Digital Commons Network^™

Market Diffusion With Two-Sided Learning, Dirk Bergemann, Juuso Välimäki

Cowles Foundation Discussion Papers

The diffusion of a new product of uncertain value is analyzed in a duopolistic market in continuous time. The two sides of the market, buyers and sellers, learn the true value of the new product over time as a result of experimentation. Buyers have heterogeneous preferences over the products and sellers compete in prices. The pricing policies and market shares of the sellers in the unique Markov perfect equilibrium are obtained explicitly. The dynamics of the equilibrium market shares display excessive sales of the new product relative to the social optimum in early stages and too low sales later on. …

Hyperfinite Asset Pricing Theory, M. Ali Khan, Yeneng Sun

Cowles Foundation Discussion Papers

We present a model of a financial market which unifies the capital-asset-pricing model (CAPM) of Sharpe-Lintner, and the arbitrage pricing theory (APT) of Ross. The model is based on a recent theory of hyperfinite processes, and it uncovers asset pricing phenomena which cannot be treated by classical methods, and whose asymptotic counterparts are not already, or even readily, apparent in the setting of a large but finite number of assets. In the model, an asset’s unexpected return can be decomposed into a systematic and an unsystematic part, as in the APT, and the systematic part further decomposed leads to a …

Conditional Independence Restrictions: Testing And Estimation, Oliver B. Linton, Pedro Gozalo

Cowles Foundation Discussion Papers

We propose a nonparametric empirical distribution function based test of an hypothesis of conditional independence between variables of interest. This hypothesis is of interest both for model specification purposes, parametric and semiparametric, and for non-model based testing of economic hypotheses. We allow for both discrete variables and estimated parameters. The asymptotic null distribution of the test statistic is a functional of a Gaussian process. A bootstrap procedure is proposed for calculating the critical values. Our test has power against alternatives at distance n -1/2 from the null; this result holding independently of dimension. Monte Carlo simulations provide evidence on size …

On The Number Of Bootstrap Repetitions For Bootstrap Standard Errors, Confidence Internals, And Tests, Donald W.K. Andrews, Moshe Buchinsky

Cowles Foundation Discussion Papers

This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors, confidence intervals, and tests. For each of these problems, the paper provides a three-step method for choosing B to achieve a desired level of accuracy. Accuracy is measured by the percentage deviation of the bootstrap standard error estimate, confidence interval endpoint(s), test’s critical value, or test’s p -value based on B bootstrap simulations from the corresponding ideal bootstrap quantities for which B = ∞. Monte Carlo simulations show that the proposed methods work quite well. The results apply quite generally to parametric, semiparametric, …

Nmr Studies Of Acyl Chain-Protein Interactions, Mark Christian Oswood

Yale Medicine Thesis Digital Library

An approach employing heteronuclear NMR is presented for monitoring the interactions between long-chain fatty acids and proteins which are involved in their synthesis and intracellular transport. Two naturally occurring fatty acids, hexadecanoic (palmitic) and cis-9-10-methylene-hexadecanoic (MHA) acids were labeled using a biosynthetic scheme with 13C acetate as a source. The biosynthetic incorporation of 13C from a two carbon source resulted in sequential pairs of 13C atoms in the product. When combined with double quantum spectroscopy, a highly efficient suppression of natural abundance background resonances results. Proton-detected two and three-dimensional experiments which correlate double quantum carbon chemical shifts with proton shifts …

Financial Reform And The Efficiency Of Intermediation: Banking Performance In Hungary, Geske Dijkstra

Documents

No abstract provided.

Public Law 104-290: National Securities Markets Securities Improvement Act Of 1996, United States: Government Publishing Office (Gpo), U.S. Congress

Documents

No abstract provided.

Nota Bene; Volume X, 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.

Supplier Relations And The Market Context: A Theory Of Handshakes, John Mclaren

Discussion Papers

No abstract provided.

Yale Medicine : Alumni Bulletin Of The School Of Medicine, Fall 1996- Fall 1998, 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.31 (Fall 1996) through v.32 (Fall 1998). 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.

Spurious Regression Unmasked, Peter C.B. Phillips

Cowles Foundation Discussion Papers

This paper argues that trending time series can admit valid regression representations even when the dependent variable and the regressors are statistically independent, i.e., in situations that are presently characterized in the literature as “spurious regressions.” Our theory is directed mainly at the two classic examples of regressions of stochastic trends on time polynomials and regressions among independent random walks. But it has more general applicability and, we think, wider implications. Contrary to established wisdom, our theory justifies regressions of this type as valid models for the data. The radical conclusion that emerges from this study is that there are …

Federal Register, Volume. 61, Number. 90 - Department Of The Treasury: Office Of Thrift Supervision, Lending And Investment, United States: Department Of The Treasury: Office Of Thrift Supervision

Documents

No abstract provided.

Law Of Mongolia On Banking, Mongolia: Parliament Of Mongolia

Documents

No abstract provided.

Successes And Failures Of Development Experience Since The 1980s, Gustav Ranis

Discussion Papers

No abstract provided.

