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Articles 31 - 43 of 43
Full-Text Articles in Social and Behavioral Sciences
Nota Bene; Volume Iii, Number Ii, Yale University Library
Nota Bene; Volume Iii, Number Ii, Yale University Library
Nota Bene
Nota Bene is published during the academic year to acquaint the Yale community and others with the resources of the Yale Library.
Yale Political Magazine 1989 April, The Politic, Inc.
Yale Political Magazine 1989 April, The Politic, Inc.
The Politic
No abstract provided.
Time Series Regression With A Unit Root And Infinite Variance Errors, Peter C.B. Phillips
Time Series Regression With A Unit Root And Infinite Variance Errors, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Chan and Tran give the limit theory for the least squares coefficient in a random walk with the iid errors that are in the domain of attraction of a stable law. This note discusses their results and provides generalizations to the case of I(q) processes with weakly dependent errors whose distributions are in the domain of attraction of a stable law. General unit root tests are also studied. It is shown that the semiparametric corrections suggested by the author for the finite variance case continue to work when the errors have infinite variance. The limit laws are expressed in terms …
Gold, Liquidity And Secured Loans In A Multi-Stage Economy. Part Ii. Many Durables, Land And Gold, Martin Shubik, Shuntian Yao
Gold, Liquidity And Secured Loans In A Multi-Stage Economy. Part Ii. Many Durables, Land And Gold, Martin Shubik, Shuntian Yao
Cowles Foundation Discussion Papers
In a previous paper (Shubik and Yao, 1988) we examined a multistage exchange economy with m perishable goods and one infinitely durable gold used as money. we considered an economy without credit and one with one hundred percent secured loans. In this paper we consider an economy with m(1) goods which have finite lives and m(2) goods which are of infinite durability. Historically the two durables which have been prominent in economic activity have been gold and land, although one might wish to include platinum and some other items.
Market Innovation And Entrepreneurship: A Knightian View, Truman F. Bewley
Market Innovation And Entrepreneurship: A Knightian View, Truman F. Bewley
Cowles Foundation Discussion Papers
Stimulated by Frank Knight’s work, “Risk, Uncertainty and Profit,” I present a theory of innovation based on what I term Knightian decision theory. This theory includes a concept of uncertainty aversion, a behavioral property that makes people reluctant to undertake new unevaluatable risks. This aversion is compounded when individuals are obliged to cooperate in undertaking risks. The theory leads directly to the conclusion that innovation in business is the natural domain of individual investors with unusually low levels of uncertainty aversion. Also, it should be difficult to innovate new markets for insurance of unevaluatable risks, for the success of a …
Testing For A Unit Root By Generalized Least Squares Methods In The Time And Frequency Domains, In Choi, Peter C.B. Phillips
Testing For A Unit Root By Generalized Least Squares Methods In The Time And Frequency Domains, In Choi, Peter C.B. Phillips
Cowles Foundation Discussion Papers
New time and frequency domain tests for the presence of a unit root are developed. The tests are based on generalized least squares (GLS) methods in both the time and the frequency domains. For the time domain tests, moving average processes are assumed for the error terms on the autoregression. For the frequency domain tests, general assumptions are made which allow for stationary and weakly dependent error processes. The limiting distributions of feasible GLS tests are derived under MA(1) errors in the time domain. This theory is extended to higher order moving average processes under an invertibility condition. The limiting …
Asymptotics For Semiparametric Econometric Models: Ii. Stochastic Equicontinuity And Nonparametric Kernel Estimation, Donald W.K. Andrews
Asymptotics For Semiparametric Econometric Models: Ii. Stochastic Equicontinuity And Nonparametric Kernel Estimation, Donald W.K. Andrews
Cowles Foundation Discussion Papers
This paper presents several stochastic equicontinuity results that are useful for establishing the asymptotic properties of estimators and tests in parametric, semiparametric, and nonparametric econometric models. In particular, they can be applied straightforwardly in the estimation and testing results of Andrews (1989b). The paper takes various stochastic equicontinuity results from the probability literature, which rely on entropy conditions of one sort or another, and provides primitive conditions under which the entropy conditions hold. This yields stochastic equicontinuity results that are readily applicable in a variety of contexts. This paper also presents a number of consistency results for nonparametric kernel estimators …
The Transactions Cost Of Money (A Strategic Game Analysis), Martin Shubik, Shuntian Yao
The Transactions Cost Of Money (A Strategic Game Analysis), Martin Shubik, Shuntian Yao
Cowles Foundation Discussion Papers
The payments system of a modern economy is a peculiar mix of technological and institutional factors. Trade takes time and involves some form of money or credit. Going to the bank or arranging credits is expensive. Baumol (1952) and Tobin (1956) address the costs of transactions. However both the Baumol and the Tobin analysis was carried out in a partial equilibrium context. Here we address the task of considering the costs of banking in a closed strategic market game.
