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Optimal Bandwidth Choice For Interval Estimation In Gmm Regression, Yixiao Sun, Peter C.B. Phillips May 2008

Optimal Bandwidth Choice For Interval Estimation In Gmm Regression, Yixiao Sun, Peter C.B. Phillips

Cowles Foundation Discussion Papers

In time series regression with nonparametrically autocorrelated errors, it is now standard empirical practice to construct confidence intervals for regression coefficients on the basis of nonparametrically studentized t -statistics. The standard error used in the studentization is typically estimated by a kernel method that involves some smoothing process over the sample autocovariances. The underlying parameter ( M ) that controls this tuning process is a bandwidth or truncation lag and it plays a key role in the finite sample properties of tests and the actual coverage properties of the associated confidence intervals. The present paper develops a bandwidth choice rule …


Pareto Improving Taxes, John Geanakoplos, Heracles M. Polemarchakis May 2008

Pareto Improving Taxes, John Geanakoplos, Heracles M. Polemarchakis

Cowles Foundation Discussion Papers

We show that in almost every economy with separable externalities, every competitive equilibrium can be Pareto improved by a package of anonymous commodity taxes that causes prices to adjust and markets to reclear at different levels of individual consumption. This constrained suboptimality of competitive allocations might provide a rationale for economic policy in economies with externalities. It shows that policy makers should look for good tax packages that help everybody, rather than thinking taxes must inevitably be bad for some lobby that will oppose them.


Assistant Secretary Of The U.S. Treasury Anthony Ryan Remarks At Sifma “Wall Street To Washington"Conference, Anthony W. Ryan May 2008

Assistant Secretary Of The U.S. Treasury Anthony Ryan Remarks At Sifma “Wall Street To Washington"Conference, Anthony W. Ryan

Documents

No abstract provided.


Semiparametric Cointegrating Rank Selection, Xu Cheng, Peter C.B. Phillips May 2008

Semiparametric Cointegrating Rank Selection, Xu Cheng, Peter C.B. Phillips

Cowles Foundation Discussion Papers

Some convenient limit properties of usual information criteria are given for cointegrating rank selection. Allowing for a nonparametric short memory component and using a reduced rank regression with only a single lag, standard information criteria are shown to be weakly consistent in the choice of cointegrating rank provided the penalty coefficient C n → ∞ and C n /n → 0 as n → ∞. The limit distribution of the AIC criterion, which is inconsistent, is also obtained. The analysis provides a general limit theory for semiparametric reduced rank regression under weakly dependent errors. The method does not require the …


Smoothing Local-To-Moderate Unit Root Theory, Peter C.B. Phillips, Tassos Magdalinos, Liudas Giraitis May 2008

Smoothing Local-To-Moderate Unit Root Theory, Peter C.B. Phillips, Tassos Magdalinos, Liudas Giraitis

Cowles Foundation Discussion Papers

A limit theory is established for autoregressive time series that smooths the transition between local and moderate deviations from unity and provides a transitional form that links conventional unit root distributions and the standard normal. Edgeworth expansions of the limit theory are given. These expansions show that the limit theory that holds for values of the autoregressive coefficient that are closer to stationarity than local (i.e. deviations of the form = 1 + (c/n), where n is the sample size and c < 0) holds up to the second order. Similar expansions around the limiting Cauchy density are provided for the mildly explosive case.


Reforming Social Security With Progressive Personal Accounts, John Geanakoplos, Stephen P. Zeldes May 2008

Reforming Social Security With Progressive Personal Accounts, John Geanakoplos, Stephen P. Zeldes

Cowles Foundation Discussion Papers

The heated debate about how to reform Social Security has come to a standstill because the view of most Democrats (that Social Security must be a defined benefits plan similar in spirit to the current system) seems irreconcilable with the proposals supported by many Republicans (to create a defined contribution system of personal accounts holding marketed assets). We describe a system of “progressive personal accounts” that preserves the core goals of both parties, and that is self-balancing on an ongoing basis. Progressive personal accounts have two critical features: (1) accruals into the personal accounts would be exclusively in a new …


Consolidated Versions Of The Treaty On European Union And The Treaty On The Functioning Of The European Union, European Union: Council Of The European Union Apr 2008

Consolidated Versions Of The Treaty On European Union And The Treaty On The Functioning Of The European Union, European Union: Council Of The European Union

Documents

No abstract provided.


