摘要:

AbstractIn this paper we develop models of the incidence and extent of external financing crises of developing countries, which lead to multiperiod multinomial discrete choice and discrete/continuous econometric specifications with flexible correlation structures in the unobservables. We show that estimation of these models based on simulation methods has attractive statistical properties and is computationally tractable. Three such simulation estimation methods are exposited, analysed theoretically, and used in practice: a method of smoothly simulated maximum likelihood (SSML) based on a smooth recursive conditioning simulator (SRC), a method of simulated scores (MSS) based on a Gibbs sampling simulator (GSS), and an MSS estimator based on the SRC simulator. The data set used in this study comprises 93 developing countries observed through the 1970–88 period and contains information on external financing responses that was not available to investigators in the past. Moreover, previous studies of external debt problems had to rely on restrictive correlation structures in the unobservables to overcome otherwise intractable computational difficulties. The findings show that being able for the first time to allow for flexible correlation patterns in the unobservables through estimation by simulation has a substantial impact on the parameter estimates obtained from such models. This suggests that past empirical results in this literature require a substantial re‐evaluat

ISSN:0883-7252    

DOI:10.1002/jae.3950090202

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

年代:1994

数据来源: WILEY

摘要:

AbstractIn this paper a model for the labour market is developed which extends the traditional microeconomic studies of the labour market in two ways. First, the household is taken as the unit of observation and is considered to be the (potential) supplier of the labour of both husband and wife. The labour supply of the spouses is assumed to be jointly determined by characteristics of the household as well as individual characteristics. Second, following an earlier paper (Van Praaget al.(1991), where the female labour market is analysed separately, both thesupplybehaviour of the spouses and the labourdemandbehaviour of the employers is modelled. We apply an algorithm which needs only a few simulations per observation, while the simulation procedure generates drawings from the eight‐dimensional intervals in an efficient way. Empirical results are presented for a sample of Dutch households in 1983. With the model the impact of policy measures on employment can be evaluated. It follows that a substantial part of participation can be attributed to the ‘insider‐advantage’ for employed individuals. Further it appears that the labour market for women is more sensitive to changes in the socio‐economic environment than the labour marke

ISSN:0883-7252    

DOI:10.1002/jae.3950090203

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

年代:1994

数据来源: WILEY

摘要:

AbstractA simulation‐based non‐linear filter is developed for prediction and smoothing in non‐linear and/or non‐normal structural time‐series models. Recursive algorithms of weighting functions are derived by applying Monte Carlo integration. Through Monte Carlo experiments, it is shown that (1) for a small number of random draws (or nodes) our simulation‐based density estimator using Monte Carlo integration (SDE) performs better than Kitagawa's numerical integration procedure (KNI), and (2) SDE and KNI give less biased parameter estimates than the extended Kalman filter (EKF). Finally, an estimation of per capita final consumption data is taken as an application to the non‐linear filt

ISSN:0883-7252    

DOI:10.1002/jae.3950090204

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

年代:1994

数据来源: WILEY

摘要:

AbstractWe analyse fifteen post‐World War II US macroeconomic time series using a modified outlier identification procedure based on Tsay (1988a). ‘Large shocks’ appear to be present in all the series we examined. Furthermore, there are three basic outlier patterns: (1) outliers seem to be associated with business cycles, (2) outliers are clustered together—both over time and across series, (3) there appears to be a dichotomy between outlier behaviour of real versus nominal series. Also, after controlling for outliers, much of the evidence of non‐linearity in many of the time series is e

ISSN:0883-7252    

DOI:10.1002/jae.3950090205

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

年代:1994

数据来源: WILEY

摘要:

AbstractWe estimate price and income elasticities from a linear, log‐linear, and the almost ideal demand model (with and without an adjustment for selectivity bias) in an effort to show that special attention should be paid to the underlying assumptions of consumer behaviour when estimating a medical care demand model. The literature on medical care utilization is extended by incorporating two major components of spending as separate demands in a system of medical care spending. We find that estimates of elasticities vary depending on the functional form of the estimating equation, thus questioning the usefulness for policy purposes of single estimates of elasticitie

ISSN:0883-7252    

DOI:10.1002/jae.3950090206

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.3950090207

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.3950090208

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.3950090209

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.3950090210

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.3950090211

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

年代:1994

数据来源: WILEY