TY - JOUR TI - Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error AU - Kalnina, Ilze AU - Linton, Oliver T2 - Journal of Econometrics AB - We propose an econometric model that captures the effects of market microstructure on a latent price process. In particular, we allow for correlation between the measurement error and the return process and we allow the measurement error process to have a diurnal heteroskedasticity. We propose a modification of the TSRV estimator of quadratic variation. We show that this estimator is consistent, with a rate of convergence that depends on the size of the measurement error, but is no worse than n−1/6. We investigate in simulation experiments the finite sample performance of various proposed implementations. DA - 2008/11// PY - 2008/11// DO - 10.1016/j.jeconom.2008.09.016 VL - 147 IS - 1 SP - 47-59 J2 - Journal of Econometrics LA - en OP - SN - 0304-4076 UR - http://dx.doi.org/10.1016/j.jeconom.2008.09.016 DB - Crossref KW - Endogenous noise KW - Market microstucture KW - Realised volatility KW - Semimartingale ER - TY - JOUR TI - Identifying the new Keynesian Phillips curve AU - Nason, James M. AU - Smith, Gregor W. T2 - Journal of Applied Econometrics AB - Abstract Phillips curves are central to discussions of inflation dynamics and monetary policy. The hybrid new Keynesian Phillips curve (NKPC) describes how past inflation, expected future inflation, and a measure of real aggregate demand drive the current inflation rate. This paper studies the (potential) weak identification of the NKPC under Generalized Method of Moments and traces this syndrome to a lack of higher‐order dynamics in exogenous variables. We employ analytic methods to understand the economics of the NKPC identification problem in the canonical three‐equation, new Keynesian model. We revisit the empirical evidence for the USA, the UK, and Canada by constructing tests and confidence intervals based on the Anderson and Rubin ( 1949 ) statistic, which is robust to weak identification. We also apply the Guggenberger and Smith ( 2008 ) LM test to the underlying NKPC pricing parameters. Both tests yield little evidence of forward‐looking inflation dynamics. Copyright © 2008 John Wiley & Sons, Ltd. DA - 2008/8// PY - 2008/8// DO - 10.1002/jae.1011 VL - 23 IS - 5 SP - 525-551 J2 - J. Appl. Econ. LA - en OP - SN - 0883-7252 1099-1255 UR - http://dx.doi.org/10.1002/jae.1011 DB - Crossref ER - TY - JOUR TI - Contests, Grand Prizes, and the Hot Hand AU - McFall, Todd AU - Knoeber, Charles R. AU - Thurman, Walter N. T2 - SSRN Electronic Journal AB - Awarding a grand prize to the player who wins most often in a series of contests links the contests together and makes incentives in the current contest depend upon past performance. A lucky player who wins early faces relatively stronger incentives to exert effort because of his early success. As a consequence early winners are more likely to keep winning through the middle of the series. That is, a grand prize induces a hot hand. We develop this argument and assess it empirically using data from the Professional Golfers' Association Tour, before and after a grand prize, the season-ending Tour Championship, was introduced. DA - 2008/// PY - 2008/// DO - 10.2139/ssrn.881562 ER - TY - CHAP TI - Transparencia: the importance of neutrality. Providing objective information in a difficult political situation AU - Requena, J. C. AU - Johnson, M. A. T2 - The evolution of public relations: case studies from countries in transition (3rd ed.) A2 - J. VanSlyke Turk, A2 - Scanlan, L. PY - 2008/// PB - Gainesville, FL: Institute for Public Relations ER - TY - JOUR TI - Demands for currency substitution AU - Seater, John J. T2 - PANOECONOMICUS AB - nema DA - 2008/// PY - 2008/// DO - 10.2298/PAN0804405S VL - 55 IS - 4 SP - 405-437 SN - 2217-2386 ER - TY - JOUR TI - Report of the AJAE Editors for 2007 AU - Dorfman, Jeffrey AU - Lichtenberg, Erik AU - Preckel, Paul AU - Thurman, Walter T2 - AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS AB - American Journal of Agricultural EconomicsVolume 90, Issue 5 p. 1367-1374 AAEA Busines Report of the AJAE Editors for 2007 Jeffrey Dorfman, Jeffrey DorfmanSearch for more papers by this authorErik Lichtenberg, Erik LichtenbergSearch for more papers by this authorPaul Preckel, Paul PreckelSearch for more papers by this authorWalter Thurman, Walter ThurmanSearch for more papers by this author Jeffrey Dorfman, Jeffrey DorfmanSearch for more papers by this authorErik Lichtenberg, Erik LichtenbergSearch for more papers by this authorPaul Preckel, Paul PreckelSearch for more papers by this authorWalter Thurman, Walter ThurmanSearch for more papers by this author First published: 01 December 2008 