| Issue
4 |
Autumn
2006
|
NEWSLETTER
|
|
|
|
It is my pleasure to announce the
winner of the eighth Richard Stone Prize in Applied
Econometrics, selected by the Editorial Board of the
Journal of Applied Econometrics from the
papers published in 2004 and 2005 (Volumes 19 and
20).
The Prize was established in December 1991 and is
awarded biennially for the best paper with
substantive econometric application that has been
published in the preceding two volumes of the JAE.
Survey papers, special lectures, and papers
published by co-editors (jointly or singly) are
excluded from consideration. The value of the Prize
is $2,000.
The Prize for 2004 and 2005 has been awarded jointly
to:
Professor Jesús
Fernández-Villaverde
Duke University
and
Professor Juan F. Rubio-Ramírez
Duke University and Federal Reserve Bank of Atlanta
for their paper
‘Estimating Dynamic Equilibrium
Economies: Linear versus Nonlinear Likelihood’
which was published in 2005 (Volume
20, Number 7)
Previous winners of the Richard
Stone Prize in Applied Econometrics are:
Professor Geert Ridder, for his paper ‘An Event
History Approach to the Evaluation of Training,
Recruitment and Employment Programmes’, published in
1986 (Volume 1, Number 2)
Professor Joel Horowitz, for his paper, ‘The Role of
the List Price in Housing Markets: Theory and an
Econometric Model’, published in 1992 (Volume 7,
Number 2)
Professors Marco Bonomo and Rene Garcia, for their
paper ‘Can a Well-fitted Equilibrium Asset-Pricing
Model Produce Mean Reversion?’, published in 1994
(Volume 9, Number 1)
Professors Leslie E. Papke and Jeffrey M.
Wooldridge, for their paper
‘Econometric Methods for
Fractional Response Variables with an Application to
401(K) Plan Participation Rates’, published in 1996
(Volume 11, Number 6)
Professor Moshe Buchinsky, for his paper
‘The
Dynamics of Changes in the Female Wage Distribution
in the USA: A Quantile Regression Approach’,
published in 1998 (Volume 13, Number 1)
Professors Daniel McFadden and Kenneth Train, for
their paper
‘Mixed MNL Models for Discrete
Response’, published in 2000 (Volume 15, Number 5)
Professors Guy Laroque and Bernard Salanié, for
their paper
‘Labour Market Institutions and
Employment in France’, published in 2002 (Volume 17,
Number 1)
The next Richard Stone Prize in Applied Econometrics
will be awarded in 2008 for the best paper published
in 2006 and 2007 (Volumes 21 and 22) of the Journal.
M Hashem Pesaran
Editor
Top
|
|
|
It
is my pleasure to announce the winner of the 2006
Scholars Programme of the Journal of Applied
Econometrics. The Scholars Programme was
launched in 2002, and is open to PhD students in
economics writing a dissertation with a substantive
empirical application. The empirical application of
the dissertation may be in any field, such as labour
economics, monetary economics, empirical finance,
business cycle, international trade, public
economics, and applied topics in the field of
microeconomics. The value of the scholarship is
$2,500.
The winner of the 2006 Scholars Programme, selected
by the Editorial Committee of the Journal, is:
Mr. Lennart Hoogerheide
Erasmus University Rotterdam
for his paper
“An Instrumental Variables
Regression Model for Return on Education: Angrist-Krueger
Reconsidered”
The next scholarship will be awarded in September
2007. Nominations must be submitted by 15th July
2007, and must include a draft dissertation chapter
or other paper taken from the dissertation, and two
covering letters: one from a faculty member with
knowledge of the dissertation work, and one from the
student. Nominations should be sent to the JAE
Editorial Office, Rm 91, Faculty of Economics,
University of Cambridge, Sidgwick Avenue, Cambridge
CB3 9DD, UK, or by e-mail to
jae@econ.cam.ac.uk.
In the evaluation of nominations, the emphasis will
be on the careful and rigorous application of
econometric techniques and the appropriate
interpretation of the results. The economic content
of the nominated chapter or paper will be stressed.
Clear expression and good use of English are
important.
