This paper is concerned with dynamic factor demand systems. First, for the intertemporal expected profit maximization problem gi- ven quadratic adjustment costs, it is shown that interrelations between factor inputs result from specific characteristics of the innovations in the technology - not...

Hall [1978] showed that the life cycle consumption hypothesis implies a first order autoregressive process for the marginal utility of consumption. This paper extends his results by showing that an appropriate pattern of rational habits will lead to an arbitrary autoregressive integrated moving...

We propose a methodology to analyze the dynamic features of total factor productivity (TFP). Factor efficiency is assumed to evolve according to an unobserved component model which has the form of a dynamic version of factor analysis and which nests most of the specifications for technology...

In this paper, we formulate a structural time series model for aggregate quarterly nondurable consumption by using the life cycle consumption hypothesis under uncertainty to obtain a model for the trend cycle component. The seasonal components are assumed to sum to a white noise. The model is...

We consider consistent estimation of regression models in which the exogenous variables are incompletely observed assuming that the response mechanism is random. In the literature on imputed data, several estimators have been proposed which are based on approximations substituted for the missing...