https://doi.org/10.1111/j.1467-8276.2008.01233.xRead the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Volume90, Issue5December 2008Pages 1367-1374 RelatedInformation DA - 2008/// PY - 2008/// DO - 10.1111/j.1467-8276.2008.01233.x VL - 90 IS - 5 SP - 1367-1374 SN - 0002-9092 ER - TY - JOUR TI - Refinements on macroeconomic modeling: The role of non-separability and heterogeneous labor supply AU - Guerron-Quintana, Pablo A. T2 - JOURNAL OF ECONOMIC DYNAMICS & CONTROL AB - This paper proposes a dynamic stochastic general equilibrium model characterized by heterogenous labor schedules and non-separability between consumption and labor in the utility function. The model successfully describes output, consumption, investment, and interest rates after a monetary expansion. The proposed formulation improves on standard models by using preferences favored by the data and by requiring investment adjustment costs and habit formation parameters more in line with the micro-based evidence. DA - 2008/11// PY - 2008/11// DO - 10.1016/j.jedc.2008.01.008 VL - 32 IS - 11 SP - 3613-3630 SN - 1879-1743 KW - Non-separability KW - Sticky wages/prices KW - Impulse response ER - TY - JOUR TI - Do farmers value the environment? Evidence from a conservation reserve program auction AU - Vukina, Tomislav AU - Zheng, Xiaoyong AU - Marra, Michele AU - Levy, Amando T2 - INTERNATIONAL JOURNAL OF INDUSTRIAL ORGANIZATION AB - The paper uses data from one Conservation Reserve Program (CRP) auction to elicit farmers' attitudes toward the environment by analyzing their bids. The CRP pays farmers to remove chosen plots of land from agricultural production and put them to a conservation use. An interesting aspect of this auction is that winners are determined by a combination of low bids and environmental scores of individual plots. Using decision theoretic approach to model this auction we show that farmers condition their bids on the strength of their environmental scores and that they value environmental benefits, especially those that increase future soil productivity of their land. DA - 2008/11// PY - 2008/11// DO - 10.1016/j.ijindorg.2008.01.001 VL - 26 IS - 6 SP - 1323-1332 SN - 0167-7187 KW - Government auctions KW - Decision theory KW - Environmental benefits evaluation ER - TY - JOUR TI - Characterizing ammonia emissions from swine farms in eastern north carolina: Part 1-conventional lagoon and spray technology for waste treatment AU - Aneja, Viney P. AU - Arya, S. Pal AU - Kim, D. -S. AU - Rumsey, Ian C. AU - Arkinson, H. L. AU - Semunegus, H. AU - Bajwa, K. S. AU - Dickey, D. A. AU - Stefanski, L. A. AU - Todd, L. AU - Mottus, K. AU - Robarge, W. P. AU - Williams, C. M. T2 - JOURNAL OF THE AIR & WASTE MANAGEMENT ASSOCIATION AB - Abstract Ammonia (NH3) fluxes from waste treatment lagoons and barns at two conventional swine farms in eastern North Carolina were measured. The waste treatment lagoon data were analyzed to elucidate the temporal (seasonal and diurnal) variability and to derive regression relationships between NH3 flux and lagoon temperature, pH and ammonium content of the lagoon, and the most relevant meteorological parameters. NH3 fluxes were measured at various sampling locations on the lagoons by a flow-through dynamic chamber system interfaced to an environmentally controlled mobile laboratory. Two sets of open-path Fourier transform infrared (FTIR) spectrometers were also used to measure NH3 concentrations for estimating NH3 emissions from the animal housing units (barns) at the lagoon and spray technology (LST) sites.Two different types of ventilation systems were used at the two farms. Moore farm used fan ventilation, and Stokes farm used natural ventilation. The early fall and winter season intensive measurement campaigns were conducted during September 9 to October 11, 2002 (lagoon temperature ranged from 21.2 to 33.6 °C) and January 6 to February 2, 2003 (lagoon temperature ranged from 1.7 to 12 °C), respectively. Significant differences in seasonal NH3 fluxes from the waste treatment lagoons were found at both farms. Typical diurnal variation of NH3 flux with its maximum value in the afternoon was observed during both experimental periods. Exponentially increasing flux with increasing surface lagoon temperature was observed, and a linear regression relationship between logarithm of NH3 flux and lagoon surface temperature (T l) was obtained. Correlations between lagoon NH3 flux and chemical parameters, such as pH, total Kjeldahl nitrogen (TKN), and total ammoniacal nitrogen (TAN) were found to be statistically insignificant or weak. In addition to lagoon surface temperature, the difference (D) between air temperature and the lagoon surface temperature was also found to influence