Cambridge Working Papers in Economics

From Faculty of Economics, University of Cambridge
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9826: Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods

Cheng Hsaio, Mohammad Pesaran and A. Kamil Tahmiscioglu

9825: An Empirical Reassessment of Target-zone Nonlinearities

Anthony Garratt, Zacharias Psaradakis and Martin Sola

9824: A Citizen's Pension

Holly Sutherland

9823: A Structural Cointegrating VAR Approach to Macroeconometric Modelling

Anthony Garratt, Kevin Lee, Mohammad Pesaran and Yongcheol Shin

9822: The Good News and the Bad News about Long-run Stock Market Returns

Donald Robertson and Stephen Wright

9821: Statistical Properties of the Sample Semi-variance, with Applications to Emerging Markets' Data

Shaun A Bond and Stephen E Satchell

9820: Monetary Policy, Nominal Interest Rates, and Long-horizon Inflation Uncertainty

Stephen Wright

9819: Utility Functions with Parameters Depending on Initial Wealth

Christian C Pedersen and Stephen E Satchell

9818: Economic Trends and Macroeconomic Policies in Post-revolutionary Iran

Mohammad Pesaran

9817: Recasting Safety Nets: Reforming Social Assistance in Germany, Ireland and the United Kingdom

C. Donoghue and M. Evans

9816: Towards a Two-rate VAT in Italy: Distributional and Welfare Effects

Francesca Gastaldi and Paolo Liberati

9815: Microsimulation and Policy Debate: A Case Study of the Minimum Pension Guarantee in Britain

Anthony Atkinson and Holly Sutherland

9814: Effective Exchange Rates, 1879-1913

Solomos Solomou and Luis Catão

9813: Weather Impacts on the Construction Sector, 1855-1913

Solomos Solomou and W. Wu

9812: A Long-run Structural Macro-econometric Model of the UK

Anthony Garratt, Kevin Lee, Mohammad Pesaran and Yongcheol Shin

9811: Structural Analysis of Cointegrating VARs

Mohammad Pesaran and Ronald Smith

9810: Financial Integration and Monetary Competition

R. Cardarelli and J.-P. Vidal

9809: Economic Integration and Growth under Intergenerational Financing of Human Capital Formation

Philippe Michel and J.-P. Vidal.

9808: Analytical and Numerical Solution of Finite-horizon Nonlinear Rational Expectations Models

Michael Binder, Mohammad Pesaran and Hossein Samiei

9807: Global Equity Styles and Industry Effects: Portfolio Construction via Dummy Variables

G. W. Kuo and S. E. Satchell

9806: Modelling Emerging Market Risk Premia using Higher Moments

Soosung Hwang and S. E. Satchell

9805: Optimal Consumption Decisions under Social Interactions

Michael Binder and Mohammad Pesaran

9804: Bayes Estimation of Short-run Coefficients in Dynamic Panel Data Models

Cheng Hsiao, Mohammad Pesaran and A. K. Tahmiscioglu

9803: Cross-sectional Aggregation of Non-linear Models

Kees Jan van Garderen, Kevin Lee and Mohammad Pesaran

9802: Bias Reduction in Estimating Long-run Relationships from Dynamic Heterogenous Panels

Mohammad Pesaran and Z. Zhao

9801: Death and Gender in Victorian England and Wales: Comparisons with Contemporary Developing Countries

K. McNay, J. Humphries and Stephan Klasen

9735: Risk, Utility an Switching between Gambles

C. S. Pedersen and S. E. Satchell

9734: Pool Reform and Competition in Electricity, forthcoming in M. Beesley (ed.), Lectures on Regulation Series VII, London, Institute of Economic Affairs

David M Newbery

9733: Multiperson Bargaining and Strategic Complexity

K. Chatterjee and Hamid Sabourian

9732: A Neglected Controversy in the Modelling of Consumers' Expenditure

Steven Cook

9731: Dividends, Safety and Liquidation when Liabilities are Long-term and Stochastic

