Kalman filtering as an alternative to Ordinary Least Squares — Some theoretical considerations and empirical results

The purpose of this paper is to highlight the superiority of the Kalman filter over Ordinary Least Squares for estimating the unknown coefficients of the classical linear regression model. Both methods are analyzed with respect to their optimality properties and their usefulness in dealing with multicollinearity. Theoretical results are applied to two economic models.     

中国农业投入和产出的关系——基于偏最小二乘回归法的分析

利用1985—2006年关于中国农业投入与产出的相关数据,采用偏最小二乘回归法,对中国农业投入和产出的关系进行了研究。研究发现:我国农业产出主要受家庭经营费用支出、国家财政支农支出和化肥投入量的影响,受播种面积的影响不大;农林牧渔业从业人员数越多,农业产出反而越小。提出如下建议:增加国家财政支农支出,以提高农村机械化水平和加强农业基础设施建设;改革农村土地流转模式,以促进农村剩余劳动力转移,进而提高农业生产效率。     

Assigning Refugees to Landlords in Sweden: Efficient,Stable, and Maximum Matchings*

In this paper, we investigate the problem of finding housing for refugees once they have been granted asylum. In particular, we demonstrate that market design can play an important role in a partial solution to the problem. More specifically, we investigate a specific matching system, and we propose an easy-to-implement mechanism that finds an efficient, stable, and maximum matching. Such a matching guarantees that housing is efficiently provided to a maximum number of refugees, and that no refugee prefers another specific landlord to their current match when, at the same time, that specific landlord prefers that refugee to their own current match.     

The Core, Transaction Costs, and the Coase Theorem

This paper clarifies and synthesizes elements of the two decade old debate concerning the Coase theorem and the empty core. Five lessons can be derived from this debate. First, the Coase theorem may break down when there more than two participants (provided the additional participants bring an additional externality to the table). Second, the problem of the empty core does not disappear in a world of positive transaction costs. Under reasonable assumptions about the transactions technology, transaction costs may well exacerbate the empty-core problem. As a consequence, it is important to differentiate between transaction costs (when the core exists) and costs due to the empty core because each has different implications for rationalizing institutional arrangements. Third, the Coase theorem will not break down when the number of participants increases if the new participants do not bring additional externalities with them. If, however, additional participants bring in additional externalities, then the core may be empty and Pareto efficiency may not emerge from costless negotiations. Fourth, Pareto Optimality can be achieved when the core is empty by judicious use of penalty clauses, binding contracts, and constraints on the bargaining mechanism. Fifth, when a non-excludable public good is involved, a free-rider problem arises as the number of agents increases, and this undermines the Coase theorem; in this case, Coasean efficiency requires the participation of all agents affected by the externality in the writing of binding contracts.     

Damage Estimation and Its Accuracy Antitrust Policy Implication *

This paper empirically estimates antitrust damage based on the rich information on cost factors in the bid-rigged Texas school milk market. Empirical results demonstrate that damage estimate by antitrust agency is a significantly underestimated amount of the true damage. This understatement of true harm inevitably includes implementation biases in the antitrust system. [K21, L13, L40]     

The National Economic Summit: Authority,Persuasion and Exchange*

The National Economic Summit can be viewed as a symptom of the extensive use of authority in the Australian economy and equally an expression of the limitations of what can be achieved with centralized authority. An examination of the documentation left by the summit provides an opportunity to assess the implications of policy choices which use persuasion and authority rather than market disciplines.     

On Efficient Estimation and Correct Inference in Models with Generated Regressors: a General Approach

Two approaches have been developed for deriving the properties of efficiency and consistency of standard errors of two step estimators of linear models containing current or lagged unobserved expectations of a single variable. One method is based on the derivatives of the likelihood function and information matrix, while the other uses the true covariance matrix of the disturbance vector when unknown parameters or variables are replaced by corresponding estimates. In this paper, the second approach is extended to cases where the structural equation is nonlinear and the model contains expectations of more than one variable or expectations of future variables. The properties of a frequently used estimator to deal with missing observations problems, a model involving a variance as an explanatory variable, and a recently developed estimator for autoregressive moving average models can be easily derived using the results of the paper. Methods for improving the efficiency of two step estimators are outlined.
JEL Classification Number: C13     

Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts

An efficient systems approach is used to estimate and test two alternative models regarding the pricing of Australian dollar futures contracts traded on the International Monetary Market of the Chicago Mercantile Exchange. Cointegrating relationships among the Australian dollar spot and futures prices, and the US and Australian risk-free rates of interest, suggest alternative error-correction representations for the cost-of-carry model which, with appropriate zero restrictions, yields the unbiased expectations hypothesis. A structural break in the futures price series permits estimation of appropriate models for the full sample in the presence of the break, for the full sample without explicitly modelling the break, and for two separate sub-samples created by the structural break. The restricted and unrestricted cost-of-carry formulations are estimated for all sample sets, the models obtained are found to be statistically adequate, and the qualitative results are reasonably robust across different sample sets for both models. On the basis of the tests of zero restrictions, the cost-of-carry model is found to be empirically superior to the unbiased expectations hypothesis for the four sample sets considered, regardless of the number of cointegrating relations.     

城市化的现状、问题与对策

城市化是伴随工业化产生的必然结果.近年来,我国城市化进程加速,有力地带动了国民经济的发展,但随着城市化的快速发展,也暴露出一些问题.正确认识我国城市化的发展现状,正视城市化进程中出现的问题并立足现实寻找可行的对策,才能更好地建设和谐社会.     

科斯定理、相互性与公共领域

经济学家不理解科斯及其理论,因为他们不懂得科斯定理、相互性定理和科斯核心定理的内在联系.姚兰·巴塞尔的产权经济分析是以科斯核心定理和公共领域产权的不确定性为基础的.私人所有或者政府所有是否有效率,依赖于交易成本的变化.私人所有过去可能存在着效率上的缺陷.     

Labor Income Taxation,Human Capital,and Growth: The Role of Childcare*

In this paper, we examine the effects of labor income taxation on growth in an overlapping generations model in which schooling and childcare play a role in the production of human capital. We compare such effects with those obtained in a model in which only schooling matters for skill formation. We show that the omission of childcare from the technology of skill formation can bias the results related to the impact of labor income taxation on growth.     

The Probability of Leaving Unemployment: The Influence of Duration,Destination and Demographics*

This paper examines the influences of a number of demographic characteristics and the duration of unemployment on the probability of leaving unemployment. This probability is found to decrease as the duration of unemployment increases, with married females having the highest probability of exit. Various measures of average completed duration suggest that the longest spells of unemployment are incurred by older males. These appear to be longest for males withdrawing from the labour market. The relationship between the duration of unemployment and the probability of exit is important for labour market policy. Some relevant considerations are also explored in the paper.     

The Mean Voter Theorem: Necessary and Sufficient Conditions for Convergent Equilibrium

Formal models of elections have emphasized the convergence of party leaders towards the centre of the electoral distribution. This paper attempts to resolve the apparent disparity between the formal result and the perception of political divergence by considering a model incorporating valence. Valence can be interpreted as the non-policy basis of political judgement made by the electorate concerning the quality of political contenders. The theorem presented here shows that there is a necessary condition for convergence. The condition involves the difference in party valences and the electoral variance. When the condition fails, the low-valence parties will be forced to adopt policy positions far from the electoral centre. The inference appears to be substantiated by an empirical model of the Israel election in 1996.