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Econometric Models (econometric + models)
Kinds of Econometric Models Selected AbstractsECONOMETRIC MODELS OF ASYMMETRIC PRICE TRANSMISSIONJOURNAL OF ECONOMIC SURVEYS, Issue 2 2007Giliola Frey Abstract In this paper, we review the existing empirical literature on price asymmetries in commodities, providing a way to classify and compare different studies that are highly heterogeneous in terms of econometric models, type of asymmetries and empirical findings. Relative to the previous literature, this paper is novel in several respects. First, it presents a detailed and updated survey of the existing empirical contributions on price asymmetries in the transmission mechanism linking input prices to output prices. Second, this paper presents an extension of the traditional distinction between long-run and short-run asymmetries to new categories of asymmetries, such as: contemporaneous impact, distributed lag effect, cumulated impact, reaction time, equilibrium and momentum equilibrium adjustment path, regime effect, regime equilibrium adjustment path. Each empirical study is then critically discussed in the light of this new classification of asymmetries. Third, this paper evaluates the relative merits of the most popular econometric models for price asymmetries, namely autoregressive distributed lags, partial adjustments, error correction models, regime switching and vector autoregressive models. Finally, we use the meta-regression analysis to investigate whether the results of asymmetry tests are not model-invariant and find which additional factors systematically influence the rejection of the null hypothesis of symmetric price adjustment. The main results of our survey can be summarized as follows: (i) each econometric model is specialized to capture a subset of asymmetries; (ii) each asymmetry is better investigated by a subset of econometric models; (iii) the general significance of the F test for asymmetric price transmission depends mainly on characteristics of the data, dynamic specification of the econometric model, and market characteristics. Overall, our empirical findings confirm that asymmetry, in all its forms, is very likely to occur in a wide range of markets and econometric models. [source] Estimation and Confidence Regions for Parameter Sets in Econometric Models,ECONOMETRICA, Issue 5 2007Victor Chernozhukov This paper develops a framework for performing estimation and inference in econometric models with partial identification, focusing particularly on models characterized by moment inequalities and equalities. Applications of this framework include the analysis of game-theoretic models, revealed preference restrictions, regressions with missing and corrupted data, auction models, structural quantile regressions, and asset pricing models. Specifically, we provide estimators and confidence regions for the set of minimizers ,I of an econometric criterion function Q(,). In applications, the criterion function embodies testable restrictions on economic models. A parameter value ,that describes an economic model satisfies these restrictions if Q(,) attains its minimum at this value. Interest therefore focuses on the set of minimizers, called the identified set. We use the inversion of the sample analog, Qn(,), of the population criterion, Q(,), to construct estimators and confidence regions for the identified set, and develop consistency, rates of convergence, and inference results for these estimators and regions. To derive these results, we develop methods for analyzing the asymptotic properties of sample criterion functions under set identification. [source] PAIRWISE DIFFERENCE ESTIMATION WITH NONPARAMETRIC CONTROL VARIABLES,INTERNATIONAL ECONOMIC REVIEW, Issue 4 2007Andres Aradillas-Lopez This article extends the pairwise difference estimators for various semilinear limited dependent variable models proposed by Honoré and Powell (Identification and Inference in Econometric Models. Essays in Honor of Thomas Rothenberg Cambridge: Cambridge University Press, 2005) to permit the regressor appearing in the nonparametric component to itself depend upon a conditional expectation that is nonparametrically estimated. This permits the estimation approach to be applied to nonlinear models with sample selectivity and/or endogeneity, in which a "control variable" for selectivity or endogeneity is nonparametrically estimated. We develop the relevant asymptotic theory for the proposed estimators and we illustrate the theory to derive the asymptotic distribution of the estimator for the partially linear logit model. [source] Medicaid matters: children's health and medicaid eligibility expansionsJOURNAL OF POLICY ANALYSIS AND MANAGEMENT, Issue 2 2002Kristine A. Lykens In the late 1980s, a series of federal laws were enacted which expanded Medicaid eligibility to more of