The 30 references with contexts in paper John Barkoulas, Christopher F. Baum, Atreya Chakraborty (1996) “Nearest-Neighbor Forecasts of U.S. Interest Rates” / RePEc:boc:bocoec:313

1
Brennan, M. and E. Schwartz (1979), A continuous time approach to the pricing of bonds, Journal of Banking and Finance, 3, 135-155.
Total in-text references: 1
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    Prefix
    In the former category, single-factor models of the term structure of interest rates have been proposed by Merton (1973), Vasicek (1977), Dothan (1978), Schaefer and Schwartz (1978), and many others. Multifactor term structure models have been proposed by
    Exact
    Richard (1987), Brennan and Schwartz (1979), Langetieg (1980), Schaefer and Schwartz (1984), and Heath et al. (1992).
    Suffix
    Models representing a complete general equilibrium specification of the term structure have been put forth by Cox, Ingersoll and Ross (1985a,b), Longstaff and Schwartz (1992) and many others. Chan, Karolyi, Longstaff and Sanders (1992) and Broze, Scaillet, and Zakoian (1995) provided empirical comparisons of the adequacy of the models’ explanation of the data.

6
Brock, W., D. Hsieh, and L. LeBaron (1991), Nonlinear Dynamics, Chaos and Instability, Cambridge, MIT Press, MA
Total in-text references: 1
  1. In-text reference with the coordinate start=13609
    Prefix
    19, 19, 6, and 22, respectively (the maximum order allowed is 24), and the ARCH orders are 3, 4, 2, 2, 2, and 4, respectively.4 We applied the BDS test to these three sets of series for embedding dimensions of m=2, 3, 4 and 5. For each m,ε is set to 0.5 and 1.0 standard deviations (σ) of the data. We use the quantiles from the small sample simulations reported by
    Exact
    Brock et al. (1991)
    Suffix
    as approximations to the finite-sample critical values of our BDS statistics. The i.i.d. null hypothesis is overwhelmingly rejected in all cases for yield changes. When the BDS test is applied to the AR-filtered series we still obtain strong rejections of the i.i.d. null hypothesis suggesting that linear dependence in the first moments does not fully account for rejection

8
Chan, K. C., G. A. Karolyi, F. A. Longstaff, and A. B. Sanders (1992), An empirical comparison of alternative models of the short-term interest rate, Journal of Finance, 47, 1209-1227.
Total in-text references: 1
  1. In-text reference with the coordinate start=2459
    Prefix
    Multifactor term structure models have been proposed by Richard (1987), Brennan and Schwartz (1979), Langetieg (1980), Schaefer and Schwartz (1984), and Heath et al. (1992). Models representing a complete general equilibrium specification of the term structure have been put forth by Cox, Ingersoll and Ross (1985a,b), Longstaff and Schwartz (1992) and many others.
    Exact
    Chan, Karolyi, Longstaff and Sanders (1992) and
    Suffix
    Broze, Scaillet, and Zakoian (1995) provided empirical comparisons of the adequacy of the models’ explanation of the data. Both theoretical and empirical results from these two branches of research suggest that term structure models that allow yield nonlinearity can provide additional insight and explanatory power for the modelling of equilibrium interest rates.

9
Cleveland, W. A. (1979), Robust locally weighted regression and smoothing scatterplots, Journal of the American Statistical Association, 74, 829-836.
Total in-text references: 1
  1. In-text reference with the coordinate start=5031
    Prefix
    Econometric Methodology We attempt to uncover nonlinear relationships in U.S. T-bill and bond yields using the nonparametric locally weighted regression (LWR) method. LWR is a nearest-neighbor estimation technique, first introduced by
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    Cleveland (1979) and
    Suffix
    further developed by Cleveland and Devlin (1988), and Cleveland, Devlin, and Grosse (1988). It is a way of estimating a regression surface through a multivariate smoothing procedure, fitting a function of independent variables locally and in a moving-average manner.

