Open Access. Powered by Scholars. Published by Universities.®
Social and Behavioral Sciences Commons™
Open Access. Powered by Scholars. Published by Universities.®
- Keyword
-
- Co-integration (5)
- Game theory (3)
- Nota Bene (3)
- Stock market (3)
- Yale University (3)
-
- Yale University Library (3)
- Yale University Library collections (3)
- Yale University Library newsletter (3)
- Yale University Library services (3)
- Arbitrage (2)
- Asymptotic normality (2)
- Asymptotic theory (2)
- Autocorrelation (2)
- Business cycle (2)
- Covariance matrix (2)
- Dividends (2)
- Error correction (2)
- Heteroskedasticity (2)
- Investments (2)
- Involution (2)
- Kernel estimator (2)
- Maximum likelihood (2)
- Mean squared error (2)
- Nonparametric regression (2)
- Polynomial series (2)
- Repeated games (2)
- Securities (2)
- Semiparametric regression (2)
- Series estimators (2)
- Spectral density (2)
Articles 1 - 30 of 42
Full-Text Articles in Social and Behavioral Sciences
Nonparametric Tests Of Maximizing Behavior Subject To Nonlinear Sets, Rosa L. Matzkin
Nonparametric Tests Of Maximizing Behavior Subject To Nonlinear Sets, Rosa L. Matzkin
Cowles Foundation Discussion Papers
This paper extends the axiomatic theory of revealed preference to choices that are generated by the maximization of a strictly concave and strictly monotone function subject to nonlinear constraint sets. I characterize finite sets of observations on choice behavior that are consistent with the maximization of a strictly concave and strictly monotone objective function. Both nonconvex and convex choice sets are considered. The analysis applies, for example, to consumers who face either regressive or progressive taxes and to households that produce commodities according to either a convex or a concave production function. For choice sets that possess convex and monotone …
The Interaction Of Implicit And Explicit Contracts In Repeated Agenc, David G. Pearce, Ennio Stacchetti
The Interaction Of Implicit And Explicit Contracts In Repeated Agenc, David G. Pearce, Ennio Stacchetti
Cowles Foundation Discussion Papers
Traditional agency theory assumes that the principal has no more information about the agent’s actions than the enforcement authorities have. This is unrealistic in many settings, and in repeated models, additional information possessed by the principal changes the nature of the problem. Such information can be used in implicit, self-enforcing contracts between principal and agent, that supplement the usual explicit contracts. This paper studies the way in which the two kinds of contracts are combined in constrained efficient equilibria of the agency supergame. The agent’s compensation is comprised of both guaranteed payments and voluntary bonuses from the principal. We give …
Reflections On Econometric Methodology, Peter C.B. Phillips
Reflections On Econometric Methodology, Peter C.B. Phillips
Cowles Foundation Discussion Papers
General issues about the methodology of empirical econometric research are discussed. It is argued that the most successful paradigms for applied work are the ones that have a capacity to survive and to evolve into more useful forms as these are needed. Paradigms that embrace progressive modeling principles, such as those espoused by David Hendry, seem most amenable to this criterion. It is also argued that econometric theory has a large role to play in helping us to understand the strengths and the weaknesses of a methodology and to codify what its prescriptions entail. The time series methodology of David …
The Interaction Of Implicit And Explicit Contracts In Repeated Agency, Martin Shubik
The Interaction Of Implicit And Explicit Contracts In Repeated Agency, Martin Shubik
Cowles Foundation Discussion Papers
This article deals with experimental games as they pertain to game theory. As such there is a natural distinction between experimentation with abstract games devoted to testing a specific hypothesis in game theory and games with a scenario from a discipline such as economics or political science where the game is presented in the context of some particular activity.
The Behavior Of Home Buyers In Boom And Post-Boom Markets, Robert J. Shiller, Karl E. Case
The Behavior Of Home Buyers In Boom And Post-Boom Markets, Robert J. Shiller, Karl E. Case
Cowles Foundation Discussion Papers
No abstract provided.
