Production risk and the estimation of ex-ante cost functions

Article Abstract:

Cost function estimation under production uncertainty is problematic because the relevant cost is conditional on unobservable expected output. If input demand functions are also stochastic, then a nonlinear errors-in-variables model is obtained and standard estimation procedures typically fail to attain consistency. But by exploiting the full implications of the expected profit maximization hypothesis that gives rise to ex-ante cost functions, it is shown that the errors-in-variables problem can be effectively removed, and consistent estimation of the parameters of interest achieved. A Monte Carlo experiment illustrates the advantages of the proposed procedure as well as the pitfalls of other existing estimators. [C] 2001 Elsevier Science S.A. All rights reserved. JEL classification.. C13; C39; D24 Keywords: Cost function; Duality; Expected profit maximization; Nonlinear errors-in-variables; Stochastic production

---

Achievements and challenges in econometric methodology

Article Abstract:

Disputes about econometric methodology have abounded in econometrics, yet their attempted resolution has attracted only a small proportion of research effort. Recently, computer-automated general-to-specific reductions have been shown to perform well in Monte Carlo experiments, recovering the DGP specification from a much larger general model with size and power close to commencing from the DGP itself. Thus, future developments appear promising, with many ideas awaiting implementation and both theoretical and simulation evaluation. [C] 2001 Published by Elsevier Science S.A. All rights reserved. Keywords: Econometric methodology: Computer automation; General-to-specific; Model selection; Data mining

---

Contemporaneous asymmetry in GARCH processes

Article Abstract:

The paper introduces a new concept of asymmetry (contemporaneous asymmetry) in conditional heteroskedasticity models. We propose an original class of models aimed to capture the leverage effect, contemporaneous asymmetry as well as time-varying skewness and kurtosis. Not only past up and down moves have different impacts on the conditional variance, but also, positive and negative changes are governed by different conditional variances. We give conditions for the existence of a second-order and strictly stationary solution. The paper also provides consistency results on the quasi-maximum likelihood estimation. Finally, an empirical analysis on the French CAC 40 stock index is proposed. [C] 2001 Elsevier Science S.A. All rights reserved. JEL classification: C13; C32 Keywords: Contemporaneous asymmetry; Conditional kurtosis; GARCH; Stationarity; Quasi-maximum-likelihood

Similar abstracts:

• Abstracts: Sunspots and the business cycle in a finance constrained economy. General equilibrium when economic growth exceeds discounting
• Abstracts: Editor's introduction. The phantom of capitalism in Russia (I)
• Abstracts: Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.