Council Of The European Union: Consolidated Versions Of The Treaty On European Union And The Treaty On The Functioning Of The European Union, European Union: Council Of The European Union Apr 2008

Council Of The European Union: Consolidated Versions Of The Treaty On European Union And The Treaty On The Functioning Of The European Union, European Union: Council Of The European Union

Documents

No abstract provided.


Assistant Secretary For Financial Institutions David G. Nason Remarks On Treasury's Blueprint For A Modernized Regulatory Structure, David Nason Apr 2008

Assistant Secretary For Financial Institutions David G. Nason Remarks On Treasury's Blueprint For A Modernized Regulatory Structure, David Nason

Documents

No abstract provided.


Meeting Of The Federal Open Market Committee Transcript, Federal Reserve System: Board Of Governors: Federal Open Market Committee (Fomc) Apr 2008

Meeting Of The Federal Open Market Committee Transcript, Federal Reserve System: Board Of Governors: Federal Open Market Committee (Fomc)

Documents

Meeting of the Federal Reserve Market Committee on April 29-30, 2008. The complete list of all meeting attendees is provided on the first page of this document.


“Oral Evidence,"In “Re-Appointment Of Mervyn King As Governor Of The Bank Of England."House Of Commons Treasury Committee. Tenth Report Of Session 2007– 08, United Kingdom: Parliament: House Of Commons: Treasury Committee Apr 2008

“Oral Evidence,"In “Re-Appointment Of Mervyn King As Governor Of The Bank Of England."House Of Commons Treasury Committee. Tenth Report Of Session 2007– 08, United Kingdom: Parliament: House Of Commons: Treasury Committee

Documents

No abstract provided.


Statement For The Treasury Borrowing Advisory Committee Of The Securities Industry And Financial Markets Association, Treasury Borrowing Advisory Committee (Tbac) Apr 2008

Statement For The Treasury Borrowing Advisory Committee Of The Securities Industry And Financial Markets Association, Treasury Borrowing Advisory Committee (Tbac)

Documents

No abstract provided.


Under Secretary For Domestic Finance Robert K. Steel Remarks Before The Society Of American Business Editors And Writers Annual Conference, Robert Steel Apr 2008

Under Secretary For Domestic Finance Robert K. Steel Remarks Before The Society Of American Business Editors And Writers Annual Conference, Robert Steel

Documents

No abstract provided.


Assistant Secretary For International Affairs Clay Lowery Testimony Before The Senate Foreign Relations Committee, Clay Lowery Apr 2008

Assistant Secretary For International Affairs Clay Lowery Testimony Before The Senate Foreign Relations Committee, Clay Lowery

Documents

No abstract provided.


Minutes Of Meeting Of The Finance Committee Of Aig Held April 17, 2008, American International Group, Inc. (Aig) Apr 2008

Minutes Of Meeting Of The Finance Committee Of Aig Held April 17, 2008, American International Group, Inc. (Aig)

Documents

A meeting of the Finance Committee of the Board of Directors of American International Group, Inc., was held on April 17, 2008 at 2:00 p.m. at The St. Regis Hotel, Two East 55th Street, New York, New York pursuant to notice duly given to all members of the Committee.


Assistant Secretary David G. Nason Testimony, David Nason Apr 2008

Assistant Secretary David G. Nason Testimony, David Nason

Documents

No abstract provided.


Remarks By Under Secretary David H. Mccormick To The Cfa Society Of Chicago, David Mccormick Apr 2008

Remarks By Under Secretary David H. Mccormick To The Cfa Society Of Chicago, David Mccormick

Documents

No abstract provided.


Fhfa Report To Congress, April 15, 2008, United States: Federal Housing Finance Agency (Fhfa) Apr 2008

Fhfa Report To Congress, April 15, 2008, United States: Federal Housing Finance Agency (Fhfa)

Documents

No abstract provided.


Ofheo 2008 Ofheo Report To Congress, James B. Lockhart, United States: Office Of Federal Housing Enterprise Oversight (Ofheo) Apr 2008

Ofheo 2008 Ofheo Report To Congress, James B. Lockhart, United States: Office Of Federal Housing Enterprise Oversight (Ofheo)

Documents

No abstract provided.


