Journal of Business & Economic Statistics articles from October 2001

Journal of Business & Economic Statistics archives from October 2001

Binary Choice With Binary Endogenous Regressors in Panel Data: Estimating the Effect of Fertility on Female Labor Participation.(Statistical Data Included)
October 1, 2001... This article considers the estimation of the causal effect of fertility on female-labor-force participation equations. My main concern is to examine two considerations, the endogeneity of fertility and the impact of controlling for unobserved...

Risk Aversion Versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption Capital Asset Pricing Model.
October 1, 2001... Is the risk-aversion parameter in the intertemporal consumption capital asset pricing model "small" as stated by Hansen and Singleton or is its reciprocal--the intertemporal elasticity of substitution--small, as stated by Hall? We attribute the...

Markov Regime Switching and Unit-Root Tests.
October 1, 2001... We investigate the power and size performance of unit-root tests when the data undergo Markov regime switching. All tests, including those robust to a single break in trend growth rate, have low power against a process with a Markov-switching...

Structural Estimates of the U.S. Sacrifice Ratio.
October 1, 2001... This article investigates the statistical properties of the U.S. sacrifice ratio--the cumulative output loss arising from a permanent reduction in inflation. We derive estimates of the sacrifice ratio from three structural vector autoregression...

Markov Chain Monte Carlo Analysis of Correlated Count Data.
October 1, 2001... This article is concerned with the analysis of correlated count data. A class of models is proposed in which the correlation among the counts is represented by correlated latent effects. Special cases of the model are discussed and a tuned and...

Business Cycles and Compositional Variation in U.S. Unemployment.(Statistical Data Included)
October 1, 2001... In this article, we study U.S. unemployment dynamics using grouped unemployment data from the Current Population Survey over the period 1968-1992. We estimate a model that traces variation in these unemployment data, both over time and between...

The Econometrics of Rational Addiction: The Case of Cigarettes.
October 1, 2001... This article reexamines the econometric estimation of rational-addiction models considered by Becker, Grossman, and Murphy (BGM) for cigarette consumption. The rational-addiction model poses a number of additional econometric difficulties...

Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction.
October 1, 2001... We analyze the situation in which the decomposition of a time series into orthogonal balanced components as performed by the ARIMA-model-based (AMB) method is nonadmissible. We show that considering top-heavy models for the components can solve...

Testing Density Forecasts, With Applications to Risk Management.
October 1, 2001... The forecast evaluation literature has traditionally focused on methods of assessing point forecasts. However, in the context of many models of financial risk, interest centers on more than just a single point of the forecast distribution. For...

Bias From Classical and Other Forms of Measurement Error.
October 1, 2001... We consider the implications of an alternative to the classical measurement-error model, in which the observed, mismeasured data are optimal predictions of the true values, given some information set. In this model, any measurement error is...

Estimation for Autoregressive Time Series With a Root Near 1.
October 1, 2001... Estimators for the parameters of autoregressive time series are compared, emphasizing processes with a unit root or a root close to 1. The approximate bias of the sum of the autoregressive coefficients is expressed as a function of the test for...