Contributed Papers,TUESDAY, AUGUST 29, 9:00 - 10:30 a.m.

Multiple Time Series Models(Session 29A-21)

Chair: Helmut Lutkepohl (Humboldt-University, Germany)

System Identification by Dynamic Factor Models
C. HEIJ(Erasmus University Rotterdam, The Netherlands)
W. Scherrer
M. Deistler

Trends & Cycles in Multivariate Time Series
Siem Jan KOOPMAN (London School of Economics, UK)
A.C. Harvey

The VAR-VARCH Model: A Bayesian Approach
Wolfgang POLASEK (University of Basel, Switzerland)
Hideo Kozumi

Unemployment Duration (Session 29A-22)

Chair:Thierry Magnac (INRA, France)

The Effect of Unemployment Insurance Sanctions on the Transition Rate from Unemployment to Employment
Jaap H. ABBRING (University of Amsterdam, The Netherlands)
Gerard J. van den Berg
Jan C. van Ours

The Unemployed's Financial Resources and the Probability of Re-employment
Elena STANCANELLI (Tilbergen Institute, The Netherlands)

Eyeball Tests for State Dependence and Unobserved Heterogeneity in Aggregate Unemployment Duration Data
Jan C. VAN OURS (Erasmus University Rotterdam,The Netherlands)
Gerard J. van den Berg

Semiparametric Selection Models(Session 29A-23)

Chair: Weiren Wang (University of Kentucky, USA)

Cost Containment and Preferential Selection in Medicaid HMOs
Dana P. GOLDMAN (RAND, USA)

Nonparametric Characterization of Selection Bias Using Experimental Data: A Study of Adult Males in JTPA
Hidehiko ICHIMURA (The University of Chicago, USA)
James Heckman
Jeffrey Smith
Petra Todd

Semi-Parametric Instrumental Variables Estimation of the Sample Selection Model
Xing MING (Rice University, USA)
Francis Vella

Switching Models (Session 29A-25)

Chair: Lung-fei Lee (Hong Kong University, Hong Kong)

Specification of Autoregressive Processes with Markov Switching Regimes Based on ARMA Representations
Hans-Martin KROLZIG (Humboldt Universitat zu Berlin)

Asymmetry in Economic Time Series and Simultaneous Switching Autoregressive Model
Naoto KUNITOMO (The University of Tokyo, Japan)
Seisho Sato

Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index
Ichael ROCKINGER (HEC - School of Management, France)

Money Demand (Session 29A-26)

Chair:chair: Peter J.A. van Els (De Nederlandsche Bank)

An Empirical Analysis of M4 in the United Kingdom
Paul FISHER (Bank of England)
Juan L. Vega

Eu-wide Money Demand Econometric Analysis and Policy Implications
Carlo MONTICELLI (Bank of Italy)

Shortages, Interest Rates & Money Demand in Poland, 1969-1994
Elmer STERKEN (University of Groningen, The Netherlands)
Erwin Nijsse

Fiscal Policy and Debt in LDCs (Session 29A-31)

Chair: Christopher Heady (University of Bath, UK)

Ricardian Equivalence under Inflationary Financing: Evidence from Developing Countries
Ahmed M. KHALID (National University of Singapore)

Sovereign Debt Cycles
Bhaswar MOITRA (Jadavpur University, India)
Smita Adhikari

Foreign Aid and Public Fiscal Behaviour
Shyam NATH (University of Mauritius)
S.K. Sobhee

Inference and Matrix Methods (Session 29A-32)

Chair: Michael McAleer (University of Western Australia, Australia)

Variance Inflation in Curved Exponential Models
Kees Jan VAN GARDEREN (University of Southampton, UK)

Tests of Rank
Jean-Marc ROBIN(INRA, France)
Richard J. Smith

Matrix Trace Cauchy-Schwarz Inequalities and Applications in Canonical Correlation Analysis
Heinz NEUDECKER (University of Amsterdam, The Netherlands)
Shuangzhe Liu

Cointegration Testing 3 (Session 29A-33)

Chair: John C. Nankervis (University of Surrey, UK)

Cointegration Testing Using Pseudo Likelihood Ratio Tests
Andre LUCAS (Erasmus University Rotterdam, The Netherlands)

Information Criteria to Select Strictly Nested Linear Models: How to Draw Inferences on Existence of Unit Roots and Cointegrating Rank
Chor-yiu SIN(The University of Hong Kong, Hong Kong)

Single Equation Conditional Error Correction Model Based Tests for Cointegration
Eric ZIVOT (University of Washington)

Exchange Rate Volatility (Session 29A-35)