Frbny Letter From John J Ruocco To Board Of Directors Of Citigroup Re Annual Report Of Inspection, John J. Ruocco Apr 2008

Frbny Letter From John J Ruocco To Board Of Directors Of Citigroup Re Annual Report Of Inspection, John J. Ruocco

Documents

No abstract provided.


Statement By U.S. Treasury Secretary Henry M. Paulson, Jr. At The Development Committee Meeting, Henry M. Paulson Jr. Apr 2008

Statement By U.S. Treasury Secretary Henry M. Paulson, Jr. At The Development Committee Meeting, Henry M. Paulson Jr.

Documents

No abstract provided.


Statement By Secretary Henry M. Paulson, Jr. At The International Monetary And Financial Committee Meeting, Henry M. Paulson Jr. Apr 2008

Statement By Secretary Henry M. Paulson, Jr. At The International Monetary And Financial Committee Meeting, Henry M. Paulson Jr.

Documents

No abstract provided.


Statement By Secretary Paulson Following Meeting Of G7 Finance Ministers And Central Bank Governors, Henry M. Paulson Jr. Apr 2008

Statement By Secretary Paulson Following Meeting Of G7 Finance Ministers And Central Bank Governors, Henry M. Paulson Jr.

Documents

No abstract provided.


Prepared Statement By Treasury Under Secretary David H. Mccormick In Advance Of G-7 Finance Ministers And Central Bank Governors Meeting, David Mccormick Apr 2008

Prepared Statement By Treasury Under Secretary David H. Mccormick In Advance Of G-7 Finance Ministers And Central Bank Governors Meeting, David Mccormick

Documents

G-7 countries are as follows: the United States, the United Kingdom, Germany, Canada, Japan, France, and Italy. To view a full list of Central Bank Governors, click the link in the related resource section.


Occ Transmittal Letter And Report Of Examination Of Citi As Of December 31 2007, John C. Lyons, Grace E. Dailey Apr 2008

Occ Transmittal Letter And Report Of Examination Of Citi As Of December 31 2007, John C. Lyons, Grace E. Dailey

Documents

No abstract provided.


Remarks By Secretary Henry M. Paulson, Jr., Henry M. Paulson Jr. Apr 2008

Remarks By Secretary Henry M. Paulson, Jr., Henry M. Paulson Jr.

Documents

No abstract provided.


Aig Sec Proxy Filing For 2008 - Notice Of Annual Meeting Of Shareholders To Be Held May 14, 2008, American International Group, Inc. (Aig) Apr 2008

Aig Sec Proxy Filing For 2008 - Notice Of Annual Meeting Of Shareholders To Be Held May 14, 2008, American International Group, Inc. (Aig)

Documents

Published (April 4, 2008)Includes Schedule 14-A form, Notice of Annual Meeting of Shareholders to be Held May 14, 2008, and Proxy Statement.


The Impact Of A Hausman Pretest On The Size Of Hypothesis Tests, Patrik Guggenberger Apr 2008

The Impact Of A Hausman Pretest On The Size Of Hypothesis Tests, Patrik Guggenberger

Cowles Foundation Discussion Papers

This paper investigates the size properties of a two-stage test in the linear instrumental variables model when in the first stage a Hausman (1978) specification test is used as a pretest of exogeneity of a regressor. In the second stage, a simple hypothesis about a component of the structural parameter vector is tested, using a t -statistic that is based on either the ordinary least squares (OLS) or the two-stage least squares estimator (2SLS) depending on the outcome of the Hausman pretest. The asymptotic size of the two-stage test is derived in a model where weak instruments are ruled out …


Republic Of Poland: 2007 Article Iv Consultation-Staff Report; Staff Supplement; Public Information Notice On The Executive Board Discussion; And Statement By The Executive Director For The Republic Of Poland, International Monetary Fund (Imf) Apr 2008

Republic Of Poland: 2007 Article Iv Consultation-Staff Report; Staff Supplement; Public Information Notice On The Executive Board Discussion; And Statement By The Executive Director For The Republic Of Poland, International Monetary Fund (Imf)

Documents

No abstract provided.


Ninety-Fourth Annual Report Of The Board Of Governors Of The Federal Reserve System 2007, Federal Reserve System: Board Of Governors Apr 2008

Ninety-Fourth Annual Report Of The Board Of Governors Of The Federal Reserve System 2007, Federal Reserve System: Board Of Governors

Documents

No abstract provided.