This paper shows that the behaviour of inventories is not symmetrical and that their modelling requires more than just a linear regression. Models of inventory behaviour are described and symmetric and non-symmetric-error-correction models are formulated which divide the changes in production...

To measure the economic effects of political movements in China a simple econo-metric model is constructed. Investment is determined by a central planner maximizing a multiperiod objective function. Political events are modeled by exogenous changes in the shocks to productivity and to investment...

We construct a structural econometric model to measure partially the economic effects of political movements in China.

The transportation system is a fundamental component of the urban economic development, with its generating feature of negative supply externalities standing out (and, as a result, of the satisfied demand for some kind of this supply’s structure) related to congestion and environmental...

This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...

This paper obtains asymptotic expansions of the frequentist distributions of modified likelihood ratio statistics when the observations are discrete. An upper bound of the uncertainty due to the discrete nature of the observations is obtained, slightly larger than Yarnold's result (obtained in...

While contract theory has reached a high degree of sophistication, econometric applications remain scarce. One often invoked reason is that adequate data is hard to find. We argue that insurance data fit the requirements of econometric testing especially well. Then we propose some insights on...

We address the general issue of econometric specifications of dynamic asset pricing models, which cover the modern literature on conditionally heteroskedastic factor models as well as equilibrium-based asset pricing models with an intertemporal specification of preferences and market fundamentals.

For the statistical analysis of the ARMA models, the standard method requires that the linear innovations are martingale differences. This assumption is not satisfied for ARMA representations of non-linear processes. In such a case the standard method tipically entails an underestimation of the...

In this report Appelbaum's model is discussed in detail. The model is also applied to the Dutch construction sector, allowing the degree of collusion to be ascertained. The model consists of five equations. One equation, the mark-up equation, is derived from the assumption of profit maximization...