Kooperativer Bibliotheksverbund

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ISBN: 0444861874

Content: This chapter discusses a number of issues that arise during the encounter between the econometrician and economic data. Econometricians have an ambivalent attitude toward economic data. It is possible to take an alternative view for economic data issues that there are no data problems only model problems in econometrics. For any set of data, there is the right model. Much of econometrics is devoted to procedures that try to assess whether a particular model is right in this sense and to criteria for deciding when a particular model fits and is correct enough. Theorists and model builders often proceed, however, on the assumption that ideal data will be available and define variables that are unlikely to be observable, at least not in their pure form.

In: Handbook of econometrics, Amsterdam : North-Holland Pub. Co, 1986, (1986), Seite 1465-1514, 0444861874

In: 9780444861870

In: year:1986

In: pages:1465-1514

Language: English

DOI: 10.1016/S1573-4412(86)03005-2

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ISBN: 0444861874

Content: This chapter discusses the criteria for the selection of functional forms and compatibility of the criteria for the selection of functional forms. In the discussion of functional forms, examples are drawn largely from the empirical analyses of production and consumer demand, because the restrictions implied by the respective theories on functional forms are richer. Neither economic theory nor available empirical knowledge provides, in general, a sufficiently complete specification of the economic functional relationship to determine its precise algebraic form. Consequently, the econometrician has wide latitude in deciding which one of many possible algebraic functional forms to use in building an econometric model. The chapter illustrates an example of the incompatibility of a global extrapolative domain of applicability and flexibility and an example of the incompatibility of computational facility and factual conformity. An impossibility theorem stating that there does not exist an algebraic functional form for a unit cost function, which has a global extrapolative domain of applicability and satisfies the criteria of flexibility and computational facility, is proved in the chapter.

In: Handbook of econometrics, Amsterdam : North-Holland Pub. Co, 1986, (1986), Seite 1515-1566, 0444861874

In: 9780444861870

In: year:1986

In: pages:1515-1566

Language: English

DOI: 10.1016/S1573-4412(86)03006-4

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ISBN: 0444861874

Content: This chapter discusses the certain salient themes of the limited dependent variable (LDV) literature. LDV's are usually explained in terms of some economic model or rationalizing scheme for which (1) their range is intrinsically a finite discrete set and any attempt to extend it to the real line not only does not lead to useful simplification but befouls any attempt to resolve the issues at hand and (2) even though their range may be the real line their behavior is conditioned on another process. Examples of the first type are the models of occupational choice, entry into labor force, entry into college upon high school graduation, the utilization of recreational facilities, the utilization of modes of transport, and childbearing. Examples of the latter are models of housing prices and wages in terms of the relevant characteristics of the housing unit or the individualcommonly referred to as hedonic price determination.

In: Handbook of econometrics, Amsterdam : North-Holland Pub. Co, 1986, (1986), Seite 1567-1631, 0444861874

In: 9780444861870

In: year:1986

In: pages:1567-1631

Language: English

DOI: 10.1016/S1573-4412(86)03007-6

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ISBN: 0444861874

Content: This chapter reviews the recent literature on disequilibrium and selectivity models. The cornerstone of the disequilibrium models is the minimum condition. One of the most disturbing points in the empirical applications is that the disequilibrium models have been mechanically applied with no discussion of what disequilibrium is due to and what the consequences are. In spite of all the limitations, the model has been the model with the most empirical applications. For instance, Sealy used the model to study credit rationing in the commercial loan market. It is used to estimate demand for money and savings functions in centrally planned economies and to study the demand for consumption goods in centrally planned economies. The main application of the methodology of disequilibrium model is to regulate markets and centrally planned economies, where there are price and quantity regulations. The chapter discusses the case of controlled prices and shows the way the analysis can be applied to credit markets with interest rate ceilings.