10
Cleveland, W. A. and S. J. Devlin (1988), Locally Weighted Regression: An Approach to
Total in-text references: 1
  1. In-text reference with the coordinate start=5078
    Prefix
    T-bill and bond yields using the nonparametric locally weighted regression (LWR) method. LWR is a nearest-neighbor estimation technique, first introduced by Cleveland (1979) and further developed by
    Exact
    Cleveland and Devlin (1988), and
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    Cleveland, Devlin, and Grosse (1988). It is a way of estimating a regression surface through a multivariate smoothing procedure, fitting a function of independent variables locally and in a moving-average manner.

13
Cox, J. C., J. E. Ingersoll, and S. A. Ross (1985a), An intertemporal general equilibrium model of asset prices, Econometrica, 53, 363-384.
Total in-text references: 1
  1. In-text reference with the coordinate start=2378
    Prefix
    Multifactor term structure models have been proposed by Richard (1987), Brennan and Schwartz (1979), Langetieg (1980), Schaefer and Schwartz (1984), and Heath et al. (1992). Models representing a complete general equilibrium specification of the term structure have been put forth by
    Exact
    Cox, Ingersoll and Ross (1985a,b), Longstaff and Schwartz (1992) and
    Suffix
    many others. Chan, Karolyi, Longstaff and Sanders (1992) and Broze, Scaillet, and Zakoian (1995) provided empirical comparisons of the adequacy of the models’ explanation of the data. Both theoretical and empirical results from these two branches of research suggest that term structure models that allow yield nonlinearity can provide additional insight and explanatory powe

14
Cox, J. C., J. E. Ingersoll, and S. A. Ross (1985b), A theory of term structure of interest rates, Econometrica, 53, 385-407.
Total in-text references: 1
  1. In-text reference with the coordinate start=2378
    Prefix
    Multifactor term structure models have been proposed by Richard (1987), Brennan and Schwartz (1979), Langetieg (1980), Schaefer and Schwartz (1984), and Heath et al. (1992). Models representing a complete general equilibrium specification of the term structure have been put forth by
    Exact
    Cox, Ingersoll and Ross (1985a,b), Longstaff and Schwartz (1992) and
    Suffix
    many others. Chan, Karolyi, Longstaff and Sanders (1992) and Broze, Scaillet, and Zakoian (1995) provided empirical comparisons of the adequacy of the models’ explanation of the data. Both theoretical and empirical results from these two branches of research suggest that term structure models that allow yield nonlinearity can provide additional insight and explanatory powe

16
Diebold, F. X. and J. Nason (1990), Nonparametric Exchange Rate Prediction, Journal of
Total in-text references: 1
  1. In-text reference with the coordinate start=22998
    Prefix
    it appears that the dynamical behavior of US interest rates is very local in nature, letting the data determine the regression function pays dividends in terms of improvements in the forecasting accuracy of interest rate models. Although the LWR estimation method has failed to successfully predict stock returns (Hsieh (1991), LeBaron (1988)) and exchange rates
    Exact
    (Diebold and Nason (1990), Meese and Rose (1990, 1991), Mizrach (1992))
    Suffix
    it appears to be very useful in modeling conditional mean changes in interest rate series.9 In addition to nonlinearities in variances and possibly higher moments, significant nonlinearities in the mean clearly exist for U.

18
Diebold, F. X. and G. D. Rudebusch (1991), On the power of Dickey-Fuller tests against fractional alternatives, Economics Letters, 35, 155-160.
Total in-text references: 1
  1. In-text reference with the coordinate start=10742
    Prefix
    All PP tests fail to reject the unit root null hypothesis in the yield series but strongly reject the unit root null in yield changes. The PP test results therefore strongly support the hypothesis of a single unit root in the yield series. Given the low power of standard unit root tests against fractional alternatives
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    (Diebold and Rudebusch (1991))
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    we apply the semi-nonparametric procedure suggested by Geweke and Porter-Hudak (GPH, 1983) to the yield series. The GPH test avoids the knifeedged I(1) and I(0) distinction in the PP test by allowing the integration order to take on any real value (fractional integration).

19
Dothan, U. L. (1978), On the term structure of interest rates, Journal of Financial Economics, 6, 59-69.
Total in-text references: 1
  1. In-text reference with the coordinate start=1977
    Prefix
    Models of the term structure of interest rates fall into two categories: those based upon arbitrage arguments and those based on a general equilibrium formulation. In the former category, single-factor models of the term structure of interest rates have been proposed by
    Exact
    Merton (1973), Vasicek (1977), Dothan (1978), Schaefer and Schwartz (1978), and
    Suffix
    many others. Multifactor term structure models have been proposed by Richard (1987), Brennan and Schwartz (1979), Langetieg (1980), Schaefer and Schwartz (1984), and Heath et al. (1992).

