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31.
Franz Palm 《Journal of econometrics》1977,5(3):379-388
Systematic testing of the implications of the structural assumptions for the properties of the final equations and transfer functions associated with a dynamic econometric model, as proposed by Zellner and Palm (1974–1975), proved to be useful in model building. This paper contains several remarks on the use of univariate time series methods to empirically check out the implications of a linear dynamic simultaneous equation model. 相似文献
32.
In 1848 freedom of the press was written into the Constitution of the Kingdom of The Netherlands. This paper investigates the life cycle characteristics of the market for daily newspapers in The Netherlands since then. Life expectancy depends on the cyclical evolution of the number of daily newspapers through time. The life cycle of the competitive newspaper industry in The Netherlands is characterized by a turning period of turmoil during World War II. Models that aim at estimating the expected lifetime of newspapers should acknowledge the cyclical characteristics of the industry. 相似文献
33.
Alain Hecq Franz C. Palm & Jean-Pierre Urbain 《Oxford bulletin of economics and statistics》2000,62(4):511-532
In this paper we derive permanent-transitory decompositions of non-stationary multiple times series generated by (r)nite order Gaussian VAR(p) models with both cointegration and serial correlation common features. We extend existing analyses to the two classes of reduced rank structures discussed in Hecq, Palm and Urbain (1998). Using the corresponding state space representation of cointegrated VAR models in vector error correction form we show how decomposition can be obtained even in the case where the number of common feature and cointegration vectors are not equal to the number of variables. As empirical analysis of US business fluctuations shows the practical relevance of the approach we propose. 相似文献
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For non-stationary vector autoregressive models (VAR hereafter, or VAR with moving average, VARMA hereafter), we show that the presence of common cyclical features or cointegration leads to a reduction of the order of the implied univariate autoregressive-integrated-moving average (ARIMA hereafter) models. This finding can explain why we identify parsimonious univariate ARIMA models in applied research although VAR models of typical order and dimension used in macroeconometrics imply non-parsimonious univariate ARIMA representations. 相似文献
36.
Summary This study investigates the determinants of individual unemployment and jobsearch duration and the size and direction of duration dependence in a proportional hazard model. New insights into the shape of the time dependence of unemployment duration are obtained using a semi-parametric baseline hazard specification in combination with a parametric (gamma) heterogeneity correction or with a semi-parametric heterogeneity correction. Registration data on unemployed individuals in The Netherlands in the period April 1987–May 1987 are used. For both sexes, the hazard rate quickly rises during the first five months, but then after the fifth month rapidly declines until the end of the first year of unemployment, not showing any clear tendency thereafter. Commonly used parametric specifications for the baseline hazard prove to be too restrictive. For men we discuss the influences of the regressors.We like to thank Simon Kuipers, Theo van de Klundert, Wiji Narendranathan, Mark Stewart and an anonymous referee for helpful comments on an earlier draft of this paper 相似文献
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We present an efficiency wage model in which workers' disutility of effort depends on the level and on the growth rate of
their wage relative to an alternative wage. Using data for four countries (US, UK, FR, GY), the implications of the model
are examined and are found to be in accordance with the information in the non-stationary data. The restrictions implied by
the model dynamics are not rejected by the data and the structural parameters are found to be constant through time. One interesting
result is that the workers' disutility of effort depends less on relative wages growth and more on relative wage levels in
the US than in the three European countries analyzed.
First version received: September 1998 / Final version accepted: November 1999 相似文献