the NH3 flux, especially when D > 0 (i.e., air hotter than lagoon). This hot-air effect is included in the statistical-observational model obtained in this study, which was used further in the companion study (Part II), to compare the emissions from potential environmental superior technologies to evaluate the effectiveness of each technology. DA - 2008/9// PY - 2008/9// DO - 10.3155/1047-3289.58.9.1130 VL - 58 IS - 9 SP - 1130-1144 SN - 1047-3289 ER - TY - JOUR TI - Characterizing ammonia emissions from swine farms in eastern North Carolina: Part 2 - Potential environmentally superior technologies for waste treatment AU - Aneja, Viney P. AU - Arya, S. Pal AU - Rumsey, Ian C. AU - Kim, D. -S. AU - Bajwa, K. AU - Arkinson, H. L. AU - Semunegus, H. AU - Dickey, D. A. AU - Stefanski, L. A. AU - Todd, L. AU - Mottus, K. AU - Robarge, W. P. AU - Williams, C. M. T2 - JOURNAL OF THE AIR & WASTE MANAGEMENT ASSOCIATION AB - The need for developing environmentally superior and sustainable solutions for managing the animal waste at commercial swine farms in eastern North Carolina has been recognized in recent years. Program OPEN (Odor, Pathogens, and Emissions of Nitrogen), funded by the North Carolina State University Animal and Poultry Waste Management Center (APWMC), was initiated and charged with the evaluation of potential environmentally superior technologies (ESTs) that have been developed and implemented at selected swine farms or facilities. The OPEN program has demonstrated the effectiveness of a new paradigm for policy-relevant environmental research related to North Carolina's animal waste management programs. This new paradigm is based on a commitment to improve scientific understanding associated with a wide array of environmental issues (i.e., issues related to the movement of N from animal waste into air, water, and soil media; the transmission of odor and odorants; disease-transmitting vectors; and airborne pathogens). The primary focus of this paper is on emissions of ammonia (NH3) from some potential ESTs that were being evaluated at full-scale swine facilities. During 2-week-long periods in two different seasons (warm and cold), NH3 fluxes from water-holding structures and NH3 emissions from animal houses or barns were measured at six potential EST sites: (1) Barham farm--in-ground ambient temperature anaerobic digester/energy recovery/greenhouse vegetable production system; (2) BOC #93 farm--upflow biofiltration system--EKOKAN; (3) Carrolls farm--aerobic blanket system--ISSUES-ABS; (4) Corbett #1 farm--solids separation/ gasification for energy and ash recovery centralized system--BEST; (5) Corbett #2 farm--solid separation/ reciprocating water technology--ReCip; and (6) Vestal farm--Recycling of Nutrient, Energy and Water System--ISSUES-RENEW. The ESTs were compared with similar measurements made at two conventional lagoon and spray technology (LST) farms (Moore farm and Stokes farm). A flow-through dynamic chamber system and two sets of open-path Fourier transform infrared (OP-FTIR) spectrometers measured NH3 fluxes continuously from water-holding structures and emissions from housing units at the EST and conventional LST sites. A statistical-observational model for lagoon NH3 flux was developed using a multiple linear regression analysis of 15-min averaged NH3 flux data against the relevant environmental parameters measured at the two conventional farms during two different seasons of the year. This was used to compare the water-holding structures at ESTs with those from lagoons at conventional sites under similar environmental conditions. Percentage reductions in NH3 emissions from different components of each potential EST, as well as the whole farm on which the EST was located were evaluated from the estimated emissions from water-holding structures, barns, etc., all normalized by the appropriate nitrogen excretion rate at the potential EST farm, as well as from the appropriate conventional farm. This study showed that ammonia emissions were reduced by all but one potential EST for both experimental periods. However, on the basis of our evaluation results and analysis and available information in the scientific literature, the evaluated alternative technologies may require additional technical modifications to be qualified as unconditional ESTs relative to NH3 emissions reductions. DA - 2008/9// PY - 2008/9// DO - 10.3155/1047-3289.58.9.1145 VL - 58 IS - 9 SP - 1145-1157 SN - 2162-2906 ER - TY - JOUR TI - Are "Nearly Exogenous Instruments" reliable? AU - Berkowitz, Daniel AU - Caner, Mehmet AU - Fang, Ying T2 - ECONOMICS LETTERS AB - We show that when instruments are nearly exogenous, the two stage least squares t-statistic unpredictably over-rejects