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Market Structure and Schumpeterian Growth
Phillips, Kerk; Lambson, Val - Econometric Society - 2004
consider both Bertrand competition and collusion among successful innovators. Surprisingly, the industry demand for R&D inputs … does not depend on the number of firms in the R&D sector if Bertrand competition ensues following ties. In contrast, demand … for R&D inputs is higher if ties are expected to result in collusion. In general equilibrium, Bertrand competition leads …
Persistent link: https://www.econbiz.de/10005702694
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Expiration Day Effect in Korean Stock Market: Wag the Dog?
Park, Chang-Gyun; Lim, Kyung-Mook - Econometric Society - 2004
Despite the great success of the derivatives market, several concerns were expressed regarding the additional volatility stemming from program trading during the expiration of derivatives. This paper examines the impact of the expiration of the KOSPI 200 index derivatives on cash market of Korea...
Persistent link: https://www.econbiz.de/10005702728
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Legitimacy, Local Participation, and Compliance in the Galapagos Marine Reserve
Chavez, Carlos; Viteri, César - Econometric Society - 2004
We analyze the compliance behavior of the small-scale fishery boat-owners of the Galapagos Marine Reserve. Our empirical analysis considers aspects related to the participatory management system of the reserve as determinant factors of the decision to violate the regulations. The econometric...
Persistent link: https://www.econbiz.de/10005063572
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Block Bootstrap for Parameter Estimation Error when Parameters are recursively estimated
Swanson, Norman R.; Corradi, Valentina - Econometric Society - 2004
In real time forecasting, the sample is usually split into an estimation period of R observations and a prediction period of P observations, where T=R+P. Parameters are often estimated in a recursive manner, initially using R observations, then R+1 observations and so on until T-1 observations...
Persistent link: https://www.econbiz.de/10005063601
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Monetary Policy and Capital Accumulation Processes :How did the FED react to the Transition Phases ?
Frank, Paolucci - Econometric Society - 2004
The present paper is related to the recent discussion about the efficiency of the Reserve Federal Bank on investment decisions. Our aim is not to propose an optimal policy rule but rather to appreciate and to understand the link between the monetary interventions of the FED and capital...
Persistent link: https://www.econbiz.de/10005063627
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A Smooth Test for Density Forecast Evaluation
Ghosh, Aurobindo; Bera, Anil K. - Econometric Society - 2004
Recently financial econometricians have shifted their attention from point and interval forecasts to density forecasts mainly to address the issue of the huge loss of information that results from depicting portfolio risk by a measure of dispersion alone. One of the major problems in this area...
Persistent link: https://www.econbiz.de/10005063641
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Another Characterization of Long Memory Behavior
Collet, Jerome J; Guegan, Dominique - Econometric Society - 2004
Different criteria exist to define long memory behavior. The two most used relate to the asymptotic decay of the autocovariance function of a process, and to the shape of its spectral density. In the case of a long memory process, the asymptotic decay of the autocovariance function is...
Persistent link: https://www.econbiz.de/10005063673
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Forecasting US Inflation Using Model Averaging
Dijk, Dick van - Econometric Society - 2004
Forecasting inflation remains an intriguing research topic among academics and practitioners alike. Recent studies by Stock and Watson (1999 JME, 2003 JEL) have documented the limited usefulness of Phillip curve type models using unemployment or other macroeconomic and financial variables for...
Persistent link: https://www.econbiz.de/10005063687
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Consistent LM-Tests for Linearity Against Compound Smooth Transition Alternatives
Hill, Jonathan B. - Econometric Society - 2004
We develop LM-tests of linearity that are consistent against a class of Compound Smooth Transition Autoregressive (CoSTAR) models of the conditional mean. Our method is an extension of the sup-test developed by Bierens (1990) and Bierens and Plobeger (1997), provides maximal power against...
Persistent link: https://www.econbiz.de/10005063692
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Are New Keynesian Phillips Curves Identified ?
Kichian, Maral; Dufour, Jean-Marie; Khalaf, Lynda - Econometric Society - 2004
In this paper we use optimal-instrument and new finite-sample methods to test the empirical relevance of the New Keynesian Phillips curve (NKPC) equation. Unlike generalized method of moments-based methods, these generalized Anderson-Rubin tests are immune to the presence of weak instruments,...
Persistent link: https://www.econbiz.de/10005063699