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Introduction
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Publications
Publications (68)
GMM estimation of autoregressive equations in error-ridden variables with error memory is considered in exploring the impact of foreign direct investment (FDI) on GDP from country panel data, contrasting, inter alia, the manufacturing and the service sector. To evaluate finite-sample properties of the methods selected, results from Monte Carlo simu...
A system of regression equations for analyzing panel data with random heterogeneity in intercepts and coefficients, and unbalanced panel data is considered. A maximum likelihood (ML) procedure for joint estimation of all parameters is described. Since its implementation for numerical computation is complicated, simplified procedures are presented....
Background
Despite decades of intensive anti-tobacco initiatives, millions of people are still smoking. The health authorities are seeking new tools and extended knowledge. Screening programs may, in addition to the potential health benefits from early detection of smoking related diseases, also increase smoking cessation among participants. This s...
In the paper attempts are made to integrate two parts of Trygve Haavelmo’s work: investment theory and dynamic econometric models of interrelated markets. Specifically, the duality in the representation of the capital service price and the capital quantity in relation to the investment price and quantity are brought to the forefront and confronted...
Generalized Method of Moments (GMM) estimation is discussed under the joint occurrence of fixed effects and random measurement errors in an autoregressive panel data model. Finite memory of measurement errors is allowed for. Two GMM specializations are considered: (i) using instruments (IVs) in levels for a differenced version of the equation and (...
Some labour market consequences of transitions in the agriculture sector are examined by combining 20-year unbalanced panel
data from Norwegian farm households and logit modelling of transition probabilities. The multi-dimensionality of the problem
follows from two decision makers having four possible choices in each period: the farm operator and s...
The Generalized Method of Moments (GMM) is discussed for handling the joint occurrence of fixed effects and random measurement errors in an autoregressive panel data model. Finite memory of disturbances, latent regressors and measurement errors is assumed. Two specializations of GMM are considered: (i) using instruments (IVs) in levels for a differ...
In the paper steps are taken towards integration of two parts of Trygve Haavelmo’s work: investment theory and econometrics of interrelated markets. Attempts are made to bring the duality in the representation of the capital service price and the capital quantity in relation to the investment price and quantity into the foreground, by confronting i...
This paper aims at i) providing effect estimates of a wide range of covariates and traditional policy means to increase the smoking cessation rate, ii) offering evidence on alternative interventions for health authorities, and iii) examining and comparing three groups of smokers with varying lengths of their smoking career (including one group that...
The aim of this paper is two-fold: (a) to establish a ‘map’ for describing the wide class of Limited Dependent Variables (LDV) univariate and multivariate models in the econometric literature and (b) to localize typical models in this tradition within the structure, extending typologies of Heckman (1976) and Amemiya (1984). The classification syste...
Income motivation among general practitioners (GPs) is frequently discussed in the health economics literature. The question addressed in the present study on reimbursement drugs and addictive drugs is whether increased competition among GPs, which is part of a declared health policy to improve efficiency, contributes to more prescriptions for the...
The impact of quality on the demand facing health care providers has important implications for the industrial organization of health care markets. In this paper we study the consumers' choice of general practitioner (GP), assuming they are unable to observe the true quality of GP services. A panel data set for 484 Norwegian GPs, with summary infor...
Farm couples' labor market responses are partly the discrete choice of entering the off-farm labor market and partly the continuous choice of off-farm working hours, given entry. Such a setting is interesting when examining the increasing occurrence of multiple job-holdings among farmers in Western economies. Most existing analyses of off-farm labo...
For policy-makers the heterogeneity of hospital response to reforms is of crucial concern. Even though a reform may entail a positive effect on average efficiency, policy-makers will consider the reform as less attractive if the variation in hospital efficiency increases. The reason is that increased variance of efficiency across hospitals is likel...
When using data from individuals who are in the labour force to disentangle the empirical relevance of cohort, age and time effects for sickness absence, the inference may be biased, affected by sorting-out mechanisms. One reason is unobserved heterogeneity potentially affecting both health status and ability to work, which can bias inference becau...
