Copyright (c) 2009 Carnegie Mellon University All rights reserved. http://repository.cmu.edu Recent documents in Research Showcase en-us Sat, 07 Nov 2009 05:34:57 PST 3600 http://repository.cmu.edu/statistics/7 http://repository.cmu.edu/statistics/7 Fri, 06 Nov 2009 11:05:41 PST A family of tests of significance is developed for coefficients in a single equation of a simultaneous system., Different members of this family are distinguished by the k-class estimator on which they are based, and on the alternative hypothesis against which they test. The size of the test is found when the disturbances are small, and the test is shown to be consistent if plim k = 1 or k = λ, the limited information maximum likelihood value. Joseph B. Kadane http://repository.cmu.edu/statistics/6 http://repository.cmu.edu/statistics/6 Fri, 06 Nov 2009 11:05:41 PST IN THEIR ARTICLE [5], Liu and Breen propose a new estimator of the large-sample asymptotic covariance matrix for the limited information maximum likelihood estimator in simultaneous equations, and express surprise that their estimator is different from the estimator proposed by Chernoff and Divinsky [1]. Additionally, they question the interpretation of a statistic used in the past to test over-identifying restrictions. Franklin M. Fisher http://repository.cmu.edu/statistics/5 http://repository.cmu.edu/statistics/5 Fri, 06 Nov 2009 11:05:40 PST A new approach to the choice ofeconometric estimators, called small-sigma asymptotics, is introduced and applied to the choice of k-class estimators of the parameters of a single equation in a system of linear simultaneous stochastic equations. I find that when the degree of over-identification is no more than six, the two stage least squares estimator uniformly dominates the limited information maximum likelihood estimator in a certain sense. The small sigma method can be used on many problems in statistics and econometrics. Joseph B. Kadane http://repository.cmu.edu/statistics/4 http://repository.cmu.edu/statistics/4 Fri, 06 Nov 2009 11:05:40 PST This paper concerns itself with the following problem: Suppose the true production function is of the CES type with constant returns to scale. If we fit an unrestricted Cobb-Douglas production function instead, what is the nature of the bias in the estimate of the returns to scale parameter? G. S. Maddala http://repository.cmu.edu/statistics/2 http://repository.cmu.edu/statistics/2 Thu, 05 Nov 2009 13:12:59 PST The robust regression method of Huber (1973) is used to fit a model to the cost of drilling for petroleum. Because the model includes a categorical variable (well type), a linear constraint is imposed on the parameter estimates. Because the model was fit to the logarithm of cost and because it will be used to make repeated predictions of cost, an adjustment that approximately unbiases the predictions is imposed. The numerical values of the estimates are discussed, and a comparison is made with ordinary least squares. William F. Eddy http://repository.cmu.edu/statistics/3 http://repository.cmu.edu/statistics/3 Thu, 05 Nov 2009 13:12:59 PST I. Introduction ...................... 1II. A Statistical Model .................. 3 A. Assumptions .................... 3 B. Complications ................... 3 C. The Model and Its Application to the Transportation Problem.................... 4III. Assumption of Conditional Independence . 7IV. Interpretation of Matched Sampling ........... 10V . unresolved Questions About Matching .......... 11 Joseph B. Kadane http://repository.cmu.edu/statistics/1 http://repository.cmu.edu/statistics/1 Thu, 05 Nov 2009 13:12:58 PST THE TEST OF OVERIDENTIFYING restrictions of one equation in a simultaneous system proposed by Anderson and Rubin [1] and amplified by Koopmans and Hood [7] has been a source of some confusion in the literature. For instance, Liu and Breen [8] claimed that "It is ... clear that the test does not really test the null hypothesis (of zero restrictions on the endogenous and exogenous variables)" because, they thought the restrictions on the endogenous variables were included in the computation of the likelihood under the alternative hypothesis. After Fisher and Kadane [3] gave a verbal argument showing that the test is consistent over a wide class of alternatives, Liu and Breen [9] withdrew their earlier view. Nonetheless there is a problem in that generally the null hypothesis is expressed in terms of the structural form, while generally consistency is a matter of the reduced form. Our purpose is to reexamine this problem, and prove two theorems showing the equivalence of various conditions in the literature. We suggest that the null hypothesis be extended. Joseph B. Kadane http://repository.cmu.edu/tepper/18 http://repository.cmu.edu/tepper/18 Thu, 05 Nov 2009 12:10:55 PST Volume 2 of A History