# generated by /homes/nber/adrepec/bin/nbrred running on mysql0
Template-Type: ReDIF-Paper 1.0
Title: Flexible Functional Forms and Global Curvature Conditions
Author-Name: W. Erwin Diewert
Author-Person: pdi117
Author-Name: T.J. Wales
Note: PR
Number: 0040
Creation-Date: 1989-05
Order-URL: http://www.nber.org/papers/t0040
File-URL: http://www.nber.org/papers/t0040.pdf
File-Format: application/pdf
Publication-Status: published as Econometrica, Vol. 55, No. 1, pp. 43-68, (January 1987).
Abstract: Empirically estimated flexible functional forms frequently fail to satisfy the appropriate theoretical curvature conditions. Lau and Gallant and Golub have worked out methods for imposing the appropriate curvature conditions locally, but those local techniques frequently fail to yield satisfactory results. We develop two methods for imposing curvature conditions globally in the context of cost function estimation. The first method adopts Lau's technique to a generalization of a functional form first proposed by McFadden. Using this Generalized McFadden functional form, it turns out that imposing the appropriate curvature conditions at one data point imposes the conditions globally. The second method adopts a technique used by McFadden and Barnett, which is based on the fact that a non-negative sum of concave functions will be concave. Our various suggested techniques are illustrated using the U.S. Manufacturing data utilized by Berndt and Khaled
Handle: RePEc:nbr:nberte:0040
Template-Type: ReDIF-Paper 1.0
Title: Implementing Causality Tests with Panel Data, with an Example from LocalPublic Finance
Author-Name: Douglas Holtz-Eakin
Author-Name: Whitney K. Newey
Author-Name: Harvey S. Rosen
Author-Person: pro55
Note: PE LS
Number: 0048
Creation-Date: 1989-03
Order-URL: http://www.nber.org/papers/t0048
File-URL: http://www.nber.org/papers/t0048.pdf
File-Format: application/pdf
Publication-Status: published as Holtz-Eakin D., W. Newey, and H. Rosen. "Estimating Vector Autoregressions With Panel Data," from Econometrica, Vol. 56, No. 6, (November 1988).
Abstract: This paper considers estimation and testing of vector autoregression coefficients in panel data, and applies the techniques to analyze the dynamic properties of revenues, expenditures, and grants in a sample of United States municipalities. The model allows for nonstationary individual effects, and is estimated by applying instrumental variables to the quasi-differenced autoregressive equations Q Particular attention is paid to specifying lag lengths and forming convenient test statistics. The empirical results suggest that intertemporal linkages are important to the understanding of state and local behavior. Such linkages are ignored in conventional cross sectional regressions. Also, we present evidence that past grant revenues help to predict current expenditures, but that past expenditures do not help to predict current revenues.
Handle: RePEc:nbr:nberte:0048
Template-Type: ReDIF-Paper 1.0
Title: Estimation and Hypothesis Testing with Restricted Spectral Density Matrices: An Application to Uncovered Interest Parity
Author-Name: Danny Quah
Author-Person: pqu9
Author-Name: Takatoshi Ito
Note: ME
Number: 0050
Creation-Date: 1989-09
Order-URL: http://www.nber.org/papers/t0050
File-URL: http://www.nber.org/papers/t0050.pdf
File-Format: application/pdf
Publication-Status: published as "Hypothesis Testing with Restricted Spectral Density Matrices, with an Application to Uncovered Interest Parity" From International Economic Review, Vol. 30, No. 1, pp. 203-215, (February 1989).
Abstract: This paper explores an econometric estimation technique for dynamic linear models. The method combines the analytics of moving average solutions to dynamic models together with computational advantages of the Whittle likelihood. A hypothesis of interest to international and financial economists is represented in the form of cross-equation restrictions and tested under the technique. This paper employs data on Japanese yen- and U.S. dollar-denominated interest rates and yen/dollar exchange rates to examine the hypothesis of uncovered interest parity under rational expectations.
Handle: RePEc:nbr:nberte:0050
Template-Type: ReDIF-Paper 1.0
Title: Endogenous Output in an Aggregate Model of the Labor Market
Author-Name: R)chard E. Quandt
Author-Name: Harvey S. Rosen
Author-Person: pro55
Note: LS
Number: 0074
Creation-Date: 1989-01
Order-URL: http://www.nber.org/papers/t0074
File-URL: http://www.nber.org/papers/t0074.pdf
File-Format: application/pdf
Publication-Status: published as Quandt, Richard E. and Harvey S. Rosen. "Endogenous Output In An Aggregate Model Of The Labor Market," Review of Economics and Statistics, 1989, v71(3), 394-400.
