Single Equation Econometric Model Research Articles

DETERMINANTS OF THE LEVEL AND VOLATILITY OF BLACKCURRANT PURCHASE PRICES IN POLAND

The aim of the study was to identify the factors which significantly influence the purchase prices of blackcurrants in Poland. The average annual purchase prices of blackcurrants between 2004 and 2021 were the research material. The study was based on the data published by the Institute of Agricultural and Food Economics – National Research Institute in the semi-annual journal “Fruit and Vegetable Market”. The relationship between the fruit purchase prices and the selected explanatory variables was analysed with the multiple regression method. Single-equation econometric models were designated as multi-factor functions. The reference publications were used as the basis for the selection of the following set of potential variables explaining the purchase prices of blackcurrants: the area of blackcurrant plantations in Poland, the yields of blackcurrants in Poland, the yields of blackcurrants in Ukraine, the yields of blackcurrants in Germany (the main importer of frozen products and a producer of currants), the volume of frozen blackcurrant exports and the export price of frozen blackcurrants. Apart from that, the qualitative variable COVID-19 was created, which allowed for the greater demand for blackcurrant preserves during the pandemic. In order to determine the factors which significantly influenced the purchase prices of blackcurrants during the period under analysis, the all possible regression method, also known as the best subsets regression, available in the Statistica PL package, was applied. This was a model with two explanatory variables: the export price of frozen blackcurrants and COVID-19. The linear determination coefficient of the estimated econometric model indicated that 90% of the variance of blackcurrant purchase prices was explained by the model.

The Impact of R&D, Government Spending on Education and Trade Unions on Labour Productivity - A Panel Data Econometric Analysis

In the present paper an empirical analysis with a panel data econometric model will point out that R&D, government spending on education as well as trade unions are the most important factors for the labor productivity determination. The sample examined covers many Western European countries. Data are taken from Eurostat and OECD and the elaboration of the single equation econometric model is made feasible by means of the Eviews software package.

Econometrics Model for China Urban Residents Income and Consumption Quantitative Analysis

Based on the series research database statistics from Chinese Statistics Yearbook, data of rural population annual personal average disposable income and various consumer spending statistics( years from 1994 to 2009), established a single equation econometric model, estimated china rural population personal income and consumption function model by least square method, then analyze and compare and optimize it, that may estimate rural population disposable income according to this model, it has application value.

Globalisation on Unemployment - A Panel Data Analysis for Europe, Japan and the United States (1999-2009)

In the present paper it will be shown empirically that globalisation does not affect long term unemployment. Panel data cover for the period (1999-2009) the following countries: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Japan, Netherlands, Norway, Portugal, Spain, Sweden, UK and the United States. The elaboration of the single equation econometric model is made feasible through the Eviews software package.

Forecasting Germany's Printing and Writing Paper Imports

Abstract Short-term forecasting of forest products demand is one of the key inputs for successful market planning in the forest sector. Currently, this field is dominated by consultants' and industry analysts' forecasts, which are often based on methods and procedures that are not well documented, or are ad hoc. This article seeks to contribute to the scarce literature on this topic by presenting results for short-term forecasts for the import demand for coated printing and writing paper in Germany. A number of univariate time series models, single equation econometric models, and multivariate systems models are estimated using quarterly data from 1991:Q1–2001:Q2, and observations from 2001:Q3–2002:Q4 are used for the out-of-sample forecast performance evaluation. Forecasts are also computed using various weighted combinations of the individual forecasting models. The results indicate that forecast accuracy increases when one moves from univariate time series models to econometric models. The best single forecasting model in terms of the root-mean-squared error criterion is a VARX model in differences. However, by optimally combining individual model forecasts, one is able to produce even more accurate forecasts. FOR. SCI. 51(5):483–497.