A New Proof Of Knight's Theorem On The Cauchy Distribution, Peter C.B. Phillips
A New Proof Of Knight's Theorem On The Cauchy Distribution, Peter C.B. Phillips
Cowles Foundation Discussion Papers
We offer a new and straightforward proof of F.B. Knight’s [3] theorem that the Cauchy type is characterized by the fact that it has no atom and is invariant under the involution i : x → –1/ x . Our approach uses the representation X = tan θ where θ is uniform on (–π/2, π/2) when X is standard Cauchy. A matrix generalization of this characterization theorem is also given.
A Little Magic With The Cauchy Distribution, Peter C.B. Phillips
A Little Magic With The Cauchy Distribution, Peter C.B. Phillips
Cowles Foundation Discussion Papers
The standard Cauchy distribution is completely characterized by theproperty that it has no atmos and is distributionally equivalent under the involution X → – 1/ X , i.e., X ≡ – 1/ X . Since maximum likelihood is invariant to the choice of normalization rule in structural equation estimation this property establishes that the LIML estimator is standard Cauchy in the leading case of a canonical structural equation. This is a proof by identifying characteristics and is a major improvement over the usual apparatus of change of variable methods and reductions by multiple integration. The new approach has applications in …
The Macroeconomics Of Government Finance, Michael Haliassos, James Tobin
The Macroeconomics Of Government Finance, Michael Haliassos, James Tobin
Cowles Foundation Discussion Papers
This paper establishes the asymptotic normality of series estimators for nonparametric regression models. Gallant’s Fourier flexible form estimators, trigonometric series estimators, and polynomial series estimators are prime examples of the estimators covered by the results. The results apply to a wide variety of estimands in the regression model under consideration, including derivatives and integrals of the regression function. The errors in the model may be homoskedastic or heteroskeclastic. The paper also considers series estimators for additive interactive regression (AIR), seimparametric regression, and semiparametric index regression models and shows them to be consistent and asymptotically normal. All of the consistency and …
The Power Of Commitment, Chien-Fu Chou, John Geanakoplos
The Power Of Commitment, Chien-Fu Chou, John Geanakoplos
Cowles Foundation Discussion Papers
History has seen many examples of the lone man — like Christ, Luther, Gandhi, or Hitler — who without initial wealth or position, succeeds in changing the behavior of an entire society, for good or for ill. Whence comes this power. No doubt such leaders have possessed extraordinary ability, and have formulated original ideas with great appeal which others could readily follow. But there is another striking similarity among these leaders; namely their single-minded devotion to their, ideals, and their uncompromising attitude toward those who opposed them, no matter what the personal cost. There is hardly any need to document …
The Shapes Of Polyhedra, Ravi Kannan, László Lovász, Herbert E. Scarf
The Shapes Of Polyhedra, Ravi Kannan, László Lovász, Herbert E. Scarf
Cowles Foundation Discussion Papers
No abstract provided.
Nonparametric And Distribution-Free Estimation Of The Binary Choice And The Threshold-Crossing Models, Rosa L. Matzkin
Nonparametric And Distribution-Free Estimation Of The Binary Choice And The Threshold-Crossing Models, Rosa L. Matzkin
Cowles Foundation Discussion Papers
This paper studies the problem of nonparametric identification and estimation of binary threshold-crossing and binary choice models. First, conditions are given that guarantee the nonparametric identification of both the function of exogenous observable variables and the distribution of the random terms. Second, the identification results are employed to develop strongly consistent estimation methods that are nonparametric in both the function of observable exogenous variables and the distribution of the unobservable random variables. The estimators are obtained by maximizing a likelihood function over nonparametric sets of functions. A two-step constrained optimization procedure is devised to compute these estimators.
Correlated Equilibrium With Generalized Information Structures, Adam Brandenburger, Eddie Dekel, John Geanakoplos
Correlated Equilibrium With Generalized Information Structures, Adam Brandenburger, Eddie Dekel, John Geanakoplos
Cowles Foundation Discussion Papers
We study the “generalized correlated equilibria” of a game when players make information processing errors. It is shown that the assumption of information processing errors is equivalent to that of “subjectivity” (i.e., differences between the players’ priors). Hence a bounded rationality justification of subjective priors is provided. We also describe the set of distributions on actions induced by generalized correlated equilibria with common priors.