or under-rejects the null hypothesis that the endogenous regressor is insignificant and Anderson–Rubin test over-rejects the null. We prove that in the limit these tests are no longer nuisance parameter free. DA - 2008/10// PY - 2008/10// DO - 10.1016/j.econlet.2008.03.020 VL - 101 IS - 1 SP - 20-23 SN - 1873-7374 KW - valid instruments KW - weak identification KW - inference ER - TY - BOOK TI - Public finance : a contemporary application of theory to policy AU - Hyman, D. H. DA - 2008/// PY - 2008/// PB - Mason, OH : Thomson South-Western SN - 9780324652321 ER - TY - JOUR TI - Integrating property value and local recreation models to value ecosystem services in urban watersheds AU - Phaneuf, Daniel J. AU - Smith, V. Kerry AU - Palmquist, Raymond B. AU - Pope, Jaren C. T2 - LAND ECONOMICS AB - This paper outlines a new revealed preference method to estimate the effects of changes in land use associated with residential development on water quality and the implied ecosystem services at the watershed level. The analysis integrates data describing several types of behavior and uses hedonic property value and random utility models for local recreation to consider the multiple impacts of ecosystem services on household well-being. Several policy examples drawn from changes in Wake County, North Carolina, are used to demonstrate how spatial differences in residential development are reflected in the model’s estimates of the economic costs of deterioration in watershed quality. (JEL Q51, Q57) DA - 2008/8// PY - 2008/8// DO - 10.3368/le.84.3.361 VL - 84 IS - 3 SP - 361-381 SN - 0023-7639 ER - TY - JOUR TI - Entropy-based moment selection in the presence of weak identification AU - Hall, Alastair R. AU - Inoue, Atsushi AU - Shin, Changmock T2 - ECONOMETRIC REVIEWS AB - Hall et al. (2007) propose a method for moment selection based on an information criterion that is a function of the entropy of the limiting distribution of the Generalized Method of Moments (GMM) estimator. They establish the consistency of the method subject to certain conditions that include the identification of the parameter vector by at least one of the moment conditions being considered. In this article, we examine the limiting behavior of this moment selection method when the parameter vector is weakly identified by all the moment conditions being considered. It is shown that the selected moment condition is random and hence not consistent in any meaningful sense. As a result, we propose a two-step procedure for moment selection in which identification is first tested using a statistic proposed by Stock and Yogo (2003) and then only if this statistic indicates identification does the researcher proceed to the second step in which the aforementioned information criterion is used to select moments. ... DA - 2008/// PY - 2008/// DO - 10.1080/07474930801960261 VL - 27 IS - 4-6 SP - 398-427 SN - 0747-4938 KW - generalized method of moments KW - inference KW - moment selection KW - weak identification ER - TY - JOUR TI - Nearly-singular design in GMM and generalized empirical likelihood estimators AU - Caner, Mehmet T2 - JOURNAL OF ECONOMETRICS AB - Nearly-Singular design relaxes the nonsingularity assumption of the limit weight matrix in GMM, and the nonsingularity of the limit variance matrix for the first order conditions in GEL. The sample versions of these matrices are nonsingular, but in large samples we assume these sample matrices converge to a singular matrix. This can result in size distortions for the overidentifying restrictions test and large bias for the estimators. This nearly-singular design may occur because of the similar instruments in these matrices. We derive the large sample theory for GMM and GEL estimators under nearly-singular design. The rate of convergence of the estimators is slower than root n. DA - 2008/6// PY - 2008/6// DO - 10.1016/j.jeconom.2008.04.008 VL - 144 IS - 2 SP - 511-523 SN - 0304-4076 KW - singular matrix KW - rate of convergence KW - small sample properties ER - TY - JOUR TI - Older workers and national productivity in Japan AU - Clark, R. L. AU - Ogawa, N. AU - Lee, S. H. AU - Matsukura, R. T2 - Population and Development Review DA - 2008/// PY - 2008/// VL - 34 SP - 257-274 ER - TY - JOUR TI - The good, the bad and the ugly: agent behavior and efficiency in open and closed organizations AU - Holthausen, Duncan M. AU - Tsoulouhas, Theofanis T2 - ECONOMIC THEORY DA - 2008/4// PY - 2008/4// DO - 10.1007/s00199-007-0216-9 VL - 35 IS - 1 SP - 73-97 SN - 0938-2259 KW - asymmetric information KW - organization theory KW - efficiency KW - sorting KW - screening ER - TY - JOUR TI - The bottomless well: The twilight of fuel, the virtue of waste, and why we will never run out