the nation's children. States had a great amount of discretion in how fast and how far these expansions were implemented. As a result, there was great variation among the states in defining who was eligible for the program. This variation provides a rare opportunity to disentangle the effect of Medicaid from a child's socioeconomic status. Using data from the National Health Interview Survey, we address whether the Medicaid expansions improved the health and functional status of children. Econometric models were developed using fixed-effects regressions, and were estimated separately for white, black, and Hispanic children. White children experienced statistically significant reductions in acute health conditions and functional limitations. Black and Hispanic children showed some evidence of improved health conditions and functional status, but this evidence is inconclusive in the study sample. This may be due to differences in their access to appropriate health services or to the smaller sample size of minorities in each geographic area. The findings are also relevant to the implementation of the Children' Health Insurance Program (CHIP), the latest federal effort to expand access to health care to poor and near poor children. In many states, CHIP is being implemented in whole or in part through further Medicaid expansions. © 2002 by the Association for Policy Analysis and Management. [source] Estimation and Confidence Regions for Parameter Sets in Econometric Models,ECONOMETRICA, Issue 5 2007Victor Chernozhukov This paper develops a framework for performing estimation and inference in econometric models with partial identification, focusing particularly on models characterized by moment inequalities and equalities. Applications of this framework include the analysis of game-theoretic models, revealed preference restrictions, regressions with missing and corrupted data, auction models, structural quantile regressions, and asset pricing models. Specifically, we provide estimators and confidence regions for the set of minimizers ,I of an econometric criterion function Q(,). In applications, the criterion function embodies testable restrictions on economic models. A parameter value ,that describes an economic model satisfies these restrictions if Q(,) attains its minimum at this value. Interest therefore focuses on the set of minimizers, called the identified set. We use the inversion of the sample analog, Qn(,), of the population criterion, Q(,), to construct estimators and confidence regions for the identified set, and develop consistency, rates of convergence, and inference results for these estimators and regions. To derive these results, we develop methods for analyzing the asymptotic properties of sample criterion functions under set identification. [source] Centralisation versus Decentralisation of Public Policies: Does the Heterogeneity of Individual Preferences Matter?,FISCAL STUDIES, Issue 1 2008Carlo Mazzaferro This paper explores the role of the heterogeneity of fiscal preferences in the assignment of policy tasks to different levels of government (decentralisation versus centralisation). With reference to a sample of European countries, a median-voter mechanism of collective decision is assumed to work at both a national and a supranational level. Using data from a large international survey (the International Social Survey Programme, ISSP), a series of econometric models are estimated in order to make individual attitudes representative of different categories of public expenditure and of different countries. The dominance of decentralisation over centralisation or vice versa is determined on the basis of the utility loss that each individual suffers in connection with the distance between his or her own most preferred level of public expenditure and that chosen by the national/supranational median voter. The main finding is that, differently from the predictions of Oates's decentralisation theorem, the assignment of responsibilities at the supranational level (centralisation) for a number of public expenditure programmes (healthcare, education, unemployment benefits) dominates (or is close to dominating) decentralisation, even in the absence of economies of scale and interregional spillovers. However, when the possibility of interjurisdictional mobility is explicitly considered, in line with the predictions of Tiebout's model, decentralisation dominance becomes more and more substantial and also prevails in the sectors where, under the nonmobility assumption, the assignment of responsibilities at the supranational level is efficient. [source] Topology and Dependency Tests in Spatial and Network Autoregressive ModelsGEOGRAPHICAL ANALYSIS, Issue 2 2009Steven Farber Social network analysis has been identified as a promising direction for further applications of spatial statistical and econometric models. The type