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household consumption, such as the ones published by the World Bank, are not based explicitly on economic theory. So it is not … conventional multilateral index such as the World Bank’s PPP for consumption. … empirical evidence against homotheticity. The estimates of the standard of living in this paper are based on the economic theory …
Persistent link: https://www.econbiz.de/10011071065
-dependent: the level of a Divisia index is affected not just by the level of prices at the two endpoints but also by the path between … the endpoints. It is also well-known that a Divisia index of the cost of living is path-independent if and only if all … income elasticities are equal to one, a restriction that is decisively rejected by studies of consumer demand. In theory, the …
Persistent link: https://www.econbiz.de/10011071070
are many more parameters than observations. Index number theory has solved this problem, at least when demand is … demand is not homothetic, i.e. when not all expenditure elasticities are equal to one. In principle, economic theory tells us … how we should calculate a true cost-of-living index or Konüs price index: first estimate the consumer's expenditure …
Persistent link: https://www.econbiz.de/10011071515
. In the special case of a nonparametric regression subject to time series errors our estimator achieves efficiency … consistent and asymptotically normal unlike the standard regression smoother. We also present the distribution theory for the …
Persistent link: https://www.econbiz.de/10011071509
We propose a modification of kernel time series regression estimators that improves efficiency when the innovation …
Persistent link: https://www.econbiz.de/10010928799
We propose a new estimator for nonparametric regression based on local likelihood estimation using an estimated error score function obtained from the residuals of a preliminary nonparametric regression. We show that our estimator is asymptotically equivalent to the infeasible local maximum...
Persistent link: https://www.econbiz.de/10010745013
We develop new tests of the capital asset pricing model which are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric efficient estimation...
Persistent link: https://www.econbiz.de/10010746304
capital? The answer, based on a simple model of temporary equilibrium, is that ex post is better in theory. In practice …
Persistent link: https://www.econbiz.de/10010745052
we can, the mathematical theory (due to L S Penrose) that addresses this sort of issue. We assess the decision rule …
Persistent link: https://www.econbiz.de/10010746113
his paper deal with aggregation of AR(1) micro variables driven by a common and idiosyncratic shock with random coefficients. We provide a rigorous analysis, based on results on sums of r.v.'s with a possibly finite first moment, of the aggregate variance and spectral density, as the number of...
Persistent link: https://www.econbiz.de/10010746139