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Social and Behavioral Sciences Commons™
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- Global games (5)
- Common knowledge (4)
- Bias (3)
- Central bank (3)
- Communication (3)
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- Empirical independence processes (3)
- Long run variance (3)
- Mechanism design (3)
- Random utility models (3)
- Semiparametric econometric models (3)
- Specification test of independence (3)
- Testable restrictions (3)
- Absenteeism (2)
- Afriat’s theorem (2)
- Applied general equilibrium analysis (2)
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- Cramér-von Mises distance (2)
- Credit evaluation (2)
- Currency crisis (2)
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- Dominant strategies (2)
- Heterogeneity (2)
- Incidental trends (2)
- Incomplete assets (2)
- Information acquisition (2)
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Articles 61 - 76 of 76
Full-Text Articles in Social and Behavioral Sciences
Coordination, Communication And Common Knowledge: A Retrospective On The Electronic Mail Game, Stephen Morris
Coordination, Communication And Common Knowledge: A Retrospective On The Electronic Mail Game, Stephen Morris
Cowles Foundation Discussion Papers
Common knowledge plays an important role in coordination problems and coordination problems are central to many areas of economic policy. In this paper, I review some common knowledge puzzles culminating in the electronic mail game. These puzzles may seem distant from practical concerns. However, I then argue why insights derived from this literature are useful in interpreting empirical evidence of how people coordinate under uncertainty and in understanding the role of communication in coordinating behaviour.
The Strong Law Of Demand, Donald J. Brown, Caterina Calsamiglia
The Strong Law Of Demand, Donald J. Brown, Caterina Calsamiglia
Cowles Foundation Discussion Papers
We show that a demand function is derived from maximizing a quasilinear utility function subject to a budget constraint if and only if the demand function is cyclically monotone. On finite data sets consisting of pairs of market prices and consumption vectors, this result is equivalent to a solution of the Afriat inequalities where all the marginal utilities of income are equal. We explore the implications of these results for maximization of a random quasilinear utility function subject to a budget constraint and for representative agent general equilibrium models. The duality theory for cyclically monotone demand is developed using the …
Laws And Limits Of Econometrics, Peter C.B. Phillips
Laws And Limits Of Econometrics, Peter C.B. Phillips
Cowles Foundation Discussion Papers
We start by discussing some general weaknesses and limitations of the econometric approach. A template from sociology is used to formulate six laws that characterize mainstream activities of econometrics and the scientific limits of those activities., we discuss some proximity theorems that quantify by means of explicit bounds how close we can get to the generating mechanism of the data and the optimal forecasts of next period observations using a finite number of observations. The magnitude of the bound depends on the characteristics of the model and the trajectory of the observed data. The results show that trends are more …
The Elusive Empirical Shadow Of Growth Convergence, Peter C.B. Phillips, Donggyu Sul
The Elusive Empirical Shadow Of Growth Convergence, Peter C.B. Phillips, Donggyu Sul
Cowles Foundation Discussion Papers
Two groups of applied econometricians have figured prominently in empirical studies of growth convergence. In terms of a popular caricature, one group believes it has found a black hat of convergence (evidence for growth convergence) in the dark room of economic growth, even though the hat may not exist (the task may be futile). A second group believes it has found a black coat of divergence (evidence against growth convergence) even though this object also may not exist (empirical reality, including the nature of growth divergence, is ever more complex than the models used to characterize it). The present paper …
Rationalizing And Curve-Fitting Demand Data With Quasilinear Utilities, Donald J. Brown, Caterina Calsamiglia
Rationalizing And Curve-Fitting Demand Data With Quasilinear Utilities, Donald J. Brown, Caterina Calsamiglia
Cowles Foundation Discussion Papers
In the empirical and theoretical literature a consumer’s utility function is often assumed to be quasilinear. In this paper we provide necessary and sufficient conditions for testing if the consumer acts as if she is maximizing a quasilinear utility function over her budget set. If the consumer’s choices are inconsistent with maximizing a quasilinear utility function over her budget set, then we compute the “best” quasilinear rationalization of her choices.
Heterogeneity And Uniqueness In Interaction Games, Stephen Morris, Hyun Song Shin
Heterogeneity And Uniqueness In Interaction Games, Stephen Morris, Hyun Song Shin
Cowles Foundation Discussion Papers
Incomplete information games, local interaction games and random matching games are all special cases of a general class of interaction games (Morris (1997)). In this paper, we use this equivalence to present a unified treatment of arguments generating uniqueness in games with strategic complementarities by introducing heterogeneity in these different settings. We also report on the relation between local and global heterogeneity, on the role of strategic multipliers and on purification in the three types of interaction game.
Bonds Or Loans? The Effect Of Macroeconomic Fundamentals, Galina Hale
Bonds Or Loans? The Effect Of Macroeconomic Fundamentals, Galina Hale
Cowles Foundation Discussion Papers
The costs of debt crises are not invariant to the foreign debt instrument composition: bank loans or bonds. The lending boom of the 1990s witnessed considerable variation over time and across countries in the debt instrument used by emerging market (EM) borrowers. This paper tests how macroeconomic fundamentals affect the composition of international debt instruments used by EM borrowers. Analysis of micro-level data using ordered probability model shows that macroeconomic fundamentals explain a significant share of variation in the ratio of bonds to loans for private borrowers, but not for the sovereigns.