Heteroskedasticity And Autocorrelation Consistent Covariance Matrix Estimation, Donald W.K. Andrews
Heteroskedasticity And Autocorrelation Consistent Covariance Matrix Estimation, Donald W.K. Andrews
Cowles Foundation Discussion Papers
This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and autocorrelation of unknown forms. Currently available estimators that are designed for this context depend upon the choice of a lag truncation parameter and a weighting scheme. No results are available, however, regarding the choice of a lag truncation parameter for a fixed sample size, regarding data-dependent automatic lag truncation parameters, or regarding the choice of weighing scheme. In consequence, available estimators are not entirely operational and the relative merits of the estimators are unknown.
The Stabilization Of The U.S. Economy: Evidence From The Stock Market, Matthew D. Shapiro
The Stabilization Of The U.S. Economy: Evidence From The Stock Market, Matthew D. Shapiro
Cowles Foundation Discussion Papers
Until recently, economists widely believed that economic activity had become less variable in the United States following the end of World War II. Challenging this belief, new research suggests that key historical time series are spuriously volatile, a finding that is highly controversial. Data from the stock market may provide a vehicle for resolving the controversy. Economic theory relates stock prices to real activity; empirical tests also show a strong link between stock prices and activity. Financial data are accurately measured over long spans of time and hence are free of most of the measurement problems in other time series. …
Heteroskedasticity And Autocorrelation Consistent Covariance Matrix Estimation, Donald W.K. Andrews
Heteroskedasticity And Autocorrelation Consistent Covariance Matrix Estimation, Donald W.K. Andrews
Cowles Foundation Discussion Papers
This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and autocorrelation of unknown forms. Currently available estimators that are designed for this context depend upon the choice of a lag truncation parameter and a weighting scheme. Results in the literature provide a condition on the growth rate of the lag truncation parameter as T → ∞ that is sufficient for consistency. No results are available, however, regarding the choice of a lag truncation parameter for a fixed sample size, regarding data-dependent automatic lag truncation parameters, or regarding the choice of weighing scheme. In consequence, …
Capital Structure And Dividend Irrelevance With Asymmetric Information, Philip H. Dybvig, Jaime F. Zender
Capital Structure And Dividend Irrelevance With Asymmetric Information, Philip H. Dybvig, Jaime F. Zender
Cowles Foundation Discussion Papers
The Modigliani and Miller propositions on the irrelevancy of capital structure and dividends are shown to be valid in a large class of models with asymmetric information. The main assumption is that managerial compensation is chosen optimally. This differs from most recent papers on this topic, which impose by fiat a suboptimal contract. Even when imperfections internal to the firm preclude optimal investment, there is a separation between incentives and financing. We also show that making prices reflect idiosyncratic information more accurately does not make investors better off, thus negating the motivation of many of the signalling models.
Default And Efficiency In A General Equilibrium Model With Incomplete Markets, Pradeep Dubey, John Geanakoplos, Martin Shubik
Default And Efficiency In A General Equilibrium Model With Incomplete Markets, Pradeep Dubey, John Geanakoplos, Martin Shubik
Cowles Foundation Discussion Papers
We extend the standard model of general equilibrium with incomplete markets (GEI) to allow for default. Default can be either strategic, or due to ill-fortune. Agents who default are penalized to a degree proportional to the size of their default and to penalty parameters lambda. We find that under conditions similar to those necessary to guarantee the existence of GEI equilibrium, we get the existence of GEI λ equilibrium, for any λ > 0. We argue that default is thus reasonably modeled as an equilibrium phenomenon. Moreover, we show that more lenient lambda which encourage default may be Pareto improving because …
Estimation And Inference In Models Of Cointegration: A Simulation Study, Bruce E. Hansen, Peter C.B. Phillips
Estimation And Inference In Models Of Cointegration: A Simulation Study, Bruce E. Hansen, Peter C.B. Phillips
Cowles Foundation Discussion Papers
This paper studies the finite sample distributions of estimators of the cointegrating vector of linear regression models with I(1) variables. Attention is concentrated on the least squares (OLS) and instrumental variables (IV) methods analyzed in other recent work (Phillips and Hansen (1988)). The general preference of OLS to IV techniques suggested by asymptotic theory is reinforced by our simulations. An exception arises for cases of low signal to noise, where spurious IV techniques (so named for their use of instruments that are structurally unrelated to the model) outperform uncorrected least squares. We verify the presence of a small sample estimation …
Spectral Regression For Cointegrated Time Series, Peter C.B. Phillips
Spectral Regression For Cointegrated Time Series, Peter C.B. Phillips
