Digital Commons Network^™

Indirect Inference For Dynamic Panel Models, Christian Gouriéroux, Peter C.B. Phillips, Jun Yu

Cowles Foundation Discussion Papers

It is well-known that maximum likelihood (ML) estimation of the autoregressive parameter of a dynamic panel data model with fixed effects is inconsistent under fixed time series sample size ( T ) and large cross section sample size ( N ) asymptotics. The estimation bias is particularly relevant in practical applications when T is small and the autoregressive parameter is close to unity. The present paper proposes a general, computationally inexpensive method of bias reduction that is based on indirect inference (Gouriéroux et al., 1993), shows unbiasedness and analyzes efficiency. The method is implemented in a simple linear dynamic panel …

Understanding Overbidding In Second Price Auctions: An Experimental Study, David J. Cooper, Hanming Fang

Cowles Foundation Discussion Papers

This paper presents results from a series of second price private value auction (SPA) experiments in which bidders are either given for free, or are allowed to purchase, noisy signals about their opponents’ value. Even though theoretically such information about opponents’ value has no strategic use in the SPA, it provides us with a convenient instrument to change bidders’ perception about the “strength” (i.e., the value) of their opponent. We argue that the empirical relationship between the incidence and magnitude of overbidding and bidders’ perception of the strength of their opponent provides the key to understand whether overbidding in second …

Countrywide 2005 10-K, Countrywide Financial Corporation

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No abstract provided.

Federal Register- Interagency Guidance On Nontraditional Mortgage Products, United States: Department Of The Treasury: Office Of The Comptroller Of The Currency (Occ), Federal Reserve System: Board Of Governors, United States: Federal Deposit Insurance Corporation (Fdic), United States: Department Of The Treasury: Office Of Thrift Supervision, United States: National Credit Union Administration (Ncua)

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No abstract provided.

Occ Letter From Ronald H Frake To Geoffrey O Coley Re Citibank Derivatives Examination Findings, Ronald Frake

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This letter is addressed to Geoffrey O Coley

Deposit Collectors, Nava Ashraf, Dean Karlan, Wesley Yin

Discussion Papers

No abstract provided.

Sequential Equilibria In Bayesian Games With Communication, Dino Gerardi, Roger B. Myerson

Cowles Foundation Discussion Papers

We study the effects of communication in Bayesian games when the players are sequentially rational but some combinations of types have zero probability. Not all communication equilibria can be implemented as sequential equilibria. We define the set of strong sequential equilibria (SSCE) and characterize it. SSCE differs from the concept of sequential communication equilibrium (SCE) defined by Myerson (1986) in that SCE allows the possibility of trembles by the mediator. We show that these two concepts coincide when there are three or more players, but the set of SSCE may be strictly smaller than the set of SCE for two-player …

Grading In Games Of Status: Marking Exams And Setting Wages, Pradeep Dubey, John Geanakoplos

Cowles Foundation Discussion Papers

We introduce grading into games of status. Each player chooses effort, producing a stochastic output or score. Utilities depend on the ranking of all the scores. By clustering scores into grades, the ranking is coarsened, and the incentives to work are changed. We first apply games of status to grading exams. Our main conclusion is that if students care primarily about their status (relative rank) in class, they are often best motivated to work not by revealing their exact numerical exam scores (100,99,…,1), but instead by clumping them into coarse categories ( A,B,C ). When student abilities are disparate, the …

Financial Sector Program (Loan 1601-Kor) And Institutional Strengthening Of The Financial Sector Project (Loan 1602-Kor) To The Republic Of Korea, Organisation For Economic Co-Operation And Development (Oecd)

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No abstract provided.

Testing Linearity In Cointegrating Relations With An Application To Purchasing Power Parity, Seung Hyun Hong, Peter C.B. Phillips

Cowles Foundation Discussion Papers

This paper develops a linearity test that can be applied to cointegrating relations. We consider the widely used RESET specification test and show that when this test is applied to nonstationary time series its asymptotic distribution involves a mixture of noncentral chi-squared distributions, which leads to severe size distortions in conventional testing based on the central chi-squared. Nonstationarity is shown to introduce two bias terms in the limit distribution, which are the source of the size distortion in testing. Appropriate corrections for this asymptotic bias leads to a modified version of the RESET test which has a central chi-squared limit …

Implementation Completion Report On A Loan In The Amount Of Us$100 Million To Colombia (33764-Co), World Bank/World Bank Group

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No abstract provided.

Sec Information Memorandum From Lori Richards, Mary Ann Gadziala, And Office Of Compliance Inspections And Examinations Re Cse Examination Of Bear Stearns And Co Inc, Lori Richards, Mary Ann Gadziala

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No abstract provided.

Place Of Work And Place Of Residence: Informal Hiring Networks And Labor Market Outcomes, Patrick Bayer, Stephen L. Ross, Giorgio Topa

Discussion Papers

No abstract provided.

The Profits Of Power: Land Rights And Agricultural Investment In Ghana, Markus Goldstein, Christopher Udry

Discussion Papers

No abstract provided.

