Showing papers in "Journal of Econometrics in 1977"

TL;DR: In this paper, the authors define the disturbance term as the sum of symmetric normal and (negative) half-normal random variables, and consider various aspects of maximum-likelihood estimation for the coefficients of a production function with an additive disturbance term of this sort.

TL;DR: In this paper, the authors classify the possible causality relationships between two series X and Y, using an analogy to events in a sample space, and present some new results on alternative characterizations of the more important causality events.

TL;DR: In this article, a model for the estimation of production structures with many inputs when aggregation into a small number of aggregate inputs is undesirable is presented, and the procedure utilized is one of two-stage optimization, valid under the assumption of homothetic separability.

TL;DR: The authors analyzes empirically the ability of the Translog and Generalized Leontief functional forms to approximate the Constant Elasticity of Substitution utility functions over a range of observations.

TL;DR: In this article, a measure of goodness of fit for Zellner's seemingly unrelated regressions is presented, which is a monotonic transform of the appropriate (asymptotic) F-statistic.

TL;DR: In this article, the authors examine the implications of imposing separability on the translog and three other flexible functional forms and show that these functional forms are separability-inflexible, that is, they are not capable of providing a secondorder approximation to an arbitrary weakly separable function in any neighbourhood of a given point.

TL;DR: In this article, the Tobit model is extended to the censored case where the threshold is an unobserved and not necessarily independent random variable and maximum likelihood procedures can be employed for joint estimation of both the primary regression equation and the parameters of the distribution of that random threshold.

TL;DR: In this paper, Monte Carlo techniques are used to examine the effects of overdifferencing on the efficiency of regression parameter estimates, inferences based on these estimates, and tests for overdiffererccing based on the estimator of the MA parameter for the disturbances of the differences regression.

TL;DR: In this article, a nonlinear three-stage least square estimator for the parameters of a system of simultaneous, nonlinear, implicit equations is proposed, which allows the estimation of these parameters subject to nonlinear parametric restrictions across equations.

TL;DR: In this paper, the variance of the error term is a linear combination of certain independent variables and compared four different estimators of the coefficients of this linear combination, They are (1) the estimator proposed by Goldfeld and Quant and called the Modified Glejser Method, (2) the estimation proposed by Hildreth and Houck, (3) the generalized least squares method, and (4) the maximum likelihood estimator.

TL;DR: In this paper, the translog utility functions provide budget share equations which are both flexible and consistent with the theory of utility maximization, and they are ideal for testing hypotheses such as additivity of preferences.

TL;DR: In this paper, the estimation of seemingly unrelated regression equations with unequal numbers of observations is considered, and the efficient coefficient estimates, based on known disturbance covariance matrix, are derived.

TL;DR: The paper reviews how poly-t densities arise in regression analysis, and summarizes the results obtained for a number of models.

TL;DR: Recursive residuals may be used to detect functional misspecification in a regression equation as discussed by the authors, and a simple t -statistic and a related sign test may be constructed from the residuals.

TL;DR: In this paper, the authors present measures of correlation for use with either a single equation within a simultaneous system or for the whole system, which specifically account for the identifying restrictions, and have the same interpretation as the familiar R 2 used with classical least squares.

TL;DR: In this article, the properties of linear aggregates of independent ARIMA processes, including those with seasonality, were derived and the forecasting efficiency of a direct model of an aggregate is contrasted with that of an optimal predictor which uses the structural information.

TL;DR: In this paper, two approaches to the omitted variable problem are examined: one assumes that the common left out variable is the only thing connecting the residuals from these equations, making it possible to extract this common factor and control for it; the second approach relies on building a model of the unobservable by specifying observable variables which are causally related to it.

TL;DR: In this paper, it is proved that maximum likelihood estimates are consistent and asymptotically normal in large samples, and formulae for the large-sample standard errors are given.

TL;DR: In this article, the authors used Hilbert space methods to develop a rigorous proof that the sum of two uncorrelated moving average processes of order q1 and qz is an MA process of order Q 6 max ((I~, q2).

TL;DR: In this article, the simultaneous equation model is considered when errors in variables are present in the exogenous variables, and the system is transformed into an augmented structural model by means of a distributional assumption.

TL;DR: In this article, it was demonstrated that the usual generalized least-squares method of estimating the non-linear Engel functions from grouped observations introduces bias in the parameter estimates, and a new index of elasticity was introduced.

TL;DR: In this paper, the authors consider econometric models involving variables that are defined continuously over time, or more frequently than they are observed, and give justification for the use of standard discrete time models.

TL;DR: In this paper, the implications of the structural assumptions for the properties of the final equations and transfer functions associated with a dynamic econometric model, as proposed by Zellner and Palm (1974-1975), proved to be useful in model building.

TL;DR: In this paper, the authors show that the capability of using real value-added to measure the output of a sector when material inputs are employed in the production process rests upon primary factor inputs being weakly separable from material inputs.

TL;DR: In this paper, an Edgeworth expansion up to 0(T -1 ), where T is the sample size, of the finite sampls distribution function of the seemingly unrelated regression estimator of the parameters in a multiple equation model is considered.

TL;DR: In this article, the Box-Cox parametric transformation was incorporated into a simultaneous money demand and supply equations systems, where the demand function had a liquidity trap, and a likelihood ratio test between the generalized and a priori restricted models indicated the generalized model was significantly different from the closest linear in the parameters' model.

TL;DR: In this paper, a Bayesian test of a parameter shift in two regressions whose error terms have multivariate student-t distributions with zero location vectors was proposed to examine whether or not a shift in expenditure on vitamins and other nutritional supplements can be observed since 1969 in Japan.

TL;DR: In this article, the existence of all moments of the partially restricted reduced-form estimator was proved for the case of two included endogenous variables in the structural equation and then, the existence proof was extended to any number of included variables.

TL;DR: In this article, a forty-two nonlinear equation model of the U.S. petroleum industry estimated over the period 1946 to 1973 is presented, which specifies refinery outputs and prices as being simultaneously determined by market forces while the domestic output of crude oil is determined in a block-recursive segment of the model.