Economic trilemma and exchange rate management in Egypt

The recent banking and exchange rate crises in Latin America, East Asia, Eastern Europe and Turkey have proved that a fixed exchange rate is unsustainable in the context of growing financial globalization. The other corner solution advocated by the IMF—the free float—makes economies subject to high fluctuations. Therefore, the main question for most emerging market economies, and particularly for Egypt since January 2003, is what kind of managed float to have. This paper presents a single-equation econometric model approach to define the variables that determined the real exchange rate behavior in Egypt during the 1971–99 period as an indicator of the government's de facto exchange rate policy. The empirical findings confirm that the Egyptian economic policy mix has almost always led to some real exchange rate volatility, which is inconsistent with the fixed exchange rate policy. Therefore, it is believed that the most viable solution for Egypt is the ‘managed bands’ regime around a crawling effective equ...

Economic Trilemma and Exchange Rate Management in Egypt

The recent banking and exchange rate crises in Latin America, East Asia, Eastern Europe and Turkey have proved that a fixed exchange rate is unsustainable in the context of growing financial globalization. The other corner solution advocated by the IMF—the free float—makes economies subject to high fluctuations. Therefore, the main question for most emerging market economies, and particularly for Egypt since January 2003, is what kind of managed float to have. This paper presents a single-equation econometric model approach to define the variables that determined the real exchange rate behavior in Egypt during the 1971–99 period as an indicator of the government’s de facto exchange rate policy. The empirical findings confirm that the Egyptian economic policy mix has almost always led to some real exchange rate volatility, which is inconsistent with the fixed exchange rate policy. Therefore, it is believed that the most viable solution for Egypt is the ‘managed bands’ regime around a crawling effective equilibrium central parity, with no pre-announced management bands parameters. This choice will allow Egyptian policy-makers to steer the economy out of the numerous regional and international political and economic shocks.

AN ECONOMETRIC ANALYSIS OF CONSUMER DEMAND FOR COCONUTS IN SRI LANKA

This study analyses the domestic demand for coconuts in Sri Lanka using a single equation econometric model. The domestic coconut consumption accounts 70 percent of the total annual nut production in Sri Lanka. Being an essential commodity for household use, the coconuts form a stable domestic market out-let for producers as well. The results of the study reveals that the retail price of coconuts and per capita consumer income are significant variables that determine the quantity of coconut demand in Sri Lanka. There is a significant negative trend in per capita consumption of coconuts over time, indicating a declining tastes and preferences by the consumer. However, the changes in consumer demand for coconuts to the changes in retail prices are less responsive as indicated by the lower own price elasticity value of –0.11. The income elasticity of coconut demand is 0.38 and it is inelastic too.

Spillover effects of foreign direct investments on Turkish manufacturing industry

AbstractIn this article, spillover effects of foreign direct investments on Turkish manufacturing industry have been examined by five single equation econometric models. All models are constructed in line with the recent spillover models both for developed and developing economies. The first two models aimed to estimate the spillover effects of the presence of foreign firms on the productivity and competitiveness of domestic firms. Estimation results suggest that while the presence of foreign firms increases competition in domestic industries, there is no significant contribution on the productivity of domestic firms. Two of the remaining three models basically tested the impact of technology gap between domestic and foreign firms on the productivity and market growth of domestic firms. However, no significant relation is found between those variables. The final model estimated the impact of the initial technology gap on the change in technology gap in the course of time. In the final model, a significant correlation is found. Those results and some accommodating data on the performances of multinational firms led us to conclude that Turkey is at the crossroad. If locational advantages of the country are developed by proper policies, spillover effects on the domestic industries could be materialized with the rising competition, which has already brought into by the presence of foreign firms. Copyright © 2000 John Wiley & Sons, Ltd.