Scholars will be selected and notified by 15th
September 2007, and will receive a stipend of $2,500
for research support.
M. Hashem Pesaran
Editor
Top
|
|
|
Modeling
Multi-period Inflation Uncertainty Using a Panel of
Density Forecasts
By Kajal Lahiri and Fushang Liu
Inflation uncertainty is central to modern
macroeconomics. Following Milton Friedman (1977)’s
conjecture that an increase in inflation uncertainty
reduces economic efficiency and possibly output
growth, effects of uncertainty have been extensively
studied by economists. Although inflation
uncertainty is now accepted as a key economic
variable, the causes of its variation are not well
understood. This paper examines the determinants of
inflation forecast uncertainty using a panel of
density forecasts from the Survey of Professional
Forecasters (SPF).
Based on a dynamic heterogeneous panel data model,
the authors examined the adequacy of the EGARCH
framework to explain forecast uncertainty at the
micro level and possible pitfalls in aggregate
estimation. The persistence in forecast uncertainty
is much less than what the aggregate time series
data would suggest, and in addition, the
conventionally defined past forecast errors have no
significant effect on forecast uncertainty in a
multi-period context.
In a fixed-target forecasts scheme like the SPF,
recent revisions in density forecasts will encompass
the relevant new information for future forecasts
and their associated uncertainties. The authors
propose a novel way of estimating the news and its
variance using the concept of Kullback-Leibler
Information, and show that the latter is an
important determinant of forecast uncertainty. The
evidence suggests a strong relationship of forecast
uncertainty with level of inflation, but not with
forecaster discord or with the volatility of a
number of other macroeconomic indicators. The study,
however, brings out the importance of individual
heterogeneity when ARCH-type models are estimated
using aggregate time series data.
Top
The Welfare Effects of
Restricted Hospital Choice in the US Medical Care
Market
By Katherine Ho
Managed care health insurers in the US medical care
market restrict their enrollees to visiting
hospitals within specific networks. The network
offered by each insurer affects consumer welfare,
hospital profits and the incentives faced by
hospitals to invest in new capacity, new technology
and quality. However, there is very little
literature on the allocation and impact of plans’
hospital networks, constrained largely by a lack of
data on plan contracts. This paper introduces a new
dataset that lists the hospital networks of every
managed care plan in 43 markets across the US,
making possible an analysis of the phenomenon.
In this paper the author investigates the effects of
restricted hospital choice on consumer welfare. A
three-step econometric model is used to predict
consumer preferences over health plans conditional
on the hospitals they offer. The results indicate
that consumers place a positive and significant
weight on their expected utility from the hospital
network when choosing plans. A welfare analysis,
assuming fixed prices, implies that restricting
consumers’ choice of hospitals leads to a loss to
society of approximately $1 billion per year across
the 43 US markets considered.
Top
Health Insurance and
Retirement of Married Couples
By David M. Blau and Donna B. Gilleskie
Most health insurance in the United States is
provided by employers until eligibility for public
health insurance for the elderly (Medicare) begins
at age 65. Some employer health insurance plans
provide coverage for retired workers, but others do
not. Risk-averse workers who would like to retire
before age 65 but who lack access to retiree health
insurance may have an incentive to remain employed
until age 65, in order to avoid exposure to the risk
of catastrophic medical expenditure between the age
of retirement and the age of Medicare eligibility.
This is an important policy issue because reform
proposals that would make health insurance coverage
independent of employment status could increase the
already-high rate of retirement before age 65, thus
worsening the financial condition of Social Security
and Medicare.
The authors solve and estimate a dynamic model of
the employment behavior of older married couples
that includes risky medical expenditure and health
insurance. The risk-reducing feature of health
insurance can account for about half of the observed
association between retiree health insurance and
employment for married men, but can account for only
one tenth of the much larger observed association
for married women.
The authors use their results to simulate the impact
of policy reforms that break the link between
employment and health insurance. The simulations
imply very small effects on employment of changing
the age of eligibility for Medicare from 65 to 67.
Even drastic reforms, such as universal health
insurance independent of employment status, will
have modest effects on employment behavior of
married couples at older ages.