22
Granger, C. W. and P. Newbold (1986), Forecasting Economic Time Series, 2nd edition, Academic Press,
Total in-text references: 1
  1. In-text reference with the coordinate start=20573
    Prefix
    Full results are available upon request from the authors. window size enhances the view that the estimated nonlinearities are not a statistical artifact, but rather capture essential aspects of the data generating process. In order to formally evaluate model performance, we apply the forecast comparison test of
    Exact
    Granger and Newbold (1986,
    Suffix
    pp. 278-280) to test the hypothesis that there is no difference in the forecasting accuracy between the linear and nonlinear models. Given that the nonparametric fit generally achieves a lower RMSE, we test the null hypothesis of no difference in the forecasting performance between the AR and LWR models against the onesided alternative that the LWR model has superior forecas

23
Heath, D., R. Jarrow, and A. Morton (1992), Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation, Econometrica, 60, 77-105.
Total in-text references: 1
  1. In-text reference with the coordinate start=2132
    Prefix
    In the former category, single-factor models of the term structure of interest rates have been proposed by Merton (1973), Vasicek (1977), Dothan (1978), Schaefer and Schwartz (1978), and many others. Multifactor term structure models have been proposed by
    Exact
    Richard (1987), Brennan and Schwartz (1979), Langetieg (1980), Schaefer and Schwartz (1984), and Heath et al. (1992).
    Suffix
    Models representing a complete general equilibrium specification of the term structure have been put forth by Cox, Ingersoll and Ross (1985a,b), Longstaff and Schwartz (1992) and many others. Chan, Karolyi, Longstaff and Sanders (1992) and Broze, Scaillet, and Zakoian (1995) provided empirical comparisons of the adequacy of the models’ explanation of the data.

25
Hsieh, D. (1989), Testing for nonlinear dependence in daily foreign exchange rates, Journal of Business, 62, 329-368.
Total in-text references: 1
  1. In-text reference with the coordinate start=15220
    Prefix
    in linear models, extends to some nonlinear models but not to ARCH models. 4 The orders for the conditional variance equation are chosen on the basis of superior performance of diagnostic tests for serial correlation in the standardized and squared standardized residuals obtained from estimating the corresponding AR-ARCH models. 5 Using the BDS test,
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    Hsieh (1989)
    Suffix
    found no evidence of in-mean nonlinearities in daily foreign exchange rates after properly specifying their conditional distributions and time variation in conditional volatility. However, using neural networks, Kuan and Liu (1995) provided statistically significant out of sample forecasting improvements over the random walk model for daily exchange rates. nonlinear struct

26
Hsieh, D. (1991), Chaos and Nonlinear Dynamics: Application to Financial Markets, Journal of Finance, 5, 1839-1877.
Total in-text references: 1
  1. In-text reference with the coordinate start=22943
    Prefix
    Since it appears that the dynamical behavior of US interest rates is very local in nature, letting the data determine the regression function pays dividends in terms of improvements in the forecasting accuracy of interest rate models. Although the LWR estimation method has failed to successfully predict stock returns
    Exact
    (Hsieh (1991), LeBaron (1988)) and
    Suffix
    exchange rates (Diebold and Nason (1990), Meese and Rose (1990, 1991), Mizrach (1992)) it appears to be very useful in modeling conditional mean changes in interest rate series.9 In addition to nonlinearities in variances and possibly higher moments, significant nonlinearities in the mean clearly exist for U.