of network analysis envisioned is formally identical to the analysis of geographical systems, in that both involve the measurement of dependence between observations connected by edges that constitute a system. An important item, which has not been investigated in this context, is the potential relationship between the topology properties of networks (or network descriptions of geographical systems) and the properties of spatial models and tests. The objective of this article is to investigate, within a simulation setting, the ability of spatial dependency tests to identify a spatial/network autoregressive model when two network topology measures, namely degree distribution and clustering, are controlled. Drawing on a large data set of synthetically controlled social networks, the impact of network topology on dependency tests is investigated under a hierarchy of topology factors, sample size, and autocorrelation strength. In addition, topology factors are related to known properties of empirical systems. El análisis de redes sociales ha sido y es una dirección prometedora en el avance de las aplicaciones de modelos econométricos y de estadística espacial. El tipo de análisis de redes que proponemos es idéntico al análisis de sistemas geográficos, ya que ambos miden la dependencia entre observaciones conectadas que conforman un sistema. Un punto importante que no ha sido investigado en este contexto es la potencial relación entre las propiedades topológicas de redes (o descripción de redes de sistemas geográficos) y las propiedades de los modelos y pruebas (tests) espaciales. El objetivo de este artículo es investigar (dentro del marco de simulaciones Monte Carlo), la capacidad que poseen las pruebas de dependencia espacial para identificar un modelo autorregresivo espacial/de redes, en los casos en los que dos medidas topológicas de redes (grado de distribución y transitividad) son controlados. Haciendo uso de una base de datos de redes sociales controladas sintéticamente, este artículo evalúa el impacto de la topología de redes en las pruebas de dependencia espacial. Dicho impacto es evaluado con respecto a variaciones en los factores topológicos, el tamaño de muestra, y los niveles de autocorrelación espacial. Adicionalmente, los factores topológicos son relacionados a propiedades conocidas de varios sistemas empíricos. [source] Introduction to the special issue on new econometric models in marketingJOURNAL OF APPLIED ECONOMETRICS, Issue 3 2009Pradeep Chintagunta No abstract is available for this article. [source] An econometric model of nonlinear dynamics in the joint distribution of stock and bond returnsJOURNAL OF APPLIED ECONOMETRICS, Issue 1 2006Massimo Guidolin This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two- or three-state models capture the univariate dynamics in bond and stock returns, a more complicated four-state model with regimes characterized as crash, slow growth, bull and recovery states is required to capture their joint distribution. The transition probability matrix of this model has a very particular form. Exits from the crash state are almost always to the recovery state and occur with close to 50% chance, suggesting a bounce-back effect from the crash to the recovery state. Copyright © 2006 John Wiley & Sons, Ltd. [source] ECONOMETRIC MODELS OF ASYMMETRIC PRICE TRANSMISSIONJOURNAL OF ECONOMIC SURVEYS, Issue 2 2007Giliola Frey Abstract In this paper, we review the existing empirical literature on price asymmetries in commodities, providing a way to classify and compare different studies that are highly heterogeneous in terms of econometric models, type of asymmetries and empirical findings. Relative to the previous literature, this paper is novel in several respects. First, it presents a detailed and updated survey of the existing empirical contributions on price asymmetries in the transmission mechanism linking input prices to output prices. Second, this paper presents an extension of the traditional distinction between long-run and short-run asymmetries to new categories of asymmetries, such as: contemporaneous impact, distributed lag effect, cumulated impact, reaction time, equilibrium and momentum equilibrium adjustment path, regime effect, regime equilibrium adjustment path. Each empirical study is then critically discussed in the light of this new classification of asymmetries. Third, this paper evaluates the relative merits of the most popular econometric models for price asymmetries, namely autoregressive distributed lags, partial adjustments, error correction models, regime switching and vector autoregressive models. Finally, we use the meta-regression analysis to investigate whether the results of asymmetry tests are not model-invariant and find which additional factors systematically influence the rejection of the null hypothesis of symmetric price adjustment. The main results