摘要:

AbstractThis paper proposes and tests new definitions of convergence and common trends for per capita output. We define convergence for a group of countries to mean that each country has identical long‐run trends, either stochastic or deterministic, while common trends allow for proportionality of the stochastic elements. These definitions lead naturally to the use of cointegration techniques in testing. Using century‐long time series for 15 OECD economies, we reject convergence but find substantial evidence for common trends. Smaller samples of European countries also reject convergence but are driven by a lower number of common stochastic tre

ISSN:0883-7252    

DOI:10.1002/jae.3950100202

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

年代:1995

数据来源: WILEY

摘要:

AbstractA univariate nonlinear model is estimated for US GNP that on many criteria outperforms standard linear models. The estimated model is of the threshold autoregressive type and contains evidence of asymmetric effects of shocks over the business cycle. In particular the nonlinear model suggests that the post‐1945 US economy is significantly more stable than the pre‐1945 US econ

ISSN:0883-7252    

DOI:10.1002/jae.3950100203

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

年代:1995

数据来源: WILEY

摘要:

AbstractWe consider the implications for forecast accuracy of imposing unit roots and cointegrating restrictions in linear systems ofI(1) variables in levels, differences, and cointegrated combinations. Asymptotic formulae are obtained for multi‐step forecast error variances for each representation. Alternative measures of forecast accuracy are discussed. Finite sample behaviour in a bivariate model is studied by Monte Carlo using control variables. We also analyse the interaction between unit roots and cointegrating restrictions and intercepts in the DGP. Some of the issues are illustrated with an empirical example of forecasting the demand for M1 in the U

ISSN:0883-7252    

DOI:10.1002/jae.3950100204

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

年代:1995

数据来源: WILEY

摘要:

AbstractAn implication of optimizing theory is that demand functions are homogeneous of degree zero in prices and nominal income. Evidence based on estimations of demand systems has repeatedly found this restriction to be rejected by the data. However, the hypothesis is often formulated in terms of regressors that are non‐stationary. This paper re‐examines the evidence for homogeneity in light of recent developments in time‐series econometrics with special emphasis on the treatment of trends. We find the demand system to be stochastically but not deterministically cointegrated. Using techniques developed for estimating cointegrating vectors in the presence of deterministic trends, we re‐estimate the demand system and find that homogeneity holds in man

ISSN:0883-7252    

DOI:10.1002/jae.3950100205

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

年代:1995

数据来源: WILEY

摘要:

AbstractThis paper analyses and extends alternative procedures for converting qualitative expectations responses to quantitative expectations. A number of conversion procedures is investigated, including the probability model, the time‐varying parameter probability model, and the regression approach. The informational content of the survey expectations is compared with simple time series models. It is found that the expectations models are superior for many series, both in terms of producing lower forecast root mean square error (RMSE) values and in detecting turning points in the actual data. Survey expectations are also tested for rational expectations in aggregate using the orthogonality tes

ISSN:0883-7252    

DOI:10.1002/jae.3950100206

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

年代:1995

数据来源: WILEY

摘要:

AbstractWe propose a general strategy to estimate semi‐parametrically simultaneous equations with limited dependent variables. First, each reduced form (RF) is estimated with various semi‐parametric methods. Second, the specification of each RF is tested to select an appropriate method. Third, the structural form (SF) equations are estimated using minimum distance methods and the restrictions among the SF and RF parameters. A case study of female labour supply is presen

ISSN:0883-7252    

DOI:10.1002/jae.3950100207

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

年代:1995

数据来源: WILEY

摘要:

AbstractIn a recent paper, Majumder and Chakravarty (1990) propose a four‐parameter model which they find provides a better fit to some income data than the lognormal, gamma, Singh‐Maddala, Dagum, and generalized beta of the second kind (GB2) distributions. This note (1) demonstrates that the model proposed by Majumder and Chakravarty is a reparameterization of the GB2 and (2) reconciles the corresponding contradictory empirical findings reported by Majumder and Chakrava

ISSN:0883-7252    

DOI:10.1002/jae.3950100208

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

年代:1995

数据来源: WILEY

ISSN:0883-7252    

DOI:10.1002/jae.3950100209

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

年代:1995

数据来源: WILEY

ISSN:0883-7252    

DOI:10.1002/jae.3950100210

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

年代:1995

数据来源: WILEY

ISSN:0883-7252    

DOI:10.1002/jae.3950100211

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

年代:1995

数据来源: WILEY