maastricht: the case for EMU

Peter Spencer, chief UK economist of Lehman Brothers, explains how the Maastricht agreements could lead to European Monetary Union - an end to be desired.     

Errors of aggregation and errors of specification in a consumer demand model: a theoretical note

Abstract .  Consumer demand models based on the concept of a representative or average consumer suffer from aggregation error. Misspecification of the underlying micro utility-maximizing model, which is virtually inevitable, also results in error. This note provides a theoretical investigation of the relationship between the two types of error. Misspecified expenditure support functions for demand systems at the micro level induce the same misspecified structure in the corresponding expenditure functions at the macro level, and the errors at the two levels are shown to be of similar order.     

Resampling a time-series process: A method of estimating the probabilities associated with alternative plans for protecting pensions against inflation

Any pension protection formula that falls short of complete compensation for inflation has associated with it a time-series of probability distributions of future purchasing power losses. A method of estimating those distributions is proposed and applied. The method is based on the idea of representing inflation as a multivariate time-series process and using a model fitted to historical data to generate a large artificial sample of ‘realized’ inflation sequences by means of a bootstrapping procedure. The purchasing power losses under a given protection plan can then be simulated for each inflation sequence and the sample distributions calculated.     

Analysis of the intertemporal behaviour of parameter estimates from a model of the United States economy

Zusammenfassung Untersuchungen der Veranderungen von Parametersch?tzungen im Zeitablauf an einem Modell der Volkswirtschaft der Vereinigten Staaten. — Prognosen aufgrund ?konometrischer Modelle erfordern eine standige Revision, um die neuesten Daten einfügen zu k?nnen. Ein etwas vernachl?ssigtes Ergebnis besteht darin, da\ dabei die Sch?tzungen der zugrunde liegenden Parameter beeinflu\t werden. Es ist das Ziel der vorliegenden Abhandlung, die zeitlichen Ver?nderungen der Parameterschatzungen eines makro-?konomischen Modells, die aufgrund verschiedener Methoden gewonnen wurden, zu untersuchen. Die Studie kommt zu dem Ergebnis, da\ die Sch?tzwerte, die aufgrund einer Sequenzanalyse erzielt wurden, ausgepr?gten Trends folgen und da\ darüber hinaus die zeitlichen Perioden, die aufgrund alternativer Sch?tzmethoden bestimmt wurden, oft erheblich voneinander abweichen.

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Résumé Analyse des changements successifs dans l’estimation des paramètres d’un modèle de l’économie des Etats-Unis. — Le pronostic à l’aide de modèles économétriques exige une révision continuelle en vue d’incorporer les données les plus récentes. Le résultat, quelque peu négligé, en est que les estimations des param\ `etres de base en sont affectées. Cet article cherche à analyser les changements successifs des paramètres d’un modèle macro-économique — estimations qui furent trouvées par de différentes méthodes. L’étude arrive à la conclusion que les estimations trouvées par une analyse séquentielle suivent des tendances prononcées et, en outre, que les périodes trouvées par de différentes méthodes diffèrent souvent sensiblement l’une de l’autre.

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Resumen Análisis de las variaciones de paráetres estimados en el tiempo, utilizando un modelo de la economía de los Estados Unidos. — Proyecciones hechas con la ayuda de modelos econométricos requieren un revisión permanente con el fin de poder introducir los datos más recientes. El problems que entonces surge, y que nos recibe siempre la debida atenci?n, consiste en que las estimaciones de los paramé-tras reaccionen de alguna mariera. El objetivo del presente trabajo es analizar la variación de estas estimaciones en el tiempo; para ello se emplea un modelo macroecon?mico estimado por diversos métodos. El resultado del anàlisis es que las estimaciones conseguidas por medio de un análisis de secuencia muestran claramente un trend; ademas se puede ver que los resultados obtenidos a través de métodos de estimaci?n alternatives difieren a menudo de modo sustancial los unos de los otros.

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Riassunto Esami delle modificazioni di stime di parametro nel decorso del tempo in un modello dell’economia degli Stati Uniti. — Prognosi in base a modelli econometrici richiedono una revisione costante per poter inserire i dati più recenti. Un risultato un po’ trascurato consiste nel fatto che con ci? sono influenzate le stime dei parametri che sono alla base. E obiettivo del presente studio di esaminare le modificazioni temporali delle stime dei parametri di un modello macroeconomico che fu ottenuto in base a metodi diversi. Lo studio perviene al risultato che i valori di stima che furono raggiunti in base ad un’analisi di sequenza seguono ?trend? marcati e che oltre a ciò i periodi temporali che furono determinati in base a metodi di stima alternativi spesso differiscono in maniera rilevante.

     

Online,on call: the spread of digitally organised just‐in‐time working and its implications for standard employment models

This article questions whether the dominant policy discourse, in which a normative model of standard employment is counterposed to ‘non‐standard’ or ‘atypical’ employment, enables us to capture the diversity of fluid labour markets in which work is dynamically reshaped in an interaction between different kinds of employment status and work organisation. Drawing on surveys in the UK, Germany, Sweden and the Netherlands that investigate work managed via online platforms (‘crowdwork’) and associated practices, it demonstrates that crowdwork represents part of a continuum. Not only do most crowd workers combine work for online platforms with other forms of work or income generation, but also many of the ICT‐related practices associated with crowdwork are widespread across the rest of the labour market where a growing number of workers are ‘logged’. Future research should not just focus on crowdworkers as a special case but on new patterns of work organisation in the regular workforce.     

The small sample bias of Durbin's tests for serial correlation: When one of the regressors is the lagged dependent variable and the null hypothesis is true

Durbin (1970) has recently proposed two asymptotically equivalent statistics which can be used to test for the presence of serial correlation when some of the regressors are lagged dependent variables. This study reports on simulation experiments designed to compare the two statistics, in use with small samples, in terms of their tendencies to detect serial correlation when none exists. Of the two test statistics, it is found that the one based on estimated residuals detects the absence of serial correlation in the expected proportion of trials; the other statistic (Durbin's h), which involves the application of a correction factor to the Durbin-Watson statistic, gives evidence of serious small sample bias which varies with both the sample size and the assumed size of the coefficient attaching to the lagged dependent variable.     

Combining Modelling Strategies to Analyse Teaching Styles Data

This paper combines two estimation procedures: Iterative Generalized Least Squares as used in the software MLwiN; Gibbs Sampling as employed in thesoftware BUGS to produce a modelling strategy that respects the hierarchical natureof the Teaching Styles data and also allows for the endogeneity problems encountered when examining pupil progress.     

Impact of Bovine Spongiform Encephalopathy on Agribusiness in the United Kingdom: Results of an Event Study of Equity Prices

This article assesses the impact on agribusinesses of the United Kingdom Government's announcement of a possible link between Bovine Spongiform Encephalopathy and human health. Three approaches are employed to derive benchmark models against which abnormal returns are estimated, a simple market model, Scholes–Williams approach, and an autoregressive distributed lag model. Abnormal returns are estimated for single firms and for subsectors over an eight-day event window. The autoregressive distributed lag model performs best and indicates significant negative abnormal returns in the beef, pet food, animal feed, and dairy sectors and positive abnormal returns in the other meats sector.