of our survey can be summarized as follows: (i) each econometric model is specialized to capture a subset of asymmetries; (ii) each asymmetry is better investigated by a subset of econometric models; (iii) the general significance of the F test for asymmetric price transmission depends mainly on characteristics of the data, dynamic specification of the econometric model, and market characteristics. Overall, our empirical findings confirm that asymmetry, in all its forms, is very likely to occur in a wide range of markets and econometric models. [source] Research And Development Productivity And Spillovers: Empirical Evidence At The Firm LevelJOURNAL OF ECONOMIC SURVEYS, Issue 4 2005Robert Wieser Abstract., A variety of methods have been used to investigate the empirical relationship between research and development (R&D) spending and the productivity of firms. The most widely employed frameworks are the production function and the associated productivity framework. In these settings, productivity growth is related to expenditures on R&D, and an attempt is made to estimate statistically the part of productivity growth that can be attributed to R&D activities. This article surveys the expansive body of empirical literature on this subject and finds a large and significant impact of R&D on firm performance on average. However, the estimated returns vary considerably between the different studies due to differences across data samples and econometric models, as well as methodological and conceptual issues. A meta-analysis on the studies surveyed reveals that the estimated rates of return do not significantly differ between countries, whereas the estimated elasticities do. Furthermore, the estimated elasticities are significantly higher in the 1980s and consistently higher in the 1990s compared with the 1970s. Hence, contrary to a widely held belief, we find no convincing evidence of an exhaustion of R&D opportunities in the last two decades. [source] Branding behavior in the Danish food industryAGRIBUSINESS : AN INTERNATIONAL JOURNAL, Issue 1 2006Derek Baker Cross-sectional data from a survey of Danish firms are used to examine branding behavior in 2002 and its change between 1997 and 2002. Summary data from the survey are presented. Branding behavior is defined and relevant literature is reviewed. Based on hypotheses developed from this literature and supporting features of the Danish food marketing chain, six econometric models are specified. Specification accounts for dependent variables' characteristics (count and fractional data, and truncated samples). Missing values are replaced using Griliches' method (Griliches, 1986). Large firms are found to own and introduce the most brands, although few associations with the commodity sector are identified. Firms' use of retail brands is found to substitute for brand introduction in the long run and to increase with ownership by retail firms. Conclusions are drawn regarding the strategic stance of retailers in the Danish food system and its employment of retailers' own-label brands. [ECONLIT Classifications: Q120; Q130; L190]. © 2006 Wiley Periodicals, Inc. Agribusiness 22: 31,49, 2006. [source] Value at risk from econometric models and implied from currency optionsJOURNAL OF FORECASTING, Issue 8 2004James ChongArticle first published online: 3 DEC 200 Abstract This paper compares daily exchange rate value at risk estimates derived from econometric models with those implied by the prices of traded options. Univariate and multivariate GARCH models are employed in parallel with the simple historical and exponentially weighted moving average methods. Overall, we find that during periods of stability, the implied model tends to overestimate value at risk, hence over-allocating capital. However, during turbulent periods, it is less responsive than the GARCH-type models, resulting in an under-allocation of capital and a greater number of failures. Hence our main conclusion, which has important implications for risk management, is that market expectations of future volatility and correlation, as determined from the prices of traded options, may not be optimal tools for determining value at risk. Therefore, alternative models for estimating volatility should be sought. Copyright © 2004 John Wiley & Sons, Ltd. [source] Attribution and other problems in assessing the returns to agricultural R&DAGRICULTURAL ECONOMICS, Issue 2-3 2001Julian M. Alston Abstract Estimated rates of return to research are distorted by problems of attributing the credit for particular research results, or for particular research-induced productivity increases, among research expenditures undertaken at different times, in different places, and by different agencies. A comprehensive assessment of the evidence from past economic evaluations of the returns to agricultural R&D indicates that studies generally report