The Production Smoothing Model Is Alive And Well, Ray C. Fair
The Production Smoothing Model Is Alive And Well, Ray C. Fair
Cowles Foundation Discussion Papers
Monthly data in physical units for seven industries are used to examine the production smoothing hypothesis. The results strongly support this hypothesis. Significant effects of expected future sales on current production are found for four industries, and the estimated decision equations for all seven industries imply production smoothing behavior. The previous negative results regarding the hypothesis appear to be due to the use of poor data, particularly the shipments and inventory data of the Department of Commerce.
Liquidity And Bankruptcy With Incomplete Markets: Pure Exchange, Pradeep Dubey, John Geanakoplos
Liquidity And Bankruptcy With Incomplete Markets: Pure Exchange, Pradeep Dubey, John Geanakoplos
Cowles Foundation Discussion Papers
We enlarge the standard model of general equilibrium with incomplete market (GEI), to incorporate liquidity constraints as well as the possibility of bankruptcy and default. A new equilibrium results, which we abbreviate GELBI (general equilibrium with liquidity, bankruptcy and incomplete markets). When the supply of bank money and bankruptcy/default penalties are taken sufficiently high (the high regime), GEI occur as GELBI. But outside the high regime many new phenomena appear: money is (almost) never neutral, it has positive value and its optimum quantity is often finite; bankruptcy and default not only occur in equilibrium but can have welfare improving consequences …
Nota Bene; Volume Iii, Number I, Yale University Library
Nota Bene; Volume Iii, Number I, Yale University Library
Nota Bene
Nota Bene is published during the academic year to acquaint the Yale community and others with the resources of the Yale Library.
Repeated Trade And The Velocity Of Money, Pradeep Dubey, Siddhartha Sahi, Martin Shubik
Repeated Trade And The Velocity Of Money, Pradeep Dubey, Siddhartha Sahi, Martin Shubik
Cowles Foundation Discussion Papers
There are two sources of inefficiency of strategic equilibria (SE) in market mechanisms. The first is the oligopolistic effect, which occurs when an agent can single-handedly influence prices. With a continuum of agents we get “perfect competition” and this effect is, of course, wiped out. But the inefficiency of SE’s may nevertheless persist because agents are not “perfectly liquid,” i.e., the constraints of the mechanism are such that they cannot carry out arbitrary trades at the market prices. Our main result is that, if enough repeated rounds of trade are permitted within a single utility period, then the liquidity problem …
The Durbin-Watson Ratio Under Infinite Variance Errors, Peter C.B. Phillips, Mico Loretan
The Durbin-Watson Ratio Under Infinite Variance Errors, Peter C.B. Phillips, Mico Loretan
Cowles Foundation Discussion Papers
This paper studies the properties of the von Neumann ratio for time series with infinite variance. The asymptotic theory is developed using recent results on the weak convergence of partial sums of time series with infinite variance to stable processes and of sample serial correlations to functions of stable variables. Our asymptotics cover the null of iid variates and general moving average (MA) alternatives. Regression residuals are also considered. In the static regression model the Durbin-Watson statistic has the same limit distribution as the von Neumann ratio under general conditions. However, the dynamic models, the results are more complex and …