Econometrics Commons^™

Introducing: The Survey Of Professional Forecasters, Dean D. Croushore

Economics Faculty Publications

Forecasts play a crucial role in the economy. Businesses won't hire workers as readily if they think the economy may go into a recession soon. Long-term interest rates will rise if people in the financial markets expect inflation to increase. And firms are less likely to borrow money for new investment spending today if they think interest rates will soon decline.

Forecasts are important for many decisions, but not many people have the knowledge and experience to forecast economic variables well. It makes sense, therefore, for people to rely on the forecasts of experts. One easy way to get these …

Long Wave Data, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (1993, June 16). Long wave data [Handwritten notes].

• Shaikh, A. (1987, February 26). Emotors.wk1: Calculation of electricity used in the running of electric motors [Document/worksheet printout].

• Downe, E. (1984, April 16). Vend capacity utilization index [Handwritten notes].

• Downe, E. (n.d.). Source material on vend (note to Anu) [Typed note].

• Shaikh, A. (1984, March 11). Capacity utilization data: Vend series [Handwritten notes].

• Shaikh, A. (n.d.). Consumption of electric energy and total electric power used for electric motors [Handwritten notes].

• Shaikh, A. (1987, February 23). Uelectrc.wk1: Revised electric motor utilization …

Crisis Data Updates, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A., PhD. (1987, April 2). CAP2STAR: Optimizing CAP2 and new capacity utiliz. index (UMH) + optimizing technique [Handwritten and typed notes discussing McGraw-Hill data, capacity indices, and Federal Reserve measures]. Unpublished manuscript.

• Shaikh, A., PhD. (1986). CAP2STAR table [Computer printouts showing capacity indices and industrial production data from 1925 to 1985]. Unpublished manuscript.

• Shaikh, A., PhD. (1987, March 26). Optimizing CAP2 [Handwritten notes including equations for ΔCAP2 and UIMH]. Unpublished manuscript.

• Shaikh, A., PhD. (1987, April 2). CAP2 nonlinear L.S. estimator (Gauss) [Handwritten notes showing regression results]. Unpublished manuscript.

• Shaikh, A., PhD. (1987, March 28). Model …

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Non-Monetary Effects On Inflation Within The Price-Gap Model, Leonard Loebach

Masters Theses

The purpose of this thesis is to examine some of the various non-monetary effects on inflation within the framework of the price-gap model. Some of the non-monetary shocks that can affect inflation include wage adjustments, changes in basic commodity prices (for example, crude oil), changes in the exchange rates, and shifts in inflationary expectations.

In April of 1989, a study was put out by the Federal Reserve (staff study 157) that examined the relationship between the current price level and an estimate of the long-run equilibrium price level. In the study, an indicator P* (pronounced P-star) was used to estimate …

Some Improvements On An Algorithm For Controlled Selection, Ting Kwong Lin

Research Collection School Of Economics

The sampling technique called controlled selection was f'irst described by Goodman and Kish (1950). It was found to be a very useful sampling technique among practicing survey samplers, especially in selecting first-stage units in multi-stage sampling. Hess, Riedel and Fitzpatrick (1961, 1975) have given a simple illustration on how it can be implemented in the sampling of hospitals in the state of Michigan. In this paper, we show how the Groves-Hess algorithm can be improved and how further controls which are useful to survey practitioners can be built into the algorithm. Problems the old algorithm could not solve can now …

Exchange Rate And Income Effects On South Korean Exports: The Us Case, Heather M. O'Neill, William Ross

Business and Economics Faculty Publications

This paper analyzes econometrically the effects of direct and cross exchange rates as well as US income and Korean supply developments on the volume of Korean exports to the US. The results suggest that US demand has been the most important factor in the growth of Korean exports to the US in recent years. However, direct exchange rate effects are also important; the estimates suggest that for 1989-90, a yearly 10% real appreciation of the won against the dollar would have lowered export volume by about 10% per year relative to a baseline case. Cross exchange rate effects run counter …

Term Structure Of Interest Rates In The Singapore Asian Dollar Market, Tom K. Y. Lee, Yiu Kuen Tse

Research Collection School Of Economics

This paper investigates empirically the term structure of interest rates in the Singapore Asian Dollar Market. We consider extended versions of the ARCH-M model of Engle, Lilien, and Robins (1987). The extended models permit autocorrelation, skewness and leptokurtosis in the residuals. The robustness of the empirical tests with respect to alternative specifications of the ARCH process is examined. It turns out that there is significant time-varying term premium, and this conclusion is independent of the hypothesized ARCH model.

