The lag relationship between wholesale and consumer prices
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This paper examines the lag distribution relating wholesale to consumer price changes. Sims' causality test indicates a one-sided lag structure. Following Hatanaka and Wallace, parameters of the lag distribution which can be estimated with relatively high precision are emphasized. Thus, our concern is with the sum of coefficients and the first four moments of the distribution. Short-run effects are estimated from lag moments using Pearson's method for equating moments. As a smoothness prior, a Beta distribution in the lag weights is suggested. Tests for bias due to missing components in the wholesale price index indicate little is lost because of misspecification.
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James B. Duke Distinguished Professor Emeritus of Economics
Professor Wallace’s most recent endeavor was the completion of a textbook covering general knowledge within his field. The book was Econometrics: An Introduction, written in collaboration with his former student, Lew Silver. As a researcher, his investigations explored such variables as human capital accumulation, linear restrictions in regression, time series data, multicollinearity and low-order moments in stable lag distribution, fertility and replacement, full time schooling, the mean squa
This author no longer has a Scholars@Duke profile, so the information shown here reflects their Duke status at the time this item was deposited.