摘要:

AbstractSugarcane‐based ethanol has become a primary automotive fuel in Brazil over the past 15 years. Because sugarcane costs are over two‐thirds of the costs of ethanol production, the economic efficiency of this renewable petroleum substitute hinges on the structure of technology in sugarcane production. In this paper a modified symmetric generalized McFadden (SGM) cost function for sugarcane is estimated and the presence of technical change and economies of scale are investigated. The original SGM proposed by Diewert and Wales (1987) is modified to allow for fixed factors of production. This allows the cost function to be applied to processes which have fixed factors. The results suggest that there is no empirical evidence of economies of scale and very little technical change, only in the north of Brazil. The implications for the future economic efficiency of this petroleum substitute are discus

ISSN:0883-7252    

DOI:10.1002/jae.3950100302

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

年代:1995

数据来源: WILEY

摘要:

AbstractIt has recently been argued that when the conventional specification of M2 income velocity is extended to include proxies for two types of institutional change, as emphasized by Bordo and Jonung (1987, 1990), corresponding to the processes of monetization and increasing financial sophistication of financial developments, this extended model is stable in the sense that one can reject the null hypothesis of no cointegration against the alternative of a single cointegrating vector. There may be implications that such an equilibrium relation is a structural income velocity of money function. The evidence based on century‐long data from 1880 to 1986 presented in this paper about parameter instability of the cointegrating vector of velocity with its determinants for Canada, Norway, Sweden, and the United Kingdom casts doubt on this interpretation. The evidence is based on using formal stability tests. Moreover, it has an ‘eyeball’ support from the sequential estimates of various parameters of the cointegrating relationship including income and interest semi‐elast

ISSN:0883-7252    

DOI:10.1002/jae.3950100303

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

年代:1995

数据来源: WILEY

摘要:

AbstractA new family of spectral shape tests was proposed recently by Durlauf (1991) for testing the martingale hypothesis. Unlike the widely used variance ratio test, spectral shape tests are consistent againstallstationary non‐white‐noise alternatives from the martingale null. In this paper we examine the finite sample properties of the spectral shape tests and find that the tests have good size and power properties even for small samples. We apply the tests to examine the martingale hypothesis for five major currenciesvis‐à‐visthe US dollar for the period 1974–89. The results indicate that most currencies violate the martingale hypothesis. It appears that some rejections are due to long‐memor

ISSN:0883-7252    

DOI:10.1002/jae.3950100304

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

年代:1995

数据来源: WILEY

摘要:

AbstractMaximum likelihood is used to estimate a generalized autoregressive conditional heteroskedastic (GARCH) process where the residuals have a conditional stable distribution (GARCH‐stable). The scale parameter is modelled such that a GARCH process with normally distributed residuals is a special case. The usual methods of estimating the parameters of the stable distribution assume constant scale and will underestimate the characteristic exponent when the scale parameter follows a GARCH process. The parameters of the GARCH‐stable model are estimated with daily foreign currency returns. Estimates of characteristic exponents are higher with the GARCH‐stable than when independence is assumed. Monte Carlo hypothesis testing procedures, however, reject our GARCH‐stable model at the 1% significance level in four out of fiv

ISSN:0883-7252    

DOI:10.1002/jae.3950100305

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

年代:1995

数据来源: WILEY

摘要:

AbstractUsing stratified microdata from the Canadian FAMEX (78–86) surveys, this paper investigates whether observed heterogeneity in marginal propensities to consume across strata actually hinders the aggregation process. Despite significant heterogeneity in marginal responses, the divergences between aggregate predicted consumption and the predictions from a model that uses average strata responses are found to be small, whenever the strata demands are approximatively linear at the mean and the commodity group considered is not a luxury good. On the other hand, some cross‐sectional estimates obtained by pooling the strata are shown to be contaminated by unwanted cross‐moments. Further, the analysis reconciles the fact that while there exists significant heterogeneity in consumer demands, the related distributional effects in the aggregate equation have not been found to be impo

ISSN:0883-7252    

DOI:10.1002/jae.3950100306

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

年代:1995

数据来源: WILEY

摘要:

AbstractIn this article we propose a simple and efficient method of estimating welfare measures in ann‐equation system. We also estimate the variance of these measures. The accuracy and convergence properties of our approach are studied: the algorithm converges quadratically. This is a distinct improvement over the Vartia algorithm which converges linearly. We demonstrate the method by evaluating the welfare consequences of price changes in the provision of health care. The GAUSS code, which is very short, is include

ISSN:0883-7252    

DOI:10.1002/jae.3950100307

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

年代:1995

数据来源: WILEY

摘要:

AbstractWe set out the main features of Maple V, Release 3, and discuss its potential value to econometricians. Computer algebra systems, of which Maple is a leading example, have developed with the increased power of modern computers, but require skill and patience to use. It seems likely they will find a place in the econometrician's toolkit for work at the interface between analytic and numerical work, where they should prove valuable. However, although Maple has many of the features of conventional statistical/econometric/numerical software, it should not be seen as a substitute.

ISSN:0883-7252    

DOI:10.1002/jae.3950100308

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.3950100309

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.3950100310

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.3950100311

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

年代:1995

数据来源: WILEY