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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, …

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

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 …

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. …

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.

Doug Munro's Review Of K. Buckley And K. Klugman's South Pacific Focus: A Record In Words And Photographs Of Burns Philip At Work, 1888-1988, Doug Munro

Pacific Studies

No abstract provided.

Vol. 11 No. 3 (1988): Pacific Studies Full Issue, The Jonathan Nāpela Center For Hawaiian And Pacific Islands Studies

Pacific Studies

Pacific Studies is published two times a year by The Jonathan Nāpela Center for Hawaiian and Pacific Studies, Brigham Young University Hawai‘i #1979, 55–220 Kulanui Street, Lāʻie, Hawai‘i 96762, but responsibility for opinions expressed in the articles rests with the authors alone. Subscription rate is US$40.00 yearly, payable to The Jonathan Nāpela Center for Hawaiian and Pacific Studies. The Jonathan Nāpela Center for Hawaiian and Pacific Studies (formerly The Pacific Institute) is an organization funded by Brigham Young University Hawai‘i. The Center assists the University in meeting its cultural and educational goals by undertaking a program of teaching, research, and …

Contributors: Vol 11 No. 3, The Jonathan Nāpela Center For Hawaiian And Pacific Islands Studies

Pacific Studies

Contributors list of Vol. 11 (1988): Pacific Studies Full Issue 3

Temporary Townsfolk? Siwai Migrants In Urban Papua New Guinea, John Connell

Pacific Studies

No abstract provided.

The Incidence Of Workers' Compensation Claims In Michigan: Final Report, H. Allan Hunt

Reports

No abstract provided.

Displaced Homemakers And Single Parents In New Mexico, University Of New Mexico Bureau Of Business And Economic Research

BBER Publications

This report analyzes the demographic, educational, employment, and economic characteristics of displaced homemakers, single parents, and teen parents across New Mexico. Prepared for the Department of Education by the Bureau of Business and Economic Research at the University of New Mexico, the study utilizes customized 1980 U.S. Census data to identify key socio-economic vulnerabilities, such as high poverty rates and low high school completion levels, to guide vocational education policy.

Economic Considerations For Artificial Reef Development In Coastal Virginia, Dean Thomas Devereaux

OES Theses and Dissertations

The contingent valuation method, recommended by the U. S. Water Resources Council, was used to estimate the economic value of sport fishing and diving at the Chesapeake Light Tower Artificial Reef. The study is based on a random sample of 170 anglers and 33 divers who participated in telephone, personell and mail-in surveys in 1985 and 1986.

The average user value (consumer surplus) was $21.13, $110,75, and $13.30 for head boat anglers, private boat anglers and sport divers, respectively, who claimed to have used the reef in 1985. Variation in consumer surplus was statistically affected by trip expense, distance from …

Off-Reservation Marketing Of Indian Water, Steven J. Shupe

Natural Resource Development in Indian Country (Summer Conference, June 8-10)

12 pages.

The Industry Perspective: The Pros And Cons Of Mineral Development In Indian Country, William A. White

Natural Resource Development in Indian Country (Summer Conference, June 8-10)

17 pages.

Resources Development On Navajo: The Dineh Power Project, Donald R. Wharton

Natural Resource Development in Indian Country (Summer Conference, June 8-10)

42 pages (includes illustrations and maps).

Cooperative Agreements Between Tribes And The States, Bernard P. Becker

Natural Resource Development in Indian Country (Summer Conference, June 8-10)

36 pages.

Federal Taxation Of Resort Development, Commercial Fishing, And Reindeer, Steven C. Moore

Natural Resource Development in Indian Country (Summer Conference, June 8-10)

5 pages.

Contains references.

Agenda: Natural Resource Development In Indian Country, University Of Colorado Boulder. Natural Resources Law Center

Natural Resource Development in Indian Country (Summer Conference, June 8-10)

Conference organizers and/or faculty included University of Colorado School of Law professors David H. Getches, Charles F. Wilkinson, Lawrence J. MacDonnell and Richard B. Collins.

Indian reservations constitute about 2.5% of all land in the country and 5% of all land in the American West. During the last two decades, Indian natural resources issues have moved to the forefront as tribal governments have dramatically expanded their regulatory programs, judicial systems. and resource development activities. This major symposium will address current developments and assess likely future directions in the areas of tribal, federal, and state regulation; tribal-state intergovernmental agreements; financing; mineral …

The Governmental Context For Development In Indian Country: Modern Tribal Institutions And The Bureau Of Indian Affairs, Susan M. Williams

Natural Resource Development in Indian Country (Summer Conference, June 8-10)

26 pages.

Taxation In Indian Country, Richard B. Collins

Natural Resource Development in Indian Country (Summer Conference, June 8-10)

11 pages.

Financing Development In Indian Country, Thomas N. Tureen

Natural Resource Development in Indian Country (Summer Conference, June 8-10)

7 pages.

Long Term And Recent Trends In South Dakota Farmland Markets, Larry Janssen

Economics Commentator (1972- 2016)

No abstract provided.

Financial Crises And The Evolution Of Capitalism: The Crash Of '87: What Does It Mean?, Hyman P. Minsky Ph.D.

Hyman P. Minsky Archive

A prior version of this paper was presented at a session on “The Crash of ’87 - What Does It Mean?”, that was arranged by URPE at the Allied Social Science Association Meeting in Chicago, Illinois on Tuesday, Dec. 29, 1987. It also subsequently appeared as a chapter in, Capitalist development and crisis theory : accumulation, regulation, and spatial restructuring, Gottdiener M. and Nicos Komninos, eds. New York : St. Martin's Press, 1989.

Values, Beliefs, And Attitudes In A Sociotechnical Setting, F. Gregory Hayden

Department of Economics: Faculty Publications

Yngve Ramstad has recently inquired about how to define the components of the social fabric matrix and digraph system [Ramstad 1986; Hayden 1982a, 1982b]. To answer that question with regard to three of the matrix's components is the purpose of this article. The article will present, expand, and refine the author's introductory work on values, beliefs, and attitudes for the social fabric matrix [Hayden 1977, 19851. There are numerous meanings the word "values" evokes among institutionalist readers; for examples: social value, instrumental valuing, technological values, and valuation. Those concepts are concerned with "what ought to be," while the definition of …

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

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

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 …

Small Scale Enterprises In Industrial Development : Indian Experience By Suri K. B. Sage Publications, Pvt. Ltd., 1988., S Shivaramu

IIMB Management Review

In this connection, this book is a welcome addition to the study of small scale industry The papers included in this volume represent the proceedings of the Conference on Small Scale Industry Development held during 9994 March 1085 noder the inint anenices of the Institnta HeiG CUring 22-29 mwiafCn, i765 UGE ine JGint A2USPiT"’s OF tHe sOStitute of Economic Growth, New Delhi and the World Bank.

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 …

Information Asymmetry, Incentive Contracts And Organizational Behavior, T V S Ramamohan Rao

IIMB Management Review

No abstract provided.