We estimate the union premium for young men over a period of declining unionization (1980-87) through a procedure which identifies the alternative sources of the endogeneity of union status. While we estimate the average increase in wages resulting from union employment to be in excess of 20% we...

Index-futures arbitragers only enter into the market if the deviation from the arbitrage relation is sufficiently large to compensate for transaction costs and associated interest rate and dividend risks. We estimate the band around the theoretical futures price within which arbitrage is not...

This paper proposes a test statistic for discriminating between two partly non-linear regression models whose parametric components are non-nested. The statistic has the form of a J-test based on a parameter which artificially nests the null and alternative hypotheses. We study in detail the...

This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data for four major currencies. We concentrate on the effects of the distribution of the exchange rate innovations for both parameter estimates and for estimates of the latent...

This paper examines the conditional heteroscedasticity of the yen-dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional heteroscedasticity model to a process that is fractionally integrated. It is found that, unlike the equity markets, the...

This paper uses Kennan's (1988) model to separately identify supply-side and demand-side dynamics in US import data. Dynamics arise from both autocorrelated shocks to supply- and demand-side fundamentals, and from lagged adjustment to these shocks. The model consists of a pair of partial...

The discrete time analogue of the continuous time Krugman target zone model is developed in order to capture the typical volatility clusters and fat-tailed distributed innovations of exchange rates. It is shown that under these more general stochastic conditions the S-shaped relation between...

The purpose of this paper is to provide the first comprehensive firm level analysis of cost structures and production in the interstate pipeline industry during the transition from price regulation to partial deregulation, 1977-85. The regulatory changes during this period were numerous and...

We estimate semiparametric Engel curves for rural Pakistan using a large household survey. This allows us to obtain consistent estimates of the effects of household size and composition on consumption patterns even when these demographic variables are correlated with an unknown function of...