Journal of Business & Economic Statistics articles from July 2003

Journal of Business & Economic Statistics archives from July 2003

Wealth accumulation over the life cycle and precautionary savings.
July 1, 2003... This article constructs and simulates a life cycle model of wealth accumulation and estimates the parameters of the utility function (the rate of time preference and the coefficient of risk aversion) by matching the simulated median wealth...

The shape of the risk premium: evidence from a semiparametric generalized autoregressive conditional heteroscedasticity model.
July 1, 2003... We examine the relationship between the risk premium on the Center for Research on Security Prices (CRSP) value-weighted index total return and its conditional variance. We propose a new semiparametric model in which the conditional variance...

The proportional hazard model for purchase timing: a comparison of alternative specifications.
July 1, 2003... We use the proportional hazard model (PHM) to study purchase-timing behavior of households in two product categories: laundry detergents and paper towels. The PHM decomposes a household's instantaneous probability of buying the product at a...

Martingale property of exchange rates and central bank interventions.
July 1, 2003... This article uses the variance ratio-based multiple comparison test and the Richardson-Smith Wald test procedures to test for the martingale property of daily exchange rates of seven major currencies vis-a-vis the U.S. dollar. To allow for the...

Recent two-stage sample selection procedures with an application to the gender wage gap.
July 1, 2003... Recently developed two-stage estimation methods of sample selection models are used, in the context of data from the 1989 Labor Market Activity Survey, to examine labor supply decisions and wage outcomes for employed men and women. Recent...

A stochastic frontier analysis of financing constraints on investment: the case of financial liberalization in Taiwan.
July 1, 2003... It is shown that investment under financing constraints can be modeled as a one-sided deviation from a frictionless investment level, and that effects of financing constraints can be identified and quantified by imposing a distributional...

Seasonality tests.
July 1, 2003... This article modifies and extends the test against nonstationary stochastic seasonality proposed by Canova and Hansen. A simplified form of the test statistic in which the nonparametric correction for serial correlation is based on estimates of...

Pairwise-difference rank estimation of the transformation model.
July 1, 2003... This article considers pairwise-difference rank estimators of the coefficient vector in a transformation model. These estimators, like other existing rank estimators, require no subjective bandwidth choice. Monte Carlo simulations, numerical...