Chair: Neil Shephard (Nuffield College, UK)

The Volatility Smile and Yield Curve Probability Densities Implicit in ERM/$ Options
Bruce MIZRACH (Rutgers University, USA)

Forecasting Foreign Exchange Risk
Guillaume LEZAN(Universite de Toulouse I, France)
Eric Renault
Thibaud de Vitry

Evaluating the Predictive Accuracy of Volatility Models
Jose A. LOPEZ (University of Pennsylvania, USA)

Growth 8: Government Policy (Session 29A-41)

Chair: Lawrence Lau (Stanford University, USA)

Sustained Growth, Government Expenditures and Inflation
Pedro C. FERREIRA (Getulio Vargas Foundation, Brazil)

Human Capital, Fiscal Policy, and Patterns of Specialization in Growing Economies
Kazuo MINO (Tohoku University, Japan)

The Role of Local Public Sectors in Regional Economic Growth in Korea
Sung Tai KIM (Chongju University, Korea)

Multi-sector Economies (Session 29A-42 )

Chair: Claire Waysand (CREST, France)

A Hicksian Two-Sector Model of Unemployment, Cycles, and Growth
Hajime HORI (Tohoku University, Japan)

Sectoral Composition of Output and Its Implications for Export-Led Development: A Dynamic Perspective
Dung NGUYEN (University of Pittsburgh, USA)

Sectoral Shocks and Movement Costs: Effects on Labor Employment
Kwanho SHIN (University of Kansas, USA)

Financial Market Theory 6: Volatility (Session 29A-43)

Chair: Philippe Aghion (University of Oxford, UK)

Uniformed Buyers, Market Information and Volatility of Prices
Kiyohiko G. NISHIMURA (University of Tokyo, Japan)

Overconfident Speculators in Financial Markets: Can They Survive?
Alexandros BENOS (HEC School of Management, France)

An Analysis of an Exchange Rate Bubble with a Computer Simulation
Kiyoshi IZUMI (University of Tokyo, Japan)

Channels of Distribution (Session 29A-45)

Chair: Rajeev Dhawan (University of California at Los Angeles, USA)

Exclusive Dealing, Common Agency, and Resale Price Maintenance
William E. ENCINOSA (The University of Florida, USA)

Vertical Restraints and Interbrand Competition
Tommy Staahl GABRIELSEN (University of Bergen, Norway)
Lars Sorgard

Uncertainty and Leadership in Distribution Structures: Information Acquisition and Transmission
Yasuhiro SAKAI (University of Tsukuba, Japan)
Keisuke Sasaki

Trust (Session 29A-46)

Chair: Vai-Lam Mui (University of Southern California, USA)

Cooperation in Community Interaction Without Information Flows
Parikshit GHOSH (Boston University, USA)
Debraj Ray

Credence Goods and Fraudulent Experts
Winand EMONS (University of Bern, Switzerland)

Kinship, Control, and Incentives in Cross-Border Investment
Ivan Paak Liang PNG (UCLA and HKUST)
Chu-chia Steve Lin

Consumer Behavior 2(Session 29A-53)

Chair: Nicholas Baigent (Graz University, Austria)

The Collective Approach to Household Behaviour
Pierre-Andre CHIAPPORI (CNRS DELTA, France)
Francois Bourguignon
Martin Browning

Well-Being and an Optimal Human Diet as a Composition of Characteristics a la Gorman-Lancaster
Kimitoshi SATO (Asia University, Japan)

General Equilibrium 11: Endogenous Uncertainty (Session 29A-54)

Chair: Birgit Grodal (University of Copenhagen, Denmark)

Endogenous Uncertainty in a General Equilibrium Model with Price Contingent Contracts
Ho-Mou WU (National Taiwan University)
Mordecai Kurz

Price Uncertainty and Derivative Securities
Geoffrey HEAL (Columbia University, USA)
Graciela Chichilnisky
Jayasri Dutta

Equilibrium Selections
Beth ALLEN (University of Minnesota, USA)
Jayasri Dutta
Heraklis Polemarchakis

Noncooperative Games: Aspects of Credibility (Session 29A-55)

Chair: Hideo Suehiro (Kobe University, Japan)

Games with Imperfectly Observable Commitment
Sjaak HURKENS (Tilburg University, The Netherlands)
Eric van Damme

Acceptable Suggestions in Cheap Talk Games
Eduardo C. RODES(University of Chicago, USA)

Threats and Promises
Maxim ENGERS (University of Virginia, USA)
Jonathan Eaton

Program World Conference Econometric Society Tokyo, August 1995