Knowledge that Transforms

status: Published

[This paper investigates a simple economic model for the commercial fishing industry. The results imply the phenomena of non-explosive fishing capital investment and non-extinctive fishery resources. Both investments and resources will always tend to an equilibrium position. A comparison with a more general model is also made.]

In this paper we derive and present optimal critical points for pre-tests in regression using a minimum average relative risk criterion. We use the same type risk functions as Sawa and Hiromatsu [8] who, in a recent paper in this journal, derived pre-test critical values using a minimax regret criterion. Since James-Stein type estimators can be shown to dominate any pre-test estimator for the risk functions used here and in [8], no normative claims are made for the critical values we give. However, the use of pre-testing procedures continues in practice and the results given here, contrasted with other results, add to information about the character of costs and returns to such practices.

[We consider how large a committee must be before it is possible to achieve simultaneously any two rankings of m alternatives by two seemingly consistent procedures.]

[Proceeding under the assumption that expectations are formed rationally, this paper describes a procedure for consistent estimation of equations involving unobservable expectational variables and then, using this procedure, develops empirical results bearing on the validity of the natural rate hypothesis. Estimates assuming partial rationality are also reported.]

Thomas W. Epps, Mary Lee Epps, The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis, Econometrica, Vol. 44, No. 2 (Mar., 1976), pp. 305-321

usefulness of prior information. Viewed broadly, this theme has encompassed such diverse topics as the estimation of a system of simultaneous structural equations, the specification and estimation of distributed lags, and the formal integration of stochastic prior and sample information through Bayes' theorem. Without exception, the results have encouraged the incorporation of further prior information into our statistical procedures, in the sense that the judicious use of such information has produced unambiguously better estimators. That this need not be the case in a typical linear regression application is thus somewhat surprising and constitutes the topic of this paper. Here, we develop the relationship between the specification of the deterministic and the stochastic components of a linear model and show that whenever the covariance structure of the disturbance process is effectively misspecified,2 one can no longer justify the use of prior information about the deterministic part of the model. If the error covariance matrix differs substantively from that required by the Gauss-Markov theorem, the imposition of correct linear restrictions on the regression coefficients leads to less efficient estimators of some estimable functions of the parameters.3 Prior information can hurt! We begin by introducing notation and examining the efficiency of least squares estimators in linear models with varying amounts of prior information. An application of the theory of regular pencils then produces the main results (Section 3), practical implications are drawn in Section 4, and we conclude with an application (Section 5).

[Although the theory of taxation and portfolio choice has been extensively developed, the current paper begins the econometric study of this subject. The research analyzes the composition of portfolios of 1,799 households in a sample in which high income individuals are greatly overrepresented. The results show that the personal income tax has a very powerful effect on individuals' demands for portfolio assets after adjusting for the effects of net worth, age, sex, and the ratio of human to nonhuman capital.]

[It is known that there is a one-to-one correspondence between stationary ARMAX and state space models. In order to estimate these it is necessary first to identify and further, having identified, to choose parameters. This paper discusses the properties a system of identification and parameterization might be desired to have in relation to various examples of identification. It also constructs a (known) canonical state space form (identification) out of the constants needed to specify the corresponding ARMAX form. It is argued that what is here called "simple identification" will be the best basis for identification even though some structures cannot be identified in this manner.]