In: Handbook of econometrics, Amsterdam : North-Holland Pub. Co, 1986, (1986), Seite 1633-1688, 0444861874

In: 9780444861870

In: year:1986

In: pages:1633-1688

Language: English

DOI: 10.1016/S1573-4412(86)03008-8

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ISBN: 0444861874

Content: This paper considers the formulation and estimation of continuous time social science duration models. The focus is on new issues that arise in applying statistical models developed in biostatistics to analyze economic data and formulate economic models. Both single spell and multiple spell models are discussed. In addition, we present a general time inhomogeneous multiple spell model which contains a variety of useful models as special cases. Four distinctive features of social science duration analysis are emphasized: (1) Because of the limited size of samples available in economics and because of an abundance of candidate observed explanatory variables and plausible omitted explanatory variables, standard nonparametric procedures used in biostatistics are of limited value in econometric duration analysis. It is necessary to control for observed and unobserved explanatory variables to avoid biasing inference about underlying duration distributions. Controlling for such variables raises many new problems not discussed in the available literature. (2) The environments in which economic agents operate are not the time homogeneous laboratory environments assumed in biostatistics and reliability theory. Ad hoc methods for controlling for time inhomogeneity produce badly biased estimates. (3) Because the data available to economists are not obtained from the controlled experimental settings available to biologists, doing econometric duration analysis requires accounting for the effect of sampling plans on the distributions of sampled spells. (4) Econometric duration models that incorporate the restrictions produced by economic theory only rarely can be represented by the models used by biostatisticians. The estimation of structural econometric duration models raises new statistical and computational issues. Because of (1) it is necessary to parameterize econometric duration models to control for both observed and unobserved explanatory variables. Economic theory only provides qualitative guidance on the matter of selecting a functional form for a conditional hazard, and it offers no guidance at all on the matter of choosing a distribution of unobservables. This is unfortunate because empirical estimates obtained from econometric duration models are very sensitive to assumptions made about the functional forms of these model ingredients. In response to this sensitivity we present criteria for inferring qualitative properties of conditional hazards and distributions of unobservables from raw duration data sampled in time homogeneous environments; i.e. from unconditional duration distributions. No parametric structure need be assumed to implement these procedures. We also note that current econometric practice overparameterizes duration models. Given a functional form for a conditional hazard determined up to a finite number of parameters, it is possible to consistently estimate the distribution of unobservables nonparametrically. We report on the performance of such an estimator and show that it helps to solve the sensitivity problem. We demonstrate that in principle it is possible to identify both the conditional hazard and the distribution of unobservables without assuming parametric functional forms for either. Tradeoffs in assumptions required to secure such model identification are discussed. Although under certain conditions a fully nonparametric model can be identified, the development of a consistent fully nonparametric estimator remains to be done. We also discuss conditions under which access to multiple spell data aids in solving the sensitivity problem. A superficially attractive conditional likelihood approach produces inconsistent estimators, but the practical significance of this inconsistency is not yet known. Conditional inference schemes for eliminating unobservables from multiple spell duration models that are based on sufficient or ancillary statistics require unacceptably strong assumptions about the functional forms of conditional hazards and so are not robust. Contrary to recent claims, they offer no general solution to the model sensitivity problem. The problem of controlling for time inhomogeneous environments (Point (2)) remains to be solved. Failure to control for time inhomogeneity produces serious biases in estimated duration models. Controlling for time inhomogeneity creates a potential identification problem. For a single spell data it is impossible to separate the effect of duration dependence from the effect of time inhomogeneity by a fully nonparametric procedure. Although it is intuitively obvious that access to multiple spell data aids in the solution of this identification problem, the development of precise conditions under which this is possible is a topic left for future research. We demonstrate how sampling schemes distort the functional forms of sample duration distributions away from the population duration distributions that are the usual object of econometric interest (Point (3)). Inference based on misspecified duration distributions is in general biased. New formulae for the densities of commonly used duration measures are produced for duration models with unobservables in time inhomogeneous environments. We show how access to spells that begin after the origin date of a sample aids in solving econometric problems created by the sampling schemes that are used to generate economic duration data. We also discuss new issues that arise in estimating duration models explicitly derived from economic theory (Point (4)). For a prototypical search unemployment model we discuss and resolve new identification problems that arise in attempting to recover structural economic parameters. We also consider nonstandard statistical problems that arise in estimating structural models that are not treated in the literature. Imposing or testing the restrictions implied by economic theory requires duration models that do not appear in the received literature and often requires numerical solution of implicit equations derived from optimizing theory.

