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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.
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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.
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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...
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作者：Hill, RC; Knight, JR; Sirmans, CF
作者单位：University of the Pacific; University of Connecticut
摘要：This paper introduces an improved procedure for estimating capital asset price indexes. We jointly estimate conventional hedonic and repeat sales models via maximum-likelihood procedures, thereby taking advantage of the unique features of the individual models and using all the data that are available. Our model captures depreciation within the repeat sales model and accounts for serial correlation in hedonic data. The improvement in precision obtained by estimating the joint model is illustra...
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作者：Johnson, D; McClelland, R
摘要：We adapt techniques from the literature on chaos and nonlinear dynamics to detect misspecification in models of serially independent data by checking for dependence between the regressors and disturbances. Our tests are nonparametric in that they determine whether the distribution of the disturbances depends on the regressors without identifying a model of dependence or the distribution of the disturbances. In Monte Carlo simulations we find that these tests have good power against dependence ...
