Journal of Business & Economic Statistics articles from July 2004

Journal of Business & Economic Statistics archives from July 2004

Asset returns and state-dependent risk preferences.
July 1, 2004... We propose a consumption-based capital asset pricing model with state-dependent risk aversion. The corresponding risk premium includes consumption risk and the risk associated with variations in preferences. Our model can be estimated without...

Duration dependence in stock prices: an analysis of bull and bear markets.
July 1, 2004... This article studies time series dependence in the direction of stock prices by modeling the (instantaneous) probability that a bull or bear market terminates as a function of its age and a set of underlying state variables, such as interest...

The performance of German firms in the business-related service sector: a dynamic analysis.
July 1, 2004... We analyze the performance of firms from the German business-related service sector for 1994-2000. Performance is measured by ordinal assessment of changes in total sales. We estimate first-order Markov chain models using extensions of the...

The minimum wage: consequences for prices and quantities in low-wage labor markets.
July 1, 2004... Do moderate increases in the minimum wage reduce employment? lf not, do they nevertheless raise wages? To examine these questions, we apply techniques of time series analysis and systems estimation that are commonly used in macroeconomics and...

An analysis of speaking fluency of immigrants using ordered response models with classification errors.
July 1, 2004... We develop parametric models that incorporate misclassification error in an ordered response model and compare them with a semiparametric model that nests the parametric models. We apply these estimators to the analysis of English-speaking...

Semiparametric approaches to welfare evaluations in binary response models.
July 1, 2004... Applied welfare analysis is commonly based on mean or median benefit estimates. However, the whole conditional distribution of benefits is often of interest for policy makers. This article compares the distributional information recovered by...

Optimal residual-based tests for fractional cointegration and exchange rate dynamics.
July 1, 2004... A Lagrange multiplier test of the null hypothesis of cointegration in fractionally cointegrated models is proposed. The test statistic uses fully modified residuals to cancel the endogeneity and serial correlation biases, and standard...

State space models with a common stochastic variance.
July 1, 2004... This article considers a combination of the linear Gaussian state space model and the stochastic volatility model. The focus is on the simultaneous estimation of parameters related to the stochastic processes of both the mean and variance parts...

Testing for the monotone likelihood ratio assumption.
July 1, 2004... Although monotonicity of the likelihood ratio for conditioned densities is a common technical assumption in economic models, empirical tests for its plausibility do not appear to have been conducted. This article develops such a test based on...