Top
|
|
|
The
JAE Data
Archive is a very important feature of the
Journal of Applied Econometrics, making it
possible for other researchers to replicate results
of papers published in the Journal, or to
evaluate alternative models.
Hosted by a server belonging to the
Economics
Department of
Queen's University, it contains data for all
papers accepted after January 1994, with the
exception of a growing number of papers for which
the data are confidential. There are some data for a
few papers accepted earlier than January 1994, but
Volume 10, No. 1 (1995) is the first issue in which
all papers were accepted subject to the proviso that
data be provided.
For some papers, especially more recent ones, the
Data Archive also contains programs and
supplementary material, such as technical appendices
and additional graphs. As of 9th October 2006, there
were directories for 480 papers in the archive.
Top
|
|
|
|
The Journal of Applied
Econometrics is published by John Wiley & Sons
Ltd.
Editors: M. Hashem Pesaran, Steven Durlauf,
Tim Bollerslev, Herman K van Dijk, John Rust, Badi
H. Baltagi,
James M MacKinnon, Manuel Arellano.
Please send letters, papers, and ideas for the
journal to:
Editorial Office
Faculty of Economics
University of Cambridge
Sidgwick Avenue, Cambridge CB3 9DD, UK
Tel: +44 (0)1223 335291
Fax: +44 (0)1223 335471
E-mail:
jae@econ.cam.ac.uk
Website:
www.interscience.wiley.com/journal/jae
Top
|
|
|
Table of
contents for JAE on Wiley InterScience
are now available as RSS feeds offering the
latest issue's TOC featuring article titles,
authors, online publication dates, and links to
the abstract via the article DOI.
To view the RSS, just click the orange feed icon
on the JAE homepage.
For more information about RSS and how to
subscribe to feeds, click the "What is RSS?"
link next to the icon, or go to:
interscience.wiley.com/rss
Top
|
|
|
The
Journal of Applied Econometrics is a
bi-monthly international journal which aims to
publish articles of high quality dealing with
the application of existing as well as new
econometric techniques to a wide variety of
problems in economics and related subjects,
covering topics in measurement, estimation,
testing, forecasting, and policy analysis. The
emphasis is on the careful and rigorous
application of econometric techniques and the
appropriate interpretation of the results. The
economic content of the articles is stressed.
The intention of the Journal of Applied
Econometrics is to provide an outlet for
innovative, quantitative research in economics
which cuts across areas of specialization,
involves transferable techniques, and is easily
replicable by other researchers. Contributions
that introduce statistical methods that are
applicable to a variety of economic problems are
actively encouraged. The Journal also aims to
publish review and survey articles that make
recent developments in the field of theoretical
and applied econometrics more readily accessible
to applied economists in general.
Top
|
Simply complete this form and click
submit
Your
Personal Data
We, John Wiley &
Sons Ltd, will use the information
you have provided to fulfil your
request.
If
you no longer wish to receive email
updates from Wiley, please send a
message to: jae@wiley.co.uk
with the word unsubscribe in the
subject line.
Top |
|
| |
|
We are offering you a FREE CD containing over 250 articles
from more than 40 Business, Management, Finance & Economics journals published
by John Wiley & Sons, and including 5 articles from JAE.
To request your copy, simply send us an email with your name and full postal
address to:
bus-cd@wiley.co.uk
Organised by journal title, the CD gives access to selected articles from each
journal in pdf format. Throughout the CD, hyperlinks are provided to take you
seamlessly into Wiley InterScience – the online platform where you can explore
the additional features and functionality that the service offers. |
|
Example of sample articles you can read for
FREE:
- Japan premium and stock prices: two mirrors of
Japanese banking crises
(International Journal of Finance & Economics, Volume 10, issue 3)
- Conditional Volatility Forecasting in a Dynamic
Hedging Model
(Journal of Forecasting, Volume 24, issue 3)
- Counterfactual decomposition of changes in wage
distributions using quantile regression
(Journal of Applied Econometrics, Volume 20, issue 4)
Don’t forget, all you need to do is email us with your
name and full postal address to:
bus-cd@wiley.co.uk
Top
|
|
|
|
