Vilares Structural Change in Macroeconomic Models

Theory and Estimation
1986
ISBN: 978-94-009-4370-4
Verlag: Springer Netherland
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band 6, 274 Seiten, eBook

Reihe: Advanced Studies in Theoretical and Applied Econometrics

Zielgruppe

Research

Autoren/Hrsg.

Vilares, M.J.

Inhaltsverzeichnis

1. Macroeconometric Models with Quantity Rationing.- 1.1. Non-Walrasian Economic Concepts.- 1.1.1. Institutional framework: the rationing scheme.- 1.1.2. Perceived and expected constraints.- 1.1.3. Effective demand and notional demand. The spill-over effects.- 1.1.4. Equilibrium with rationing and the formalisation in terms of equilibrium.- 1.2. A Reference Macroeconomic Model.- 1.2.1. The general framework.- 1.2.1.1. The accounting framework.- 1.2.1.2. The assumptions about rationing.- 1.2.2. The microeconomic foundations.- 1.2.2.1. Households’ behaviour.- • Derivation of the utility function UH.- • Consumption and labour supply functions.- • An example.- • A graphical illustration.- 1.2.2.2. Firms’ behaviour.- 1.2.3. The complete model.- 1.2.3.1. The determination of production and employment.- 1.2.3.2. The model’s answer to exogenous shocks and the importance of the typology of regimes.- 1.3. A Theoretical Framework for the Study of Structural Changes.- 1.4. The Problems in Specifying a Macroeconometric Model with Quantity Rationing.- 1.4.1. The rationing scheme in the labour market.- 1.4.2. The specification of spill-over effects.- 1.4.3. The exiguity of the accounting framework.- 1.5. A Survey of the Macroeconometric Models with Quantity Rationing.- Conclusion.- Notes.- 2: The Suggested Model.- 2.1. General Structure and Overview.- 2.1.1. The assumptions regarding the behaviour of agents.- 2.1.2. The determination of production and employment.- 2.1.3. The interpretation scheme and the regime typology.- 2.1.4. The fundamental role of production function.- 2.2. The Specfication of the Production Function.- 2.2.1. The choice of the specification.- 2.2.2. The specification adopted.- 2.2.2.1. Formalization and meaning of the variables.- 2.2.2.2. Obsolescence: The scrapping condition.- 2.2.3. The functioning of the production function in the Keynesian regime case.- 2.3. The Specification of the Complete Model.- 2.3.1. Block 1—Demand.- 2.3.2. Block 2—Production capacity.- 2.3.3. Block 3—Labour supply.- 2.3.4. Block 4—Effective production and employment.- 2.4. Structural Change and External Disequilibria.- 2.4.1. Structural change.- 2.4.2. External disequilibria.- Conclusion.- Notes.- 3. Econometric Study of Models with Unknown Points of Structural Change.- 3.1. A Survey of the Estimation Techniques in the Case of Two-regime Regression Models.- 3.1.1. The general formulation of switching regression models (SRM) and the adopted notation.- 3.1.2. The SRM typology.- 3.1.2.1. SRM with stochastic assignment.- • The log-likelihood function (L).- • The direct maximisation of L not being advisable.- • leads to the utilisation of other approaches.- 3.1.2.2. SRM with deterministic assignment.- • The structural change tests in a particularly interesting case.- • The general case.- 3.1.2.3. SRM with mixed assignment.- 3.1.3. Application to the estimation of quantity rationing models (QRM).- 3.1.3.1. QRM with stochastic assignment.- • A complex liklihood function.- • which is not appropriate for optimisation methods.- 3.1.3.2. QRM with deterministic assignment.- • A non-dijferentiable likelihood function.- • … leads, in general, to the utilisation of approximations.- 3.1.3.3. Some considerations about the choice of the stochastic specification in a macroeconometric rationing model.- 3.2. The Estimation Method Suggested.- 3.2.1. The complete model.- 3.2.2. The estimation difficulties.- 3.2.2.1. The problem of endogenous variables not statistically observed.- 3.2.2.2. The existence of the min operator.- 3.2.2.3.The non-derivability of the production function.- 3.2.3. The estimation procedure.- 3.2.4. The justification of the estimation method.- 3.2.4.1. Consistent estimators.- 3.2.4.2. An estimation of Clay-Clay model without restrictive assumptions.- • The current estimations of the Clay-Clay model.- • Comparative analysis.- Conclusion.- Notes.- 4. Empirical Application: A Study of the Economic Consequences of the Portuguese Revolution of 1974.- 4.1. The Data and the Problem Formulation.- 4.1.1.The data.- 4.1.1.1. The scope of the study.- 4.1.1.2. The methodology used in the construction of the series.- 4.1.2. The definition of the problem.- 4.1.2.1. A very brief presentation of the Portuguese economy before 1974.- 4.1.2.2. A combination of shocks.- 4.2. The Results.- 4.2.1. Presentation of the results.- 4.2.1.1. The bottlenecks in economic activity.- 4.2.1.2. External disequilibria.- 4.2.2. The robustness of the results.- Conclusion.- Notes.- General Conclusion.- Appendices.- Appendix 1. Glossary of Variables and Main Parameters.- Appendix 2. Computation of Analytical Expressions for the First Partial Derivatives of ?.- Appendix 3. Choice of the Minimum for PS as Optimisation Criterion.- Appendix 4. Results.- Appendix 5. Statistical Data and Their Sources.- Appendix 6. Estimation of the Model using French Data.