We examine the remarkable rise in absenteeism among Norwegian employees since the early 1990's, with particular emphasis on disentangling the roles of cohort, age, and time. Based on a fixed effects model, we show that individual age-adjusted absence propensities have risen even more than aggregate absence rates from 1993 to 2005, debunking the pop...
The appropriate way of quantifying how taxation of a firm's income and capital can distort its optimizing conditions is a recurring issue in the literature on optimal taxation. Exponential decay, although empirically contested, is almost ubiquitous. In the present paper a generalized framework which allows for a general, non-exponential, decay patt...
Dynamic modeling of demand for goods whose cumulated stocks enter an intertemporal utility function as latent variables, is discussed. The issues include: how represent addiction, how handle unobserved expectations and changing plans, how deal with `dynamic inconsistency'? Arguments are put forth to give all optimizing conditions attention, not onl...
This article provides an overview of difference-in-differences estimation, starting with a review of the basic methodology, discussing in some detail recent advances in inference, and concluding with new methods for estimating treatment effects in various nonlinear and semiparametric models.
To obtain credible estimates on existence of productivity spillovers through exports one needs to account for endogeneity of exports. Studies that attempt to do so offer mixed evidence. By combining data on South African manufacturing sectors with bilateral trade data we investigate the link between productivity exposure through exports and total f...
A panel data model which integrates an autoregressive fixed effects panel data equation with a static equation with measurement errors is considered. Examples of models for pure time series data with errors in variables are the starting point. Two versions of the Generalized Method of Moments (GMM) for this integrated panel data model are considere...
Aggregation of tangible capital assets across vintages and decomposition of value aggregates into quantities and prices are considered. Focus is on both capital stock values and capital service values. If the definitions and ways of measuring prices and quantities are not conformable, a third component, denoted a quality component, may have to be i...
Farm couples' labour market responses are partly the qualitative choice of entering the ff-farm labour market and partly the continuous choice of the number of on-farm and off-farm working hours, given entry. Such a setting is interesting when examining the increasing occurrence of multiple job-holdings among farmers in western economies. This pape...
Past empirical studies report ambiguous results regarding the magnitude and significance of substitution between different types of smoking tobacco. Since all types of tobacco contain nicotine this is quite surprising. Using a 20-year rotating panel data set of Norwegian households and a multinomial logit model, we find evidence that consumers swit...
The paper examines the heterogeneity with respect to the impact of a financial reform - Activity Based Financing (ABF) - on hospital efficiency in Norway. Measures of technical efficiency and of cost-efficiency are considered. The data set is from a contiguous ten-year panel of 47 hospitals covering both pre-ABF years and years after its imposition...
A regression equation for panel data with two-way random or fixed effects and a set of individual specific and period specific `within individual' and `within period', estimators of its slope coefficients are considered. They can be given Ordinary Least Squares (OLS) or Instrumental Variables (IV) interpretations. A class of estimators, obtained as...
Parametric aggregation of heterogeneous micro production technologies is discussed. A four-factor Cobb-Douglas function with normally distributed firm specific coefficients and with log-normal inputs (which agrees well with the available data) is speciffied. Since, if the number of micro units is large enough, aggregates expressed as arithmetic mea...
The estimation of systems of regression equations with random individual effects from unbalanced panel data, where the unbalance is due to random attrition or accretion, by generalized least squares (GLS) and maximum likelihood (ML) is considered. In order to utilize the previous results for the balanced case, it is convenient to arrange the indivi...
Using a unique data set of almost 2,500 interviews with people attending a needle exchange service in Oslo, this paper sets out to estimate the impact of economic factors on heroin and amphetamine injectors’ drug consumption, including cross-price effects. To examine the robustness of the conclusions, four model versions are considered: with focus...
The value of panel data for micro-units in exploring aggregated relationships empirically is substantial, since such data are not only useful for estimation at both the micro- and the macro-level, but also allow comparison of properties of relationships aggregated formally from the micro-level with those resulting from aggregation by analogy in an...
