The Dynamic Relationship Between the Dollar and Components of U.S. Trade

The dynamic response of the nominal trade account to changes in the value of the U.S. dollar has been posited to follow a J-curve pattern. Recent experience calls this into question. The aggregate nominal trade balance is decomposed here into four components, both prices and volumes of imports and exports. Time series specification tests and Granger tests of causal priority are employed to identify the existence and nature of the response of each individual component to dollar movements. Surprisingly weak and delayed responses of both import prices and volumes are found, suggesting a new view of trade-balance evolution.     

Dynamic Asymmetries in U.S. Unemployment

We examine dynamic asymmetries in U.S. unemployment using nonlinear time series models and Bayesian methods. We find strong statistical evidence in favor of a two-regime threshold auto-regressive model. Empirical results indicate that, once we take into account both parameter and model uncertainty, there are economically interesting asymmetries in the unemployment rate. One finding of particular interest is that shocks that lower the unemployment rate tend to have a smaller effect than shocks that raise the unemployment rate. This finding is consistent with unemployment rises being sudden and falls gradual.     

A Dynamic Analysis of Prices in the U.S. Rice Marketing Channel

Granger causality tests and dynamic multipliers are used to explore the dynamic relationship among prices in the U.S. rice marketing channel. The dynamic multipliers provide information about the speed and magnitude of dynamic price adjustments that is not provided by the Granger causality tests. This information is shown to be useful in explaining the underlying economic relationship among the time series of prices.     

A Balanced System of U.S. Industry Accounts and Distribution of the Aggregate Statistical Discrepancy by Industry

This article describes and illustrates a generalized least squares (GLS) method that systematically incorporates all available information on the reliability of initial data in the reconciliation of a large disaggregated system of national accounts. The GLS method is applied to reconciling the 1997 U.S. Input-Output and Gross Domestic Product (GDP)-by-industry accounts with benchmarked GDP estimated from expenditures. The GLS procedure produced a balanced system of industry accounts and distributed the aggregate statistical discrepancy by industry according to the estimated relative reliabilities of initial estimates. The study demonstrates the empirical feasibility and computational efficiency of the GLS method for large accounts reconciliation.     

A Bayesian estimation of lag lengths in distributed lag models

Dynamic regression models are widely used because they express and model the behaviour of a system over time. In this article, two dynamic regression models, the distributed lag (DL) model and the autoregressive distributed lag model, are evaluated focusing on their lag lengths. From a classical statistics point of view, there are various methods to determine the number of lags, but none of them are the best in all situations. This is a serious issue since wrong choices will provide bad estimates for the effects of the regressors on the response variable. We present an alternative for the aforementioned problems by considering a Bayesian approach. The posterior distributions of the numbers of lags are derived under an improper prior for the model parameters. The fractional Bayes factor technique [A. O'Hagan, Fractional Bayes factors for model comparison (with discussion), J. R. Statist. Soc. B 57 (1995), pp. 99–138] is used to handle the indeterminacy in the likelihood function caused by the improper prior. The zero-one loss function is used to penalize wrong decisions. A naive method using the specified maximum number of DLs is also presented. The proposed and the naive methods are verified using simulation data. The results are promising for the method we proposed. An illustrative example with a real data set is provided.     

A simple method for the estimation of rational distributed lag models

In an earlier paper we suggested a method for the identification and estimation of linear transfer function models. The method was claimed to be especially suitable for polynomial transfer function models. In this paper we shall consider the case of rational transfer function models (distributed lag models) in more detail. A simple method for the estimation of the parameters of multiple input rational distributed lag models is suggested. The method is based on simple linear identities that the parameters always fulfill. The asymptotic distribution of the proposed estimator is derived. Two illustrative examples of the use of the new method are given.     

