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Empirical Estimation (empirical + estimation)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	75%

Selected Abstracts

Regimes of Interest Rates, Income Shares, Savings and Investment: A Kaleckian Model and Empirical Estimations for some Advanced OECD Economies

METROECONOMICA, Issue 4 2003
Eckhard Hein
ABSTRACT The first part of the paper deals with the effects of an exogenous variation in the monetary interest rate on the real equilibrium position of the economic system in a Kaleckian effective demand model. Different regimes of accumulation are derived and it is shown that a negative relation between the interest rate and the equilibrium rates of capacity utilization, accumulation and profit usually expected in post-Keynesian theory only exists under special conditions. In the second part the model is applied to the data of some major OECD countries, the relevant coefficients are estimated and the relevance for an explanation of the course of GDP and capital stock growth since the early 1960s is discussed. [source]

Convergence within the EU: Evidence from Interest Rates

ECONOMIC NOTES, Issue 2 2000
Teresa Corzo Santamaria
The economic and political changes which are taking place in Europe affect interest rates. This paper develops a two-factor model for the term structure of interest rates specially designed to apply to EMU countries. In addition to the participant country's short-term interest rate, we include as a second factor a ,European' short-term interest rate. We assume that the ,European' rate follows a mean reverting process. The domestic interest rate also follows a mean reverting process, but its convergence is to a stochastic mean which is identified with the ,European' rate. Closed-form solutions for prices of zero coupon discount bonds and options on these bonds are provided. A special feature of the model is that both the domestic and the European interest rate risks are priced. We also discuss an empirical estimation focusing on the Spanish bond market. The ,European' rate is proxied by the ecu's interest rate. Through a comparison of the performance of our convergence model with a Vasicek model for the Spanish bond market, we show that our model provides a better fit both in-sample and out-of sample and that the difference in performance between the models is greater the longer the maturity of the bonds. (J.E.L.: E43, C510). [source]

Non-linearity in the cost-effectiveness frontier

HEALTH ECONOMICS, Issue 6 2006
Joanne Lord
Abstract Conventional cost-effectiveness decision rules rely on the assumptions that all health care programmes are divisible and exhibit constant returns to scale for a homogeneous population; hence, the path between adjacent programmes on a cost-effectiveness frontier must be linear. In this paper we build a framework to analyse non-linear ,expansion' paths. We model the impact of two key sources of non-linearity: economies of scale or scope in the production of health care; and prioritisation of patients who are most likely to benefit from more expensive and more effective treatments. We conclude that the expansion path might be linear, convex or concave, depending on the situation. The path might also exhibit vertical discontinuity due to fixed costs or horizontal discontinuity due to indivisibility. The efficiency of resource allocation might be improved by empirical estimation of expansion paths. We discuss the advantages and disadvantages of this approach compared with a standard stratified analysis. Copyright © 2006 John Wiley & Sons, Ltd. [source]

Revisiting the empirical estimation of the effect of margin changes on futures trading volume

THE JOURNAL OF FUTURES MARKETS, Issue 6 2003
Hans R. Dutt
This study revisits the empirical estimation of the effect of margin requirements on trading volume. Although theory suggests that margin requirements impose a cost to traders and will therefore likely reduce volume traded, empirical examinations have generally failed to find this association. The contention of this article is that the theory is correct, but empirical estimation has generally neglected to adjust margins for underlying price risk. After adjusting for risk, this analysis finds economically and statistically significant negative effects of margin requirements on trading volume as predicted by theory. This study examined 6 contracts over a 17-year time period and found that financial futures contracts (gold, Dow Jones, and 10-Year Treasury Notes) were considerably more sensitive to changes in margin requirements than agricultural futures (wheat, corn, and oats). © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:561,576, 2003 [source]