of the Federal Reserve covers mainly the years of inflation and disinflation, followed by a return to what is now regarded as relatively low inflation. It treats four questions: Why did inflation start? Why did it continue for 15 or more years, from 1965 to about 1982? Why did it end? Why did it not return? In this paper, I give an overview of the material that I consider in much greater detail in my book Allan H. Meltzer http://repository.cmu.edu/tepper/17 http://repository.cmu.edu/tepper/17 Thu, 05 Nov 2009 12:10:55 PST It is a pleasure to have an opportunity to salute Alan Greenspan as he prepares to leave the Federal Reserve after outstanding leadership during 18 often-tumultuous years. In its 92-year history, the Federal Reserve has had 12 chairmen, 7 in the modern era. In my judgment Alan Greenspan stands in the front rank. Lately, I am often asked by journalists to discuss his record. At first, I mentioned some of the obvious accomplishments such as maintaining a long expansion penetrated by two brief and mild recessions with low or falling inflation. Per capita consumption in constant dollars increased 44 percent during the first 17 years of his chairmanship, and 27 million additional workers found employment. Allan H. Meltzer http://repository.cmu.edu/tepper/16 http://repository.cmu.edu/tepper/16 Thu, 05 Nov 2009 12:10:54 PST The subject of this panel, policy cooperation, has several meanings. When I became chairman of the International Financial Institution Advisory Commission, two people who are well acquainted with the Bank for International Settlements advised me separately that the Bank plays an important role, one that they valued highly, in promoting understanding and, at times, cooperation. Since I respect and admire Hans Tietmeyer and Alan Greenspan, I accepted their view that the regular meetings of central bankers at this Bank promoted understanding of the political constraints under which some central banks operated and encouraged cooperation. This is one, useful, but relatively narrow meaning of central bank policy cooperation.A second, and to me less appealing, meaning, takes the form of exchange rate coordination. Countries agree to adjust their nominal exchange rates by changing domestic policies. Examples include the 1936 Tripartite Agreement between Britain, France, and the United States or the efforts in the 1970s to convince Germany to expand more rapidly to help the United States. Proposals of t his kind often require actions that are opposite to the policy actions countries would choose in the absence of coordination. For example during the late 1970s, the United States wanted Germany to inflate somewhat faster to prevent nominal dollar depreciation. The German response was, in effect, that the same result could be achieved by less inflation in the United States. Coordination of this kind often fails.A third kind of policy coordination is the topic I want to address. I propose coordination by the United States, Asian and European countries to the growing imbalances in the world economy. The proposal I offer asks countries to agree to policies that are in their own long-run interest but also each others. Political concerns in each country keep them from adopting these policies unilaterally. Mutual agreement - coordination - may be a way of breaking the stalemate. Allan H. Meltzer http://repository.cmu.edu/tepper/15 http://repository.cmu.edu/tepper/15 Thu, 05 Nov 2009 12:10:53 PST It is a privilege and an honor to participate in this very important retreat to discuss the Fund's strategic direction. Management and directors of all institutions, private as well as public, have no more important duty than to decide periodically on answers to three questions. Where are we? Where are we trying to go? How can we get there from here? As a sometimes critic of international financial institutions, I am pleased to be asked to participate in trying to answer these questions, especially questions one and three. I accepted this invitation in the hope that we can conduct a dialogue about possible answers and their consequences including how we can get better arrangements that reduce risk, and if we can agree on what those arrangements are. Allan H. Meltzer http://repository.cmu.edu/tepper/14 http://repository.cmu.edu/tepper/14 Thu, 05 Nov 2009 12:10:53 PST Today, I will focus mainly on the IMF and the bipartisan, majority proposals for reform and change. These proposals have been publicly available for more than a month. I am pleased to note that they have attracted considerable attention including favorable editorials in many leading newspapers at home and abroad. Most writers and commentators have suggested that the bipartisan, majority proposals should serve as the basis for future discussion of reform. The opportunity for reforms that was ignored