high rates of return, with enormous variation among studies, but that much of this evidence has been tainted by inadequate attention to attribution problems. This paper raises these concerns in a general way and illustrates their importance with reference to two particular types of attribution problem. First, we consider the problem of accounting for locational spillovers in attributing varietal-improvement technology among research performers, using US wheat varieties as an example. Second, we consider the temporal aspects of the attribution problem using the specification of research lags in econometric models to illustrate the problem of attributing aggregate productivity gains to research expenditures made at different times. [source] Cluster Dynamics: New Evidence and Projections for Computing Services in Great Britain,JOURNAL OF REGIONAL SCIENCE, Issue 2 2005Bernard Fingleton In the main section of the paper, spatial econometric models are estimated controlling for supply- and demand-side conditions to isolate the effect of initial cluster intensity. The paper then projects cluster development using the fitted model, showing how clusters are likely to emerge and intensify. One aspect of the paper is the existence of a de-clustering mechanism due to congestion effects. [source] Distribution conventionality in the movie sector: an econometric analysis of cinema supplyMANAGERIAL AND DECISION ECONOMICS, Issue 8 2009Alan Collins This paper empirically analyzes the impact of several factors on a ,conventionality index (CI)' in the specific context of the cinema exhibition sector. To our knowledge, it is the first time that a standard CI has been constructed for this purpose. Econometric analysis of the determinants of variation in this index provides decision-makers with an empirical focus for analyzing distributional aspects of the movie exhibition market, with particular emphasis on product differentiation. Specifically, (i) do cinemas based in a city area have a different or ,specialized' focus in contrast to cinemas in small towns? or (ii) do multiplexes have a different or more specialized focus in comparison with cinemas? To this end, cross-sectional econometric models are estimated to help analyze these effects in three Italian regions for a sample of cinemas covering the 2006 season. Copyright © 2009 John Wiley & Sons, Ltd. [source] Sales by multi-product retailersMANAGERIAL AND DECISION ECONOMICS, Issue 4 2006Timothy J. Richards This paper examines the rationale underlying periodic price promotions, or sales, for perishable food products by supermarket retailers. Whereas previous studies explain sales in a single-product context as arising from informational, storage cost, or demand heterogeneity, this study focuses on the central role of retailers as multi-product sellers of complementary goods. By offering a larger number of discounted products within a particular category, retailers are able to attract a sufficient number of customers to offset the effect of lower margins on sale items by selling more high-margin items. The implications that emerge from the resulting mixed-strategy equilibrium are tested in a product-level, retail-scanner data set of fresh fruit sales. Hypotheses regarding the rationale and effectiveness of sales are tested by estimating econometric models that describe (1) the number of sales items per store, (2) the depth of a given sale, and (3) promotion effectiveness on store-level demand. The results of this econometric analysis support the hypothesis that the breadth and depth of price promotions are complementary marketing tools, thus explaining how EDLP and HI-LO store formats can exist in the same monopolistically competitive market equilibrium. Copyright © 2006 John Wiley & Sons, Ltd. [source] Fuel demand and car ownership modelling in IndiaOPEC ENERGY REVIEW, Issue 1 2007Taoufik Bouachera Motorisation in Asia is soaring with rapid growth in incomes non-lin-early. Even though car ownership per 1,000 population is still low in countries like China, India or Indonesia, escalating number of cars is affected by GDP growth among other infrastructural factors in a non-linear manner. This quick growth in car ownership may represent a significant implication on road transport fuel demand. This paper forecasts the demand for road transport fuel in India. For this purpose, econometric models, based on time series data, are constructed as for a major factor affecting fuel demand in road transportation i.e. car ownership. Firstly the econometric car ownership model was attempted in this study, for projecting future car stock in India based on cross section time series technique. The car stock is modelled by using three functional forms, which are the logistic, quasi-logistic and Gompertz curves. However, to take into consideration countries with different income levels in that part of the