|
1. |
The econometric analysis of models with risk terms |
|
Journal of Applied Econometrics,
Volume 3,
Issue 2,
1988,
Page 87-105
Adrian Pagan,
Aman Ullah,
Preview
|
PDF (1341KB)
|
|
摘要:
AbstractIn this paper we have attempted to provide an integrated approach to the estimation of models with risk terms. It was argued that there exist orthogonality conditions between variables in the information set and higher‐order moments of the unanticipated variable density. These could be exploited to provide consistent estimators of the parameters associated with the risk term. Specifically, it was recommended that an IV estimator should be applied, with instruments constructed from the information set. Four existing methods commonly used to estimate models with risk terms are examined, and applications of the techniques are made to the estimation of the risk term in the $US/$C exchange market, and the effects of price uncertainty upon productio
ISSN:0883-7252
DOI:10.1002/jae.3950030202
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1988
数据来源: WILEY
|
2. |
In pursuit of monopoly power: Recent quantitative work in industrial: Economics |
|
Journal of Applied Econometrics,
Volume 3,
Issue 2,
1988,
Page 107-123
P. A. Geroski,
Preview
|
PDF (1400KB)
|
|
摘要:
AbstractThis paper reviews empirical work in industrial organization devoted to the question of inferring the existence of monopoly power from data on observed market outcomes like profits and prices. The discussion covers inter‐industry work long conventional in the area, newer developments in intra‐industry analysis and case studies, and concludes with some remarks on a small but growing body of work assessing market dynamics. The wide range of studies reviewed all generally reveal that market power exists in many industr
ISSN:0883-7252
DOI:10.1002/jae.3950030203
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1988
数据来源: WILEY
|
3. |
Formation of firms' production decisions in finnish manufacturing industries |
|
Journal of Applied Econometrics,
Volume 3,
Issue 2,
1988,
Page 125-137
Markku Rahiala,
Timo Teräsvirta,
Preview
|
PDF (791KB)
|
|
摘要:
AbstractBusiness survey data have recently been used in several studies to shed light on the formation of firms' plans and expectations. The main tool for analysis has been the multivariate conditional log‐linear model. The trichotomous answers in a typical business survey have an ordering. This makes it possible to analyse firms' production decisions with a categorized version of Cox's proportional hazards model. In this paper the production decisions of Finnish firms are investigated using data from the Finnish business survey. The results obtained are largely in accord with the implications of the production smoothing model of Blinder (1982
ISSN:0883-7252
DOI:10.1002/jae.3950030204
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1988
数据来源: WILEY
|
4. |
Asymptotic theory and econometric practice |
|
Journal of Applied Econometrics,
Volume 3,
Issue 2,
1988,
Page 139-147
Roger Koenker,
Preview
|
PDF (643KB)
|
|
摘要:
AbstractThe classical paradigm of asymptotic theory employed in econometrics presumes that model dimensionality,p, is fixed as sample size,n, tends to inifinity. Is this a plausible meta‐model of econometric model building? To investigate this question empirically, several meta‐models of cross‐ sectional wage equation models are estimated and it is concluded that in the wage‐equation literature at least thatpincreases withnroughly likenl/4, while that hypothesis of fixed model dimensionality of the classical asymptotic paradigm is decisively rejected. The recent theoretical literature on ‘large‐p’ asymptotics is then very briefly surveyed, and it is argued that a new paradigm for asymptotic theory has already emerged which explicitly permitspto grow withn.These results offer some guidance to econometric model builders in assessing the validity of standard asymptotic confidence regions and test statistics, and may eventually yield useful correction factors to conventional test procedures whenpis non‐negligib
ISSN:0883-7252
DOI:10.1002/jae.3950030205
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1988
数据来源: WILEY
|
5. |
Efficient estimation with panel data: An empirical comparison of instrumental variables estimators |
|
Journal of Applied Econometrics,
Volume 3,
Issue 2,
1988,
Page 149-155
Christopher Cornwell,
Peter Rupert,
Preview
|
PDF (516KB)
|
|
摘要:
AbstractHausman and Taylor (1981) proposed an efficient instrumental variables estimator for panel data regression models where the individual effects may be correlated with some of the regressors. Amemiya and MacCurdy (1986) and Breusch, Mizon, and Schmidt (1986) have suggested instrumental variables estimators that are potentially more efficient than the Hausman and Taylor estimator. We address the empirical question of how large these efficiency gains might be. In our returns to schooling example noticeable efficiency gains are limited to the coefficients of time‐invariant endogenous variables. This is important, however, since education does not vary over time in our sampl
ISSN:0883-7252
DOI:10.1002/jae.3950030206
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1988
数据来源: WILEY
|
6. |
Professor Chow'sECONOMETRICS: A review |
|
Journal of Applied Econometrics,
Volume 3,
Issue 2,
1988,
Page 157-164
Andrew Hughes Hallett,
Preview
|
PDF (607KB)
|
|
ISSN:0883-7252
DOI:10.1002/jae.3950030207
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1988
数据来源: WILEY
|
7. |
Advanced Econometric Methods. By Thomas B. Fomby, R. Carter Hill AND Stanley R. Johnson. (Springer Verlag, New York, Berlin, Heidelberg, Tokyo, 1984. ISBN 0–387–90908–7. $54.00. pp. xix + 624.) |
|
Journal of Applied Econometrics,
Volume 3,
Issue 2,
1988,
Page 165-168
Ignazio Visco,
Preview
|
PDF (371KB)
|
|
ISSN:0883-7252
DOI:10.1002/jae.3950030208
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1988
数据来源: WILEY
|
8. |
Masthead |
|
Journal of Applied Econometrics,
Volume 3,
Issue 2,
1988,
Page -
Preview
|
PDF (93KB)
|
|
ISSN:0883-7252
DOI:10.1002/jae.3950030201
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1988
数据来源: WILEY
|
|