27
Hsieh, D. and B. LeBaron (1988), Finite Sample Properties of the BDS Statistic, Working
Total in-text references: 1
  1. In-text reference with the coordinate start=12199
    Prefix
    i.i.d. null hypothesis in the BDS test is consistent with some type of dependence in the data, which could result from a linear stochastic system, a nonlinear stochastic system, or a nonlinear deterministic system. Under the null hypothesis, the BDS test statistic asymptotically converges to a standard normal variate. However, Monte Carlo simulations by Brock, Hsieh, and
    Exact
    LeBaron (1991) and Hsieh and LeBaron (1988)
    Suffix
    suggest that the asymptotic distribution is a poor approximation to the finite sample distribution when 2 We also applied the KPSS test (Kwiatkowski, Phillips, Schmidt, and Shin (1992)) in which the null hypothesis is stationarity.

29
Kendall, M. and A. S. Stuart (1977), The Advanced Theory of Statistics, New York: Macmillan.
Total in-text references: 1
  1. In-text reference with the coordinate start=8331
    Prefix
    Although the exact distribution of the error sum of squares is not χ2 (as the eigenvalues of I−L() need not be all ones or zeros), it can be approximated by a constant multiplied by a χ2 variable. The constant and degrees of freedom are chosen so that the first two moments of the approximating distribution match those of the distribution of the error sum of squares
    Exact
    (Kendall and Stuart, 1977).
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    3. Data and Diagnostic Tests Our data set consists of a variety of short- and long-term U.S. Treasury interest rates: monthly observations on the Federal Funds rate, 3-month, 6-month, and 12-month U.

30
Kuan, C. and T. Liu (1995), Forecasting exchange rates using feedforward and recurrent neural networks, Journal of Applied Econometrics, 7, S137-S149.
Total in-text references: 1
  1. In-text reference with the coordinate start=15458
    Prefix
    correlation in the standardized and squared standardized residuals obtained from estimating the corresponding AR-ARCH models. 5 Using the BDS test, Hsieh (1989) found no evidence of in-mean nonlinearities in daily foreign exchange rates after properly specifying their conditional distributions and time variation in conditional volatility. However, using neural networks,
    Exact
    Kuan and Liu (1995)
    Suffix
    provided statistically significant out of sample forecasting improvements over the random walk model for daily exchange rates. nonlinear structure in the conditional mean of yield-change series, we now turn to modeling nonlinearities in their first moments by means of local-fitting methodology. 4.

32
Langetieg, T., (1980), A Multivariate Model of the Term Structure, Journal of Finance, 35, 71-97.
Total in-text references: 1
  1. In-text reference with the coordinate start=2132
    Prefix
    In the former category, single-factor models of the term structure of interest rates have been proposed by Merton (1973), Vasicek (1977), Dothan (1978), Schaefer and Schwartz (1978), and many others. Multifactor term structure models have been proposed by
    Exact
    Richard (1987), Brennan and Schwartz (1979), Langetieg (1980), Schaefer and Schwartz (1984), and Heath et al. (1992).
    Suffix
    Models representing a complete general equilibrium specification of the term structure have been put forth by Cox, Ingersoll and Ross (1985a,b), Longstaff and Schwartz (1992) and many others. Chan, Karolyi, Longstaff and Sanders (1992) and Broze, Scaillet, and Zakoian (1995) provided empirical comparisons of the adequacy of the models’ explanation of the data.

33
LeBaron, B., (1988), The Changing Structure of Stock Returns, Working Paper, University of Wisconsin.
Total in-text references: 1
  1. In-text reference with the coordinate start=22943
    Prefix
    Since it appears that the dynamical behavior of US interest rates is very local in nature, letting the data determine the regression function pays dividends in terms of improvements in the forecasting accuracy of interest rate models. Although the LWR estimation method has failed to successfully predict stock returns
    Exact
    (Hsieh (1991), LeBaron (1988)) and
    Suffix
    exchange rates (Diebold and Nason (1990), Meese and Rose (1990, 1991), Mizrach (1992)) it appears to be very useful in modeling conditional mean changes in interest rate series.9 In addition to nonlinearities in variances and possibly higher moments, significant nonlinearities in the mean clearly exist for U.

34
LeBaron, B., (1992), Forecast improvements using a volatility index, Journal of Applied Econometrics, 7, S137-S149.
Total in-text references: 1
  1. In-text reference with the coordinate start=23947
    Prefix
    Second, our positive results invite the use of alternative nonparametric methods to be employed as forecasting tools for U.S. interest rates. Finally, an obvious avenue of future research is to apply the LWR methodology to interest rate series from other industrial countries. 9
    Exact
    LeBaron (1992)
    Suffix
    did provide some forecast improvements for stock returns and foreign exchange rates using the locally unweighted regression method with the level of volatility as the crucial element of conditioning information.