Robin Mason

9730: Equity Price Dynamics in Thin Emerging Markets of Central and Eastern Europe

M. Sokalska

9729: The Effect of Emigration on Human Capital Formation

J.-P. Vidal

9728: Cross-vintage Encompassing

Steven Cook

9727: Forecasting the Growth in Consumers' Expenditure: The Treasury Model

Steven Cook

9726: Income Inequality in Hungary, 1987-1993

Paul Kattuman and Gerry Redmond

9725: The EUROMOD Preparatory Study: A Summary Report

Holly Sutherland

9724: Computing Strategy for a European Tax-Benefit Model

Ruth Hancock

9723: Eur3: A Prototype European Tax-Benefit Model

François Bourguignon, Cathal O'Donoghue, J. Sastre-Descals, A. Spadara and F. Utili

9722: The Impact of Weather on the Construction Sector Output Variations, 1955-1989

Solomos Solomou and W. Wu

9721: Pooled Estimation of Long-run Relationships in Dynamic Heterogeneous Panels

Mohammad Pesaran, Yongcheol Shin and Ronald Smith

9720: Modelling Behavioural Response in EUROMOD

N. Anders Klevmarken

9719: Production Smoothing, Inventory Investment and Asymmetric Adjustment

R. Arden, Sean Holly and Paul Turner

9718: Capital Mobility in a Dynastic Framework

J.-P. Vidal

9717: Asymmetric Adjustment Costs, Asymmetric Pricing and Employment: Evidence from the UK

R. Arden, Sean Holly and Paul Turner

9716: Asymmetries in Private Sector Investment: An Empirical Investigation

R. Arden, Sean Holly and Paul Turner

9715: The Asymmetric Adjustment of Prices: Theory and Evidence from UK Manufacturing

R. Arden, Sean Holly and Paul Turner

9714: An Integrated Risk Measure with Application to UK Asset Allocation

C. Damant, Soosung Hwang and S. E. Satchell

9713: Small Firms in the UK

C. Pratten

9712: Measurement of Trends in Poverty and the Income Distribution

Anthony Atkinson

9711: A Study of the Factors Affecting Participation in Post-compulsory, Full-time Education and Government Supported Training by 16-18 year-olds in England and Wales

C. F. Pratten, Donald Robertson and J. R. Tatch

9710: Generalised Impulse Response Analysis in Linear Multivariate Models

Mohammad Pesaran and Yongcheol Shin

9709: Diagnostics for IV Regressions

Mohammad Pesaran and L.W. Taylor

9708: Solution of Multivariate Linear Rational Expectations Models and Large Sparse Linear Systems

Mohammad Pesaran and Michael Binder

9707: Competition, Contracts and Entry in the Electricity Spot Market

David M Newbery

9706: Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables

Mohammad Pesaran, Yongcheol Shin and Richard Smith

9705: The 1996 Reform of the Electricity Supply Industry in the Netherlands

G. Brunekreeft

9704: Costly Coasian Contracts

Luca Anderlini and Leonardo Felli

9703: Poverty in the UK and Hungary: Evidence from the Household Budget Survey

G. Collins and Gerry Redmond

9702: The Chinese Army's Firm in Business: The Sanjiu Group

P. Nolan and Wang X.

9701: The Restructuring and Privatisation of the Electricity Supply Industry in Northern Ireland: Will it be Worth it?

