The behavior of exact tests for homogeneity (F and Hotelling T-super-2) is compared with size-adjusted LR tests in the linearized AIDS model with different approximating price indexes (Stone, Paasche, Laspeyres). The Monte Carlo evidence shows that test size distortions are sensitive to the...

This paper tests conditional capital asset pricing models in a multivariate GARCH framework employing both constant and time-varying prices of market and bond risk. Depending on the interpretation of the market portfolio, the ICAPM with one hedge portfolio or the two-factor myopic CAPM are...

Two issues are addressed in this paper. First, we explore the issue of price index invariance in the linearized Almost Ideal demand system. We establish that the Stone index, which lacks invariance, and the recently proposed invariant Laspeyres, Paasche and Tornqvist indices all generate biased...

In their model of induced unemployment and unemployment insurance benefits Grubel, Maki, and Sax (1975) break the collinearity between two subsets of regressors by replacing one subset with the residuals from the regression of that subset on the other. This note works out the statistical...

Using Canadian data (1965-86), the author confirms and extends Thomas M. Stoker's (1986) results on the rule of distributional effects in demand systems. The confirmation consists of evidence from the linear expenditure system model showing that distributional effects are statistically...