35
Longstaff, F.A. and E.S. Schwartz, (1992), Interest Rate Volatility and the Term Structure: A
Total in-text references: 1
  1. In-text reference with the coordinate start=2378
    Prefix
    Multifactor term structure models have been proposed by Richard (1987), Brennan and Schwartz (1979), Langetieg (1980), Schaefer and Schwartz (1984), and Heath et al. (1992). Models representing a complete general equilibrium specification of the term structure have been put forth by
    Exact
    Cox, Ingersoll and Ross (1985a,b), Longstaff and Schwartz (1992) and
    Suffix
    many others. Chan, Karolyi, Longstaff and Sanders (1992) and Broze, Scaillet, and Zakoian (1995) provided empirical comparisons of the adequacy of the models’ explanation of the data. Both theoretical and empirical results from these two branches of research suggest that term structure models that allow yield nonlinearity can provide additional insight and explanatory powe

37
Meese, R. A. and A. K. Rose (1990), Nonlinear, Nonparametric, Nonessential Exchange Rate
Total in-text references: 1
  1. In-text reference with the coordinate start=22998
    Prefix
    it appears that the dynamical behavior of US interest rates is very local in nature, letting the data determine the regression function pays dividends in terms of improvements in the forecasting accuracy of interest rate models. Although the LWR estimation method has failed to successfully predict stock returns (Hsieh (1991), LeBaron (1988)) and exchange rates
    Exact
    (Diebold and Nason (1990), Meese and Rose (1990, 1991), Mizrach (1992))
    Suffix
    it appears to be very useful in modeling conditional mean changes in interest rate series.9 In addition to nonlinearities in variances and possibly higher moments, significant nonlinearities in the mean clearly exist for U.

39
Meese, R. A. and A. K. Rose (1991), An empirical assessment of nonlinearities in models of exchange rate determination, Review of Economic Studies, 80, 603-619.
Total in-text references: 1
  1. In-text reference with the coordinate start=22998
    Prefix
    it appears that the dynamical behavior of US interest rates is very local in nature, letting the data determine the regression function pays dividends in terms of improvements in the forecasting accuracy of interest rate models. Although the LWR estimation method has failed to successfully predict stock returns (Hsieh (1991), LeBaron (1988)) and exchange rates
    Exact
    (Diebold and Nason (1990), Meese and Rose (1990, 1991), Mizrach (1992))
    Suffix
    it appears to be very useful in modeling conditional mean changes in interest rate series.9 In addition to nonlinearities in variances and possibly higher moments, significant nonlinearities in the mean clearly exist for U.

40
Merton, M. C. (1973), The theory of rational oprion pricing, Bell Journal of Economics and
Total in-text references: 1
  1. In-text reference with the coordinate start=1977
    Prefix
    Models of the term structure of interest rates fall into two categories: those based upon arbitrage arguments and those based on a general equilibrium formulation. In the former category, single-factor models of the term structure of interest rates have been proposed by
    Exact
    Merton (1973), Vasicek (1977), Dothan (1978), Schaefer and Schwartz (1978), and
    Suffix
    many others. Multifactor term structure models have been proposed by Richard (1987), Brennan and Schwartz (1979), Langetieg (1980), Schaefer and Schwartz (1984), and Heath et al. (1992).

42
Mizrach, B. (1992), Multivariate Nearest-neighbor Forecasts of EMS Exchange Rates, Journal of Applied Econometrics, 7, S151-S163.
Total in-text references: 1
  1. In-text reference with the coordinate start=22998
    Prefix
    it appears that the dynamical behavior of US interest rates is very local in nature, letting the data determine the regression function pays dividends in terms of improvements in the forecasting accuracy of interest rate models. Although the LWR estimation method has failed to successfully predict stock returns (Hsieh (1991), LeBaron (1988)) and exchange rates
    Exact
    (Diebold and Nason (1990), Meese and Rose (1990, 1991), Mizrach (1992))
    Suffix
    it appears to be very useful in modeling conditional mean changes in interest rate series.9 In addition to nonlinearities in variances and possibly higher moments, significant nonlinearities in the mean clearly exist for U.

