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1.
Estimation of technical inefficiency effects using panel data and doubly heteroscedastic stochastic production frontiers 总被引:3,自引:0,他引:3
In previous studies, measures of technical inefficiency effects derived from stochastic production frontiers have been estimated
from residuals which are sensitive to specification errors. This study corrects for this inaccuracy by extending the doubly
heteroscedastic stochastic cost frontier suggested by Hadri (1999) to the model for technical inefficiency effects. This model
is a stochastic frontier production function for panel data as proposed by Battese and Coelli (1995). The study uses, for
illustration of the techniques, data on 101 mainly cereal farms in England. We find that the correction for heteroscedasticity
is supported by the data. Both point estimates and confidence intervals for technical efficiencies are provided. The confidence
intervals are constructed by extending the “Battese-Coelli” method reported by Horrace and Schmidt (1996) by allowing the
technical inefficiency to be time varying and the disturbance terms to be heteroscedastic. The confidence intervals reveal
the precision of technical efficiency estimates and show the deficiencies of making inferences based exclusively on point
estimates.
First version received: March 2000/Final version received: Oct. 2001
RID="*"
ID="*" The authors are grateful to the Economic and Social Research Council for access to their Data Archive which has provided
the data for this research. We are indebted to Badi Baltagi and two anonymous referees for their helpful comments and suggestions.
The usual caveat applies. 相似文献
2.
This paper proposes a new testing strategy for unemployment hysteresis as the joint restriction of a unit-root in the unemployment
rate and no feedback effect of unemployment in the Phillips wage equation. The associated test statistics are derived when
this joint restriction is imposed and when a sequential two steps testing strategy is adopted. An empirical application leads
to reject the null hypothesis of wage hysteresis for most of our OECD countries. Evidence against hysteresis is reinforced
when accounting for wage adjustments in the bivariate approach.
First version received: July 1999/Final version received: May 2002
RID="*"
ID="*" We thank R. Boyer, F. Collard, F. Karamé, F. Langot, F. Mihoubi, W. Pohlmeier and two anonymous referees for fruitful
comments. This paper has also benefited from discussions at the T2M conference (Montréal, may 1999) and ESEM99 (Santiago,
august 1999). The traditional disclaimer applies. 相似文献
3.
Luis A. Gil-Alana 《Empirical Economics》2003,28(1):101-113
Tests of unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article
to the Nelson and Plosser's (1982) series. The tests can be expressed in a way allowing for structural breaks under both the
null and the alternative hypotheses. When applying the tests to the same dataset as in Perron (1989), we observe that our
results might be consistent with those in Perron (1989) when testing the nulls of trend-stationarity or a unit-root. However,
we also observe that fractionally integrated hypotheses may be plausible alternatives in the context of structural breaks
at a known period of time.
Final version received: August 2000/Final version accepted: August 2001
RID="*"
ID="*" The author gratefully acknowledges the financial support from the European TMR grant No. ERBFMRX-CT-98-0213. Comments
of two anonymous referees are also acknowledged. 相似文献
4.
In this paper the long-run trend in RPI inflation (core inflation) for the UK over the 1961–1997 period is estimated within the framework of a multivariate common trends model which extends
the bivariate VAR approach of Quah and Vahey (1995). In this context core inflation is directly linked to money and wage growth and interpreted
as the long-run forecast of inflation from a small-scale, cointegrated macroeconomic system.
First version received: September 1999/Final version received: October 2001
RID="*"
ID="*" We thank two anonymous referees for many helpful comments and suggestions. Work on this paper was partially conducted
when C. Morana was at Heriot-Watt University. 相似文献
5.
Armando Levy 《Empirical Economics》2003,28(1):3-22
This paper proposes a semi-parametric approach to estimation in Tobit models. A generalized additive Tobit model of residential local long distance (intra-LATA) telephone demand is estimated on a cross-section of residential telephone
consumers across twenty-eight states. While past studies of telecommunications demand have used fully parametric models, the
model presented here is non-parametric in two dimensions: first no distributional assumption is made for the error distribution,
and second, the demand equation is non-parametric with respect to price. We find that the elasticity of demand is substantially
lower (in absolute value) that found in previous studies for a 40% cut in tariffs.
First version received: July 2000/Final version received: March 2001
RID="*"
ID="*" I thank the referee and Associate Editor for suggestions which improved the paper.
The views expressed here are of the author and not Analysis Group | Economics. 相似文献
6.
This paper presents a methodological extension of Deaton's (1990) model for estimating price elasticities, by pooling Tunisian
data from several surveys to improve the inter-cluster variability of unit values which is one of the key elements used in
the derivation of these elasticities. Since the surveys cover a relatively long period, possible structural changes in consumption
behaviour occurring over time are accounted for by postulating that certain response coefficients of the basic model vary
from one survey to the other. The own price and cross price elasticities calculated using appropriate estimates of the extended
model are satisfactory both from the economic point of view of their sign and the statistical point of view of their significance
and superior to those obtained using a single survey.
