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Mixtures, Moments And Information: Three Essays In Econometrics, Kien C. Tran
Mixtures, Moments And Information: Three Essays In Econometrics, Kien C. Tran
Digitized Theses
This thesis is a collection of three independent essays in econometrics.;The first essay uses the empirical characteristic function (ECF) procedure to estimate the parameters of mixtures of normal distributions and switching regression models. The ECF procedure was formally proposed by Feuerverger and Mureika (1977), Heathcote (1977). Since the characteristic function is uniformly bounded, the procedure gives estimates that are numerically stable. Furthermore, it is also shown that the finite sample properties of the ECF estimator are very good, even in the case where the popular maximum likelihood fails to exist.;The second essay applies White's (1982) information matrix (IM) test to …
Essays On Information Economics, Cheng Wang
Essays On Information Economics, Cheng Wang
Digitized Theses
This thesis consists of three essays on information economics.;The first essay is "Dynamic Insurance between Two Risk Averse Agents with Bilateral Asymmetric Information." There are two infinitely lived agents in our model, both risk averse, and each has an i.i.d. random endowment stream which is unobservable to the other. Dynamic incentive compatibility in the Nash sense is studied. Feasible and incentive compatible coinsurance contracts are characterized. We give sufficient and necessary conditions for the existence of a constrained efficient contract. We show that a constrained efficient contract can be characterized in a Bellman equation. Algorithms for numerical solution to the …
Three Essays On Bargaining, Murali K. Agastya
Three Essays On Bargaining, Murali K. Agastya
Digitized Theses
In the first two chapters, a non-negative function defined on the class of subsets of a finite set of players (or factors) describes the technology for producing a single good. Given this aggregate data, the problem of allocation of surplus among individual players (or factors) is studied in two different models.;In Chapter 1, an axiomatic approach is adopted to construct an allocation rule that is immune to positive monotone transformations of the players' utilities. Under this rule, each player is paid a weighted average of his (or her) marginal contributions to various coalitions. In fact, these weights coincide with the …
Essays On Financial Economics, Masaru Konishi
Essays On Financial Economics, Masaru Konishi
Digitized Theses
This thesis is a collection of four essays in financial economics.;The first essay develops an information-based banking model to examine the choice by lenders between negotiated debt transactions and open-market transactions when the loan market is subject to adverse selection. Due to the borrowers' reputation generated through repeated financial transactions, the model exhibits dynamics of adverse selection, which, in turn, induces the movement towards securitization. The paper also studies how altering the information structure between banks and borrowers affects the dynamics of bank-loan relationships and lending rates.;The second essay applies a version of the information-based banking model developed in the …
Essays On The Theory Of Growth And Unemployment, David Andolfatto
Essays On The Theory Of Growth And Unemployment, David Andolfatto
Digitized Theses
The thesis comprises two essays that investigate the theoretical properties and empirical performance of dynamic equilibrium models designed to account for the phenomena of aggregate economic growth and unemployment.;The first essay, entitled Business Cycles and Labor Market Search, is primarily interested in providing a quantitative assessment of a particular brand of search/unemployment theory in the context of a dynamic, stochastic, general equilibrium business cycle model. In order to ascertain the likely quantitative importance of the propagation mechanism induced by the search environment, an artificial economy is parameterized, calibrated, and simulated. The statistical properties of the simulated business fluctuations are then …
Two Essays On Economic Theory, Wing-Yiu Chan
Two Essays On Economic Theory, Wing-Yiu Chan
Digitized Theses
My thesis consists of two separate essays on economic theory. The title of the first essay (chapter 1) is "Learning and Nash Equilibria in 3 x 3 Symmetric Games" and the title of the second essay (chapter 2) is "General Equilibrium Theory with Monopolistic Competition: An Introductory Analysis.";Chapter 1 explores the dynamic implications of learning models by studying fictitious play in 3 x 3 symmetric games. The basic model consists of two persons playing a symmetric normal form game with only three pure strategies repeatedly, and choosing their strategies in each period to maximize their expected payoffs in the stage …