Journal of Business & Economic Statistics articles from January 2003

Journal of Business & Economic Statistics archives from January 2003

Was there a Riverside miracle? A hierarchical framework for evaluating programs with grouped data.
January 1, 2003... This article discusses the evaluation of programs implemented at multiple sites. Two frequently used methods are pooling the data or using fixed effects (an extreme version of which estimates separate models for each site). The former approach...

Nonparametric applications of Bayesian inference.
January 1, 2003... This article evaluates the usefulness of a nonparametric approach to Bayesian inference by presenting two applications. Our first application considers an educational choice problem. We focus on obtaining a predictive distribution for earnings...

Estimating the benefit incidence of an antipoverty program by propensity-score matching.
January 1, 2003... We apply recent advances in propensity-score matching (PSM) to the problem of estimating the distribution of net income gains from an Argentinean workfare program. PSM has a number of attractive features in this context, including the need to...

Testing the normality assumption in the sample selection model with an application to travel demand.
January 1, 2003... In this article we introduce a test for the normality assumption in the sample selection model. The test is based on a flexible parametric specification of the density function of the error terms in the model. This specification follows a...

Using weights to adjust for sample selection when auxiliary information is available.
January 1, 2003... This article analyzes generalized method of moments estimation when the sample is not a random draw from the population of interest. Auxiliary information, in the form of moments from the population of interest, is exploited to compute weights...

Semiparametric estimation of the optimal reserve price in first-price auctions.
January 1, 2003... The optimal reserve price in the independent private value paradigm is generally expressed as a functional of the latent distribution of private signals, which is by nature unobserved. This feature has limited the implementation of the optimal...

A note on Rubin's statistical matching using file concatenation with adjusted weights and multiple imputations.
January 1, 2003... Statistical matching has been used for more than 30 years to combine information contained in two sample survey files. Rubin (1986) outlined an imputation procedure for statistical matching that is different from almost all other work on this...

Bayesian modeling and computations in final-offer arbitration.
January 1, 2003... This article develops a Bayesian model for the analysis of bidding behavior in final-offer arbitration. Posterior calculations are obtained using a Markov chain algorithm. An example is considered using salary data from Major League Baseball....

Flexible covariance structures for categorical dependent variables through finite mixtures of generalized extreme value models.
January 1, 2003... A new class of finite mixture discrete choice models, denoted FinMix (fin miks), is introduced. These arise from the combination of a finite number of core Generalized Extreme Value (GEV) models to achieve more flexible functional forms,...

Parameterized expectations algorithm and the moving bounds.
January 1, 2003... The Parameterized Expectations Algorithm (PEA) is a powerful tool for solving nonlinear stochastic dynamic models. However, it has an important shortcoming: it is not a contraction mapping technique and thus does not guarantee a solution will...

Bayesian analysis of endogenous delay threshold models.
January 1, 2003... We develop Bayesian methods of analysis for a new class of threshold autoregressive models: endogenous delay threshold. We apply our methods to the commonly used sunspot data set and find strong evidence in favor of the Endogenous Delay...

Time-varying smooth transition autoregressive models.
January 1, 2003... Nonlinear regime-switching behavior and structural change are often perceived as competing alternatives to linearity. In this article we study the so-called time-varying smooth transition autoregressive (TV-STAR) model, which can be used both...

Indirect inference, nuisance parameter, and threshold moving average models.
January 1, 2003... We analyze the modifications that occur in indirect inference when a nuisance parameter is not identified under the null hypothesis. We develop a testing procedure adapted to this simulation-based estimation method, and detail its use for...

A new PC-based test for Varian's weak separability conditions.
January 1, 2003... This article develops a new method to evaluate revealed preference separability conditions. In contrast to previous studies, our results generally find weak separability, even when datasets have some measurement error. In addition, revealed...

Tests of rank in reduced rank regression models.
January 1, 2003... There has recently been renewed research interest in the development of tests of the rank of a matrix. This article evaluates the performance of some asymptotic tests of rank determination in reduced rank regression models together with...

Robust stationarity tests in seasonal time series processes.
January 1, 2003... This article builds on the existing literature on (stationarity) tests of the null hypothesis of deterministic seasonality in a univariate time series process against the alternative of unit root behavior at some or all of the zero and seasonal...

Testing for nonlinear autoregression.
January 1, 2003... This article considers consistent testing the null hypothesis that the conditional mean of an economic time series is linear in past values. Two specific tests are discussed, the Cramer-von Mises and the Kolmogorov-Smirnov tests. The particular...

On unit-root tests when the alternative is a trend-break stationary process.
January 1, 2003... Minimum t statistics to test for a unit-root are available when the form of break under the alternative evolves according to the crash, changing growth, and mixed models. It is shown that serious power distortions occur if the form of break is...

Valid Bayesian estimation of the cointegrating error correction model.
January 1, 2003... Two methods of identifying cointegrating vectors are commonly used: linear restrictions and the nonlinear method of Johansen's maximum likelihood procedure. That the linear method can produce invalid estimates while the Johansen approach always...

Business cycle asymmetries: characterization and testing based on Markov-switching autoregressions.
January 1, 2003... Tests for business cycle asymmetries are developed for Markov-switching autoregressive models. The tests of deepness, steepness, and sharpness are Wald statistics, which have standard asymptotics. For the standard two-regime model of expansions...