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

The 2008 crash has left all the established economic doctrines - equilibrium models, real business cycles, disequilibria models - in disarray. Part of the problem is due to Smith’s "veil of ignorance": individuals unknowingly pursue society’s interest and, as a result, have no clue as to the macroeconomic effects of their actions: witness the Keynes and Leontief multipliers, the concept of value added, fiat money, Engel’s law and technical progress, to name but a few of the macrofoundations of microeconomics. A good viewpoint to take bearings anew lies in comparing the post-Great Depression institutions with those emerging from Thatcher and Reagan’s economic policies: deregulation, exogenous vs. endoge- nous money, shadow banking vs. Volcker’s Rule. Very simply, the banks, whose lending determined deposits after Roosevelt, and were a public service became private enterprises whose deposits determine lending. These underlay the great moderation preceding 2006, and the subsequent crash.

The Economic Institutions of Capitalism

Partnerships between companies receive a great deal of attention from top managers and researchers at the time of their formation. This attention results largely from the common perception that the initial structuring of partnerships and establishment of common goals determines partnership outcomes and success. In Alliance Advantage, Doz and Hamel shift the focus away from deal making to the internal processes within the partnership and the unfolding interactions among partners that play an important and relatively unexplored role in shaping outcomes. Focusing on the underlying reasons why companies enter alliances and the processes by which they continually learn from their interactions and re-evaluate common--and individual--goals, the authors paint a sophisticated picture of alliance dynamics over time. The authors challenge organizations to define their objectives for alliance formulation and consider whether their own corporate culture provides an "alliance ready" atmosphere.

Alliance advantage : the art of creating value through partnering

Taxes, bankruptcy costs, transactions costs, adverse selection, and agency conflicts have all been advocated as major explanations for the corporate use of debt financing. These ideas have often been synthesized into the trade-off theory and the pecking order theory of leverage. These theories and the related evidence are reviewed in this survey. A number of important empirical stylized facts are identified. To understand the evidence, it is important to recognize the differences among private firms, small public firms and large public firms. Private firms seem to use retained earnings and bank debt heavily. Small public firms make active use of equity financing. Large public firms primarily use retained earnings and corporate bonds. The available evidence can be interpreted in several ways. Direct transaction costs and indirect bankruptcy costs appear to play important roles in a firm's choice of debt. The relative importance of the other factors remains open to debate. No currently available model appears capable of simultaneously accounting for all of the stylized facts.

Trade-Off and Pecking Order Theories of Debt

r 9HE purpose of this paper is to explore a hypothesis, based on acIcumulating evidence, regarding the character of inventions likely to issue from the research laboratories of the large industrial corporations. Simply put, this hypothesis may be stated as follows: with few exceptions, the large industrial laboratories are likely to be minor sources of major (radically new and commercially or militarily important) inventions; rather they are likely to be major sources of essentially "improvement" inventions. Put more precisely, the hypothesis states that the proportion of all minor inventions originating in the large industrial laboratories is likely to exceed the proportion of all major inventions originating in these laboratories. Note that the stress on the relative importance of these laboratories as sources of improvement inventions is not necessarily a denigration of the economic importance of this contribution. The cumulative effect of these improvement inventions may be, and often has been, of substantial importance over long periods of time for advancing technology, investment opportunities, and economic growth. The stress on improvement inventions as the principal product of the research laboratories of the large industrial corporations is meant simply to emphasize that, whatever the importance of their contributions, most of the latter is not likely to involve radically new inventive activity. I cannot claim originality for this hypothesis. After it suggested itself in the course of my investigations, I discovered that others, some of them in the most unlikely positions,2 had earlier said much the same thing. But, apart from occasional remarks, I can find no discussions attempting to explain or justify it. And because, if reasonably accurate, it has numerous ramifications, I have felt the need to set down an extended analysis of 1 I wish to thank members of the Seminar on Law and Technology, sponsored by the University of Wisconsin Law School under the auspices of the Ford Foundation, for their many helpful comments on this paper. Especially do I wish to thank Professors Jacob Schmookler, Robert Merrill, John Stedman, Harrison White, and John Heath. 2 See particularly the statement quoted below (p. 114) of D)r. Frank Jewett, former president of Bell Laboratories.