The Estimation of a Cusp Model to Describe the Adoption of Word for Windows,

THE JOURNAL OF PRODUCT INNOVATION MANAGEMENT, Issue 1 2004
Rense Lange
This article revisits earlier work in this journal by Paul Herbig (1991) that proposed a catastrophe model of industrial product adoption under certain conditions. Catastrophe models are useful for modeling situations where organizations can exhibit both smooth and abrupt adoption behavior. It extends Herbig's work by focusing on organizations' adoption of new products when network externalities are an important part of the decision process, and it presents an empirical estimation of the model. Network externalities occur when firms do not want to adopt a new innovation or product unless other firms do. The reason is that they do not want to end up with an innovation that ends up not being a standard of some sort. Mistakes of this nature can be costly as the firm must invest twice and loses time relative to competitors who have not made such a mistake. However, when such externalities exist, for example with regard to technological adoptions, then normal diffusion gives way to sudden discontinuous shifts as all firms seemingly act together an move to a new technology. Since, technology is an area where the authors expect network externalities to exist, that is the focus of this article. The specific application is developed from two sets of panel data on the organizational adoptions of Microsoft's (MS) Word for Windows software by organizations that previously were using either Word for DOS or Word for Macintosh (Mac). The theoretical framework for the analysis is based on work in the economics literature on network externalities. However, the organization and new product development catastrophe model comes primarily from Herbig (1991). The article focuses on an area of organizational adoption where relatively little empirical research has been done, namely organizational adoption "for use." Longitudinal data provided by Techtel Corporation is used to develop the estimations. Results of the empirical analysis are consistent with the theoretical framework suggested in Herbig's article and in those found in economics and catastrophe theory literatures. This lends clear support to the idea that organizations will adopt a bandwagon-type behavior when network externalities are present. It further suggests that in such markets, the standard S-shaped diffusion curve is not an appropriate model for examining organizational behavior. From a managerial perspective, it means that buyers and sellers may face nonstandard diffusion curves. Instead of S-shaped curves, the actual curves have a break or rift where sales end, and there is a sudden shift to a new product that is relatively high very early on. Clearly, for new product development (NPD), it suggest that organizations' "for-use" purchases may be similar to regular consumers and may change rapidly from one product to another almost instantly, as in the case of the switch from vinyl records to compact discs (CDs). From an old product seller's viewpoint, the market is here today and gone tomorrow, while for the new seller it is a sudden deluge of sales requests. To put it in more everyday terms, sudden changes in adoption behavior are a September 11-type experience for the market. It is the day the world changes. [source]

Household size and residential water demand: an empirical approach,

AUSTRALIAN JOURNAL OF AGRICULTURAL & RESOURCE ECONOMICS, Issue 1 2010
Fernando Arbués
The effectiveness of pricing policies depends on the price elasticity of consumption. It is well documented that residential demand for water is influenced by heterogeneity associated with differences in the size of the household and socioeconomic characteristics. In this paper, we focus on household size. Our initial hypothesis is that users' sensitivity to changes in price is different depending on the number of household members. To this end, we carry out an empirical estimation of urban water demand in Zaragoza (Spain) distinguishing between households with different sizes using data at the individual level. As far as we are aware, this approach to urban residential water demand is new in the literature. The analysis suggests that all households are sensitive to prices regardless of size. A more relevant finding is that small households are more sensitive to price changes. [source]

Hydrograph and unit hydrograph derivation in arid regions

HYDROLOGICAL PROCESSES, Issue 8 2007
Zekai
Abstract Arid and semi-arid regions expose special hydrological features that are distinctive from humid areas. Unfortunately, humid-region hydrological empirical formulations are used directly in the arid and semi-arid regions without care about the basic assumptions. During any storm rainfall in arid regions, rainfall, infiltration and runoff components of the hydrological cycle have impacts on water resources. The basis of the methodology presented in this paper is the ratio of runoff increment to rainfall increment during an infinitesimally small time duration. This is the definition of runoff coefficient for the same infinitesimal time duration. The ratio is obtained through rational, physical and mathematical combination of hydrological thinking and then integrated with the classical infiltration equation for the hydrograph determination. The parameters of the methodology are explained and their empirical estimations are presented. The methodology works for rainfall and runoff from ungauged watersheds where infiltration measurement can be performed. The comparison of the new approach with different classical approaches, such as the rational formula and Soil Conservation Service method, are presented in detail. Its application is performed for two wadis within the Kingdom of Saudi Arabia. Copyright © 2006 John Wiley & Sons, Ltd. [source]