of estimation and inference in the linear trend model y(t) = alpha + beta t + u(t), where u(t) follows an autoregressive process with largest root rho and beta is the parameter of interest. We contrast asymptotic results for the cases \rho\ < 1 and rho = 1 and argue that the most useful asymptotic approximations obtain from modeling rho as local to unity. Asymptotic distributions are derived for the OLS, first-difference, infeasible GLS, and three feasible GLS e...
-
作者：Chappell, HW; Havrilesky, TM; McGregor, RR
作者单位：Duke University; University of North Carolina; University of North Carolina Charlotte
摘要：The Memoranda of Discussion provide detailed records of Federal Open Market Committee (FOMC) meeting deliberations. Procedures are developed for coding the textual data in the Memoranda and assessing the reliability of those codings. The codings are then used in the estimation of parameters of individual FOMC members' reaction functions. Data from the 1970 to 1976 period are employed in the estimation. In the future, similar methods could be used to analyze newly released transcripts of FOMC m...