Long Waves Further Research And Revisions, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes.

• Shaikh, A., PhD. (1991, October). Long waves further research and revisions [Folder cover; unpublished manuscript].

• Malloy, M. (1993, June 16). Correction of Rodgers/BIE stocks used in long wave paper [Handwritten notes; unpublished manuscript].

• Shaikh, A., PhD. (1990, November 7). Capital stock data in millions of constant dollars [Annotated computer printouts; unpublished manuscript].

• Shaikh, A., PhD. (1990, October 10). Capital in manufacturing [Handwritten notes; unpublished manuscript].

• Shaikh, A., PhD. (n.d.). Old and new gross stocks ratio for structure and equipment [Graphs; unpublished manuscript].

• Shaikh, A., PhD. (1989, January 12). ROP & capacity …

How Big Is Your Share Of Government Debt?, Dean D. Croushore

Economics Faculty Publications

In evaluating the government's financial position, taxpayers need to account not only for its debt, but also for its ownership of tangible assets. Each taxpayer has a share of the government's net worth that is positive; however, the share was larger 10 years ago. While the real net debt tripled, this huge rise in government indebtedness generated no similar gain in government assets. Taxpayers will be paying interest on this debt with little hope of higher future returns from government assets to help pay it off. It is recommended that the government adopt a capital-budgeting system. This system would change …

Long Run Growth Patterns, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (1990, March). Long run growth patterns [Handwritten notes discussing linear splines, segmented trends, and piecewise regression]. Unpublished manuscript.

• Shaikh, A. (1990, March 11). Forms of Marxian technical change [Handwritten notes discussing basic models of technical change]. Unpublished manuscript.

• Shaikh, A. (1990, March 11). Marxian technical change [Handwritten notes discussing disembodied and embodied forms]. Unpublished manuscript.

• Shaikh, A. (1990, March 11). Nonlinear forms for Marxian technical change [Handwritten notes]. Unpublished manuscript.

• Shaikh, A. (1990, March 10). Marxian technical change and potential output: 1899–1984 [Handwritten notes discussing the problem of estimating capital-output ratios]. Unpublished manuscript.

• Shaikh, A. …

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A Note On Sargan Densities, Yiu Kuen Tse

Research Collection School Of Economics

This note reexamines the general class of Sargan densities analyzed by Goldfeld and Quandt (1981), Kafei and Schmidt (1985), and others in the context of approximating normal densities in certain econometric models. It suggests a third-order Sargan density which complies with the Goldfeld and Quandt criteria, is unimodal, and is the best approximation to the normal for orders less than or equal to 3. Some errors in Goldfeld and Quandt paper are corrected.

Umh, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (n.d.). Graphs comparing expanratio, investshare, replceratio, gigr, and umh1 [Graphs]. Unpublished manuscript.

• Kline, K. (n.d.). Source of the 1939 and 1946 capacity index from the McGraw-Hill survey (note to Professor Shaikh) [Handwritten note]. Unpublished manuscript.

• McGraw-Hill Publishing Company. (1948). Business’ needs for new plants and equipment [Questionnaire]. McGraw-Hill Publishing Company.

• McGraw-Hill. (1948). Capital expansion for 1948 and ’49 [Report]. McGraw-Hill.

• Shaikh, A. (1988, September 18). Correction to umh: Capacity index [Handwritten notes]. Unpublished manuscript.

• Shaikh, A. (1987, October 22). McGraw Hill data on replacement invest [Handwritten notes]. Unpublished manuscript. …

Eco 208s Fall 1987 Growth + Cycle Models, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection contains:

• Shaikh, A., PhD. (2001, June 6). Structure of NIPA accounts [Handwritten notes].

• Shaikh, A., PhD. (n.d.). Programming in EViews [Handwritten notes].

• Shaikh, A., & Semmler, W. (1986, Spring). Selected topics in advanced political economy: Growth, cycles, and crisis [Course outline and reading list for ECO 208].

• Semmler, W. (1986). Competition, nonlinear cycles, and growth [Manuscript].

Understanding Spurious Regressions In Econometrics, Peter C. B. Phillips

Research Collection School Of Economics

This paper provides an analytical study of linear regressions involving the levels of economic time series. An asymptotic theory is developed for regressions that relate quite general integrated random processes. This includes the spurious regressions of Granger and Newbold (1974) and the recent cointegrating regressions of Granger and Engle (1985). An asymptotic theory is developed for the regression coefficients and for conventional significance tests. It is shown that the usual t- and F-ratio test statistics do not possess limiting distributions in this context but actually diverge as the sample size T ↑ ∞. The limiting behavior of regression diagnostics such …

Economic Crisis, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes.

