计量经济分析 = Econometric analysis

Statistics for Spatial Data.

1. Introduction and Overview. 2. Detecting Influential Observations and Outliers. 3. Detecting and Assessing Collinearity. 4. Applications and Remedies. 5. Research Issues and Directions for Extensions. Bibliography. Author Index. Subject Index.

Regression Diagnostics: Identifying Influential Data and Sources of Collinearity

Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.

Estimation and Inference in Econometrics

We investigate conditions sufficient for identification of average treatment effects using instrumental variables. First we show that the existence of valid instruments is not sufficient to identify any meaningful average treatment effect. We then establish that the combination of an instrument and a condition on the relation between the instrument and the participation status is sufficient for identification of a local average treatment effect for those who can be induced to change their participation status by changing the value of the instrument. Finally we derive the probability limit of the standard IV estimator under these conditions. It is seen to be a weighted average of local average treatment effects.

Evolution and Rationality Some Recent Game-Theoretic Results. Identification and Estimation of Local Average Treatment Effects

A large body of research has evaluated price linkages in spatially separate markets. Much recent research has applied models appropriate for nonstationary data. Such analyses have been criticized for their ignorance of transactions costs, which may inhibit price adjustments and thus affect tests of integration. This analysis utilizes threshold autoregression and cointegration models to account for a neutral band representing transactions costs. We evaluate daily price linkages among four corn and four soybean markets in North Carolina. Nonlinear impulse response functions are used to investigate dynamic patterns of adjustments to shocks. Our results confirm the presence of thresholds and indicate strong support for market integration, though adjustments following shocks may take many days to be complete. In every case, the threshold models suggest much faster adjustments in response to deviations from equilibrium than is the case when threshold behavior is ignored. A large amount of empirical research has evaluated the extent to which spatially separate markets are integrated. Though the term is used loosely in the literature, tests of “market integration” usually consider the extent to which shocks are transmitted among spatially separate markets. The integration of markets can have important implications for price discovery and the operation of the market since persistent deviations from integration may imply riskless profit opportunities for spatial traders.

Spatial Market Integration in the Presence of Threshold Effects

Agricultural commodities are typically produced over an extensive spatial area and are costly to transport relative to their total value. These characteristics yield a complex set of spatial price linkages which are often studied to gain insights into the performance of markets. An extensive literature has addressed a wide range of issues relating to spatial price linkages. Issues relate to market conduct and performance, regional and international trade relationships, efficiency, and developing economy market performance. This chapter reviews issues related to economic and empirical models of spatial price linkages. The relative weaknesses and merits of each approach are identified.

Spatial price analysis

This study examines the relationship between chemical input use and crop insurance purchase decisions for a sample of Kansas dryland wheat farmers. Recent research by Horowitz and Lichtenberg indicated that, contrary to conventional wisdom, farmers that purchased insurance tended to use relatively more chemical inputs than farmers who did not insure. In contrast, our results confirm the conventional view that moral hazard incentives lead insured farmers to use fewer chemical inputs. Implications for the joint determination of insurance and input use decisions and appropriate estimation techniques are discussed. Copyright 1996, Oxford University Press.

https://www.jstor.org/stable/pdfplus/1243714.pdf

Crop Insurance, Moral Hazard, and Agricultural Chemical Use

This analysis empirically evaluates spatial linkages in regional cattle markets using cointegration tests of regional price series. Several markets were not cointegrated over the 1980 through 1987 period. However, significant increases in cointegration of several regional livestock markets are observed through the 1980s. The increased cointegration parallels significant structural changes in the livestock industry. A formal analysis of market characteristics reveals that distances between markets, industry concentration ratios, market volumes, and market types have significant influences on cointegration relationships between markets.

/pdf/cointegration-tests-and-spatial-price-linkages-in-regional-2je3fh9w6n.pdf

Cointegration Tests and Spatial Price Linkages in Regional Cattle Markets

If farmers are risk averse, greater farm income variability should increase off-farm labor supply. This effect is confirmed for a sample of Kansas farmers. Off-farm employment of farmers and their spouses is also found to be significantly influenced by farm experience, off-farm work experience, farm size, leverage, efficiency, and farm-specific education. In addition, farm operators and spouses who receive significant income support through government farm programs are less likely to work off the farm. This may suggest that policy changes reducing farm income support payments may increase off-farm employment of farmers and their spouses.

Barry K. Goodwin

Papers

Spatial Market Integration in the Presence of Threshold Effects

Spatial price analysis

Crop Insurance, Moral Hazard, and Agricultural Chemical Use

Cointegration Tests and Spatial Price Linkages in Regional Cattle Markets

Farm Income Variability and the Supply of Off-Farm Labor