ISSN:0883-7252    

DOI:10.1002/jae.3950100502

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

年代:1995

数据来源: WILEY

摘要:

AbstractThis paper is concerned with the estimation of a model in which a possibly serially correlated stochastic process, the ‘harvest’ of an agricultural commodity, generates a competitive price in a market comprising both final consumers and risk‐neutral speculators who can store the commodity at a cost in the anticipation of profit. Because storage cannot be negative, the relationship between prices and harvests is inherently nonlinear and is an unpromising candidate for a linear‐quadratic model, or for linearization more generally. Instead, we calculate numerically a policy function in which price is a function of two unobservable state variables, the harvest and current availability, and we use the result to fit the pri

ISSN:0883-7252    

DOI:10.1002/jae.3950100503

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

年代:1995

数据来源: WILEY

摘要:

AbstractThroughout the US dairy farm industry, observed rates of dairy cow replacement consistently exceed the rates prescribed as optimal by dairy economists. We attempt to uncover the causes of this discrepancy by estimating a series of dynamic discrete choice models of dairy cow replacement using historical farm‐level data. We also advance the methods used to estimate dynamic discrete choice models by demonstrating how orthogonal polynomial projection methods can be effectively combined with standard maximum likelihood techniques to estimate structural models of dynamic decision makin

ISSN:0883-7252    

DOI:10.1002/jae.3950100504

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

年代:1995

数据来源: WILEY

摘要:

AbstractIn the forestry literature, stochastic extensions of the classic Faustmann model have become the predominant models of optimal harvesting on even‐aged timber stands. A recent attempt to estimate a stochastic version of the Faustmann model left several puzzling results unexplained (Provencher, 1995). This paper reports on new estimation and analyses undertaken to resolve these puzzles. Of particular note is the result that the value of using correct price forecasts in the harvest decision is much lower than indicated by recent simulation studies, perhaps because variability in convenience yield dampens the expected gain from exploiting stochastic variation in timber price

ISSN:0883-7252    

DOI:10.1002/jae.3950100505

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

年代:1995

数据来源: WILEY

摘要:

AbstractThis paper studies the impact of the March 1979 Three Mile Island (TMI) accident on the regulation of nuclear power plants (NPPs) and its consequences for the operating behaviour and profitability of the US nuclear power industry. We treat the TMI accident as a ‘natural experiment’ that caused a sudden, unexpected, and permanent increase in the intensity of safety regulation by the US Nuclear Regulatory Commission (NRC) and a shift towards increased disallowances of operating costs by state and local public utility commissions (PUCs). We analyse the nuclear power industry's reaction to this shift in regulatory regime using detailed monthly data on NPP operations collected by the NRC. One of the industry's responses was to increase the planned durations between refuellings from 12 months in the pre‐TMI period to 18 months in the post‐TMI period. We estimate a simple dynamic programming (DP) model of NPP operations that shows how an operator optimally balances the potential increases in capacity utilization rates associated with longer operating cycles against the increased costs of unplanned and forced outages associated with longer cycles. Under the maintained hypothesis that NPP operators seek to maximize expected discounted profits, we use the NPP operating data to infer profit functions for NPPs in the pre‐ and post‐TMI periods. The estimated profit functions reveal that utilities have been responsive to NRC regulation insofar as they impute a significantly higher cost to ‘imprudent’ operation of a reactor in the post‐TMI period than in the pre‐TMI period. The results show that utilities responded optimally to the change in regulatory regime since the DP model predicts that optimal planned operating cycles were approximately 12 months in the pre‐TMI period and 18 months in the post‐TMI period. We find that while NPPs appear safer in the post‐TMI period (in terms of having a lower rate of forced outages), they are also substantially less profitable: over 90% of the expected discounted profits from continued operation of existing NPPs have been eliminated in the post‐TMI period. However, since most of the investments in existing NPPs are already sunk and given the high costs of plant decommissioning, the DP model predicts that utilities will continue to operate NPPs rather than shut them down. Interestingly, we find that the hypothesis of expected discounted profit maximization provides a much better approximation to NPP operating behaviour in the post‐TMI peri

ISSN:0883-7252    

DOI:10.1002/jae.3950100506

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

年代:1995

数据来源: WILEY

摘要:

AbstractEquilibrium search models generalize the one‐sided models used earlier by endogenizing the wage offer distribution. Attempts to estimate versions of these equilibrium n search models have been unsuccessful, ironically because the predicted wage distribution did not fit the wage data. In this paper we extend the applicability of search models by introducing firm heterogeneity to account for the shape of the wage density. The resulting estimation problem is difficult, but we propose a solution and illustrate its feasibility and performance with a Monte Carlo study and an application to US labour market dat

ISSN:0883-7252    

DOI:10.1002/jae.3950100507

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

年代:1995

数据来源: WILEY

摘要:

AbstractWe specify and estimate an equilibrium search model with between‐market heterogeneity in the productivity levels. The model allows for two types of unemployment: unemployment due to search frictions and unemployment due to wage floors. Wage floors may exist, because of large unemployment benefits or a binding (mandatory) minimum wage. Using data on labour market histories for a sample of Dutch workers, we decompose the total unemployment rate in a structural and frictional unemployment rate. We also discuss the effect of changes in the minimum wag

ISSN:0883-7252    

DOI:10.1002/jae.3950100508

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

年代:1995

数据来源: WILEY

摘要:

AbstractIn this paper we apply the Indirect Inference method to estimate the parameters of a semi‐Markov transition model when the data are subject to a complex form of censoring. There is no explicit expression for the likelihood function, and therefore Maximum Likelihood estimation is computationally burdensome. The econometric methodology of Indirect Inference is first tested on simulated data under various assumptions about the distribution of spell durations and transitions. Then, it is applied to labour market transitions between self‐employment, wage‐work, and unemployment using the 1986–1988 French labour force survey. Although the analysis is basically a reduced‐form analysis, we motivate our transition model in terms of a structural sea

ISSN:0883-7252    

DOI:10.1002/jae.3950100509

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

年代:1995

数据来源: WILEY

摘要:

AbstractUnder real‐time pricing, a network operator sets the price level for a period according to a predefined scheme which depends on the state of demand and costs, and announces this price shortly before the period begins. The French state‐owned electric utility experimented with a six‐rate real‐time tariff, which divides the year into three types of days and each day into two periods. The number of days of each type is known in advance to the consumer, but the type of any particular day is announced only at the end of the preceding day. In order to evaluate the responsiveness of customers to this pricing option, we estimate the Frisch demand functions for daily electricity consumption, derived from a simple dynamic model based on an additively separable intertemporal utility function. As the marginal utility of expenditure which enters the Frisch demands follows a known stochastic process, the econometric model has a state‐space representation. We can then apply the Kalman filter to compute the log‐likelihood function associated with each consumer's time series of electricity consumption. The main result of the analysis is that the real‐time tariff improves the welfare of a majority of consumers participating in t

ISSN:0883-7252    

DOI:10.1002/jae.3950100510

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.3950100511

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

年代:1995

数据来源: WILEY