In: Handbook of econometrics, Amsterdam : North-Holland Pub. Co, 1986, (1986), Seite 1689-1763, 0444861874

In: 9780444861870

In: year:1986

In: pages:1689-1763

Language: English

DOI: 10.1016/S1573-4412(86)03009-X

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ISBN: 0444861874

Content: Demand analysis refers largely to the study of commodity demands by consumers, most usually based on aggregate data but occasionally, and more so recently, on cross-sections or even panels of households. This chapter discusses the links between conventional demand analysis and such topics as labor supply, the consumption function, rationing, index numbers, equivalence scales, and consumer surplus. The econometric analysis of demand under conditions of rationing or quantity constraints is discussed in the chapter. The chapter discusses intertemporal demand analysis, including the analysis of the consumption function and of durable goods, the choice over qualities, and the links between demand analysis and welfare economicsparticularly as it concerns the measurement of consumer surplus, cost-of-living index numbers, and the costs of children

In: Handbook of econometrics, Amsterdam : North-Holland Pub. Co, 1986, (1986), Seite 1767-1839, 0444861874

In: 9780444861870

In: year:1986

In: pages:1767-1839

Language: English

DOI: 10.1016/S1573-4412(86)03010-6

URL: Volltext  (Deutschlandweit zugänglich)

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ISBN: 0444861874

Content: This chapter presents an exposition of econometric methods for modeling producer behavior. The objective of econometric modeling is to determine the nature of substitution among inputs, the character of differences in technology, and the role of economies of scale. The principal contribution of recent advances in methodology has been to exploit the potential of economic theory in achieving this objective. Important innovations in specifying econometric models have arisen from the dual formulation of the theory of production. The chief advantage of this formulation is in generating demands and supplies as the explicit functions of relative prices. By using duality in production theory, these functions can be specified without imposing arbitrary restrictions on the patterns of production. The econometric modeling of producer behavior requires parametric forms for demand and supply functions. The patterns of production can be represented in terms of unknown parameters that specify the responses of demands and supplies to changes in prices, technology, and scale. New measures of substitution, technical change, and economies of scale have provided greater flexibility in the empirical determination of production patterns.

In: Handbook of econometrics, Amsterdam : North-Holland Pub. Co, 1986, (1986), Seite 1841-1915, 0444861874

In: 9780444861870

In: year:1986

In: pages:1841-1915

Language: English

DOI: 10.1016/S1573-4412(86)03011-8

URL: Volltext  (Deutschlandweit zugänglich)

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ISBN: 0444861874

Content: This paper presents and extends the index function model of Karl Pearson (1901) that underlies all recent models in labor econometrics. In this framework, censored, truncated and discrete random variables are interpreted as the manifestation of various sampling schemes for underlying index function models. A unified derivation of the densities and regression representations for index function models is presented. Methods of estimation are discussed with an emphasis on regression and instrumental variable procedures. We demonstrate how a variety of substantive models in labor economics can be given an econometric representation within the index function framework. Models for the analysis of unemployment, labor force participation, job turnover, the impact of interventions on earnings (and other outcomes) and hours of work are formulated as special cases of the general index function model. By casting these diverse models in a common mold we demonstrate the essential commonalities in the econometric approach required for their formulation and estimation.

In: Handbook of econometrics, Amsterdam : North-Holland Pub. Co, 1986, (1986), Seite 1917-1977, 0444861874

In: 9780444861870

In: year:1986

In: pages:1917-1977

Language: English

DOI: 10.1016/S1573-4412(86)03012-X

URL: Volltext  (Deutschlandweit zugänglich)

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ISBN: 0444861874

Content: The methods for evaluating the predictive accuracy of econometric models are discussed in this chapter. The use of these methods should allow to decide upon the model that best approximates the true structure of the economy and how much confidence to place on the predictions from a given model. The numerical solution of nonlinear models is reviewed in the chapter, including stochastic simulation procedures. The standard methods that have been used to evaluate ex ante and ex post predictive accuracy are discussed in the chapter. The main problems with these methods are that they (1) do not account for exogenous variable uncertainty, (2) do not account for the fact that forecast-error variances vary across time, and (3) do not treat the possible existence of misspecification in a systematic way. The comparison of the predictive accuracy of alternative models is not a straightforward exercise. The difficulty of evaluating alternative models is undoubtedly one of the main reasons that there is currently so little agreement about the model that best approximates the true structure of the economy.

In: Handbook of econometrics, Amsterdam : North-Holland Pub. Co, 1986, (1986), Seite 1979-1995, 0444861874

In: 9780444861870

In: year:1986

In: pages:1979-1995

Language: English

DOI: 10.1016/S1573-4412(86)03013-1

URL: Volltext  (Deutschlandweit zugänglich)