at the 50th anniversary of the IMF and the Bank has now been revived. Allan H. Meltzer http://repository.cmu.edu/tepper/13 http://repository.cmu.edu/tepper/13 Thu, 05 Nov 2009 12:10:52 PST A large part of my enduring relationship with Anna Schwartz has been our cooperative efforts on the Shadow Open Market Committee. Aside from a short statement that Anna wrote about ten years ago, very little of the history of that institution is written. This seems an appropriate occasion to do so, since Anna was there at the start and is, now, the only other member who has remained through more than 50 semi-annual meetings. Allan H. Meltzer http://repository.cmu.edu/tepper/12 http://repository.cmu.edu/tepper/12 Thu, 05 Nov 2009 12:10:52 PST No country has ever been in a liquidity trap, and Japan is not in one now. Statements to the contrary are based on faulty analysis. Allan H. Meltzer http://repository.cmu.edu/tepper/11 http://repository.cmu.edu/tepper/11 Thu, 05 Nov 2009 12:10:51 PST Between 1990 and 1996, capital inflows to emerging market countries rose from $60 billion to $194 billion. Mexico's problems in 1995 changed the form of these capital transfers. Equity owners learned from their losses. After 1995, portfolio investment declined, but direct investment increased. Banks were bailed out, so they continued to lend. Bank loans rose with direct investment.No one carefully monitored these flows. When problems developed in Asia last year, neither the International Monetary Fund (IMF) nor the private lenders knew the magnitude of some of these countries debts within a large range. Firms borrowed directly and through their subsidiaries. Often the total was not shown on any balance sheet. The provision of the IMF Articles of Agreement requiring surveillance, and the decision to strengthen surveillance following the 1995 Mexican problem, proved to be of little use.Though important, the IMF's failure to monitor seems small beside the elementary mistakes of private lenders. The lenders ignored three principles of prudent behavior that history has shown repeatedly to be a major reason for financial failure. Allan H. Meltzer http://repository.cmu.edu/tepper/10 http://repository.cmu.edu/tepper/10 Thu, 05 Nov 2009 11:40:10 PST This is a proud moment for me. I have appeared many times as a witness before this Committee in the past. Today I appear as Chair of the International Financial Institution Advisory Commission to testify on the bipartisan report that the Commission released yesterday. Congress asked the Commission to consider the changes that should be made in seven international financial institutions in light of the major changes in financial markets and the economic environment in recent decades and to report in six months. That was a very challenging assignment. It could not have been completed without a prodigious effort by the Commission and its staff. I am pleased to have had the opportunity to lead that effort and to have produced a substantive report that attracted bipartisan support. Allan H. Meltzer http://repository.cmu.edu/tepper/9 http://repository.cmu.edu/tepper/9 Wed, 04 Nov 2009 10:45:32 PST The personal computer and the development of websites permit everyone to have rapid access to enormous quantities of data. If it were ever true that policy analysis in developed countries was hindered by availability of timely information, that restriction has now all but disappeared. Data in developed countries become available to all interested parties everywhere almost as soon as they are put out.The organizers of the Bank of Japan's eighth international conference ask us to consider an important question: Has the quality of information increased commensurately? Do we now know substantially more about what is happening in the world or in our own countries. Or, has the increase in information lagged far behind the increase in data which central bankers and financial markets receive? Allan H. Meltzer http://repository.cmu.edu/tepper/7 http://repository.cmu.edu/tepper/7 Wed, 04 Nov 2009 10:45:31 PST In the Back Seat: 1933-41 Allan H. Meltzer http://repository.cmu.edu/tepper/8 http://repository.cmu.edu/tepper/8 Wed, 04 Nov 2009 10:45:31 PST The International Monetary Fund (IMF) and the World Bank were created in 1944 reflecting the experience of the 1920s and 1930s. The Fund's tasks were to adjust current account imbalances and manage the exchange rate system. The Bank's main tasks were to lend for the reconstruction of Europe and eliminate the alleged bias against lending to developing countries. Whatever may have been true in the 1940s, the international financial system has found other means of solving the problems that the Fund and the Bank were supposed to solve. Changes in exchange rates are now one common means of adjusting current account imbalances. Leading countries