Brian Silverstone

Okun's law, cointegration and gap variables*

If output and unemployment are cointegrated, and we equate Okuns “potential” magnitudes with the stochastic trend or “permanent” component in output and unemployment, (both defined in terms of the Beveridge and Nelson decomposition), then Okuns coefficient can be interpreted as the cointegrating coefficient between the variables. In addition output and unemployment “gaps” can be calculated from the vector equilibrium correction model linking the two variables.

Okun's Coefficient: A Comment

This paper reassesses a finding by Martin Prachowny (1993) that the value of the Okun coefficient for the United States (linking unemployment changes to output changes) is only around 0.67 rather than around the more typical value of 2.25. Using a cointegration framework, and the same data sets as Prachowny, we find, for one of the data sets, that the Okun coefficient is much closer to a value of 2.25, which supports previous research work.

Business confidence and cyclical turning points: a Markov-switching approach

Markov regime-switching analysis is used to consider the relationship between business confidence and the probability of turning points in cyclical GDP. We find, in an application to New Zealand, that confidence is related to both the deepness and duration of the business cycle and is asymmetric regarding the probability of the economy remaining in a given regime. Overall, the New Zealand business confidence series is a useful indicator of cyclical turning points.

Architects As Nowcasters Of Housing Construction

For more than four decades, the New Zealand Institute of Economic Research (NZIER) has conducted a two-question, quarterly survey of architect forecasts of public and private sector construction expenditure. This qualitative survey is published one week after the end of each quarter and nine weeks ahead of the official quantitative data thereby giving architect opinion nowcasting status. This paper covers selected aspects of this unexplored series with particular reference to residential housing construction and the value-added information from architects as nowcasters. Specifically, we consider several qualitative-to-quantitative conversion methods, in-sample and out-of-sample performance, cyclical features and respondent dynamics. Although our work relates to architects - a sub-sector of the service industry - our results have a wider application to business survey questions using ordered qualitative responses.

Applications: Harold Silverstone: A Perspective

This paper is a perspective on the scientific contributions of the politically controversial New Zealand-born statistician Harold Silverstone (1915-74). His scientific work — including a classic paper on minimum variance with A.C. Aitken — produced some key results in estimation theory. He also contributed significantly to the practical application of statistics, particularly the development of statistical consulting services in medicine.