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1. |
Announcement |
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Journal of Applied Econometrics,
Volume 7,
Issue 1,
1992,
Page 1-2
M. Hashem Pesaran,
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ISSN:0883-7252
DOI:10.1002/jae.3950070102
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1992
数据来源: WILEY
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2. |
Acknowledgement to referees |
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Journal of Applied Econometrics,
Volume 7,
Issue 1,
1992,
Page 3-3
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PDF (31KB)
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ISSN:0883-7252
DOI:10.1002/jae.3950070103
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1992
数据来源: WILEY
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3. |
Time aggregation and the distributional shape of unemployment duration |
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Journal of Applied Econometrics,
Volume 7,
Issue 1,
1992,
Page 5-30
R. Bergström,
P.‐A. Edin,
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摘要:
AbstractThis paper reports empirical evidence on the sensitivity of unemployment duration regression estimates to distributional assumptions and to time aggregation. The results indicate that parameter estimates are robust to distributional assumptions, while estimates of duration dependence are not. Time aggregation does not seem to have drastic effects on the estimates in a simple parametric model like the Weibull, but can produce dramatic changes in the more complicated extended generalized gamma model. Semiparametric models for grouped data produce stable estimates, and perform much better than continuous‐time models in terms of significance at high levels of time aggregatio
ISSN:0883-7252
DOI:10.1002/jae.3950070104
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1992
数据来源: WILEY
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4. |
Classification and aggregation: An application to industrial classification in cps data |
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Journal of Applied Econometrics,
Volume 7,
Issue 1,
1992,
Page 31-51
R. Cotterman,
F. Peracchi,
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摘要:
AbstractIn this paper we offer a method for deciding how to aggregate a set of elementary industries. The method is then applied to the problem of estimating a wage equation that allows for industry‐specific effects. Our method explicitly formalizes the trade‐off between goodness‐of‐fit and parsimony implicit in an aggregation problem. By varying the parameter of the assumed loss function, one obtains a whole sequence of aggregation levels. Further, the resulting sequence is consistent; that is, groupings formed at one level of aggregation will never be undone when one aggregates
ISSN:0883-7252
DOI:10.1002/jae.3950070105
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1992
数据来源: WILEY
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5. |
Estimation of a continuous‐time dynamic demand system |
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Journal of Applied Econometrics,
Volume 7,
Issue 1,
1992,
Page 53-64
Marcus J. Chambers,
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摘要:
AbstractA continuous‐time dynamic model of consumers' demand, explicitly taking account of the roles of depreciation, interest rates, habits, and stocks, is estimated using recently developed techniques from discrete quarterly UK data on three broad commodity groupings. The results suggest that, whilst being a significant determinant of demand, the actual magnitude of the influence of changes in interest rates may be relatively small in the long run. The cross‐price effects of durable goods are also found to be statistically significant, and symmetry of long‐run compensated price responses is not rej
ISSN:0883-7252
DOI:10.1002/jae.3950070106
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1992
数据来源: WILEY
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6. |
‘Objective’ bayesian unit root tests |
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Journal of Applied Econometrics,
Volume 7,
Issue 1,
1992,
Page 65-82
G. Koop,
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摘要:
AbstractDue to weaknesses in traditional tests, a Bayesian approach is developed to investigate whether unit roots exist in macroeconomic time‐series. Bayesian posterior odds comparing unit root models to stationary and trend‐stationary alternatives are calculated using informative priors. Two classes of reference priors which are informative but require minimal subjective prior input are used. In this sense the Bayesian unit root tests developed here are objective. Bayesian procedures are carried out on the Nelson–Plosser and Shiller data sets as well as on generated data. The conclusion is that the failure of classical procedures to reject the unit root hypothesis is not necessarily proof that a unit root is present with high probab
ISSN:0883-7252
DOI:10.1002/jae.3950070107
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1992
数据来源: WILEY
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7. |
Testing a discrete switching disequilibrium model of the UK labour market |
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Journal of Applied Econometrics,
Volume 7,
Issue 1,
1992,
Page 83-91
S. G. Hall,
S. G. B. Henry,
M. Pemberton,
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摘要:
AbstractThis paper develops a test procedure for serial correlation for discrete switching disequilibrium models which include both an endogenous price adjustment equation and lagged dependent variables. The tests are applied to a model of the UK labour market and the model is respecified in the light of the test results.
ISSN:0883-7252
DOI:10.1002/jae.3950070108
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1992
数据来源: WILEY
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8. |
Bootstrapping the process of model selection: AN econometric example |
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Journal of Applied Econometrics,
Volume 7,
Issue 1,
1992,
Page 93-99
Michael R. Veall,
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摘要:
AbstractIf a researcher has mined the data (i.e. selected an empirical model based on a series of trial estimates), inferences based on the final set of results are in general incorrect. This note treats the entire data mining process as an estimator and shows how a bootstrapping technique may improve the quality of inference. The method is applied to an empirical example on the deterrent effects of capital punishment.
ISSN:0883-7252
DOI:10.1002/jae.3950070109
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1992
数据来源: WILEY
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9. |
Micro‐Eba: Leamer'S extreme bounds analysis on gauss |
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Journal of Applied Econometrics,
Volume 7,
Issue 1,
1992,
Page 101-103
Tsunemasa Shiba,
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PDF (194KB)
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ISSN:0883-7252
DOI:10.1002/jae.3950070110
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1992
数据来源: WILEY
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10. |
Review of pcbrap |
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Journal of Applied Econometrics,
Volume 7,
Issue 1,
1992,
Page 105-107
Gary Koop,
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摘要:
AbstractPCBRAP (Bayesian Regression Analysis Package for the Personal Computer) is a computer program designed by Carlos de Silva, John Abowd, Brent Moulton, and Arnold Zellner to perform Bayesian analysis of the linear regression model with normal errors. It also contains numerical integration facilities for analysing more general types of models. Because the numerical integration package is intended for analysing a different class of problems than PCBRAP proper, and requires different software, the two parts of PCBRAP are kept separate for the purposes of discussion. This review is divided into four sections: Section 1 describes what PCBRAP can do; Section 2 discusses PCBRAP's technical aspects; Section 3 describes the accompanying manuals for PCBRAP; and Section 4 gives commercial information for those interested in purchasing the package.
ISSN:0883-7252
DOI:10.1002/jae.3950070111
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1992
数据来源: WILEY
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