of energy AU - Stroup, R. T2 - Independent Review DA - 2008/// PY - 2008/// VL - 12 IS - 3 SP - 462-464 ER - TY - JOUR TI - Mechanical refrigeration, seasonality, and the hog-corn cycle in the United States: 1870-1940 AU - Craig, Lee A. AU - Holt, Matthew T. T2 - EXPLORATIONS IN ECONOMIC HISTORY AB - This paper examines the role of mechanical refrigeration in seasonality and structural change in the U.S. hog–corn cycle, 1870–1940. This period covers an era in which the widespread adoption of mechanical refrigeration greatly affected the ability to store and transport perishable commodities. These developments in turn altered the seasonal production and price structure for many commodities, including pork. We use a new class of time series models, time-varying smooth transition autoregressions (TV-STARs), to document both the structural change and the nonlinear features observed in seasonal patterns for the U.S. hog–corn price relationship during the late nineteenth and early twentieth centuries. DA - 2008/1// PY - 2008/1// DO - 10.1016/j.eeh.2007.06.002 VL - 45 IS - 1 SP - 30-50 SN - 1090-2457 KW - hog cycle KW - refrigeration KW - seasonality KW - structural change KW - time-varying smooth transition autoregression ER - TY - JOUR TI - Water level variations in the Neuse and Pamlico Estuaries, North Carolina due to local and remote forcing AU - Reed, Robert E. AU - Dickey, David A. AU - Burkholder, Joann M. AU - Kinder, Carol A. AU - Brownie, Cavell T2 - ESTUARINE COASTAL AND SHELF SCIENCE AB - Water level time series records from the Neuse and Pamlico River Estuaries were statistically compared to local and distant wind field data, water level records within the Pamlico Sound and also coastal ocean sites to determine the relative contribution of each time series to water levels in the Neuse and Pamlico Estuaries. The objectives of this study were to examine these time series data using various statistical methods (i.e. autoregressive, empirical orthogonal function analysis (EOF), exploratory data analysis (EDA)) to determine short- and long-time-scale variability, and to develop predictive statistical models that can be used to estimate past water level fluctuations in both the Neuse Estuary (NE) and Pamlico Estuary (PE). Short- and long-time-scale similarities were observed in all time series of estuarine, Pamlico Sound and subtidal coastal ocean water level and wind component data, due to events (nor'easters, fronts and tropical systems) and seasonality. Empirical orthogonal function analyses revealed a strong coastal ocean and wind field contribution to water level in the NE and PE. Approximately 95% of the variation was captured in the first two EOF components for water level data from the NE, sound and coastal ocean, and 70% for the PE, sound and coastal ocean. Spectral density plots revealed strong diurnal signals in both wind and water level data, and a strong cross correlation and coherency between the NE water level and the North/South wind component. There was good agreement between data and predictions using autoregressive statistical models for the NE (R2 = 0.92) and PE (R2 = 0.76). These methods also revealed significant autoregressive lags for the NE (days 1 and 3) and for the PE (days 1, 2 and 3). Significant departures from predictions are attributed to local meteorological and hydrological events. The autoregressive techniques showed significant predictive improvement over ordinary least squares methods. The results are considered within the context of providing long time-scale hindcast data for the two estuaries, and the importance of these data for multidisciplinary researchers and managers. DA - 2008/1/20/ PY - 2008/1/20/ DO - 10.1016/j.ecss.2007.05.049 VL - 76 IS - 2 SP - 431-446 SN - 1096-0015 KW - water surface elevation KW - lagoonal estuary KW - autoregressive KW - empirical orthogonal function KW - Neuse Estuary KW - Pamlico Estuary KW - Pamlico Sound KW - North Carolina ER - TY - JOUR TI - Mandatory retirement and faculty retirement decisions AU - Clark, Robert L. AU - Ghent, Linda S. T2 - INDUSTRIAL RELATIONS AB - As a result of the 1986 Age Discrimination in Employment Act, colleges and universities were no longer allowed to impose mandatory retirement on faculty members at age seventy after 1994. This paper estimates the change in retirement rates of faculty before and after the ending of mandatory retirement using data from the University of North Carolina (UNC) system. The analysis reveals a sharp decline in the probability of faculty at UNC retiring at age seventy once the university was unable to impose forced retirement. DA - 2008/1// PY - 2008/1// DO - 10.1111/j.1468-232X.2008.00510.x VL - 47 IS - 1 SP - 153-163 SN - 0019-8676 ER -