Exchange And Optimality, S. Ghosal, Heracles M. Polemarchakis

Cowles Foundation Discussion Papers

A feasible social state is irreducible if and only if, for any non-trivial partition of individuals with two groups, there exists another feasible social state at which every individual in the first group is equally well-off and someone strictly better-off. Competitive equilibria decentralize irreducible Pareto optimal social states

Price Variations In A Stock Market With Many Agents, Per Bak, Maya Paczuski, Martin Shubik

Cowles Foundation Discussion Papers

Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large variations may be due to a crowd effect, where agents imitate each other’s behavior. The variations over different time scales can be related to each other in a systematic way, similar to the Lévy stable distribution proposed by Mandelbrot to describe real market indices. In the simplest, least realistic case, exact results for the statistics of the variations are derived by mapping onto a …

Efficiency Gains From Quasi-Differencing Under Nonstationarity, Peter C.B. Phillips, Chin Chin Lee

Cowles Foundation Discussion Papers

A famous theorem on trend removal by OLS regression (usually attributed to Grenander and Rosenblatt, 1957) gave conditions for the asymptotic equivalence of GLS and OLS in deterministic trend extraction. When a time series has trend components that are stochastically nonstationary, this asymptotic equivalence no longer holds. We consider models with integrated and near-integrated error processes where this asymptotic equivalence breaks down. In such models, the advantages of GLS can be achieved through quasi-differencing and we give an asymptotic theory of the relative gains that occur in deterministic trend extraction in such cases. Some differences between models with and without …

On The Road To Eu Accession: Financial Sector Development In Central Europe, Michael S. Borish, Wei Ding, Michel Noã«L

Documents

No abstract provided.

Yale Scientific Magazine: Volume 70, Number 5

Yale Scientific Magazine

The cover reads that this issue is Volume 70, Number 4. This is a copy error, however, because Volume 70, Number 4 was published in the summer of 1996. This must be, then, Volume 70, Number 5.

Ordinance No. 39 Of 28 August 1996, Government Of Romania

Documents

No abstract provided.

Bbv Buys Mexico's Cremi, Oriente Branches, Reuters Staff

Documents

No abstract provided.

Japan 1968: A Reflection Point During The Era Of The Economic Miracle, Koichi Hamada

Discussion Papers

No abstract provided.

Estimated Inflation Costs Had European Unemployment Been Reduced In The 1980s By Macro Prices, Ray C. Fair

Cowles Foundation Discussion Papers

This paper uses a multicountry econometric model to estimate what the inflation costs would have been if macropolicies had reduced European unemployment in the 1982:1-1990:4 period. A “non-NAIRU” framework is proposed for thinking about these costs.

Nash And Walras Equilibrium Via Brouwer, John Geanakoplos

Cowles Foundation Discussion Papers

The existence of Nash and Walras equilibrium is proved via Brouwer’s Fixed Point Theorem, without recourse to Kakutani’s Fixed Point Theorem for correspondences. The domain of the Walras fixed point map is confined to the price simplex, even when there is production and weakly quasi-convex preferences. The key idea is to replace optimization with “satisficing improvement,” i.e., to replace the Maximum Principle with the “Satisficing Principle.”

The Limiting Behavior Of Kernel Estimates Of The Lyapunov Exponent For Stochastic Time Series, Yoon-Jae Whang, Oliver B. Linton

Cowles Foundation Discussion Papers

This paper derives the asymptotic distribution of a smoothing-based estimator of the Lyapunov exponent for a stochastic time series under two general scenarios. In the first case, we are able to establish root-T consistency and asymptotic normality, while in the second case, which is more relevant for chaotic processes, we are only able to establish asymptotic normality at a slower rate of convergence. We provide consistent confidence intervals for both cases. We apply our procedures to simulated data.

Nash And Walras Equilibrium Via Brouwer, John Geanakoplos

Cowles Foundation Discussion Papers

The existence of Nash and Walras equilibrium is proved via Brouwer’s Fixed Point Theorem, without recourse to Kakutani’s Fixed Point Theorem for correspondences. The domain of the Walras fixed point map is confined to the price simplex, even when there is production and weakly quasi-concave preferences. The key idea is to replace optimization with “satisficing improvement,” i.e., to replace the Maximum Principle with the “Satisficing Principle.”

Nash And Walras Equilibrium Via Brouwer, John Geanakoplos

Cowles Foundation Discussion Papers

The existence of Nash and Walras equilibrium is proved via Brouwer’s Fixed Point Theorem, without recourse to Kakutani’s Fixed Point Theorem for correspondences. The domain of the Walras fixed point map is confined to the price simplex, even when there is production and weakly quasi-convex preferences. The key idea is to replace optimization with “satisficing improvement,” i.e., to replace the Maximum Principle with the “Satisficing Principle.”

Yale Nurse, Yale School Of Nursing

Yale School of Nursing Alumni Newsletters and Magazines

No abstract provided.

'Jusen' Loan-Recovery Body Established, Unknown

Documents

No abstract provided.

Corruption, Black Markets, And The Fiscal Problem In Ldc’S: Some Recent Findings, John Mclaren

Discussion Papers

No abstract provided.