world, these models were estimated by using pooled data of seven Asian countries (Japan, China, South Korea, Thailand, Indonesia, Malaysia and India). Then, a set of fuel consumption scenarios were developed in order to make forecast until 2030. These scenarios were generated by taking into consideration car stock, fuel efficiency and the average distance travelled in India. [source] Spatial and sectoral composition effects of agglomeration economies in the Netherlands,PAPERS IN REGIONAL SCIENCE, Issue 1 2007Frank G. Van Oort Agglomeration economies; spatial econometric models; dynamic externalities; urban growth; spatial regimes Abstract., In this article we test for dynamic inter- and intra-industry externalities on the urban level in the Netherlands. We argue that previous contributions might be sensitive to untested spatial and sectoral composition effects of urban data. We conclude that research results are better controlled when analysed on lower spatial scales, that results improve in robustness when spatial dependence in the form of spatially lagged versions of explained (growth) variables is introduced in the econometric models, and that results are more informative when hierarchical urban regimes are tested for. Introducing spatially lagged versions of explanatory agglomeration variables is informative but leads to less robust outcomes. In general our research results are more conclusive on inter-industry externalities circumstances when outcomes of city-industry as well as sectoral research designs are compared with the same dataset. [source] A cross-sectional analysis of residential property prices: the effects of income, commuting, schooling, the housing stock and spatial interaction in the English regions,PAPERS IN REGIONAL SCIENCE, Issue 3 2006Bernard Fingleton Housing supply and markets; cross-sectional models; spatial econometric models Abstract., This article examines the distribution of residential property prices in 2001 across local areas in England using spatial econometric methods, showing that spatial variations in local income, income within commuting distance, the stock of residential properties and the quality of local schooling have significant effects. The residual spatial variation due to unknown factors is modelled by a proxy variable, but this does not rule out a significant spatial lag. The article argues that this represents endogenous interaction of property price levels between neighbouring areas, which is interpreted as the outcome of local market knowledge and preference, which produces greater price similarity between an area and its neighbours than one would anticipate from the levels of the exogenous price determinants. [source] Growth at the fringe: The influence of political fragmentation in United States metropolitan areas,PAPERS IN REGIONAL SCIENCE, Issue 4 2003John I. Carruthers Land use governance; land use regulation; political fragmentation; urban sprawl Abstract. Urban sprawl has evolved into an exceptionally complex public policy problem in the United States over the course of recent decades. One factor that has made it particularly difficult to deal with is its relationship to the fragmented structure of the American system of land use governance. Acting on behalf of their residents, local governments enact land use regulations to secure lifestyle preferences for low density, suburban living environments while at the same time ensuring a high quality of public service provision. This article examines the effect of this process on metropolitan spatial structure through a series of econometric models designed to test the following hypothesis: that fragmentation promotes sprawl by increasing the proportion of growth that occurs at the unincorporated urban fringe. The estimation results reveal substantive evidence that municipal fragmentation and several related factors , including special districts, infrastructure investments, and white flight processes , have a significant and enduring effect on the growth of outlying areas. [source] Model selection tests for nonlinear dynamic modelsTHE ECONOMETRICS JOURNAL, Issue 1 2002Douglas Rivers This paper generalizes Vuong (1989) asymptotically normal tests for model selection in several important directions. First, it allows for incompletely parametrized models such as econometric models defined by moment conditions. Second, it allows for a broad class of estimation methods that includes most estimators currently used in practice. Third, it considers model selection criteria other than the models' likelihoods such as the mean squared errors of prediction. Fourth, the proposed tests are applicable to possibly misspecified nonlinear dynamic models with weakly dependent heterogeneous data. Cases where the estimation methods optimize the model selection criteria are distinguished from cases where they do not. We also consider the estimation