The choice of time interval in seasonal adjustment: A heuristic approach

A typical problem of the seasonal adjustment procedures arises when the series to be adjusted is subject to structural breaks. In fact, using the full span of the series can result in a biased estimation of the “true” seasonally adjusted series, with unclear evidence showed by the usual diagnostic tests. In these cases the researcher has to decide where to cut-off the observed series to obtain a homogeneous span; this is generally performed by a simple visual inspection of the graph of the series and/or using a-priori information about the occurrence of the break. In this paper we propose a statistical criterion based on a distance measure between filters, evaluating its performance with Monte Carlo experiments. The first results of this work have been presented at the XL scientific meeting of the Italian statistical society, Florence, 26–28 April 2000, benefiting of the discussion arisen there; a preliminary version of this paper circulated as ISAE working paper No. 21/2001 with the title “The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools”. We thank an anonymous referee for precious suggestions. The authors are solely responsible of any remaining error.     

New Results for Computing Blaker’s Exact Confidence Interval for One Parameter Discrete Distributions

The authors state new general results for computing Blaker’s exact confidence interval limits for usual one-parameter discrete distributions. Specific results for implementing an accurate and fast algorithm are made explicit for the binomial, negative binomial, Poisson and hypergeometric model.     

Aggregating the Single Crossing Property

The single crossing property plays a crucial role in economic theory, yet there are important instances where the property cannot be directly assumed or easily derived. Difficulties often arise because the property cannot be aggregated: the sum or convex combination of two functions with the single crossing property need not have that property. We introduce a new condition characterizing when the single crossing property is stable under aggregation, and also identify sufficient conditions for the preservation of the single crossing property under multidimensional aggregation. We use our results to establish properties of objective functions (convexity, logsupermodularity), the monotonicity of optimal decisions under uncertainty, and the existence of monotone equilibria in Bayesian games.     

Formal and Informal Risk Sharing in LDCs: Theory and Empirical Evidence

We develop and estimate a model of dynamic interactions in which commitment is limited and contracts are incomplete to explain the patterns of income and consumption growth in village economies of less developed countries. Households can insure each other through both formal contracts and informal agreements, that is, self‐enforcing agreements specifying voluntary transfers. This theoretical setting nests the case of complete markets and the case where only informal agreements are available. We derive a system of nonlinear equations for income and consumption growth. A key prediction of our model is that both variables are affected by lagged consumption as a consequence of the interplay of formal and informal contracting possibilities. In a semiparametric setting, we prove identification, derive testable restrictions, and estimate the model with the use of data from Pakistani villages. Empirical results are consistent with the economic arguments. Incentive constraints due to self‐enforcement bind with positive probability and formal contracts are used to reduce this probability.