In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

Forecasting, Structural Time Series Models and the Kalman Filter

We examine the frequency of price changes for 350 categories of goods and services covering about 70 percent of consumer spending, on the basis of unpublished data from the Bureau of Labor Statisti...

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Some evidence on the importance of sticky prices

Teacher training, teacher quality and student achievement

This chapter summarizes what has been learned from recent research on intergenerational transmission of earnings status. The chapter begins by using a simple theoretical model to highlight several key concepts. Then it reviews (and discusses the connections among) three related empirical literatures: on sibling correlations in earnings, on the intergenerational elasticity of offspring’s earnings with respect to parents’ earnings or income, and on neighborhood effects. © 1999 Elsevier Science B.V. All rights reserved.

Intergenerational Mobility in the Labor Market

My focus is on the degree to which increasing inequality in the high-income countries, particularly in the United States, is likely to limit economic mobility for the next generation of young adults. I discuss the underlying drivers of opportunity that generate the relationship between inequality and intergenerational mobility. The goal is to explain why America differs from other countries, how intergenerational mobility will change in an era of higher inequality, and how the process is different for the top 1 percent. I begin by presenting evidence that countries with more inequality at one point in time also experience less earnings mobility across the generations, a relationship that has been called “The Great Gatsby Curve.” The interaction between families, labor markets, and public policies all structure a child's opportunities and determine the extent to which adult earnings are related to family background—but they do so in different ways across national contexts. Both cross-country compa...

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Income Inequality, Equality of Opportunity, and Intergenerational Mobility

This study uses a boundary design and propensity score methods to study the effects of the 1930s-era Home Owners Loan Corporation (HOLC) "redlining" maps on the long-run trajectories of urban neighborhoods. The maps led to reduced home ownership rates, house values, and rents and increased racial segregation in later decades. A comparison on either side of a city-level population cutoff that determined whether maps were drawn finds broadly similar conclusions. These results suggest the HOLC maps had meaningful and lasting effects on the development of urban neighborhoods through reduced credit access and subsequent disinvestment.

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The effects of the 1930s HOLC "redlining" maps

How do retail prices react to minimum wage increases

Teachers and Student Achievement in the Chicago Public High Schools. WP 2002-28. Revised.

Supplier relationships and small business use of trade credit

By augmenting the standard quantity-quality model with an extensive margin, we generate sharp testable predictions of causes of fertility transitions. We test the model on two generations of Southern black women affected by a large-scale school construction program. Consistent with our model, women facing improved schooling opportunities for their children became more likely to have at least one child but chose to have smaller families overall. By contrast, women who themselves obtained more schooling due to the program delayed childbearing along both the extensive and intensive margins and entered higher quality occupations, consistent with education raising opportunity costs of child rearing.

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Daniel Aaronson

Papers

The effects of the 1930s HOLC "redlining" maps

How do retail prices react to minimum wage increases

Teachers and Student Achievement in the Chicago Public High Schools. WP 2002-28. Revised.

Supplier relationships and small business use of trade credit

Fertility Transitions Along the Extensive and Intensive Margins