美国统计资料的收集方法

美国是目前世界上统计资料最丰富的国家之一。各项统计活动的产品构成了一个庞大而纷繁的反映人民、自然资源、社会机构、经济和生态环境等方面的资料和信息实体。 美国统计资料的生成是分散进行的。在政府的各部门中,进行统计活动的机构或单位超过65个。其中主要的统计机构有商务部的普查局、农业部的统计报告服务局和劳工部的劳工统计局。其他如税务局、矿务局、     

Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section

This article proposes a Bayesian estimation framework for a typical multi-factor model with time-varying risk exposures to macroeconomic risk factors and corresponding premia to price U.S. publicly traded assets. The model assumes that risk exposures and idiosyncratic volatility follow a break-point latent process, allowing for changes at any point on time but not restricting them to change at all points. The empirical application to 40 years of U.S. data and 23 portfolios shows that the approach yields sensible results compared to previous two-step methods based on naive recursive estimation schemes, as well as a set of alternative model restrictions. A variance decomposition test shows that although most of the predictable variation comes from the market risk premium, a number of additional macroeconomic risks, including real output and inflation shocks, are significantly priced in the cross-section. A Bayes factor analysis massively favors the proposed change-point model. Supplementary materials for this article are available online.     

Primal and Dual Capacity Utilization: An Application to Productivity Measurement in the U.S. Automobile Industry

Capacity utilization measures have traditionally been constructed as indexes of actual, as compared to “potential,” output. This potential or capacity output (Y*) can be represented within an economic model of the firm as the tangency between the short- and long-run average cost curves. Economic theoretical measures of capacity utilization (CU) can then be characterized as Y/Y* where Y is the realized level of output. These quantity or primal CU measures allow for economic interpretation; they provide explicit inference as to how changes in exogenous variables affect CU. Additional information for analyzing deviations from capacity production can be obtained by assessing the “dual” cost of the gap.

In this article the definitions and representations of primal-output and dual-cost CU measures are formalized within a dynamic model of a monopolistic firm. As an illustration of this approach to characterizing CU measures, a model is estimated for the U.S. automobile industry, 1959–1980, and primal and dual CU indexes are constructed. Application of these indexes to adjustment-of-productivity measures for “disequilibrium” is then carried out, using the dual-cost measure.     

Survival in the U.S. petroleum refining industry

Of the 324 petroleum refineries operating in the U.S. in 1982, only 149 were still in the hands of their original owners in 2007. Using duration analysis, this paper explores why refineries change ownership or shut down. Plants are more likely to ‘survive’ with their original owners if they are older or larger, but less likely if the owner is a major integrated firm, or the refinery is a more technologically complex one. This latter result differs from existing research on the issue. This paper also presents a split population model to relax the general assumption of the duration model that all refiners will eventually close down; the empirical results show that the split population model converges on a standard hazard model; the log-logistic version fits best. Finally, a multinomial logit model is estimated to analyze the factors that influence the refinery plant's choices of staying open, closing, or changing ownership. Plant size, age and technology usage have positive impacts on the likelihood that a refinery will stay open, or change ownership (rather than close down).     

战后美国的国民收入核算体系

国民收入是一个综合性经济指标。按照美国著名资产阶级经济学家萨缪尔逊的说法,有其广义的概念和狭义的概念。所谓广义的国民收入,是指国民生产总值、国民生产净值、国民收入、个人收入和个人可支配收入这五个总量指标所构成的一个指标体系;所谓狭义的国民收入,则是指其中的国民收入。广义国民收入的五个总量指标,借助于复式会计帐户的形式,把它们之间的内在联系表述出来,这就是国民收入核算体系。在美国,这个体系称作“国民收入和生产核算体系”(National Ineome and Product Accounts)。     

The Hausdorff Space and Applied Statistics: A View from the U.S.S.R.

The article focuses on the debate in the pages of the Soviet statistical journal Vestnik Statistiki as to the existence and relevance of applied statistics as a separate scientific discipline. The contents of four letters to the editor and relevant editorial comments that appeared in this journal between October 1985 and July 1987 are analyzed.     

The Changing Transmission of Uncertainty Shocks in the U.S.

This article investigates if the impact of uncertainty shocks on the U.S. economy has changed over time. To this end, we develop an extended factor augmented vector autoregression (VAR) model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on a range of variables. We find that the impact of uncertainty shocks on real activity and financial variables has declined systematically over time. In contrast, the response of inflation and the short-term interest rate to this shock has remained fairly stable. Simulations from a nonlinear dynamic stochastic general equilibrium (DSGE) model suggest that these empirical results are consistent with an increase in the monetary authorities’ antiinflation stance and a “flattening” of the Phillips curve. Supplementary materials for this article are available online.     

Modeling the ECU Against the U.S. Dollar: A Structural Monetary Interpretation

The proposal that a reformed international monetary system be designed around currency blocs has gained some popularity of late. In Europe, the formation of the Euro formalizes the existence of a DM-based currency block. Little academic research has been conducted, however, on the properties of composite currencies such as the Euro. In this article, we examine the properties of the precursor to the Euro—namely, the ECU—against the U.S. dollar using a monetary framework. The article has several novel features: Our modeling strategy involves starting with underlying equilibrium conditions rather than a final reduced form; uses divisia money rather than the more conventional simple-sum money; interprets, in an economic sense, the long-run relationships; and produces an appealing forecasting performance.     

Statistical and quality control standards in the U.S

The U.S. standards system is a system of voluntary consensus standards in the private sector. There are more than 750 orgainzations in the U.S. that issue standards. Two very important standards orgainzations are ASTM Committee E-11 on Statistical Methods and ANSI Committee Z-1 on Quality Assurance develop statistical standards, and standards under the jurisdiction of these committees are listed. The most widely-used statistical standards are the standard tables for sampling inspection, which were developed by the U. S. militart, and have been adopted, modifed or revised to appear in various standard systems, both military and civilian, national and international     

美国CPI中商品与服务质量变化的调整

在编制消费者物价指数(CPI)时,一般假定,一定质量的商品或服务项目的价格随着时间而变化,因而消费者物价指数可以理解为单纯地反映商品或服务的价格变化。但是,要获得同样一组商品或服务项目在不同时期的价格资料几乎是不可能的。因为一些代表商品经常从市场上消失,有的商品被新产品替代。     

Improving the contributions of technology assessment to the health care system of the U.S.A.

Summary Based on 14 case studies of highly effective therapies and the reasons they succeeded less frequently than they could, we propose a variety of steps to improve the health care system of the U.S.A. Whatever proposal emerges from current national debates until innovations are shown to be safe and effective, they should not be supported; when slightly better technologies are much more expensive than other good ones we need to consider appropriate choices carefully; simplified billing and bookkeping would reduce our costs; when a technology is rapidly introduced cautionnary measures may be needed; tracking immunization and repairing their omissions requires a new system; educational programs such as seen effective in hypertension should be applied in other areas such as vaccination; in organ transplantation the nation should consider “presumed consent”; our payment system sometimes creates perverse incentives and therefore needs review; and the preferences of the public in allocation of health resources need to be discovered once the public is informed about the issues. Research supported by Andrew W. Mellon Foundation.     

Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts

This article introduces and discusses a new measure of the relative economic affluence (REA) between income distributions with different means. The REA measure D is applied to the U.S. white and black household income distributions of 1967 and 1979. The measure D shows that the REA of the white households with respect to the black households decreased from 1967 to 1979. This conclusion contrasts with those obtained by applications of distance or quasi-distance functions. It is shown in this study that REA measures and distance functions address different and relevant issues. An REA measure deals with the relation “more affluent than” and defines a partial strict ordering over the set of pairs of income distributions—that is, the relation is asymmetric and transitive—whereas a distance function accounts for the dissimilarity between distributions without imposing an ordering relation and hence fulfills the symmetry property.     

A Generalized Production Frontier Approach for Estimating Determinants of Inefficiency in U.S. Dairy Farms

This article investigates farm-level efficiency of U.S. dairy farmers by estimating their technical and allocative efficiency. Technical inefficiency is assumed to be composed of a deterministic component that is a function of some farm-specific characteristics and a random component. By doing this we extend the stochastic frontier methodology in which determinants of technicial inefficiency are explicitly introduced in the model. Given the inputs, variations in efficiency of farms are then explained by both deterministic and random components of technical inefficiency. The empirical results indicate that (a) levels of education of the farmer are important factors determining technical inefficiency and (b) large farms are more efficient (technically) than small and medium-sized farms. Both technical and allocative inefficiency are found to decrease with increase in the level of education of the farmer.