摘要:

AbstractThis paper explores the possibility of using market data to identify consumer preferences. A utility function composed of ‘homogeneous’ characteristics and goods‐specific effects is used as a basic link between the goods space and the characteristics space. The functional form for the hedonic price equation, the data requirements and issues of measurement errors for estimating demand and supply of characteristics are discussed. We illustrate the methodology by considering the US automobile demand using 1969–86 data compiled fromConsumer ReportsandWard's AutomotiveY

ISSN:0883-7252    

DOI:10.1002/jae.3950090102

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

摘要:

AbstractIn recent papers, Cecchettiet al. (1990) and Kandel and Stambaugh (1990) showed that negative serial correlation in long horizon returns was consistent with an equilibrium model of asset pricing. In this paper, we show that their results rely on misspecified Markov switching models for the endowment process. Once the proper Markov specification is chosen for the endowment process, the model does not produce mean reversion of the magnitude detected in the data. Furthermore, the small amount of mean reversion produced by the model is due only to small sample bias. We also show that this model is unable to predict negative excess returns, contrary to empirical evidence.

ISSN:0883-7252    

DOI:10.1002/jae.3950090103

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

摘要:

AbstractThe models in the literature on exchange‐rate target zones imply a non‐linear time series model for the exchange rate. We show how the parameters of such models can be estimated and develop Maximum Likelihood and Method of Simulated Moments estimators for the target zone model of Krugman (1991). The Maximum Likelihood estimator is based on a computationally attractive approximation to the exact predictive density of the continuous time model. Monte Carlo experiments are used to assess the properties of this estimator. In the empirical part we estimate the model with data on recent EMS exchange rates. We find that the Krugman (1991) target zone model is not able to explain the full observed kurtosis and conditional heteroscedasticity of the exchange‐rate re

ISSN:0883-7252    

DOI:10.1002/jae.3950090104

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

摘要:

AbstractRecent research on aggregate fluctuations, coupled with ongoing work in industrial organization, has renewed interest in the existence, magnitude, and cyclical pattern of market power and the extent of increasing returns to scale. By exploiting restrictions from dynamic theory and information from financial markets, we present a framework for generating quantitative evidence on market power and returns to scale. Tailoring the econometric model to firm‐level panel data, we calculate the percentage differential between price and marginal cost (the Lerner index) in terms of the parameters from the econometric system. Results for firms in eleven industries indicate that there is a great deal of heterogeneity in the extent of market power. Industries with significantly positive Lerner indices tend to have substantial increasing returns in the production technology. We find that there is only a modest relation between our estimated Lerner indices and traditional measures of market power and that, when market power varies temporally, it is usually procyclical. Thus, variations in the markup of price over marginal cost may help dampen aggregate economic fluctuation

ISSN:0883-7252    

DOI:10.1002/jae.3950090105

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

摘要:

AbstractImmigrant relative earnings estimates are sensitive to the choice of comparison point and the specification of earnings. Non‐sample mean comparisons (Borjas, 1985) understate relative earnings. Simple earnings specifications (linear education, quadratic experience) overstate relative earnings for both poorly and well‐educated immigrants. Specifications which ignore omitted variables understate the relative earnings of poorly educated immigrants and overstate those of well‐educated ones. Although measures of assimilation and changes in immigrant quality are insensitive to earnings specification, they indicate strong earnings growth for post‐1964 immigrants, an overall decrease in immigrant quality, and an increase in Mexican immigrant

ISSN:0883-7252    

DOI:10.1002/jae.3950090106

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

ISSN:0883-7252    

DOI:10.1002/jae.3950090107

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

ISSN:0883-7252    

DOI:10.1002/jae.3950090108

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

ISSN:0883-7252    

DOI:10.1002/jae.3950090109

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

ISSN:0883-7252    

DOI:10.1002/jae.3950090110

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

ISSN:0883-7252    

DOI:10.1002/jae.3950090111

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY