Measurement Matters: Recent Results from Monetary Economics Reexamined

Belongia, Michael T.

doi:10.1086/262052

Cited by 140 publications

(118 citation statements)

References 3 publications

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“…One difference between our model and the previous ones in the monetary economics literature is that monetary assets in our model pay interest. 28 For the measurement of money, see Barnett (1980Barnett ( , 1987, , Belongia (1995), and Serletis (1995). 29 See Belongia (1985), Fisher and Serletis (1989), Hall and Noble (1987), Mehera (1989), and Thornton (1995) for empirical evidence of the variability hypothesis.…”

Section: Introductionmentioning

confidence: 99%

Capm Risk Adjustment for Exact Aggregation Over Financial Assets

1997

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Barnett originated the Divisia monetary aggregates, which in continuous time exactly track any monetary aggregator function under perfect certainty. With user costs measuring the prices of the services of components, Barnett's aggregates are based on Francois Divisia's derivation of the Divisia line integral from the first-order conditions for optimizing behavior by economic agents under perfect certainty. We derive an extended Divisia index from the first-order conditions (Euler equations) that apply under risk. Our extended Divisia index is the first extension of index number theory into the domain of decision making under risk and thereby produces a route for the extension of all index number theory to permit non-risk-neutrality. We generate simulated data from a modeled rational consumer and investigate the tracking accuracy of the extended Divisia index to the consumer's exact aggregator function.

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Section: Introductionmentioning

confidence: 99%

Capm Risk Adjustment for Exact Aggregation Over Financial Assets

1997

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“…GARP can be e¢ ciently implemented (i.e., in polynomial time) using standard statistical and mathematical software, and for that reason has become the most popular test-method in empirical applications of consumer rationality. 5 The second method uses linear programming (LP) techniques to check whether there exists a solution (in the unknowns U t and t ) to the Afriat inequalities (AI); See, for example, Diewert (1973). Although this method can be used to …nd a solution to the Afriat's inequalities in polynomial time, it is increasingly computationally burdensome as the number of constraints in the LP problem grows quadratically with the number of observations (the number of constraints in the LP problem is T 2 T ).…”

Section: Revealed Preferencementioning

confidence: 99%

“…This paper focus on measurement errors and introduces next a simple algorithm to implement the measurement error procedure proposed by Fleissig and Whitney (2005). 5 See Varian (2006) for a recent overview. 4 …”

Section: Revealed Preferencementioning

confidence: 99%

“…[FIGURES [1][2][3][4][5][6][7] 7 See also Tables 1,2 Each …gure represents a di¤erent sample (S1-S7), and contains 4 di¤erent plots which corresponds to the classical multiplicative model (CM) with either normal or uniform errors, and the Berkson multiplicative model (BM) with normal and uniform errors. For example, the solid line in Figure 1 corresponding to the classical multiplicative error model (CM) with normal errors gives the % fraction for which b F > max s;t2T fp t ([x s (1 + " s )] [x t (1 + " t )]) p t (x s x t )g for di¤erent standard deviations.…”

Section: Empirical Applicationmentioning

confidence: 99%

“…However, they are by de…nition deterministic, and consequently, fail to add any stochastic element to the analysis. A particularly important such element when, for example, analyzing monetary and consumption data is measurement errors (Barnett, Diewert and Zellner, 2009;Belongia, 1996;Fixler, 2009). For this reason, much e¤ort has gone into extending the standard (deterministic) revealed preference tests to make them applicable when there are errors present in the data.…”

Section: Introductionmentioning

confidence: 99%

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A Simple Method to Account for Measurement Errors in Revealed Preference Tests

Hjertstrand

2013

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractRevealed preference tests are widely used in empirical applications of consumer rationality. These are static tests, and consequently, lack ability to handle measurement errors in the data. This paper extends and generalizes existing procedures that account for measurement errors in revealed preference tests. In particular, it introduces a very e¢ cient method to implement these procedures, which make them operational for large data sets. The paper illustrates the new method for both classical and Berkson measurement errors models.

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