The journal of political economy

A range of monthly series are currently available giving indications of short-term movements in output in the UK. The main aim of this paper is to suggest a formal and coherent procedure for grossing these monthly data up to represent the whole of GDP. Although the resultant estimates of GDP would be worse than those obtained by direct measurement, they should be more satisfactory than simply making an informal inference from whatever monthly data are available. Our examination of the efficacy of the method for estimation of the state of economic activity indicates a rather satisfactory outcome. Macroeconomic policy making in real time faces the perennial problem of uncovering what is actually happening to the economy. Movements of seasonally adjusted real GDP (referred to subsequently simply as GDP) and related estimates of the output gap are widely regarded as important predictors of future inflation and thus are relevant to the problem of inflation targeting. Estimates of GDP are typically produced quarterly with the first estimates in the UK available about 25 days after the end of the quarter to which they relate. 1 In many countries

An indicator of monthly gdp and an early estimate of quarterly gdp growth

A range of monthly series are currently available giving indications of short-term movements in output in the United Kingdom. As the only available information, these indicators are routinely exploited in various ways although they only provide an incomplete picture of gross domestic product (GDP). The main aim of this paper is to suggest a formal and coherent procedure for grossing these monthly data up to represent the whole of GDP. Although the resultant estimates of GDP would be worse than those obtained by direct measurement, they should be more satisfactory than simply making an informal inference from whatever monthly data are available. Our examination of the efficacy of the method for estimation of the state of economic activity indicates a rather satisfactory outcome.

https://www.niesr.ac.uk/pubs/DPS/dp127.PDF

An Indicator of Monthly GDP and an Early Estimate of Quarterly GDP Growth ∗ Discussion Paper 127 (revised)

This paper describes a new dataset of annual time series relating to the US nonfinancial corporate sector: its market value, and the major underlying stocks and flows that are valued by financial markets. The data cover the entire twentieth century, and thus fill a significant gap in the documentation of financial and real economy linkages. Previously available data cover either shorter periods, or a more restricted sample of quoted companies. A range of series are constructed on a consistent basis: returns; dividend yields (both in standard form, and adjusting for net new issues/buybacks); earnings yields; and "q", on a range of definitions (one series runs from 1871-2001); as well as various corporate leverage measures. The main features of note are: the relative stability of both q and the adjusted (but not unadjusted) dividend yield; the systematic tendency for mean q to be less than unity; and the ambiguous picture presented by alternative measures of corporate leverage - most especially at the end of the sample.

Measures of Stock Market Value and Returns for the US Nonfinancial Corporate Sector, 1900-2000

This paper describes a new dataset of annual time series relating to the U.S. nonfinancial corporate sector: its market value, returns, and the major underlying stocks and flows that are valued by financial markets. The data cover the entire twentieth century, and thus fill a significant gap in the documentation of financial and real economy linkages. Previously available data cover either shorter periods, or a more restricted sample of quoted companies. A range of series are constructed on a consistent basis: returns; dividend yields (including an alternative “cashflow” measure); earnings; and “q”, on a range of definitions; as well as corporate leverage measures. The main features are: the relative long‐run stability of both q and the cashflow dividend yield; the systematic tendency for q to be less than unity; and the ambiguous picture presented by alternative measures of corporate leverage.

Measures of stock market value and returns for the u.s. nonfinancial corporate sector, 1900–2002

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Papers

An indicator of monthly gdp and an early estimate of quarterly gdp growth

An Indicator of Monthly GDP and an Early Estimate of Quarterly GDP Growth ∗ Discussion Paper 127 (revised)

Measures of Stock Market Value and Returns for the US Nonfinancial Corporate Sector, 1900-2000

Measures of stock market value and returns for the u.s. nonfinancial corporate sector, 1900–2002

Valuing Wall Street: Protecting Wealth in Turbulent Markets