Abstract: A common feature to most aggregative studies of the labor market is a marginal productivity expression in which the quantity of labor appears on the left hand side of the equation, and the right hand side includes the real wage and output. A number of researchers have cautioned that if the output variable is treated as exogenous, serious econometric difficulties may result. However, the assumption that output is exogenous has not been tested. In this paper, we estimate an equilibrium model of the labor market, and use it to test the assumption of output exogeneity. We find that the assumption that output is exogenous cannot be rejected by the data.
Handle: RePEc:nbr:nberte:0074
Template-Type: ReDIF-Paper 1.0
Title: Kolmogorov-Smirnov Tests For Distribution Function Similarity With Applications To Portfolios of Common Stock
Author-Name: Jack Meyer
Author-Name: Robert H. Rasche
Note: ME
Number: 0076
Creation-Date: 1989-03
Order-URL: http://www.nber.org/papers/t0076
File-URL: http://www.nber.org/papers/t0076.pdf
File-Format: application/pdf
Publication-Status: published as Meyer, J., and Rasche, R. H., 1992, "Sufficient Conditions for Expected Utility to Imply Mean-Standard Deviation Rankings: Empirical Evidence Concerning the Location and Scale Condition," The Economic Journal 102 (410), 91–106. 1992
Abstract: If the elements of the choice set in a decision model involving randomness are not arbitrary, but restricted appropriately, an expected utility ordering of them can be represented by a mean standard deviation ranking function. These restrictions can apply to the form of, or can specify relationships among, the distribution functions. A particularly useful restriction is one which requires that elements in the choice set, when normalized to have a zero mean and unit variance, be identically distributed. No restriction is placed on the form of any individual distribution function. This research empirically tests for this and other useful restrictions on the relationships among the elements of a set of random variables. Observations from the random variables are used to test whether or not they have distribution functions which are appropriately related to one another. The tests are applied to rate of return data for portfolios of common stock. The tests indicate that one cannot reject the hypothesis that the distribution functions of these portfolios are sufficiently similar to imply that the efficient set of portfolios for any risk averse expected utility maximizer is contained in the mean-standard deviation efficient set.
Handle: RePEc:nbr:nberte:0076
Template-Type: ReDIF-Paper 1.0
Title: Super Contact and Related Optimality Conditions: A Supplement to AvinashDixits:"A Simplified Exposition of Some Results Concerning Regulated Brownian.
Author-Name: Bernard Dumas
Note: ITI IFM
Number: 0077
Creation-Date: 1989-04
Order-URL: http://www.nber.org/papers/t0077
File-URL: http://www.nber.org/papers/t0077.pdf
File-Format: application/pdf
Publication-Status: published as "Super Contact and Related Optimality Conditions," Journal of Economic Dynamics and Control, Vol 15, pp. 675-685, 1991.
Abstract: Dixit (1988) observed that the mathematical construct of "regulated Brownian motion" developed by Harrison (1985) had proved useful in economic models of decision-making under uncertainty. In a recent note he provided a number of methods for calculating expected discounted payoff functions based on such processes. The purpose of this supplement is twofold: -determine to what extent the first-degree conditions reached by Dixit (his equations (12) and (13) or (12') and (13')) are simply a consequence of the definition of the expected discounted payoff, or to what extent they can be interpreted as first order conditions of some optimization problem, as has been suggested in Dumas(1988); -extend Dixit's treatment to the case where there are fixed costs of regulation as 1n Grossman-Laroque (1987).
