Nonlinear adjustment mechanisms and the asymmetric impact of shocks

Period of award: Oct 1999 to Mar 2002. Includes bibliographical referencesAvailable from British Library Document Supply Centre- DSC:3739. 0604(138251004) / BLDSC - British Library Document Supply CentreSIGLEGBUnited Kingdo

The Long-run Properties of the Demand for M3 in South Africa

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The dynamics of product differentiation in the British record industry

The paper conducts a statistical analysis of the dynamics of the sale of new music (product differentiation innovation) in the record industry. In pursuing this goal the paper generates new data and analyses a previously unutilized data set. The paper finds that there is a strong correlation between new music innovation in the audio singles and albums market. This is found to be mainly concurrent in the same quarter and to have a reasonably short product life. The paper discovers that these features also characterise the dynamics of record company performance. The research indicates that record companies are willing to sell singles at a loss due to advertising rather than learning externalities. At the industry level, the paper finds that new music innovation does not effect market size significantly and mainly causes ‘business stealing’ effects between record companies, with exceptional cases of multiplier effects. Copyright Kluwer Academic Publishers 1996music industry, product differentiation, econometric methodology, demand,

Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients

For about thirty years, time series models with time-dependent coefficients have sometimes been considered as an alternative to models with constant coefficients or non-linear models. Analysis based on models with time-dependent models has long suffered from the absence of an asymptotic theory except in very special cases. The purpose of this paper is to provide such a theory without using a locally stationary spectral representation and time rescaling. We consider autoregressive-moving average (ARMA) models with time-dependent coefficients and a heteroscedastic innovation process. The coefficients and the innovation variance are deterministic functions of time which depend on a finite number of parameters. These parameters are estimated by maximising the Gaussian likelihood function. Deriving conditions for consistency and asymptotic normality and obtaining the asymptotic covariance matrix are done using some assumptions on the functions of time in order to attenuate non-stationarity, mild assumptions for the distribution of the innovations, and also a kind of mixing condition. Theorems from the theory of martingales and mixtingales are used. Some simulation results are given and both theoretical and practical examples are treated. © Springer 2006.SCOPUS: ar.jinfo:eu-repo/semantics/publishe

Political Choice, Public Policy, and Distributional Outcomes

I address the functioning of the U.S. governing system by analyzing distributional outcomes from 1947 to 2000. The key question is whether public policy influences distributional outcomes. The macropolitics model and power resource theory suggest that left policies should equalize the distribution of income. I utilize single equation error correction models to assess the impact of policy on income inequality through two mechanisms—market conditioning and redistribution. Since nearly every government action influences markets in some way, I examine policy in the aggregate rather than focusing only on policies explicitly designed to redistribute income. The analysis indicates that policy influences inequality through both mechanisms, with left policy producing more equality. The results are consistent with power resource theory and strongly support the macropolitics model. Furthermore, I find that market conditioning is as important as, and works in tandem with, explicit redistribution