including the United States, Japan, Britain and the European Union allow their currencies to float. Within Western Europe there will soon be a common currency with a single central bank in place of fixed but adjustable exchange rates. Allan H. Meltzer http://repository.cmu.edu/tepper/6 http://repository.cmu.edu/tepper/6 Wed, 04 Nov 2009 10:45:30 PST Under Treasury Control, 1942-51 Allan H. Meltzer http://repository.cmu.edu/tepper/5 http://repository.cmu.edu/tepper/5 Wed, 04 Nov 2009 10:45:29 PST First, I raise some issues about a current class of models of monetary transmission in which a short-term interest rate represents the transmission process. The class of models is so widely accepted that the conclusions I challenge have become part of the canon. A different class of models -- a more useful one, I believe -- does more than give different answers. Some issues do not arise; they are no longer relevant. And some issues remain relevant but receive a different answer. The role of money is one such issue.Second, I discuss some of the evidence I have gathered from my study -- A History of the Federal Reserve -- the work that has been my main occupation for the past four years. The two pieces are joined, as I hope to show. The evidence from history shows that the transmission process cannot be summarized by a single interest rate. In the final section, I present some econometric evidence to supplement the historical data. Allan H. Meltzer http://repository.cmu.edu/tepper/4 http://repository.cmu.edu/tepper/4 Tue, 03 Nov 2009 13:40:22 PST The momentous events of 1982 and 1994 in Mexico and Latin America and of 1997 in Asia force a reexamination of major issues about the proper design of financial structure and regulation in developed and developing countries. The First International Conference of the Bank of Korea, to consider the effects of globalization of financial markets, was planned months before recent problems became apparent in Southeast Asia. Recent events give the discussion greater urgency. It would be a mistake to ignore the lessons that can be drawn from this experience. I believe it would be no less a mistake to focus exclusively on recent problems and neglect the lessons of longer experience. This paper will comment on some lessons from the longer-term experience of developing and developed countries and draw some implications for financial structure as markets in developing and developed countries become more closely linked. Allan H. Meltzer http://repository.cmu.edu/tepper/2 http://repository.cmu.edu/tepper/2 Tue, 03 Nov 2009 12:22:32 PST Allan H. Meltzer http://repository.cmu.edu/tepper/3 http://repository.cmu.edu/tepper/3 Tue, 03 Nov 2009 12:22:32 PST The "American Century" is ending. After World War II, American power, inventiveness, creativity, and economic, military, and financial strength was unchallenged in a class by themselves. The United States proposed military and economic strategies to avoid war, contain the Soviet Union, and prevent a return to the destructive economic policies of the interwar years. The institutions that embodied and carried out these policies succeeded. They prevented a major war in Europe, ended the threat from the Soviet Union, opened most of the world economy to trade, fostered prosperity, expansion of economic activity, reductions in poverty, and increased economic and financial stability. More people in more places increased living standards, health, educational attainment, and longevity.That period is ending. The international institutions that sustained the successful policy no longer enjoy general acceptance. A large part of the U.S. electorate no longer supports the policy consensus that sustained the policies and contributed to its success. Allan H. Meltzer http://repository.cmu.edu/tepper/1 http://repository.cmu.edu/tepper/1 Tue, 03 Nov 2009 12:22:32 PST For the past five years, one of my main occupations has been the early history of the Federal Reserve. I have looked in detail at its voluminous records of its formative years. My talk today is a brief summary of some of the things I have learned. Allan H. Meltzer http://repository.cmu.edu/modern_languages/6 http://repository.cmu.edu/modern_languages/6 Tue, 03 Nov 2009 09:49:00 PST Notions about and definitions of "the city" are extremely diverse and have been in constant transition and reformulation from their beginnings in ancient times to our present postmodern era. Along with the temporal and topographical setting, the perspective from which a city is viewed determines responses to the central question of "What is a city?" This study explores the concept of the urban space in relation to its effect on the individuals that inhabit this physical setting-that is, the city seen as a space that molds the psychosocial experience of the human being. Carrie L. Ruiz