Religious Giving by Individuals: A Cross Denominational Study

Abstract Empirical research to date has provided some evidence on factors important to the determination of religious giving as well as to cross denominational differences in religious giving patterns. For example, regression based models of religious giving, typically utilizing data on congregations and congregational contributions, lend considerable support to the observation that Catholics contribute less in amount and as a share of income than do Protestants. A number of possible explanations for this difference can be offered. Two often cited reasons are: (1) a lower estimated marginal propensity to give out of income for Catholics than for Protestants and (2) the more formalized structure of the giving process found in Protestant denominations. Here data on religious giving by individuals of different denominations is used to estimate a single equation econometric model using (a) the least squares and (b) the Tobit techniques. The least squares results corroborate past findings regarding differences in the religious giving of Catholics and Protestants. Unlike past results, however, the Tobit results reported suggest that though income is a statistically significant factor in the religious giving for both groups and the marginal impacts are actually higher for Catholics than for Protestants.

Bayesian analysis of a linear single equation model with an inverse Gaussian prior

In this paper, the Bayesian analysis of a linear single equation econometric model is carried out by using a multinormal prior density for the vector of unknown regression coefficients and an inverse Gaussian prior density for the variance of the disturbances.

Applied Regression Analysis in Econometrics

This is a textbook for a one-semester course for advanced undergraduate and graduate students in economics. It covers regression techniques in the context of single equation econometric models, featuring MINITAB and SHAZAM software examples for attacking real-world problems.

A unified approach to estimation and orthogonality tests in linear single-equation econometric models

Maximum-likelihood estimation is considered for a generalisation of the model of Anderson and Rubin (1949) in which the exogenous variables in the structural equation may not be included in the reduced-form equations. Classical and specification tests are derived for orthogonality hypotheses. A necessary and sufficient condition for their equivalence is presented. The classical tests are compared using Bahadur's asymptotic relative efficiency criterion. It is shown that a generalisation of the Durbin-Wu-Hausman T 2 statistics is asymptotically Bahadur-efficient.

An econometric analysis of the demand for private health insurance in England and Wales

This paper discusses the nature of demand for private health, insurance in a health care market in which the consumer can neither opt out of tax payments for nor lose his entitlement to public health care. A single equation econometric model of the demand for private health cover is estimated using the 1982 General Household Survey. The results indicate that income and employment status are significant determinants of the probability of health insurance purchase

Econometric Tests of the Market Structural Determinants of R&D Investment: Consistency of Absolute and Relative Firm Size Models

This paper examines how the estimated coefficients in firm-level tests of the market structure-R & D hypothesis can be used to determine the effect of market restructuring on expected industry R & D. A theoretical taxonomy is illustrated with a simple single equation econometric model, and this example illustrates that even if the coefficients on the market power variables are significantly positive, market restructuring to reduce market concentration may increase expected industry R & D. OUR STOCK of hypotheses about the determinants of privately financed research and development (R & D) contains two logically independent classes-those that address the influence of the firm's absolute size and those that address the structure of the market in which the firm operates. Normative conclusions reached from tests of these hypotheses accordingly may prescribe the optimal firm size for performance of research in two different and potentially conflicting senses. The former hypotheses lead us to search out an optimal absolute size. The latter point to an optimal level of concentration in the market, and thus a preferred firm size relative to the market. But firm size, market size, and market share are linked by an identity. Given that we test our hypotheses about absolute and relative size independently-often using firm-level data for the one, industry-level data for the other-we have no assurance that the implied optima are consistent, either in general or in any particular market. In this note, we examine this consistency problem in the context of an econometric model of the determinants of research and development expenditures. The prevailing theory of the determinants of R & D includes independent hypotheses pointing toward both market structure and prevailing firm size as important influences. (See Scherer [1980, chapter 15] for a detailed discussion of these hypotheses.) For example, market structure may affect R & D performance by determining the firm's prospect for appropriating cash flows imputable to its innovative effort. If the arm's-length financing of investments in R& D is subject to failures in the capital market, then market structure affects the firm's capacity to undertake R & D through the amplitude of its cash

Electoral Turnout in Rational Voting and Consumption Perspectives

A single-equation econometric model of voting participation behavior is developed within the context of rational voter and household investment-consumption theories. The model is tested using aggregate electoral district-level data from 10 Canadian provincial elections and the 1970 Canadian census. The regression estimates show substantial consistency across the various elections which comprise this study's data base. Despite considerable collinearity, education and income appear to be strongly related to voting turnout in a manner which is consistent with the predictions of economic theory.

