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The Consequences of Systematic Sampling on Granger Causality

Abeysinghe, Tilak; Rajaguru, Gulasekaran - Econometric Society - 2004

In applied econometric literature, the causal inferences are often made based on highly temporally aggregated or systematically sampled data. A number of theoretical studies have pointed out that temporal aggregation has distorting effects on causal inference and systematic sampling preserves...

Persistent link: https://www.econbiz.de/10005063635

CPI Bias and Real Living Standards in Russia During The Transition

Gibson, John; Stillman, Steven - Econometric Society - 2004

living standards. Our findings indicate that CPI bias has caused a substantial understatement of the growth performance of … the Russian economy during the transition. Even just allowing household final consumption to be deflated with bias, we … find that the level of real per capita GDP in 2001 may be understated by up to thirty percent compared with using a bias …

Persistent link: https://www.econbiz.de/10005130179

Inappropriate Detrending and Spurious Cointegration

Kang, Heejoon - Econometric Society - 2004

The empirical literature is abundant with detrended cointegration, where cointegration relations are estimated with deterministic trend terms. The use of detrended cointegration will mask important time series properties, however, because trend and cointegration indicate both deterministic and...

Persistent link: https://www.econbiz.de/10005130242

Malmquist, Fisher and Tornqvist Productivity Indexes

Lovell, Knox - Econometric Society - 2004

In this presentation I view a Malmquist productivity index as a theoretical index with desirable properties. I then discuss the properties of three approximations to it: an empirical Malmquist index, and Fisher and Tornqvist indexes. Next I discuss the decomposition properties of the theoretical...

Persistent link: https://www.econbiz.de/10005342143

Measuring Segregation

Volij, Oscar; Frankel, David - Econometric Society - 2004

We define a segregation ordering as a ranking of cities from most segregated to least segregated. \ We propose a set of basic properties that any reasonable segregation ordering should have. \ We then fully characterize the class of segregation orderings that satisfy these basic properties. \ We...

Persistent link: https://www.econbiz.de/10005342230

Robust Nonparametric Estimation of Efficiency and Technical Change in U.S. Commercial Banking

Wilson, Paul W.; Wheelock, David C. - Econometric Society - 2004

This paper examines the performance of the U.S.~commercial banking industry over 1984--2002. Rather than measuring performance relative to the unknown (and difficult-to-estimate) boundary of the production set, performance for a given bank is measured relative to {\it expected} maximum output...

Persistent link: https://www.econbiz.de/10005702644

Constructing a Coincident Index of Business Cycles Without Assuming a One-Factor Model

Murasawa, Yasutomo; Mariano, Roberto S. - Econometric Society - 2004

The Stock--Watson coincident index and its subsequent extensions assume a static linear one-factor model for the component indicators. Such assumption is restrictive in practice, however, with as few as four indicators. In fact, such assumption is unnecessary if one poses the index construction...

Persistent link: https://www.econbiz.de/10005702747

Testing Distributional Assumptions: A GMM Approach

MEDDAHI, N.; BONTEMPS, C. - Econometric Society - 2004

In this paper, we consider testing marginal distributional assumptions. Special cases that we consider are the Pearson's family like the Gaussian, Student, Gamma, Beta and uniform distributions. The test statistics we consider are based on the first moment conditions derived by Hansen and...

Persistent link: https://www.econbiz.de/10005328955

Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap

Seo, Myunghwan - Econometric Society - 2004

contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in … asymptotic theory for this bootstrap. It is demonstrated by a set of Monte Carlo simulations that the Wald test exhibits …

Persistent link: https://www.econbiz.de/10005342185

Likelihood-based estimation and specification analysis of one- and two-factor SV models with leverage effects

Durham, Garland - Econometric Society - 2004

Techniques for simulated maximum likelihood (SML) estimation, filtering, and assessing the fit of stochastic volatility models are examined. Both one- and two-factor models (with leverage effects) are considered. The techniques are computationally efficient, robust, straightforward to implement,...

Persistent link: https://www.econbiz.de/10005342197

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