of the asymptotic variance of the difference between the competing models' selection criteria, which is necessary to our tests. Finally, we discuss conditions under which our tests are valid. It is seen that the competing models must be essentially nonnested. [source] Nonlinear econometric models with cointegrated and deterministically trending regressorsTHE ECONOMETRICS JOURNAL, Issue 1 2001Yoosoon Chang This paper develops an asymptotic theory for a general class of nonlinear non-stationary regressions, extending earlier work by Phillips and Hansen (1990) on linear cointegrating regressions. The model considered accommodates a linear time trend and stationary regressors, as well as multiple I(1) regressors. We establish consistency and derive the limit distribution of the nonlinear least squares estimator. The estimator is consistent under fairly general conditions but the convergence rate and the limiting distribution are critically dependent upon the type of the regression function. For integrable regression functions, the parameter estimates converge at a reduced n1/4 rate and have mixed normal limit distributions. On the other hand, if the regression functions are homogeneous at infinity, the convergence rates are determined by the degree of the asymptotic homogeneity and the limit distributions are non-Gaussian. It is shown that nonlinear least squares generally yields inefficient estimators and invalid tests, just as in linear nonstationary regressions. The paper proposes a methodology to overcome such difficulties. The approach is simple to implement, produces efficient estimates and leads to tests that are asymptotically chi-square. It is implemented in empirical applications in much the same way as the fully modified estimator of Phillips and Hansen. [source] Pricing and hedging illiquid energy derivatives: An application to the JCC indexTHE JOURNAL OF FUTURES MARKETS, Issue 5 2008Elisa Scarpa In this paper a simple strategy for pricing and hedging a swap on the Japanese crude oil cocktail (JCC) index is discussed. The empirical performance of different econometric models is compared in terms of their computed optimal hedge ratios, using monthly data on the JCC over the period January 2000,January 2006. An explanation to how to compute a bid/ask spread and to construct the hedging position for the JCC swap contract with variable oil volume is provided. The swap pricing scheme with backtesting and rolling regression techniques is evaluated. The empirical findings show that the price-level regression model permits one to compute more precise optimal hedge ratios relative to its competing alternatives. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:464,487, 2008 [source] Cointegration Theory, Equilibrium and Disequilibrium EconomicsTHE MANCHESTER SCHOOL, Issue 1 2004Karim Maher Abadir Two variables are said to be cointegrated when they move closely together over time, after proper scaling. Cointegration was taken to be the statistical expression of the notion of equilibrium in economics. But is it still possible to talk of cointegration when ,disequilibrium' economics prevail? We argue that it is, and that the duality is strongest between cointegration theory and economic theories of non-clearing markets. By setting up a simple generic non-parametric model, it is shown that Clower's dual decision hypothesis is a more direct and natural expression of the notion of cointegration than long-run equilibrium is. With sticky prices, quantities (e.g. consumption and income) move together more closely than they would otherwise. As a by-product, the model gives rise to (and justifies from an economics standpoint) a recent statistical approach to modelling economic time series. An observational equivalence between two econometric models is also presented. [source] The diffusion of marketing science in the practitioners' community: opening the black boxAPPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 4-5 2005Albert C. Bemmaor Abstract This editorial discusses an illustration of the potential hindrances to the diffusion of modern methodologies in the practitioners' (i.e. the buyers of research, not the consultants) community. Taking the example of classical regression analysis based on store-level scanner data, the authors discuss the potential limitations of the classical regression model, with the example of the occurrence of ,wrong' signs and of coefficients with unexpected magnitudes. In an interview with one of the authors, a (randomly picked) Senior Marketing Research Manager at a leading firm of packaged goods reports his/her experience with econometric models. To him/her, econometric models are presented as a ,black box' (his/her written words). In his/her experience, they provided results that were ,quite good' in a ,much focused' context only. There were experimental data obtained with a Latin square