First version received: April 2000/Final version received: June 2001
RID="*"
ID="*" The authors would like to thank Angus Deaton and anonymous referees for useful comments and suggestions. 相似文献
7.
This paper examines Bayesian methods of examining posterior distributions of inequality, concentration, tax progressivity
and social welfare measures. Use is made of an explicit income distribution assumption and two alternative assumptions regarding
the distribution of pre-tax mean incomes within each income group. The methods are applied to a simulated distribution of
individual incomes and tax payments. It is possible to identify a minimum acceptable number of income classes to be used.
The results suggest support for the use of group means in practical applications, particularly where large sample sizes are
available.
First version received: August 2000/Final version received: July 2001
RID="*"
ID="*" This research was supported by a Melbourne University Faculty of Economics and Commerce Research Grant. We should
like to thank Bill Griffiths and two referees for comments on an earlier draft. 相似文献
8.
Increasing public concerns about health risks associated with dietary intakes of cholesterol are expected to have significant
impacts on the demand for foods with high fat content. This paper investigates how information about cholesterol, as measured
by two newly constructed indices based on published medical research, has affected the demand for meats (beef, chicken and
pork) and fish in the Nordic countries (Denmark, Finland, Norway and Sweden). To compare the effects of information across
countries and over time, the demand equations for all the countries are estimated within one system, and a complete set of
price and expenditure elasticities is estimated. Our findings suggest that health information has affected consumption in
a healthy way in all countries studied except for Denmark. We find positive effects on the demand for chicken in Finland,
Norway and Sweden and for fish in Finland and Sweden. A negative effect on the demand for beef in Sweden also is found.
First version received: May 2001/Final version received: December 2001
RID="*"
ID="*" The authors would like to thank Wen S. Chern and Bj?rn Sl?en for their assistance in the construction of the health
information indices. The suggestions of two anonymous referees have also been of great assistance. The EU (contract FAIRS-CT97-3373)
and the Research Council of Norway (grant no. 134018/110) provided financial support for this research.” 相似文献
9.
Sectoral trends and cycles in Germany 总被引:1,自引:0,他引:1
We examine the comovements between the output indexes of three German sectors (manufacturing, mining, and agriculture) and
the three corresponding sectoral stock market indexes. It is found that data with and without seasonal adjustment give mixed
results on the long-run interaction between the sectoral indexes. Compared with data that are non-seasonally adjusted, the
adjusted data offer weaker evidence on the cointegration relationship between a) the sectoral output indexes, b) sectoral
stock indexes, and c) individual pairs of real and financial indexes. On short-run comovement, seasonally adjusted data offer
stronger evidence on the presence of common synchronized and non-synchronized cyclical components.
First version received: March 2000/Final version received: September 2001
RID="*"
ID="*" We would like to thank Michael Dooley, Juergen von Hagen, Kenneth Kletzer, Peter Kugler, Jacky So and two anonymous
referees, as well as the participants of the Fifth Global Finance Conference in Mexico City, the seminars at the University
of California at Santa Cruz, University of Munich, and University of Basel for their helpful comments and suggestions. This
research was supported by CGES at UC Berkeley and UC Santa Cruz faculty research funds. 相似文献
10.
Susanne Maidorn 《Empirical Economics》2003,28(2):387-402
Assuming full hysteresis in the Austrian labour market, a simple macroeconomic framework is used to model the effect of four
structural shocks, i.e. shocks to productivity, demand, wages and labour supply. By using SVAR analysis, we derive impulse-response
functions that show the effects of these shocks on unemployment. What constitutes a distinctive feature of our study is the
deliberate use of overidentifying restrictions, allowing for a likelihood ratio test. The objection to SVAR methodology, that
it relies on arbitrary assumptions, can thus be overcome, as invalid sets of identifying restrictions are rejected.
First version received: September 2000/Final version received: March 2002
RID="*"
ID="*" I thank Juan F. Jimeno, Martin Wagner, Helmut Hofer and Bernhard B?hm for their assistance; Robert Kunst and Martin
Spitzer for their discussion of an earlier version of this paper; Thomas Sparla, Michael Roos and two anonymous referees for
their helpful comments. 相似文献
11.
This paper provides an empirical analysis of the structure of earnings in West Germany across skill groups and industries.
Our analysis is based on data from the German Socioeconomic Panel for the period 1984 to 1994. We estimate quantile regressions,
both for the entire sample period and for each year separately, in order to obtain a finer picture of the earnings structure
compared to conventional least squares methods. For robust standard error estimation, this study uses a block bootstrap procedure
taking account of heteroskedasticity and autocorrelation in the error term. We also suggest a simple procedure to obtain a
consistent estimate of inter-industry earnings variability. Our main findings are: first, pooled estimation comprising a uniform
time trend is not rejected by the data, and second, the effects of human capital variables and industry dummies on earnings
differ considerably across quantiles.