Activity-based financing (ABF) was implemented in the Norwegian hospital sector from 1 July 1997. A fraction of the block grant from the state to the county councils has been replaced by a matching grant depending upon the number and composition of hospital treatments. As a result of the reform, the majority of county councils have introduced activ...
A complete system of consumer expenditure functions with 28 commodities is modeled and estimated by means of two-wave household panel data. The total consumption expenditure is treated as latent, with two income measures as observed indicators. The distribution of latent individual differences, interpreted as preference variation, is structured by...
Estimation models of drug demand should encompass the aspect of addiction. Here, we consider two static panel data regression models and two cross-section models with lags or leads in drug consumption as additional regressors. Heroin injectors attending a needle exchange service in Oslo were interviewed twice, with a one-year interval. Despite our...
A framework for analyzing substitution and scale properties from plant-level panel data is presented. Focus is on comparing the constant and random coefficient specification of the substitution and scale parameters and investigating the variation of the parameters across plants. Characteristics of the model framework are (i) an equation system cons...
This paper analyses the importance of scale economies by means of unbalanced plant-level panel data from three Norwegian manufacturing industries. Focus is on heterogeneous technologies, and unlike most previous work on micro data, the model description includes heterogeneity in both the scale properties (the slope coefficients) and the intercept t...
This paper analyzes tobacco demand within a discrete choice framework. Using binomial and multinomial logit models with random effects, and an unbalanced panel data set of Norwegian households over a twenty year period, we first consider the decisions a) whether to smoke or not, and b) given the choice is to smoke, whether to smoke hand rolled or m...
The estimation of a linear equation from panel data with measurement errors is considered. The equation is estimated (I) by methods operating on the equation in differenced period means, and (II) by Generalized Method of Moments (GMM) procedures using (a) the equation in differences with instruments in levels and (b) the equation in levels with ins...
An important question for policy makers is how drug users may respond to changes in economic factors. Based on a unique data set of almost 2,500 interviews with people attending a needle exchange service in Oslo, this paper aims at estimating the impact of economic factors on heroin and amphetamine injectors' drug consumption. Four econometric mode...
The estimation of linear, static regression equations from panel data with measurement errors in the regressors is considered. If the latent regressor is autocorrelated or non-stationary, several consistent instrumental variables (IV) and generalized method of moments (GMM) estimators usually exist, provided some structure is imposed on the disturb...
Using panel data for Norwegian manufacturing, we revisit ‘the increasing returns to scale puzzle’ for labour inputs. We consider the response of the input of white-collar workers, blue-collar workers, and blue-collar worker hours to permanent changes in output. Permanent and temporary changes in output are treated as latent variables. We compare OL...
The decline in the service flow from a stock of capital goods with age, due to the physical retirement of capital units and to the gradual loss of efficiency of each unit remaining, can be described by survival curves and efficiency curves. The paper reconsiders the relationship between these curves and the vintage prices of capital under neo-class...
The decline in the service flow from a stock of capital goods with age, due to the physical retirement of capital units and to the gradual loss of efficiency of each unit remaining, can be described by survival curves and efficiency curves. The paper reconsiders the relationship between these curves and the vintage prices of capital under neo-class...
General Method of Moments (GMM) estimation of a linear one-equation model using panel data with errors-in-variables is considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more than one periods and estimated by means of instrumental variables. With non-autocorrelated measurement error, we show that only...
A qualitative response model is applied to study the relationship between environmental regulations and plant exit. The data set is Norwegian panel data for establishments in three manufacturing sectors that have high shares of units which have been under strict environmental regulations. In two of the sectors, the estimated exit probability of reg...
This paper discusses, in a panel data context, a class of estimators for a slope coefficient in a regression equation with a two-components disturbance. The class of estimators is constructed by a weighting of second order moments based on the ‘within’ variation in the data set at the individual and at the time specific level. It contains as specia...
Systems of consumer expenditure functions are estimated from Norwegian household panel data. Total consumption expenditure is modeled as a latent variable, as indicators of it are purchase expenditures on different goods and two income measures. The usual assumption of no measurement error in total expenditure is clearly rejected while a parsimonio...