Cowles Foundation Discussion Papers
This paper studies the use of spectral regression techniques in the context of cointegrated systems of multiple time series. Several alternatives are considered including efficient and band spectral methods as well as system and single equation techniques. It is shown that single equation spectral regressions suffer asymptotic bias and nuisance parameter problems that render these regressions impotent for inferential purposes. By contrast systems methods are shown to be covered by LAMN asymptotic theory, bringing the advantages of asymptotic media unbiasedness, scale nuisance parameters and the convenience of asymptotic chi-squared tests. System spectral methods also have advantages over full system direct …
Spanning, Valuation And Options, Donald J. Brown, Stephen A. Ross
Spanning, Valuation And Options, Donald J. Brown, Stephen A. Ross
Cowles Foundation Discussion Papers
We model the space of marketed assets as a Riesz space of commodities. In this setting, two alternative characterizations are given of the space of continuous options on a bounded asset, s, with limited liability. The first characterization represents every continuous option on s as the uniform limit of portfolios of calls on s. The second characterization represents an option as a continuous sum (or integral) of Arrow-Debreu securities, with respect to s. The pricing implications of these representations are explored. In particular, the Breeden-Litzenberger pricing formula is shown to be a direct consequence of the integral representation theorem.
Testing For A Unit Root In The Presence Of A Maintained Trend, Sam Ouliaris, Joon Y. Park, Peter C.B. Phillips
Testing For A Unit Root In The Presence Of A Maintained Trend, Sam Ouliaris, Joon Y. Park, Peter C.B. Phillips
Cowles Foundation Discussion Papers
This paper develops statistics for detecting the presence of a unit root in time series data against the alternative stationarity. Unlike most existing procedures, the new tests allow for deterministic trend polynomials in the maintained hypothesis. They may be used to discriminate between unit root nonstationarity and processes which are stationary around a deterministic polynomial trend. The tests allow for both forms of nonstationarity under the null hypothesis. Moreover, the tests allow for a wide class of weakly dependent and possibly heterogenously distributed procedures. We illustrate the use of the new tests by applying them to a number a models …
Error Correction And Long Run Equilibrium In Continuous Time, Peter C.B. Phillips
Error Correction And Long Run Equilibrium In Continuous Time, Peter C.B. Phillips
Cowles Foundation Discussion Papers
This paper deals with error correction models (ECM’s) and cointegrated systems that are formulated in continuous time. Problems of representation, identification, estimation and time aggregation are discussed. It is shown that every ECM in continuous time has a discrete time equivalent model in ECM format. Moreover, both models may be written as triangular systems with stationary errors. This formulation simplifies both the continuous and the discrete time ECM representations and it helps to motivate a class of optimal inference procedures. It is further shown that long run equilibria in the continuous system are always identified in the discrete time reduced …
Asymptotic Normality Of Series Estimators For Nonparametric And Semiparametric Regression Models, Donald W.K. Andrews
Asymptotic Normality Of Series Estimators For Nonparametric And Semiparametric Regression Models, Donald W.K. Andrews
Cowles Foundation Discussion Papers
This paper establishes the asymptotic normality of series estimators for nonparametric regression models. Gallant’s Fourier flexible form estimators, trigonometric series estimators, and polynomial series estimators are prime examples of the estimators covered by the results. The results apply to a wide variety of estimands in the regression model under consideration, including derivatives and integrals of the regression function. The errors in the model may be homoskedastic or heteroskeclastic. The paper also considers series estimators for additive interactive regression (AIR), seimparametric regression, and semiparametric index regression models and shows them to be consistent and asymptotically normal. All of the consistency and …
Information And Timing In Repeated Partnerships, Dilip Abreu, Paul R. Milgrom, David G. Pearce
Information And Timing In Repeated Partnerships, Dilip Abreu, Paul R. Milgrom, David G. Pearce
Cowles Foundation Discussion Papers
In a repeated partnership game with imperfect monitoring, we distinguish among the effects of (1) shortening the period over which actions are held fixed, (2) increasing the frequency with which accumulated information is reported, and (3) reducing the amount of discounting of payoffs between successive periods. While reducing the amount of discounting generally improves incentives for cooperation, the other two changes can have the reverse effect. When the game is specified in the customary way with information reported at the end of each period of fixed action, the net effect of shortening the period length can be to destroy all …
Nota Bene; Volume Ii, Number Iii, Yale University Library
Nota Bene; Volume Ii, Number Iii, 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.
