Showing papers in "Journal of Econometrics in 1982"

TL;DR: In this paper, the expected value of u, conditional on (v − u ) is considered, where v is a normal error term representing pure randomness, and u is a non-negative error term describing technical inefficiency.

TL;DR: In this article, the authors present a statistical analysis of time series regression models for longitudinal data with and without lagged dependent variables under a variety of assumptions about the initial conditions of the processes being analyzed.

TL;DR: In this article, the authors examined the relationship between heterogeneity bias and strict exogeneity in a distributed lag regression of y on x, and showed that the relationship is very strong when x is continuous, weaker when X is discrete, and non-existent as the order of the distributed lag becomes infinite.

TL;DR: An error structure that offers a rich statistical framework for panel data analysis is presented that includes as special cases most of the error specifications found in longitudinal studies of wages and earnings.

TL;DR: In this paper, the causal structure of a subprocess of a multivariate stochastic process does not allow conclusions concerning the causal structures of the higher dimensional process, and it is well known that Granger-causality in a bivariate system may be due to an omitted variable.

TL;DR: In this paper, the authors extend the use of econometric production theory techniques to ageneral class of oligopolistic markets and provide a framework which enables them to estimate the conjectural variation and test various hypotheses about noncompetitive behavior.

TL;DR: In this article, the authors consider a set of specific concepts relevant to empirical model formulation (e.g. innovations for past data, exogeneity for present, encompassing for contending models, etc.) and various properties of such concepts are established.

TL;DR: The authors proposed two consistent tests for functional form of nonlinear regression models without employing specified alternative models based on a Fourier transform characterization of conditional expectations, where the null hypothesis is that the regression function equals the conditional expectation function and the alternative hypothesis that the null is false.

TL;DR: In this paper, the economic theory of decision-making under uncertainty is used to produce three econometric models of dynamic discrete choice: (1) for a single spell of unemployment; (2) for an equilibrium two-state model of employment and non-employment; (3) for general three-state models with a non-market sector.

TL;DR: In this paper, the Fourier flexible functional form is used to determine whether an industry exhibits constant returns to scale, whether the production function is homothetic, or whether inputs are separable.

TL;DR: In this article, a diagnostic test is formulated by taking the current model as the null hypothesis and a particular form of misspecification as the alternative, and the test is derived in two theorems corresponding to different models.

TL;DR: In this paper, the Lagrange Multiplier principle is used to develop efficient test procedures that are capable of testing a number of specifications simultaneously, which will lead to a better specification of econometric models.

TL;DR: In this article, a method for decomposing the deviations from a full frontier cost function into Farrell (1957) measures of technical and allocative efficiency is presented, which is applicable to a broad class of cost functions, including flexible functions such as the translog.

TL;DR: In this article, the authors show that the likelihood function always has a stationary point at one particular set of parameter values, and a condition is given when this point is a local maximum and when it is not.

TL;DR: In this paper, a theory of estimation and inference for situations in which the model of a data-generating process has been misspecified is presented, and conditions are provided which ensure the consistency and asymptotic normality of the least square estimator with respect to the parameter vector of a weighted least squares approximation to the underlying data generating process.

TL;DR: In this paper, the authors consider the problem of the instability of econometric relationships over time and assess the importance of such possible instabilities in the context of policy simulation studies.

TL;DR: In this article, general regularity conditions and a rigorous proof of the asymptotic normality of Cox's statistic for testing separate families of hypotheses are provided for the first time.

TL;DR: In this article, the assumption that rational expectations always lie on a convergent path is subject to an empirical test using the German hyperinflation data and the estimation technique employs a Kalman filtering algorithm.

TL;DR: In this article, the omitted variable bias problem in the multinomial logistic probability model is analyzed and sufficient, as well as necessary, conditions under which the omitted variables will not create asymptotically biased coefficient estimates for the included variables are derived.

TL;DR: In this paper, the estimation by maximum likelihood of multivariate error component models, linear and nonlinear, under various assumptions on the errors is analyzed, and the appropriate asymptotic covariance matrices are derived, enabling us, inter alia, to perform Wald tests of various relevant hypotheses.

TL;DR: In this paper, the authors give necessary and sufficient conditions for a linear combination of the elements of a vector time series to be efficiently forecast by its own past values, where by past they mean both the infinite and also the finite past.

TL;DR: In this paper, a signal-to-noise (SNO) test is proposed to detect weak data based on the size of the noise relative to the magnitude of the signal.

TL;DR: For processing data relating to the performance of an apparatus, the data is analyzed using a Kalman Filter, which has the tendency to distribute the cause of any sensed perfor mance change over all the possible sources of that change.

TL;DR: The sample selection bias correction procedure, developed by James J. Heckman, is extended to the case of multiple selection rules and a consistent estimator for the variance-covariance matrix is derived.

TL;DR: In this paper, the authors argue for caution in the use of response surface regressions of the type recommended by Hendry in Monte Carlo experiments and emphasize the need for qualifying statements concerning the parameter environments in which the adequacy of these regressions has been substantiated.

TL;DR: In this article, the causal relationship between consumer and producer price changes was examined and the Sims and Granger causality tests were used to test for causality between consumer prices and producer prices.

TL;DR: In this article, asymptotic expansions for the density functions of the TSLS and LIML estimates of coefficients in a simultaneous equation system when the sample size increases and the effect of the exogenous variables increases along the sample length is derived.

TL;DR: In this article, the authors derived the specific form of the exponentially combined likelihood function of two competing multivariate nonlinear regression models and showed that the application of the comprehensive approach to testing non-nested regression models will, in general, be indeterminate.

TL;DR: In this paper, the Tobit model was extended to the frontier production model, and a procedure for maximum likelihood estimation which greatly simplified the estimation process was proposed, which can be generalized to encompass a wide variety of limited dependent variable models, as demonstrated in Greene (1981).