Party formation and coalitional bargaining in a model of proportional representation

Joanne S. McGarry and Marcus J. Chambers
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Joanne S. McGarry: University of Birmingham
Marcus J. Chambers: University of Essex

No 04-07, Discussion Papers from Department of Economics, University of Birmingham

Abstract: This paper considers the estimation of the parameters of general systems of differential- difference equations (DDEs) in which the lag parameters themselves can be treated as unknown and are not restricted to be integers. The asymptotic properties of an infeasible frequency domain maximum likelihood estimator are established as well as those of a feasible version based on truncating an infinite series that arises in the computation of the spectral density function of the observed discrete time series. Precise conditions that the truncation parameter must satisfy are provided. Simulation exercises are performed to assess the small sample properties of the estimator, including the estimation of cycle durations, and the results provide guidance as to the choice of truncation parameter in finite samples. An empirical illustration of the use of DDEs to represent the cyclical component in a continuous time unobserved components model is also provided using data on U.S. real GNP.

Keywords: differential-difference equations; frequency domain; cycles (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2004-01
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