Rational expectations macromodels predict that the short-run effects of monetary shocks on real output (X) should be negatively related across policy regimes to the variability of such shocks. This paper presents cross-regime tests of this and related propositions based on a sample of 47 countries. The within-regime estimates reveal a consistent pattern of positive short-run real output effects, with neutrality of money holding in the long run. The cross-regime tests show that X is negatively related to the variance of monetary shocks, positively related to the variance of real output shocks, negatively related to the variance of velocity shocks, and unrelated to either the mean or variance of anticipated money growth.

Rational expectations macromodels predict that the short-run effects of monetary shocks on real output (X) should be negatively related across policy regimes to the variability of such shocks. This paper presents cross-regime tests of this and related propositions based on a sample of 47 countries. The within-regime estimates reveal a consistent pattern of positive short-run real output effects, with neutrality of money holding in the long run. The cross-regime tests show that X is negatively related to the variance of monetary shocks, positively related to the variance of real output shocks, negatively related to the variance of velocity shocks, and unrelated to either the mean or variance of anticipated money growth.

Entry is widely discussed but rarely subjected to empirical study. This study develops a competitive theory of entry, with primary focus on the relationship between entry and industry growth. The main ingredients are adjustment costs to firms already in the industry and the distribution of fixed entry cost to potential entrants. The theory suggests sufficient conditions under which the entry rate is an increasing, convex function of the industry growth rate. A regression model correcting for severe heteroscedasticity is applied to data from Swedish manufacturing industries. The results are consistent with the theoretical prediction for growth and other key variables expected to influence entry significantly.

Robert A. Pollak, Robin C. Sickles, Terence J. Wales, The CES-Translog: Specification and Estimation of a New Cost Function, The Review of Economics and Statistics, Vol. 66, No. 4 (Nov., 1984), pp. 602-607

Abstract ABSTRACT: Accounting policy makers and taxation authorities have been concerned with the understatement of depreciation expense that can accompany the use of generally accepted depreciation procedures. In addressing this concern, the taxation authorities have adopted a new method of historical cost depreciation known as the Accelerated Cost Recovery System (ACRS). Accounting policy makers, on the other hand, have addressed the "underdepreciation" issue with an experimental program of current cost depreciation disclosure. This paper presents a comparative analysis of the depreciation charges associated with the ACRS and current cost depreciation systems. The results of the analysis show that, for a variety of growth and price change conditions, the ACRS and current cost procedures can provide similar depreciation charges. As such, the ACRS techniques can alleviate considerably the "underdepreciation" effects that have been associated with some of the traditional historical cost depreciation methods.

Estimators obtained by maximizing a likelihood function are studied in the case where the true p.d.f. does not necessarily belong to the family chosen for the likelihood function. When such a procedure is applied to the estimation of the parameters of the first order moments, it is possible to prove a necessary and sufficient condition for its consistency. Asymptotic normality is shown as well as the existence of a lower bound for the asymptotic covariance matrix. It is also seen that this bound can be reached if consistent estimates are available for the parameters of the second order moments. Finally, a necessary and sufficient condition for the consistency if the pseudo maximum likelihood estimation of the first and second moments is given.

ABSTRACT There are several examples in the literature of contingent claims whose payoffs depend on the outcomes of two or more stochastic variables. Familiar cases of such claims include options on a portfolio of options, options whose exercise price is stochastic, and options to exchange one asset for another. This paper derives risk neutral valuation relationships (RNVRs) in a discrete time setting that facilitate the pricing of such complex contingent claims in two specific cases: joint lognormally distributed underlying variables and constant proportional risk aversion on the part of investors, and joint normally distributed underlying variables and constant absolute risk aversion preferences, respectively. This methodology is then applied to the valuation of several interesting complex contingent claims such as multiperiod bonds, multicurrency option bonds, and investment options.