Journal of Business & Economic Statistics articles from October 2000

Journal of Business & Economic Statistics archives from October 2000

Testing for Full Insurance Using Exogenous Information.
October 1, 2000... We strongly reject the full-insurance hypothesis, using testing variables that are not decision variables for the households under investigation. We find that households are not insured against changes in the unemployment rate associated with...

Estimating Coke's and Pepsi's Price and Advertising Strategies.
October 1, 2000... A semiparametric, information-based estimator is used to estimate strategies in prices and advertising for Coca-Cola and Pepsi-Cola. Separate strategies for each firm are estimated with and without restrictions from game theory. These...

Long Memory in Stock-Market Trading Volume.
October 1, 2000... This article examines consistent estimation of the long-memory parameters of stock-market trading volume and volatility. The analysis is carried out in the frequency domain by tapering the data instead of detrending them. The main theoretical...

Forecasting the Penetration of a New Product--A Bayesian Approach.
October 1, 2000... We adopt a Bayesian approach to forecast the penetration of a new product into a market. We incorporate prior information from an existing product and/or management judgments into the data analysis. The penetration curve is assumed to be a...

Modeling the ECU Against the U.S. Dollar: A Structural Monetary Interpretation.
October 1, 2000... The proposal that a reformed international monetary system be designed around currency blocs has gained some popularity of late. In Europe, the formation of the Euro formalizes the existence of a DM-based currency block. Little academic...

Testing for the Cointegrating Rank of a VAR Process With Structural Shifts.(vector autoregressive)
October 1, 2000... Tests for the cointegrating rank of a vector autoregressive process are considered that allow for possible exogenous shifts in the mean of the data-generation process. The break points are assumed to be known a priori. It is proposed to...

Modeling and Short-Term Forecasting of New South Wales Electricity System Load.
October 1, 2000... This article employs Bayesian semiparametric regression methodology to model intraday electricity load data and obtain short-term load forecasts. The role of such forecasts in the New South Wales wholesale electricity market is discussed and...

Inequality Orderings, Normalized Stochastic Dominance, and Statistical Inference.
October 1, 2000... This article derives large-sample properties and provides asymptotically distribution-free statistical inference procedures for an alternative approach to inequality orderings--normalized stochastic dominance (NSD). NSD is a straightforward...

Stationary Components in Stock Prices: An Exact Pointwise Most Powerful Invariant Test.
October 1, 2000... This article develops an exact small-sample, pointwise most powerful invariant test to determine whether stock prices contain a stationary and therefore predictable component. This test generates consistent evidence that stock prices contain a...

"Rule-of-Thumb" Consumption, Intertemporal Substitution, and Risk Aversion.
October 1, 2000... This article reexamines evidence that some 50% of disposable income goes to households who simply consume their current incomes. Previous studies of such "rule-of-thumb" behavior have typically used log-linear Euler equations and have not...

Modeling Selectivity in Count-Data Models.
October 1, 2000... This article presents a method for modeling endogenous selectivity in count data. As in the case of the switching-regression model, two regimes are distinguished with potentially different datagenerating processes. The regime choice is allowed...