• Shaikh, A. (1987). Humbug production function [Final draft manuscript]. In The New Palgrave Dictionary of Economics (pp. 1–3). London, England: Palgrave Macmillan. Author: Anwar Shaikh.

Period Of Production, Anwar Shaikh Phd

Archives of Anwar Shaikh

This folder includes:
Handwritten note cards titled:

• Sraffa System, on defining a standard set of outputs and reducing differences in C/V to differences in the period of production for a vertically integrated economy
• Std. Prop. & Period of Production, on whether standard proportions relate to the physical period of reproduction, the iterative transformation from value composition to prices of production, and Sraffa multipliers

Labor Supervision, Anwar Shaikh Phd

Archives of Anwar Shaikh

This folder includes:
Handwritten note cards titled:

• Labor vs. Non-Labor on labor as human activity in the sphere of necessity, citing Mandel, Re Formation of the Economic Thought of Karl Marx (MR, 1971, Ch. 10, p. 169)
• Labor Process referencing E.O. Wright, Class, Crisis & the State (Verso, 1979, pp. 64–)
• Prod / Unprod. Labor (title only, no further notes)
• History of Thought / Marx on E.K. Hunt, “The Relation of the Ricardian Socialists to Ricardo and Marx” in Science & Society (XLIV, 2, Summer 1980, pp. 177–198)
• Joint Products & Prices of Production (5 pages) on compatibility of joint …

Aggregate Production Functions, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes.

• Folder cover titled “aggregate production functions”. (n.d.). [Unpublished folder cover].

• Shaikh, A., PhD. (n.d.). Handwritten notes on F. M. Fisher’s “Aggregate production functions revisited” [Unpublished handwritten notes]. Manuscript.

• Ara, K. (1978, December). Parable and realism in the theory of capital: A generalization of Prof. Samuelson’s theory of surrogate production function. Hitotsubashi Journal of Economics.

• Gallaway, L. E. (1982). Specification of the aggregate production function. Rivista Internazionale di Scienze Economiche e Commerciali.

• Shaikh, A., PhD. (n.d.). Handwritten notes with a graph of a basic production function [Unpublished handwritten notes]. Manuscript. …

An Econometric Analysis Of The Determinants Of Investments By Insurance Companies In Nigeria, S. E. Omoruyi

Economic and Financial Review

The paper is divided into two parts. Part I discusses the concept of financial intermediation. Part II outlines the model of determinants of investments by the insurance industry and summarises the main findings and policy recommendations of the study.

Electricity Consumption In Nigeria: An Econometric Analysis, Sam Chuka Ljeh

Economic and Financial Review

The purpose of this study is to identify the variables that influence electricity consumption, specify the correct relationships between these variables and electricity consumption and provide statistical evidence of these relationships in Nigeria.

A Physical Interpretation Of The Maximum Likelihood Estimation Of A Linear Functional Relationship Model, Y. V. Hui, Yiu Kuen Tse

Research Collection School Of Economics

This paper presents a physical interpretation of estimating the parameters of a linear functional relationship model. The estimates are determined from the stable equilibrium position of a mechanical system. It is found that the estimates obtained from the physical model coincide with the maximum likelihood estimates.

Plan Of Study For Cross Florida Barge Canal: Economic Analysis, United States. Army. Corps Of Engineers. Jacksonville District

Correspondence and Textual Material

At the time of the previous study of transportation savings, commerce in coal primarily for electric power generation could not be ·projected with any degree of accuracy because most electric utilities had not developed firm plans for building new coal-fired plants· or for converting from petroleum products or natural gas to coal at existing plants. Today, with plants already constructed that will burn coal, there is a greater probability of defining coal needs. So there is a need to reevaluate potential coal traffic via the CFBC. Also there is a need to evaluate the other types of benefits mentioned under …

Math, Anwar Shaikh Phd

Archives of Anwar Shaikh

This folder includes:
Handwritten note cards titled:

• First order linear difference equations with solutions and properties
• Mathematics, with a St. Augustine quote on mathematicians, cited from Geoff Hodgson's "Marxist Epistemology and the Transformation Problem"
• Linear differential equations with constant coefficients, referencing Goldberg, Differential Equations
• Marx's Errors, on Marx's mistaken estimation of future generations completing his work, citing Marx to Kugelmann via Nicolaus, Introduction to Grundrisse (Pelican Library, 1973, p. 59) (9/2/82)
• Appearance, Essence, & Aspects, on the visible and less visible aspects of objects and relations (9/18/82)
• Common Sense & Science, on the relationship between …

Inflation And Taxable Capacity: Some Recent Evidence, Barbara Allison Haney-Powell

Masters Theses

Colin Clark's theory of inflation has had a profound effect on present-day economic theory concerning taxation policy. While his belief that inflation occurred when all tax revenues exceeded 25 percent of national income was rejected by his contemporaries in the 1940's, supply-side economists incorporate Clark's theory into their proposals for curing the unemployment and inflation of the 1970's and 1980's. These proposals gained popular support and resulted in the election of President Ronald Reagan who implemented such proposals. The purpose of this study is to determine the veracity of Clark's theory.

