Showing papers in "Journal of Econometrics in 1978"

TL;DR: In this article, the stochastic specification of input-output response is examined and several postulates are set forth which seem reasonable on the basis of a priori theorizing and observed behavior.

TL;DR: In this paper, a switching regression model was used to study a housing expenditure model which takes into account the simultaneous determination of whether or not to own, and how much to spend.

TL;DR: In this article, a large sample test for multiplicative heteroskedasticity is proposed and the test statistic is based upon ordinary least squares results, so that only estimation under the null hypothesis of homoskedastically is required.

TL;DR: In this paper, the covariance matrix of the disturbances depends upon a finite number of unknown parameters θ 1, θm, and it is proved that β is unbiased if its mean exists.

TL;DR: In this article, it was shown that in the complete dynamic simultaneous equation model exogenous variables cause endogenous variables in the sense of Granger (1969) and satisfy the criterion of econometric exogeneity discussed by Sims (1977a), but that the stationarity assumptions invoked by Granger and Sims are not necessary for this implication.

TL;DR: In this article, the mean and variance of the least squares estimate of the stationary first-order autoregressive coefficient are evaluated algebraically as well as numerically, and it turns out that the least square estimate is seriously biased for the sample of two-digits sizes typically dealt with in econometrics if the mean of the process is unknown.

TL;DR: In this paper, an empirical estimation of a stochastic frontier Cobb-Douglas production function using micro data from a cross-section of Brazilian manufacturing firms is provided, and a measure of mean technical efficiency is also developed and employed with the Brazilian data.

TL;DR: In this article, the Box and Cox autoregressive procedure is used to simultaneously test for autocorrelation and functional form in the case of first-order autoregression.

TL;DR: In this paper, MELO estimates that minimize the posterior expectation of generalized quadratic loss functions are derived for a wide range of estimation problems encountered in econometrics and statistics including estimation of structural coefficients of linear structural econometric models and reciprocals and ratios of population means and regression or reduced form coefficients.

TL;DR: In this paper, the authors studied the properties of the two-step estimation method proposed by Domencich and McFadden (Urban Travel Demand, North-Holland, 1975) for a multivariate logit model and showed that it is consistent but asymptotically less efficient than the maximum likelihood estimator.

TL;DR: In this paper, the authors investigated the situations in which the single-equation least squares estimator is identical with the generalized least square estimator in the seemingly unrelated regression model, and the condition obtained turned out to be advantageous from an empirical point of view as it permits one to decide whether to go for a single-square least squares method or Zellner's method with estimated disturbance variance covariance matrix for estimating the coefficients in the model.

TL;DR: In this article, the authors propose and carry out some tests that help us evaluate the neoclassical theory of production and find that except for one case the theory does not pass the proposed tests and furthermore, the primal and dual models do not yield the same implications.

TL;DR: In this paper, the parameters of several families of distributions are estimated by means of minimum χ2; use is made of random samples taken from Dutch income-earning groups in 1973.

TL;DR: The results of Monte Carlo experiments indicate that an α-level substantially larger than that normally used may be appropriate in the Durbin-Watson test, and the Bayesian estimator performed better than all preliminary test estimates in terms of MSE.

TL;DR: This paper explored the relation between the concepts of consistency and identifiability and showed that consistency implies identity but that the converse is not necessarily true. But they did not explore the relationship between consistency and identity.

TL;DR: A simultaneous model of transport mode choice and optimal parking location for the auto mode and four extensions of disaggregate choice theory are developed that should be useful in other applications.

TL;DR: In this article, the effect of temporal aggregation on parameter estimation in a finite distributed lag model through the least squares procedure was considered and it was shown that the loss in efficiency due to aggregation is substantial.

TL;DR: In this article, a simple labour supply model that incorporates commuting time in a utility maximizing framework was proposed, and the elasticity of housing prices with respect to the latter is estimated to be about 10 percent.

TL;DR: In this paper, the simpler ARMA type models are examined with respect to properties of a variety of proposed estimators of unknown parameters, and the authors suggest that if only one estimation method were available to a researcher, the choice should probably be maximum likelihood.

TL;DR: Application of the procedure to the data for U.S. manufacturing assuming a production function involving two labour inputs and two capital inputs leads to the conclusion that there does not exist a consistent aggregator for labor whereas there is some mild support for the existence of a consistent aggregation for capital.

TL;DR: In this article, a simple modification of the usual k-class estimators has been suggested so that for 0 ≦ k ≦ 1 the problem of the non-existence of moments disappears.

TL;DR: In this article, the authors proposed a full information estimation method for macroeconomic models with the nonlinearity in variables within their simultaneous equations systems, which is asymptotically efficient and feasible in the contemporary computer technology.

TL;DR: In this article, Monte Carlo methods are used to investigate the relationship between the power of different pretests for autocorrelation, and the Type I error and power of the significance test for a resulting two-stage estimate of the slope parameter in a simple regression.

TL;DR: In this article, the authors extend the theory of identifiability of linear dynamic models with autocorrelated errors to the case of cross-equation restrictions, and consider global identificability and local identificaiton for affine and continuously differentiable crossequation constraints.

TL;DR: In this paper, the impact of MDTA training on the earnings and employment probabilities of male trainees was studied on the basis of a longitudinal data set on trainees and non-trainees.

TL;DR: This article showed that deleting a variable which had a coefficient estimate more significant than that with the wrong sign is not sufficient (even if necessary) to have this sign reversed, and examined the relevance and meaning of these conditions in two simple situations.

TL;DR: In this paper, a new equation of the Engel function which is based on a new coordinate system for the Lorenz curve discussed recently by Kakwani and Podder (Econometrica, 1976) is proposed.

TL;DR: In this paper, the applicability of ordinary least squares is widely recognized but the class of applicable estimators is much broaders than OLS under specified conditions, the class includes instrumental variables, generalized least squares, ridge regression, two-stage least squares and k-class estimators, and indirect least squares Transformations of the original equations and other related matters are discussed also

TL;DR: In this article, the properties of forecasts obtained according to the Partially Restricted Reduced Form (PRF) have been investigated and the exact bias and mean squared error of forecasts on the left-hand endogenous variable of the structural equation under consideration and their asymptotic approximations (up to given order) were obtained.