The paper deals with the (asymptotic) bias in the estimation of regression slope coefficients from panel data observed with error. Unobserved individual and time specific heterogeneity is also assumed. The estimators considered include: the standard within and between estimators, and estimators based on differences over time. It is shown that in te...
The paper presents a framework for analyzing the effect of changing expectations about future prices on a firm's choice of technique, and on its anticipated scrapping of capital equipment. Assuming a putty-clay technology, particular attention is paid to the way in which the scrapping age depends on the degree of ex ante input substitution. Numeric...
This paper deals with the (asymptotic) bias in the estimation of regression slope coefficients from panel data observed with error. Unobserved individual and time specific heterogeneity is also assumed. The estimators considered include: the standard "within" and "between" estimators, and estimators based on differences over time. It is shown that...
The discussion in econometric textbooks of estimation problems for regression equations with random measurement errors in the regressor(s) usually leads to two conclusions: (i) the ordinary least squares (OLS) estimator of the regression coefficient(s) is inconsistent, and (ii) these coefficient(s) cannot be identified without having extraneous inf...
In this paper we discuss the empirical measurement of capital stocks derived from data on gross investment. Two capital concepts are involved: gross capital-representing the capital's capacity dimension-and net capital–representing its wealth dimension. A brief summary of their components is presented.
The data base consists of long series of Norwe...
In this paper, we specify a general error correction equation for seasonally unadjusted data, with an arbitrary number of regressors. Special attention is paid to the specification of trend and seasonal filters, which have proved to be of importance when using seasonally unadjusted quarterly data. Within this framework, the adjustment of production...
This paper presents the main characteristics of the first version of a quarterly 12 sector macroeconomic model of the Norwegian economy. The general purpose of the project is to obtain a framework for quantitative analysis of the short-term development of the economy. Quarterly national accounts data constitute a main data source, but short- term s...
The treatment of depreciation allowances, interest deductions and capital gains in the corporate income tax base may have a strong impact on the user cost of capital and hence on the firm’s investment decisions—particularly when inflation and interest rates are high and fluctuating. A few general conditions for neutrality—confined to exponential de...
This paper deals with estimation of a complete system of Fourgeaud-Nataf-Nasse demand functions with an error components specification. Household budget data, with repeated observations of each household, allow identification of the model's unobservable individual effects. Tests of this specification indicate that both family size and the unobserva...
Authors dealing with combined cross-section/time-series data usually assume that complete time-series exist for all units under observation. In the context of micro data, however, this may be a very restrictive assumption. The paper is concerned with problems of model specification and estimation when the data at hand are incomplete time-series fro...
The Modigliani-Brumberg life-cycle hypothesis, with a utility function of the Stone-Geary form with age-dependent parameters, is used to analyze the relationship between consumption expenditure, income and wealth on the micro level. By utilizing information on the composition of income by source, a distinction is made between permanent and transito...
The model described is based on the simple idea that the distributive effects of a change in indirect taxation are revealed from a table of utility compensating income changes. Problems of estimation and implementation are discussed. Empirical results based on Norwegian data indicate that, from a distributive point of view, there are certain differ...
This note presents results of attemps made to estimate the flexibility of the marginal utility of money (money flexibility) from aggregate consumption data, assuming complete want independence. An errors-in-variables model is used. Different estimation procedures are considered. Our results indicate that point estimates of the money flexibility are...
The aim of this paper is to investigate whether the demand facing GPs responds to the quality of services. Asymmetric information between physicians and their patients is recognised as an important feature of the market for health care services and patients are therefore often considered to be poor judges of service quality. However, patients havin...
In this note, we derive a simultaneous system of static consumer demand functions from a model with stochastic elements explicitly specified in the utility function and the first-order conditions for constrained utility maximization. The utility function is of the Stone-Geary form, with saving included as a separate "commodity". Stochastic variatio...
Based on a major reform of Norwegian unemployment insurance (UI), we examine the be-havioral impacts of soft and hard UI duration constraints. A constraint is interpreted as hard if a claimant cannot rely on any form of income support after exhaustion, and as soft if UI is replaced by follow-on benefits or paid activation. We find that both hard an...