Clark's theory was tested in this study with the …

I-O Tables And Price Value Deviation, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Folder cover labeled I-O tables and price/value deviations.
• Excerpts from Jacoby, N. H. (1977). Obscene corporate profits: The myth of exploitation. [Publisher not identified]; and Doran, C. F. (1977). Myth, oil, and politics: Introduction to the political economy of petroleum. [Publisher not identified].
• Shaikh, A. (1983, September 8). Petroleum refining, VA [Handwritten notes]. Unpublished manuscript.
• Ochoa, E. (1983, October 27). New oil stocks, but not average profit of oil extraction and refining [Handwritten notes]. Unpublished manuscript.
• Shaikh, A. (1983, November 29). Untitled calculations [Handwritten notes]. Unpublished manuscript.
• Shaikh, A. (1983, September 8). Petroleum refining …

Vertical Integration, Anwar Shaikh Phd

Archives of Anwar Shaikh

This folder includes:
Handwritten note cards titled:

• Costa Paper
• Exchange Value of Value
• Mathematics Textbooks (e.g., Introduction to Matrix Analysis…)
• S/V and Real Wage
• Ricardian Model
• ANNOUNCE MAKE-UP Week of April 9
• Factor Price Equalization
• Transformation Curves
• Computer Time Memo and Magdoff
• Capital–Consumption Good Model
• One-Sector Fixed Proportions Technique
• Swan’s Argument
• Biproportional Matrices and Input–Output Change
• Fixed Proportions & Variable Proportions
• Consumption Theory & Random Behavior
• Anti-Critique (Luxemburg)
• Graphical Version of Postulates: Indifference Curves
• Human Needs & Wants
• Culture → Enculturation → Economic Rationality
• Marginal Product & Probability Distributions of Factor Services
• Economics of Planning: Labor Theory of Value & …

The Grant Equivalent Of Foreign Aid Commitments: People's Republic Of China 1956-1974, Hans F. Haupt

Graduate Thesis Collection

The purpose of this thesis is to show the existing quantitative tool (model) measuring the true grant-value of foreign aid, expand that model somewhat to arrive at least at reasonably accurate input factors which are otherwise difficult to evaluate, and to document China's foreign aid program on a recipient by recipient basis, both in terms of its nature and its estimated grant-components.

Long-Run Debt-Income Model Of Consumer Installment Credit, Tseng Ho Wong

Masters Theses

In the late forties and early fifties concern emerged in some economic circles because installment debt was growing more rapidly than income. Overextensions of debt in the long run were believed to jeopardize future prosperity of the economy. To demonstrate that the rate of growth of debt would not threaten future prosperity, A. Enthoven designed a debt-income growth model. Michael K. Evans reaffirmed Enthoven's conclusions in a later study. However, in 1964 and 1967, the model and its assumptions were attacked by Oliver and Chiu and Brosky, respectively.

This study tests again Enthoven's model and its assumptions using up-to-date data. …

Polluters’ Profits And Political Response: Direct Control Versus Taxes: Comment, Robert S. Main, Charles W. Baird

Scholarship and Professional Work - Business

In a recent issue of this Review, James Buchanan and Gordon Tullock (B-T) presented a public choice analysis of the relative merits of direct controls and taxes in externality control. In Section IV of their paper, B-T consider the case of reciprocal external diseconomies of consumption. They ask whether "... persons in this sort of interaction, acting through the political processes of the community, will impose on themselves either a penalty tax or direct regulation" (p. 143). Their analysis is carried out within the context of a two-person model in which each person consumes the same quantity of a …

A General Solution For Linear Decision Rules: An Optimal Dynamic Strategy Applicable Under Uncertainty, George A. Hay, Charles C. Holt

Cornell Law Faculty Publications

Linear decision rules for controlling complex systems are often obtained by matrix inversion, but transform methods offer an alternative approach that yields insights into the structure of the decision problem of maximizing expected payoffs under constraints.