In this paper, we estimate a model of housing demand with neighbourhood effects. We exploit special features of the national sample of the American Housing Survey and properties of housing markets that allow us to create 'natural' instruments and therefore identify the impact of social...

Past parametric tests of demand system rank employed polynomial Engel curve systems. However, by Gorman's (1981) theorem, the maximum possible rank of a utility-derived polynomial demand system is three. The present paper proposes a class of demand systems that are utility derived, are close to...

A practical aggregation method for heterogeneous log-linear functions is presented. Inequality measures are employed in the construction of a simple but exact aggregate representation of an economy. Three macroeconomic applications are discussed: the aggregation of the Lucas supply function, the...

Modern econometrics stresses the diagnostic testing of estimated models as an important part of the model-building process. In a survey article published in this journal (Pagan and Vella 1989), methods for testing the validity of the assumptions underlying the censored regression of the Tobit...

Popular monthly coincident indices of business cycles, e.g. the composite index and the Stock-Watson coincident index, have two shortcomings. First, they ignore information contained in quarterly indicators such as real GDP. Second, they lack economic interpretation; hence the heights of peaks...

Previous empirical work on corporate growth rates using cross-section or short-panel econometric techniques suggests that growth rates are random but that some degree of mean reversion exists. This means that size differences between firms are transitory. Another, more natural way to explore the...

This paper studies the empirical relevance of precautionary and other motives for household portfolio behaviour using recent panel data from the Netherlands. Dutch households' portfolios exhibit low degrees of risk taking and diversification. It is possible that this is the outcome of a...