Michael Pollitt

9625: A Recursive Modelling Approach to Predicting UK Stock Returns'

Mohammad Pesaran and Allan Timmermann

9624: Child Poverty, Economic Transition and Welfare State Regimes in the UK and Hungary'

S. Jarvis and Gerry Redmond

9623: An Extended Family of Financial Risk Measures

C. S. Pedersen and S. E. Satchell

9622: Testing for the 'Existence of a Long-run Relationship'

Mohammad Pesaran, Yongcheol Shin and Richard Smith

9621: Big Business with Chinese Characteristics: Two Paths to Growth of the Firm in China under Reform (Economic Transition)

P. Nolan

9620: Privatisation and Liberalisation of Network Utilities

David M Newbery

9619: Multivariate Linear Rational Expectations Models: Characterisation of the Nature of the Solutions and Their Fully Recursive Computation

Michael Binder and Mohammad Pesaran

9618: A Decision_Theoretic Approach to Forecast Evaluation

Clive Granger and Mohammad Pesaran

9617: Climate and Fluctuations in Agricultural Output, 1867-1913

Y. Khatri and Solomos Solomou

9616: The Electricity Contract Market

Richard Green

9615: Stochastic Growth

Michael Binder and Mohammad Pesaran

9614: Households, Individuals and the Re-Distribution of Income

Holly Sutherland

9613: From State Factory, to Modern Corporation? China's Shougang Iron and Steel Corporation Under Economic Reform

P. Nolan

9612: The Role of Economic Theory in Modelling the Long Run

Mohammad Pesaran

9611: Construction of Panel Data Through Record Linkage: Application to Hungarian Budget Surveys: 1987, 89, 91

S. Jarvis and P.A. Kattuman

9610: Learning Standards of Social Behaviour in a Stationary Society

Mario Gilli

9609: The Distributional Impact of Taxing Family Allowance

S. Jarvis

9608: Compensating Differentials: Some Canadian Self-Report Evidence

Shaun Vahey

9607: The Restructuring and Privatisation of the CEGB: Was It Worth It?

David M Newbery and Michael Pollitt

9606: The Timing of Arbitrage: An Option Approach

B. Lambrecht

9605: Long-Run Neutrality in an Arima Framework: Some Further Evidence

Patrick Coe

9604: Econometric Interpretations of the Normal Cost Pricing Hypothesis

W. Peterson

9603: Least Square Approach to Non-Normal Disturbances

K.S. Im

9602: Transcending the Logic of Private Ownership: Chinese Enterprise Reform VS. Privatisation

W. Xiaoqiang

9601: Renegotiation in Repeated Games with Transfers

Sandeep Baliga and Robert Evans

9541: How Has Tax and Social security Policy Changed Since 1978? A Distributional Analysis

Gerry Redmond and Holly Sutherland

9540: Was there a Regional Dimension to Changes in Income Inequality in the UK over 1982-92? An Analysis Based on a Joint Decomposition of Income Inequality by Region and by Employment Status

Vani Borooah and G. Collins

9539: Coalition Bargaining with Competition to Make Offers

Robert Evans

9538: Reputation and Punishment in Repeated Games With Two Long-Run Players

Robert Evans and Jonathan Thomas

9537: Decision-Making in the Presence of Heterogeneous Information and Social Interactions

Michael Binder and Mohammad Pesaran

9536: Parametric and semiparametric Modelling of the Nonlinear Relation Between Weather and Agricultural Production,1953-1990

Y. Khatri and Solomos Solomou

9535: Income Distribution in European Countries

Anthony Atkinson, L. Rainwater and T. Smeeding

9534: Earnings Distributions from the Family Expenditure Survey and the New Earnings Survey Compared

M. Wilson

9533: The Norwegian Microsimulation Model Lotte:Applications to Personal and Corporate Taxes and Social Security Benefits

J. Aasness, E. Fjaerli, H.A. Gravningsmyhr, A.M. Kleive Holmoy and B. Lian

9532: The Impact of Weather on UK Agricultural Production, 1953-1990

Y. Khatri and Solomos Solomou

9531: Growth and Convergence: A Multi-Country Empirical Analysis of the Solow Growth Model

Kevin Lee, M.H. Psaran and Ronald Smith

9530: The Effects of Employment Action

C. Pratten and P. Ryan

9529: Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests

Richard Smith and Robert Taylor

9528: An Empirical Analysis of the UK Government's Environmental Policy for the Domestic Sector

Nick Johnstone