Sources Of Business Cycle Fluctuations, Matthew D. Shapiro, Mark W. Watson
Sources Of Business Cycle Fluctuations, Matthew D. Shapiro, Mark W. Watson
Cowles Foundation Discussion Papers
What shocks account for the business cycle frequency and long run movements of output and prices? This paper addresses this question using the identifying assumption that only supply shocks, such as shocks to technology, oil prices, and labor supply affect output in the long run. Real and monetary aggregate demand shocks can affect output, but only in the short run. This assumption sufficiently restricts the reduced form of key macroeconomic variables to allow estimation of the shocks and their effect on output and price at all frequencies. Aggregate demand shocks account for about twenty to thirty percent of output fluctuations …
Gold, Liquidity And Secured Loans In A Multistage Economy. Part I: Gold As Money, Martin Shubik, Shuntian Yao
Gold, Liquidity And Secured Loans In A Multistage Economy. Part I: Gold As Money, Martin Shubik, Shuntian Yao
Cowles Foundation Discussion Papers
A multiperiod exchange economy with gold used both as money and as jewelry is examined in this paper. The existence of Nash equilibria is proved for the market games with finitely many traders as well as the games with a continuum of traders. For market games with a continuum of traders at infinite horizon, the existence of stationary Nash equilibria has been proved under the assumption that gold is properly distributed at the beginning or a secured loan between traders is available.
Statistical Inference In Instrumental Variables Regression With I(1) Processes, Peter C.B. Phillips, Bruce E. Hansen
Statistical Inference In Instrumental Variables Regression With I(1) Processes, Peter C.B. Phillips, Bruce E. Hansen
Cowles Foundation Discussion Papers
This paper studies the asymptotic properties of instrumental variable (IV) estimates of multivariate cointegrating regressions. The framework of study is based on earlier work by Phillips and Durlauf (1986) and Park and Phillips (1988, 1989). In particular, the results in these papers are extended to allow for IV regressions that accommodate deterministic and stochastic regressors as well as quite general deterministic processes in the data generating mechanism. It is found that IV regressions are consistent even when the instruments are stochastically independent of the regressors. This phenomenon, which contrasts with traditional theory for stationary time series, is a beneficial artifact …
Warranties As Signals Under Consumer Moral Hazard, Nancy A. Lutz
Warranties As Signals Under Consumer Moral Hazard, Nancy A. Lutz
Cowles Foundation Discussion Papers
In this paper, I examine whether and how warranties serve as signals of product quality in an environment where there are opportunities for consumer moral hazard. My model is very similar to Grossman’s. A risk neutral monopolist produced a good of fixed and exogenous quality. This product is offered to a market of identical risk-averse consumers, and it can be bundled with a warranty of the monopolist’s choosing. The probability that the product breaks down is a function of its quality and the effort the consumer takes in using it. This consumer effort cannot be observed by the monopolist or …
Knightian Decision Theory And Econometric Inference, Truman F. Bewley
Knightian Decision Theory And Econometric Inference, Truman F. Bewley
Cowles Foundation Discussion Papers
In this paper I attempt to reconcile the apparent definiteness of econometric practice with the vagueness of subjective probabilities assumed in Knightian decision theory. I argue that some standard uses of classical inference are Knightian in spirit, even though the formal justification of classical methods uses the frequentist notion of probability. Classical confidence regions may be viewed as defining sets of posterior means corresponding to a standardized set of prior distributions. Tests of the null hypothesis that a parameter equals a particular value may be viewed as determining whether it is rational, from a Knightian point of view, to act …