A þT consistent estimator of a heteroskedasticity and autocorrelation consistent covariance matrix estimator is proposed and evaluated. The relevant applications are ones in which the regression disturbance follows a moving average process of known order. In a system of þ equations, this...

Econometric aspects of recent research on inventory models are surveyed. The discussion emphasizes issues relevant to instrumental variables estimation of a first order condition of the Holt et al. (1960) linear quadratic inventory model, including choice of instruments, covariance matrix...

An aggregate demand - aggregate supply framework is used to analyze the effects of Japanese monetary policy, 1973:1-1990:8. It is found that money supply shocks contribute relatively little to output variability over the sample as a whole. Nor do these shocks seem to be particularly marked...

A simple real model is used to decompose movements of aggregate inventories and output in Japan during 1975 to 1987 to three components, one due to cost shocks, one due to demand shocks, and one due to' shocks from abroad. Cost shocks are estimated to account for about one tenth of the movement...

This paper compares the cyclical and secular behavior of Japanese and U.S. inventories at the aggregate and sectoral level, 1967-1987. While, as is well known, U.S. inventories are sharply procyclical, Japanese inventories are only mildly procyclical. In neither country do inventory and sales...

A simple real linear-quadratic inventory model is used to determine how cost and demand shocks interacted to cause fluctuations in aggregate GNP and inventories in the U.S., 1947-1986. Cost shocks appear to be the predominant source of fluctuations in inventories, and are largely responsible for...

Casual examination of annual postwar data on inventories and aggregate output for seven developed countries -- Canada, France, West Germany, Italy, Japan, United Kingdom, United States -- suggests that in these countries the primary function of aggregate inventories is not to smooth aggregate...

This is a summary and interpretation of some of the literature on stock price volatility that was stimulated by Leroy and Porter (1981) and Shiller (1981a). It appears that neither small sample bias, rational bubbles nor some standard models for expected returns adequately explain stock price...

Empirical examination of some aggregate manufacturing data suggests that order backlogs may help explain two puzzling facts: (1) the variability of production appears to be greater than that of demand, and (2) inventories appear to be drawn down when demand is low, built up when demand is high