Jackknifing Bond Option Prices, Peter C.B. Phillips, Jun Yu
Jackknifing Bond Option Prices, Peter C.B. Phillips, Jun Yu
Cowles Foundation Discussion Papers
In continuous time specifications, the prices of interest rate derivative securities depend crucially on the mean reversion parameter of the associated interest rate diffusion equation. This parameter is well known to be subject to estimation bias when standard methods like maximum likelihood (ML) are used. The estimation bias can be substantial even in very large samples and it translates into a bias in pricing bond options and other derivative securities that is important in practical work. The present paper proposes a very general method of bias reduction for pricing bond options that is based on Quenouille’s (1956) jackknife. We show …
Vision And Influence In Econometrics: John Denis Sargan, Peter C.B. Phillips
Vision And Influence In Econometrics: John Denis Sargan, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Denis Sargan’s intellectual influence in econometrics is discussed and some of his visions for the future of econometrics are considered in this memorial article. One of Sargan’s favorite topics in econometric theory was finite sample theory, including both exact theory and various types of asymptotic expansions. We provide some summary discussion of asymptotic expansions of the type that Sargan developed in this field and give explicit representations of Sargan’s formula for the Edgeworth expansion in the case of an econometric estimator that can be written as a smooth function of sample moments whose distributions themselves have Edgeworth expansions.
Generalized Potentials And Robust Sets Of Equilibria, Stephen Morris, Takashi Ui
Generalized Potentials And Robust Sets Of Equilibria, Stephen Morris, Takashi Ui
Cowles Foundation Discussion Papers
This paper introduces generalized potential functions of complete information games and studies the robustness of sets of equilibria to incomplete information. A set of equilibria of a complete information game is robust if every incomplete information game where payoffs are almost always given by the complete information game has an equilibrium which generates behavior close to some equilibrium in the set. This paper provides sufficient conditions for the robustness of sets of equilibria in terms of argmax sets of generalized potential functions and shows that the sufficient conditions generalize the existing sufficient conditions for the robustness of equilibria.
Tests Of Independence In Separable Econometric Models, Donald J. Brown, Marten H. Wegkamp
Tests Of Independence In Separable Econometric Models, Donald J. Brown, Marten H. Wegkamp
Cowles Foundation Discussion Papers
A common stochastic restriction in econometric models separable in the latent variablesis the assumption of stochastic independence between the unobserved and observed exogenous variables. Both simple and composite tests of this assumption are derived from properties of independence empirical processes and the consistency of these tests is established
Gmm Estimation Of Autoregressive Roots Near Unity With Panel Data, Hyungsik Roger Moon, Peter C.B. Phillips
Gmm Estimation Of Autoregressive Roots Near Unity With Panel Data, Hyungsik Roger Moon, Peter C.B. Phillips
Cowles Foundation Discussion Papers
This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near unity with panel data and incidental deterministic trends. Such models arise in empirical econometric studies of firm size and in dynamic panel data modeling with weak instruments. The two moment conditions in the GMM approach are obtained by constructing bias corrections to the score functions under OLS and GLS detrending, respectively. It is shown that the moment condition under GLS detrending corresponds to taking the projected score on the Bhattacharya basis, linking the approach to recent work on projected score methods for models …
Fractional Brownian Motion As A Differentiable Generalized Gaussian Process, Victoria Zinde-Walsh, Peter C.B. Phillips
Fractional Brownian Motion As A Differentiable Generalized Gaussian Process, Victoria Zinde-Walsh, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Brownian motion can be characterized as a generalized random process and, as such, has a generalized derivative whose covariance functional is the delta function. In a similar fashion, fractional Brownian motion can be interpreted as a generalized random process and shown to possess a generalized derivative. The resulting process is a generalized Gaussian process with mean functional zero and covariance functional that can be interpreted as a fractional integral or fractional derivative of the delta-function.
Who Refers To Whom: A Study Of Research References And The Relationship Between Research Reports And Final Publication, Samuel Mccarthy, Martin Shubik, Jianfeng Yu
Who Refers To Whom: A Study Of Research References And The Relationship Between Research Reports And Final Publication, Samuel Mccarthy, Martin Shubik, Jianfeng Yu
Cowles Foundation Discussion Papers
The size and style of referencing for a large sample of 60 years of publications of the Cowles Foundation are examined. The influence of computerization is considered. Self-referencing is noted and some observations are made on the costs and distribution of research papers.
Tests Of Independence In Separable Econometric Models: Theory And Application, Donald J. Brown, Rahul Deb, Marten H. Wegkamp
Tests Of Independence In Separable Econometric Models: Theory And Application, Donald J. Brown, Rahul Deb, Marten H. Wegkamp
Cowles Foundation Discussion Papers
A common stochastic restriction in econometric models separable in the latent variables is the assumption of stochastic independence between the unobserved and observed exogenous variables. Both simple and composite tests of this assumption are derived from properties of independence empirical processes and the consistency of these tests is established. As an application, we simulate estimation of a random quasilinear utility function, where we apply our tests of independence.
Tests Of Independence In Separable Econometric Models: Theory And Application, Donald J. Brown, Rahul Deb, Marten H. Wegkamp
Tests Of Independence In Separable Econometric Models: Theory And Application, Donald J. Brown, Rahul Deb, Marten H. Wegkamp
Cowles Foundation Discussion Papers
A common stochastic restriction in econometric models separable in the latent variables is the assumption of stochastic independence between the unobserved and observed exogenous variables. Both simple and composite tests of this assumption are derived from properties of independence empirical processes and the consistency of these tests is established. As an application, we simulate estimation of a random quasilinear utility function, where we apply our tests of independence.