By noting that the Hodrick-Prescott filter can be expressed as the solution to a particular regression problem, we are able to show how to construct confidence bands for the filtered time-series. This procedure requires that the data are stationary. The construction of such confidence bands is...

Using small-disturbance expansions, we derive analytic expressions for the bias of the OLS estimator an elasticity in a linear model, both at an individual sample point and at the sample mean. The magnitudes of these biases are illustrated with Australian expenditure data.

We test the Becker-Murphy model of rational addiction with New Zealand credit card debt data. Our results clearly favour the rational addiction model over the myopic, backward-looking model. The estimated short-run and long-run price elasticities are -0.58 and -2.32 respectively, and the...

We consider the class of generalized entropy (GE) measures that are commonly used to measure inequality. When used in the context of very small samples, as is frequently the case in studies of industrial concentration, these measures are significantly biased. We derive the analytic expression...