design and the analysis included a single brand with only four stock-keeping units (SKUs). The company ,dropped' the more ,ambitious' studies, which analysed the effect of the retail promotions run by all the actors in a market because of a lack of predictive accuracy (his/her written words are in quotes). The authors suggest that Bayesian methodology can help open the black box and obtain more acceptable results than those obtained at present. Copyright © 2005 John Wiley & Sons, Ltd. [source] Productivity growth and the returns from public investment in R&D in Australian broadacre agricultureAUSTRALIAN JOURNAL OF AGRICULTURAL & RESOURCE ECONOMICS, Issue 4 2007John Mullen Investment in R&D has long been regarded as an important source of productivity growth in Australian agriculture. Perhaps because research lags are long, current investment in R&D is monitored closely. Investment in R&D has been flat while productivity growth has remained strong, relative both to other sectors of the Australian economy and to the agricultural sectors of other countries. Such productivity growth, at a time when the decline in terms of trade facing Australian farmers has slowed, may have enhanced the competitiveness of Australian agriculture. The econometric results presented here suggest no evidence of a decline in the returns from research from the 15 to 40 per cent per annum range estimated by Mullen and Cox. In fact the marginal impact of research increases with research over the range of investment levels experienced from 1953 to 2000, a finding which lends support to the view that there is underinvestment in agricultural research. These results were obtained from econometric models which maintain strong assumptions about how investments in research and extension translate into changes in TFP. Hence some caution in interpreting the results is warranted. [source] Land Market Interactions between Heterogeneous Agents in a Heterogeneous Landscape,Tracing the Macro-Scale Effects of Individual Trade-Offs between Environmental Amenities and DisamenitiesCANADIAN JOURNAL OF AGRICULTURAL ECONOMICS, Issue 4 2009Tatiana Filatova Heterogeneity in both the spatial environment and economic agents is a crucial driver of land market dynamics. We present an agent-based land market model where land from agriculture use is transferred into urban. The model combines the microeconomic demand, supply, and bidding foundations of spatial economics models with the spatial heterogeneity of spatial econometric models in a single methodological platform. Heterogeneous agents exchange heterogeneous spatial goods via simulated bilateral market interactions. We model a coastal city where both coastal amenities and flooding or erosion disamenities drive land market outcomes, facilitating separate analysis of the effects of each driver on land rents and land development patterns. We also analyze the implications of homogeneous versus heterogeneous but unbiased flood risk perceptions. Since buyers with low risk perceptions drive market outcomes, spatial development under heterogeneous risk perceptions differs qualitatively, with more expansion into risky areas. Our results highlight the shortcomings of policy models based on representative agent assumptions and the importance of including agent-level data in empirical modeling. L'hétérogénéité de l'environnement spatial et des agents économiques constitue un élément moteur crucial de la dynamique du marché foncier. Nous présentons un modèle multi-agent du marché foncier dans lequel des terres agricoles ont été transférées pour des fins urbaines. Le modèle combine les fondements microéconomiques de la demande, de l'offre et des enchères de modèles de l'économie spatiale avec l'hétérogénéité spatiale des modèles de l'économétrie spatiale dans une plateforme méthodologique unique. Les agents hétérogènes échangent des biens hétérogènes par le biais du jeu des forces du marché bilatéral simulé. Nous avons modélisé une ville côtière où les agréments côtiers et les désagréments causés par les inondations ou l'érosion influent sur le marché foncier, facilitant l'analyse individuelle des effets de chaque élément moteur sur les loyers fonciers et les modèles d'aménagement de terrain. Nous avons également analysé les répercussions des perceptions homogènes et hétérogènes mais non biaisées à l'égard du risque d'inondation. Étant donné que les acquéreurs qui ont de faibles perceptions du risque motivent les effets du marché, le développement spatial selon des perceptions hétérogènes à l'égard du risque varie qualitativement, avec plus d'expansion dans les zones à risque. Nos résultats ont mis en lumière les lacunes des modèles de politiques fondés sur les hypothèses d'un agent représentatif et l'importance d'inclure des données sur l'hétérogénéité des agents dans la modélisation empirique. [source] | |||||||||||||||||||||||||||||||