First version: May 1998/Final version: April 2002
RID="*"
ID="*" We are grateful to an anonymous referee as well as to Thiess Büttner, Christian Dustmann, Wolfgang Franz, John Haisken-DeNew,
Costas Meghir, Werner Smolny, Peter Winker, Volker Zimmermann, and seminar participants in Heidelberg, Kassel, Konstanz, and
Paris for helpful comments. However, all errors are our sole responsibility.
RID="*"
ID="*" We are grateful to an anonymous referee as well as to Thiess Büttner, Christian Dustmann, Wolfgang Franz, John Haisken-DeNew,
Costas Meghir, Werner Smolny, Peter Winker, Volker Zimmermann, and seminar participants in Heidelberg, Kassel, Konstanz, and
Paris for helpful comments. However, all errors are our sole responsibility. 相似文献
12.
In this paper, we provide new evidence on how to model unemployment durations in the presence of temporary layoffs. Two different
types of econometric models are used: the multiple phase duration model and the competing risks model. Special attention is
paid to the possibility of time-varying or non-proportional effects of the explanatory variables on the hazard function. The
results show that instead of using the multiple phase duration model as an alternative to the competing risks model, it may
be more fruitful to use it to extend the specification of the competing risks model.
First version received: August 2000/Final version accepted: July 2001
RID="*"
ID="*" Financial support from the Danish National Research Foundation is gratefully acknowledged. We thank Gerard van den
Berg, Per-Anders Edin, Niels Haldrup, Winfred Pohlmeier and anonymous referees for useful comments. We also thank Jens Chr.
Thellesen for research assistance. 相似文献
13.
Rolando F. Peláez 《Empirical Economics》2003,28(2):417-429
This paper provides the strongest evidence to-date on the predictability of real stock prices over long horizons. Ex ante
forecasts account for over two-thirds of the variation of the growth rate of real stock prices over ten year spans from 1940
through 2001. The paper forecasts negative growth rates of real stock prices over the next ten years. This bearish long-run
outlook is buttressed by the long-run relationship between the growth rates of real stock prices, inflation, dividends, and
productivity.
First version received: June 2000/Final version received: June 2001
RID="*"
ID="*" Special thanks to an anonymous referee for helpful comments. 相似文献
14.
On the choice of functional form in stochastic frontier modeling 总被引:4,自引:1,他引:4
This paper examines the effect of functional form specification on the estimation of technical efficiency using a panel data
set of 125 olive-growing farms in Greece for the period 1987–93. The generalized quadratic Box-Cox transformation is used
to test the relative performance of alternative, widely used, functional forms and to examine the effect of prior choice on
final efficiency estimates. Other than the functional specifications nested within the Box-Cox transformation, the comparative
analysis includes the minflex Laurent translog and generalized Leontief that possess desirable approximation properties. The
results indicate that technical efficiency measures are very sensitive to the choice of functional specification. Perhaps
most importantly, the choice of functional form affects the identification of the factors affecting individual performance
– the sources of technical inefficiency. The analysis also shows that while specification searches do narrow down the set
of feasible alternatives, the identification of the most appropriate functional specification might not always be (statistically)
feasible.
First version received: November 1999/Final version received: July 2001
RID="*"
ID="*" The authors wish to thank Almas Heshmati, Robert Romain, and an anonymous referee for insightful comments and suggestions.
Special thanks go to the associate editor who handled the paper, and whose careful reading and suggestions have improved the
paper substantially. The second author wishes to acknowledge the financial support from “President SSHRC” from the University
of Saskatchewan. The usual caveats with respect to opinions expressed in the paper apply. Senior authorship is shared. This is University of Nebraska-Lincoln Agricultural Research Division Article No. 13270. 相似文献
15.
Jiazhong You 《Empirical Economics》2003,28(1):61-73
Both standard and robust methods are used here to estimate models of Engel curves for three household commodities, namely,
food, transport, and tobacco and alcohol in Canada. The income elasticities of demand computed from the various methods differ
significantly for the transport and tobacco-alcohol consumption where there are obvious outliers and zero expenditures problem.
Robust estimators point to lower income elasticities and have better performance than the standard LS and Tobit estimator.
These results are analyzed in the light of the information on finite-sample performance obtained in a previous Monte Carlo
study.
First version received: July 2000/Final version received: July 2001
RID="*"
ID="*" I wish to thank Victoria Zinde-Walsh, John Galbraith, Clint Coakley, two anonymous referees and an associate editor
for helpful comments. I would also like to thank Anastassia Khouri for kindly providing the 1992 Family Expenditure Survey
of Canada data. 相似文献
16.