Handle: RePEc:nbr:nberte:0077
Template-Type: ReDIF-Paper 1.0
Title: Estimation of Polynomial Distributed Lags and Leads with End Point Constraints
Author-Name: Donald W.K. Andrews
Author-Person: pan30
Author-Name: Ray C. Fair
Author-Person: pfa24
Note: EFG
Number: 0079
Creation-Date: 1989-10
Order-URL: http://www.nber.org/papers/t0079
File-URL: http://www.nber.org/papers/t0079.pdf
File-Format: application/pdf
Publication-Status: published as Journal of Econometrics, Vol.53, No. 1-3, pp. 123-139 July-Sept 1992
Abstract: This paper considers the use of the polynomial distributed lag (PDL) technique when the lag length is estimated rather than fixed. We focus on the case where the degree of the polynomial is fixed, the polynomial is constrained to be zero at a certain lag length q, and q is estimated along with the other parameters. We extend the traditional PDL setup by allowing q to be real-valued rather than integer-valued, and we derive the asymptotic covariance matrix of all the parameter estimates, including the estimate of q. The paper also considers the estimation of distributed leads rather than lags, a case that can arise if expectations are assumed to be rational.
Handle: RePEc:nbr:nberte:0079
Template-Type: ReDIF-Paper 1.0
Title: A Simple, Consistent Estimator for Disturbance Components in Financial Models
Author-Name: James A. Levinsohn
Author-Person: ple386
Author-Name: Jeffrey K. MacKie-Mason
Author-Person: pma1
Note: ME
Number: 0080
Creation-Date: 1989-10
Order-URL: http://www.nber.org/papers/t0080
File-URL: http://www.nber.org/papers/t0080.pdf
File-Format: application/pdf
Publication-Status: published as The Review of Economics and Statistics, Vol. LXXII, No. 3, pp. 516-520, August 1990.
Abstract: Many recent papers have estimated components of the disturbance term in the "market model" of equity returns. In particular, several studies of regulatory changes and other policy events have decomposed the event effects in order to allow for heterogeneity across firms. In this paper we demonstrate that the econometric method applied in some papers yields biased and inconsistent estimates of the model parameters. We demonstrate the consistency of a simple and easily-implemented alternative method.
Handle: RePEc:nbr:nberte:0080
Template-Type: ReDIF-Paper 1.0
Title: The Positive Economics of Methodology
Author-Name: James A. Kahn
Author-Person: pka18
Author-Name: Steve Landsburg
Author-Name: Alan C. Stockman
Author-Person: pst94
Note: EFG
Number: 0082
Creation-Date: 1989-11
Order-URL: http://www.nber.org/papers/t0082
File-URL: http://www.nber.org/papers/t0082.pdf
File-Format: application/pdf
Publication-Status: published as Kahn, James A., Steven E. Landsburg and Alan C. Stockman. "The Positive Economics Of Methodology," Journal of Economic Theory, 1996, v68(1,Jan), 64-76.
Abstract: Does an observation constitute stronger evidence for a theory if it was made after rather than before the theory was formulated, when it may have influenced the theory's construction? Philosophers have discussed this question (of "novel confirmation") but have lacked a formal model of scientific research and incentives. The question applies to all types of research. One example in economics involves evaluating models constructed on the basis of VARs (where a researcher looks at evidence and then constructs a theory) versus structural models with formal econometric tests (where a model is constructed before some of the evidence on it is obtained). This paper develops a simple model of scientific research. It discusses the issues that affect the answer to this question of the timing and theory-construction and observation or experimentation. We also address issues of social versus private incentives in the choice of research strategies, and of socially optimal rewards for researchers in the presence of information and incentive constraints.
Handle: RePEc:nbr:nberte:0082
Template-Type: ReDIF-Paper 1.0
Title: A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems
Author-Name: James H. Stock
Author-Person: pst148
Author-Name: Mark W. Watson
Author-Person: pwa582
Note: EFG ME
Number: 0083
Creation-Date: 1989-12
Order-URL: http://www.nber.org/papers/t0083
File-URL: http://www.nber.org/papers/t0083.pdf
File-Format: application/pdf
Publication-Status: published as Econometrica, vol 61, no 4, (July 1993), p. 783-820
Abstract: An MLE of the unknown parameters of co integrating vectors is presented for systems in which some variables exhibit higher orders of integration, in which there might be deterministic components, and in which the co integrating vector itself might involve variables of differing orders of integration. The estimator is simple to compute: it can be calculated by running GLS for standard regression equations with serially correlated errors. Alternatively, an asymptotically equivalent estimator can be computed using OLS. Usual Wald test statistics based on these MLE's (constructed using an autocorrelation robust covariance matrix in the case of the OLS estimator) have asymptotic x2 distributions.
Handle: RePEc:nbr:nberte:0083