Institutions And Development: A View From Below, Rohini Pande, Christopher Udry

Discussion Papers

No abstract provided.

Citibank London Correlation Book October-November 2005, Citibank

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No abstract provided.

Frb Consumer Advisory Council Meeting Transcript Fcic, Mark Pinsky, Lorie R. Swanson, Stella Adams, Dennis L. Algiere, Faith L. Anderson, Susan Bredehoft, Shiela Canavan, Carolyn Carter, Michael Cook, Donald S. Currie, Anne Diedrick, Hattie Dorsey, Dan Dixon, Kurt Eggert, James Garner, Chuck Gatson, James W. King, Elsie Meeks, Bruce B. Morgan, Mary Jane Seebach, Lisa Sodeika, Paul J. Springman, Forrest F. Stanley, Diane Thompson, Anselmo Villarreal, Clint Walker, Kelly K. Walsh, Marva E. Williams, Sandra F. Braunstein, Roger W. Ferguson Jr, Susan Bies, Mark Olson

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No abstract provided.

Coordinating Development: Can Income-Based Incentive Schemes Eliminate Pareto Inferior Equilibria?, Philip Bond, Rohini Pande

Discussion Papers

No abstract provided.

Prizes Versus Wages With Envy And Pride, Pradeep Dubey, John Geanakoplos, Ori Haimanko

Cowles Foundation Discussion Papers

We show that if agents are risk neutral, prizes outperform wages when there is sufficient pride and envy relative to the noisiness of performance. If agents are risk averse, prizes are a necessary supplement to wages (as bonuses).

Yale Medicine : Alumni Bulletin Of The School Of Medicine, Autumn 2005- Spring 2006, Yale University. School Of Medicine

Yale Medicine Magazine - alumni bulletin and magazine

This volume contains Yale medicine: alumni bulletin of the School of Medicine, v.40 (Autumn 2005-Spring 2006). Prepared in cooperation with the alumni and development offices at the School of Medicine. Earlier volumes are called Yale School of Medicine alumni bulletins, dating from v.1 (1953) through v.13 (1965).

Digitized with funding from the Arcadia fund, 2017.

Estimated Age Effects In Baseball, Ray C. Fair

Cowles Foundation Discussion Papers

Age effects in baseball are estimated in this paper using a nonlinear fixed-effects regression. The sample consists of all players who have played 10 or more “full-time” ’ years in the major leagues between 1921 and 2004. Quadratic improvement is assumed up to a peak-performance age, which is estimated, and then quadratic decline after that, where the two quadratics need not be the same. Each player has his own constant term. The results show that aging effects are larger for pitchers than for batters and larger for baseball than for track and field, running, and swimming events and for chess. …

Nomura Report From Boca Raton- Coverage Of Selected Sessions Of Abs East 2005, Nomura Holdings, David P. Jacob

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No abstract provided.

Federal Reserve Bank Of San Francisco Letter To Angelo Mozilo, Robert C. Johnson

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No abstract provided.

Capital Increase Hsh Nordbank Ag, Germany, European Union: European Commission

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No abstract provided.

Testing For Non-Nested Conditional Moment Restrictions Via Conditional Empirical Likelihood, Taisuke Otsu, Yoon-Jae Whang

Cowles Foundation Discussion Papers

We propose non-nested tests for competing conditional moment restriction models using a method of empirical likelihood. Our tests are based on the method of conditional empirical likelihood developed by Kitamura, Tripathi and Ahn (2004) and Zhang and Gijbels (2003). By using the conditional implied probabilities, we develop three non-nested tests: the moment encompassing, Cox-type, and efficient score encompassing tests. Compared to the existing non-nested tests which mainly focus on testing unconditional moment restrictions, our approach directly tests conditional moment restrictions which imply the infinite number of unconditional moment restrictions. We derive the null distributions and power properties of the proposed …

Perfect Competition In A Bilateral Monopoly (In Honor Of Martin Shubik), Pradeep Dubey, Dieter Sondermann

Cowles Foundation Discussion Papers

We show that if limit orders are required to vary smoothly, then strategic (Nash) equilibria of the double auction mechanism yield competitive (Walras) allocations. It is not necessary to have competitors on any side of any market: smooth trading is a substitute for price wars. In particular, Nash equilibria are Walrasian even in a bilateral monopoly.

Transitioning From A Blanket Guarantee To A Limited Coverage System, International Association Of Deposit Insurers

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No abstract provided.

Remarks By Chairman Alan Greenspan Regarding Reflections Central Banking, Alan Greenspan

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No abstract provided.

Be Warned: Mr. Bubble's Worried Again, David Leonhardt

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No abstract provided.

Frbny Product Memo Fot The Discovery Review Of Citigroups Complex And Illiquid Products, Om Arya, Mark Sexton, Laura Braverman, Anivelca Abreau, Maria Costa, Ming-Yi Chuang, Roseanne Farley, Catherine Voigts, Dianne Dobbeck

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No abstract provided.