Chris M. Alaouze 《Empirical Economics》2003,28(3):599-613
The modified logit model (Amemiya and Nold, 1975) is generalised to the case where the error term is autocorrelated. The
asymptotic distribution (as n →∞ and T →∞) of a feasible GLS estimator of β is derived. Tests of linear restrictions on β and the significance of ρ are presented.
The results of the applied work suggest that the factors which explain the pricing behaviour of manufacturing firms, as reported
in the tendency survey conducted by the Australian Chamber of Commerce and Industry and the Westpac Banking Corporation, include
historical inflation rates of up to 7 quarters and capacity utilisation.
First version received: March 2001/Final version received: July 2002
RID="*"
ID="*" The first draft of this paper was written while the author was on study leave at the Department of Econometrics, University
of Sydney, Australia. 相似文献
17.
Tatsuyoshi Miyakoshi 《Empirical Economics》2003,28(1):173-180
In this paper the models for the real exchange rate determination are re-examined between Japan and five East-Asian countries.
Two important findings are reported. First, the real interest rate-bias model is valid for Korea-, Malaysia-, Indonesia-,
and Philippines-Japan, and the productivity-bias model is valid for Indonesia-, and Philippines-Japan: that is, the coefficients
of relative variables are stable and statistically significant. Second, there is no evidence that the political risk premium
model is valid.
First version received: September 2000/Final version received: April 2001
RID="*"
ID="*" This paper was presented at the Tohoku University Economics Conference April 1999. I acknowledge Yoshihiko Tsukuda,
Hiroya Akiba, Tadashi Kuriyama, Jiro Akita and Hiroyuki Ozaki for their helpful comments. Also, I am very grateful to two
referees of this journal for many valuable comments. The research was supported by the Nomura foundation for Social Science
in 2000. 相似文献
18.
Closed-loop equilibrium in a multi-stage innovation race 总被引:1,自引:0,他引:1
Kenneth L. Judd 《Economic Theory》2003,21(2-3):673-695
Summary. We examine a multistage model of an R&D race where players have multiple projects. We also develop perturbation methods for
general dynamic games that can be expressed as analytic operators in a Banach space. We apply these perturbation methods to
solve races with a small prize. We compute second-order asymptotically valid solutions for equilibrium and socially optimal
decisions to determine qualitative properties of equilibrium. We find that innovators invest relatively too much on risky
projects. Strategic reactions are ambiguous in general; in particular, a player may increase expenditures as his opponent
moves ahead of him.
Received: January 3, 2002; revised version: June 14, 2002
RID="*"
ID="*" This is the final version of Judd (1985). The author gratefully acknowledges the comments of anonymous referees, Paul
Milgrom, seminar participants at Northwestern University, the University of Chicago, the 1984 Summer Meetings of the Econometric
Society, University of California at Berkeley, Stanford University, and Yale University, and the financial support of the
National Science Foundation (SES-8409786, SES-8606581) 相似文献
19.
Summary. We consider the problem of efficient insurance contracts when the cost structure includes a fixed cost per claim. We prove
existence of efficient insurance contracts and that the indemnity function in such contracts is non-decreasing in the damage.
We further show that either there is no insurance, or the indemnity is positive for all losses, or efficient insurance contracts
have a unique jump. We study variants of the model and provide a generalization to the case of non expected utilities. Our
results are then applied to Townsend's model of deterministic auditing.
Received: November 8, 2000; revised version: March 12, 2002
RID="*"
ID="*" We are grateful to F. Salanié for pointing out an error in the previous version of the paper and for suggesting Proposition
6 to us.
Correspondence to: R.-A. Dana 相似文献
20.
Summary. We prove existence of a competitive equilibrium in a version of a Ramsey (one sector) model in which agents are heterogeneous
and gross investment is constrained to be non negative. We do so by converting the infinite-dimensional fixed point problem
stated in terms of prices and commodities into a finite-dimensional Negishi problem involving individual weights in a social
value function. This method allows us to obtain detailed results concerning the properties of competitive equilibria. Because
of the simplicity of the techniques utilized our approach is amenable to be adapted by practitioners in analogous problems
often studied in macroeconomics.
Received: September 13, 2001; revised version: December 9, 2002
RID="*"
ID="*" We are grateful to Tapan Mitra for pointing out errors as well as making very valuable suggestions. Thanks are due
to Raouf Boucekkine and Jorge Duran for additional helpful discussions. We also thank an anonymous referee for his/her helpful
comments. The second author acknowledges the financial support of the Belgian Ministry of Scientific Research (Grant ARC 99/04-235
“Growth and incentive design”) and of the Belgian Federal Goverment (Grant PAI P5/10, “Equilibrium theory and optimization
for public policy and industry regulation”).
Correspondence to: C. Le Van 相似文献