44
Phillips, P. C. B. (1987), Time Series Regression with a Unit Root, Econometrica, 55, 277-301.
Total in-text references: 1
  1. In-text reference with the coordinate start=10185
    Prefix
    As expected, yield changes for short maturities exhibit greater variability than those for longer maturities. We first investigate the low-frequency properties of the yield series. To do so, we apply the Phillips-Perron tests (PP)
    Exact
    (Phillips (1987), Phillips and Perron (1988)) to
    Suffix
    both levels and first differences of our sample series, with results presented in Table 2. Inference is robust to the order of serial correlation allowed in the data. All PP tests fail to reject the unit root null hypothesis in the yield series but strongly reject the unit root null in yield changes.

45
Phillips, P. C. B. and P. Perron (1988), Testing for a Unit Root in Time Series Regression, Biometrika, 75, 335-346.
Total in-text references: 1
  1. In-text reference with the coordinate start=10185
    Prefix
    As expected, yield changes for short maturities exhibit greater variability than those for longer maturities. We first investigate the low-frequency properties of the yield series. To do so, we apply the Phillips-Perron tests (PP)
    Exact
    (Phillips (1987), Phillips and Perron (1988)) to
    Suffix
    both levels and first differences of our sample series, with results presented in Table 2. Inference is robust to the order of serial correlation allowed in the data. All PP tests fail to reject the unit root null hypothesis in the yield series but strongly reject the unit root null in yield changes.

48
Schaefer, S. M. and E. S. Schwartz (1984), A two-factor model of the term structure: An approximate analytical solution, Journal of Financial and Quantitative analysis, 19, 413424.
Total in-text references: 1
  1. In-text reference with the coordinate start=2132
    Prefix
    In the former category, single-factor models of the term structure of interest rates have been proposed by Merton (1973), Vasicek (1977), Dothan (1978), Schaefer and Schwartz (1978), and many others. Multifactor term structure models have been proposed by
    Exact
    Richard (1987), Brennan and Schwartz (1979), Langetieg (1980), Schaefer and Schwartz (1984), and Heath et al. (1992).
    Suffix
    Models representing a complete general equilibrium specification of the term structure have been put forth by Cox, Ingersoll and Ross (1985a,b), Longstaff and Schwartz (1992) and many others. Chan, Karolyi, Longstaff and Sanders (1992) and Broze, Scaillet, and Zakoian (1995) provided empirical comparisons of the adequacy of the models’ explanation of the data.

49
Stone, C. J. (1977), Consistent non-parametric regression, Annals of Statistics, 5, 595-645.
Total in-text references: 1
  1. In-text reference with the coordinate start=6968
    Prefix
    We also tried the tricube function, wit=1−u 3 () 3 , suggested by Cleveland, as well as locally unweighted regression but (3) proved slightly superior empirically. The value of the regression surface at x∗ is then computed as yˆ∗=ˆg∗x ()=∗x ′ˆ β, (4) where n 2    . (5) βˆ=arg min wt t=1 ∑ty−tx′β() 
    Exact
    Stone (1977)
    Suffix
    addressed the issue of consistent estimation through regularity conditions on weights of the neighbors. Consistency of NN estimators (and therefore LWR) requires that the number of NNs used go to infinity with sample size, but at a slower rate, that is as n→∞,q→∞,but q n→0.

50
Vasicek, O. (1977), An equilibrium characterization of the term structure, Journal of Financial Economics, 5, 177-188.
Total in-text references: 1
  1. In-text reference with the coordinate start=1977
    Prefix
    Models of the term structure of interest rates fall into two categories: those based upon arbitrage arguments and those based on a general equilibrium formulation. In the former category, single-factor models of the term structure of interest rates have been proposed by
    Exact
    Merton (1973), Vasicek (1977), Dothan (1978), Schaefer and Schwartz (1978), and
    Suffix
    many others. Multifactor term structure models have been proposed by Richard (1987), Brennan and Schwartz (1979), Langetieg (1980), Schaefer and Schwartz (1984), and Heath et al. (1992).