摘要:

AbstractHouses are routinely sold at prices below, but rarely sold at prices above, their list prices. List prices appear to be price ceilings that preclude the possibility of sales at higher prices. This paper presents a theory of sellers' behaviour that explains why there are list prices in housing markets and why list prices are distinct from sellers' reservation prices. The theory forms the basis of an econometric model that has been estimated using data from the Baltimore, MD, area. The estimated model predicts sale and reservation prices conditional on list prices. The predictions of sale prices are considerably more accurate than those obtained from a standard hedonic price regression. The estimated model also explains why sellers may not be willing to reduce their list prices even after their houses have remained unsold for long periods of time.

ISSN:0883-7252    

DOI:10.1002/jae.3950070202

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

年代:1992

数据来源: WILEY

摘要:

AbstractThis paper examines empirically the relationship between measures of forecast dispersion and forecast uncertainty from data on inflation expectations from the Livingston survey series and the Survey Research Center (SRC) survey series. Because the survey series do not provide probabilistic forecasts of inflation, we derive measures of inflation uncertainty by modelling the conditional variance of the inflation forecast errors from the survey series as an autoregressive conditional heteroscedastic (ARCH) process. The analysis is complicated by the fact that the overlap of forecast horizons for the survey series does not preclude the model's disturbance terms from displaying autocorrelation, and also places a restriction on the specification for the ARCH measures of inflation uncertainty. We estimate the model using Hansen's (1982) generalized method of moments (GMM) procedure to account for the presence of serial correlation and conditional heteroscedasticity in the disturbance terms. The results generally support the hypothesis that the measures of forecast dispersion across survey respondents are positively and statistically significantly associated with the measures of inflation uncertainty. However, the appropriateness of using forecast dispersion measures as proxies for inflation uncertainty is sensitive to the choice of the survey series.

ISSN:0883-7252    

DOI:10.1002/jae.3950070203

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

年代:1992

数据来源: WILEY

摘要:

AbstractAutomobile insurance is an example of a market where multi‐period contracts are observed. This form of contract can be justified by asymmetrical information between the insurer and the insured. Insurers use risk classification together withbonus‐malussystems. In this paper we show that the actual methodology for the integration of these two approaches can lead to inconsistencies. We develop a statistical model that adequately integrates risk classification and experience rating. For this purpose we present Poisson and negative binomial models with regression component in order to use all available information in the estimation of accident distribution. Abonus‐malussystem which integratesa priorianda posterioriinformationon an individual basisis proposed, and insurance premium tables are derived as a function of time, past accidents and the significant variables in the regression. Statistical results were obtained from a sample of 19,013 dr

ISSN:0883-7252    

DOI:10.1002/jae.3950070204

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

年代:1992

数据来源: WILEY

摘要:

AbstractVariables are often measured subject to error, whether they are collected as part of an experiment or by sample surveys. A consequence of this is that there will be different estimates of the same variable, or, more generally, linear restrictions which the observations should satisfy but fail to. With knowledge of the variances of the various observations, it has been shown elsewhere that maximum‐likelihood estimates of the observations can be produced. This paper shows how, given a sequence of such observations, estimates can be produced without knowledge of data reliabilities. The method is applied to estimates of constant price US GNP. It suggests that 64 per cent of the discrepancy should be attributed to the expenditure estimate, with only 36 per cent going to the income/output estimate. The current method of presentation, on the other hand, places the whole of the error in the income/output estimat

ISSN:0883-7252    

DOI:10.1002/jae.3950070205

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

年代:1992

数据来源: WILEY

摘要:

AbstractWe study the biases that are likely to arise in practice with panel data when parameters vary across individuals, but this is not allowed for in estimation. We consider both stationary and non‐stationary regressors. We find that biases can be severe for relatively small parameter variation, and that this problem is hard to detect. We study in some detail by Monte‐Carlo the performance of the Anderson‐Hsiao estimator in the presence of this particular mis‐specif

ISSN:0883-7252    

DOI:10.1002/jae.3950070206

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

年代:1992

数据来源: WILEY

摘要:

AbstractIn this paper hypotheses are tested concerning long‐run relationships between the four indicator prices of coffee. These relationships are assumed to exist based on a previous study of the coffee market by the same author. The four coffee prices are investigated in more detail in this paper. After a brief introduction to the price formation on the coffee market the univariate properties of the coffee prices are checked first. Then the tests for co‐integration, as developed by Johansen (1988) and Johansen and Juselius (1989) are performed. These tests appear to be very informative with respect to the way the prices may be linked in the long run, concerning the number and the form of the relationships. Specifications of three equilibrium relationships among the coffee prices are detected and commen

ISSN:0883-7252    

DOI:10.1002/jae.3950070207

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

年代:1992

数据来源: WILEY

摘要:

AbstractCharacterization of late nineteenth‐century British economic performance rests heavily on identifying trends and turning points in GDP and productivity growth. Crafts, Leybourne and Mills (1989) provide the most sophisticated study in this genre, deploying a time‐varying parameter model, to severely dent the notion of a climacteric. This paper argues the linear trend approach to assessing the climacteric may be otiose. Investigating the order of integration of the GDP series, and the cointegration of GDP and factor input growth, suggests both GDP and productivity growth tended to revert to a constant mean rate within the period 1856–1913, and undermines the notion of a climac

ISSN:0883-7252    

DOI:10.1002/jae.3950070208

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

年代:1992

数据来源: WILEY

ISSN:0883-7252    

DOI:10.1002/jae.3950070209

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

年代:1992

数据来源: WILEY

ISSN:0883-7252    

DOI:10.1002/jae.3950070210

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

年代:1992

数据来源: WILEY

ISSN:0883-7252    

DOI:10.1002/jae.3950070211

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

年代:1992

数据来源: WILEY