Testing Non-Nested Nonlinear Regression Models

In Pesaran [9], the test developed by Cox for comparing separate families of hypotheses was applied to the choice between two non-nested linear single-equation econometric models. In this paper, the analysis is extended to cover multivariate nonlinear models whenever full information maximum likelihood estimation is possible. This allows formal comparisons not only of competing explanatory variables but also of alternative functional forms. The largest part of the paper derives the results and shows that they are recognizable as generalizations of the single-equation case. It is also shown that the calculation of the test statistic involves very little computation beyond that necessary to estimate the models in the first place. The paper concludes with a practical application of the test to the analysis of the U.S. consumption function and it is demonstrated that formal tests can give quite different results to conventional informal selection procedures. Indeed, in the case examined, five alternative hypotheses, some of which appear to perform quite satisfactorily, can all be rejected using the test. THE NEED FOR STATISTICAL PROCEDURES for testing separate families of hypotheses has become more acute with the increased use of econometric techniques in practice. The usual F tests can only be applied to test nested hypotheses, i.e. those which are members of the same family. However, in practice, one is frequently faced with the problem of testing non-nested hypotheses. In an earlier article, Pesaran [9] applied the test developed by Cox [3, 4], for separate families of hypotheses to single-equation linear regression models both with autocorrelated and nonautocorrelated disturbances. In that paper, the question was confined to the selection of appropriate explanators for a given dependent variable. However, in much applied work, the investigator is required not merely to select variables but simultaneously to find an appropriate functional form. This problem can be especially acute since in many areas of research, economic theory can guide us in the choice of variables, but helps very little in the choice of functional form. As computing capacity has increased, and nonlinear estimation has become routine, the use of linearity has become more a matter of choice than of necessity; the criteria for such a choice are thus of considerable practical importance. In this paper, we extend the earlier analysis to cover these problems by deriving the comparable statistics without assuming linearity of the models. This allows formal comparisons of different explanatory variables, of different functional forms, and of the interactions between the two. We also extend the results to cover competing systems of nonlinear equations whenever full-information maximum-likelihood estimation is possible. This allows the test to be applied to non-nested simultaneous equation models as well

EVALUATION OF SOME MONEY STOCK FORECASTING MODELS

THE ROLE OF MONEY in the economy has been receiving increased attention in recent years. For example, it is becoming common to include the money stock as an endogenous variable in the large econometric models.' Also, the number of econometric studies of the characteristics of the money stock itself has increased.2 But money stock models have not yet been systematically exposed to what many maintain is the ultimate test of an econometric model: predictive performance. This test of money stock models is the subject of this paper. The money stock in this paper is defined narrowly, currency held by the public plus demand deposits, and is seasonally adjusted unless stated otherwise. This paper is organized in the following fashion. In the first part, the forecasting performance of four different mechanistic models is examined. Then, in the second part, the predictive performance of a number of conventional single-equation econometric models which have the money stock as their endogenous variable is examined. In order to insure a common basis for comparison, all models are reestimated with 1947-1960 quarterly data. One quarter forecasts (and, when meaningful, up to six quarter forecasts) are generated for the 1961-1970 period with all exogenous variables known ex post.3

Autocorrelation and dynamic methodology with an application to wage determination models

A demonstration is provided of rigorous, statistical methodology whereby both the type and order of an error process can be identified in dynamic, single equation econometric models. The paper relies heavily upon maximum likelihood estimation, nested likelihood ratio tests and the overfitting or exponentially weighted procedure for model selection. An application of the methodology to a class of quarterly wage determination models is included.