Digital Commons Network^™

Error Bands For Impulse Responses, Christopher A. Sims, Tao Zha

Cowles Foundation Discussion Papers

We examine the theory and behavior in practice of Bayesian and bootstrap methods for generating error bands on impulse responses in dynamic linear models. The Bayesian intervals have a firmer theoretical foundation in small samples, are easier to compute, and are about as good in small samples by classical criteria as are the best bootstrap intervals. Bootstrap intervals based directly on the simulated small-sample distribution of an estimator, without bias correction, perform very badly. We show that a method that has been used to extend to the overidentified case standard algorithms for Bayesian intervals in reduced form models is incorrect, …

Edgeworth Approximation For Minpin Estimators In Semiparametric Regression Models, Oliver B. Linton

Cowles Foundation Discussion Papers

We examine the higher order asymptotic properties of semiparametric regression estimators that were obtained by the general MINPIN method described in Andrews (1989). We derive an order n –1 stochastic expansion and give a theorem justifying order n – 1 distributional approximation of the Edgeworth type.

Banking Crisis Investigation, Preben Munthe

Documents

No abstract provided.

Nota Bene; Volume Viii, 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.

The World Bank Near The Turn Of The Century, Gustav Ranis

Discussion Papers

No abstract provided.

Quality Improvements In Models Of Growth, Xavier Sala-I-Martin, Robert J. Barro

Discussion Papers

No abstract provided.

Regional Cohesion: Evidence And Theories Of Regional Growth And Convergence, Xavier Sala-I-Martin

Discussion Papers

No abstract provided.

The Effect Of Economic Events On Votes For President: 1992 Update, Ray C. Fair

Cowles Foundation Discussion Papers

This paper updates through the 1992 election the equation originally presented in Fair (1978) explaining votes for president. Conditional predictions of the 1996 election are also made.

Reform And Consolidation In Hungary's Banking System, András Boros-Kazai, Éva Várhegyi

Documents

No abstract provided.

Yale Medicine : Alumni Bulletin Of The School Of Medicine, Fall 1994- Summer 1996, 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.29 (Fall 1994) through v.30 (Summer 1996). 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.

The Swedish Real Estate Crisis, Dwight M. Jaffee

Documents

No abstract provided.

Similarities And Dissimilarities In The Collapses Of Three State-Chartered Private Deposit Insurance Funds, Walker F. Todd

Documents

No abstract provided.

Transition Report October 1994, European Bank For Reconstruction And Development (Ebrd)

Documents

No abstract provided.

Public Law 103-328: Riegle-Neal Interstate Banking And Branching Efficiency Act, U.S. Congress

Documents

No abstract provided.

Malaysia - Recent Economic Developments (1994), International Monetary Fund (Imf)

Documents

No abstract provided.

Nonstationary Time Series And Cointegration: Recent Books And Themes For The Future, Peter C.B. Phillips

Cowles Foundation Discussion Papers

Recent developments in nonstationary time series and cointegration are discussed and three new books in the area are reviewed. Some perspectives concerning the scope of current interest in the field are provided, and some novel themes for future research are outlined.

Model Determination And Macroeconomic Activity, Peter C.B. Phillips

Cowles Foundation Discussion Papers

The subject of this paper is modelling, estimation, inference and prediction for economic time series. Bayesian and classical approaches are considered. The paper has three main parts. The first is concerned with Bayesian model determination, forecast evaluation and the construction of evolving sequences of models that can adapt in dimension and form (including the way in which any nonstationarity in the data is modelled) as new characteristics in the data become evident. This part of the paper continues some recent work on Bayesian asymptotics by the author and Werner Ploberger, develops embedding techniques for vector martingales that justify the role …

Fully Modified Iv, Give And Gmm Estimation With Possibly Non-Stationary Regressions And Instruments, Yuichi Kitamura, Peter C.B. Phillips

Cowles Foundation Discussion Papers

This paper develops a general theory of instrumental variables (IV) estimation that allows for both I(1) and I(0) regressors and instruments. The estimation techniques involve an extension of the fully modified (FM) regression procedure that was introduced in earlier work by Phillips-Hansen (1990). FM versions of the generalized instrumental variable estimation (GIVE) method and the generalized method of moments (GMM) estimator are developed. In models with both stationary and nonstationary components, the FM-GIVE and FM-GMM techniques provide efficiency gains over FM-IV in the estimation of the stationary components of a model that has both stationary and nonstationary regressors. The paper …

Robust Tests Of Forward Exchange Market Efficiency With Empirical Evidence From The 1920’S, Peter C.B. Phillips, James W. Mcfarland, Patrick C. Mcmahon

Cowles Foundation Discussion Papers

This paper provides a robust statistical approach to testing the unbiasedness hypothesis in forward exchange market efficiency studies. The methods we use allow us to work explicitly with levels rather than differenced data. They are statistically robust to data distributions with heavy tails, and they can be applied to data sets where the frequency of observation and the futures maturity do not coincide. In addition, our methods allow for stochastic trend nonstationarity and general forms of serial dependence. The methods are applied to daily data of spot exchange rates and forward exchange rates during the 1920’s, which marked the first …

Testing For Serial Correlation Against An Arma(1,1) Process, Donald W.K. Andrews, Werner Ploberger

Cowles Foundation Discussion Papers

This paper is concerned with tests for serial correlation in time series and in the errors of regression models. In particular, the nonstandard problem of testing for white noise against ARMA(1,1) alternatives is considered. Sup Lagrange multiplier (LM) and exponential average LM tests are introduced and are shown to be asymptotically admissible for ARMA(1,1) alternatives. In addition, they are shown to be consistent against all (weakly stationary strong mixing) non-white noise alternatives. Simulation results compare the tests to several tests in the literature. These results show that the Exp-LM infinity test has very good all-around power.

Do Real Output And Real Wage Measures Capture Reality? The History Of Lighting Suggests Not, William D. Nordhaus

Cowles Foundation Discussion Papers

Historical studies of the growth in real wages and output depend upon the accurate measure of the price trends of goods and services. Over long periods of time, the consumption bundle has changed profoundly, and most of today’s consumption includes items that were not produced, and in some cases not even conceived, at the beginning of the nineteenth century. This paper tackles the issue of the quantitative significance of the qualitative change in consumption by choosing a single service — lighting — for which the service characteristic — illumination — is invariant. We estimate changes in lighting efficiency and construct …

Yale Scientific Magazine: Volume 68, Number 3

Yale Scientific Magazine

No abstract provided.

Productivity, Competitiveness, And Export Growth In A Less Developed Economy: A Study Of Indian Punjab, Lakhwinder Singh

Discussion Papers

No abstract provided.

Yale Nurse, Yale School Of Nursing

Yale School of Nursing Alumni Newsletters and Magazines

No abstract provided.

Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically, Pedro Gozalo, Oliver B. Linton

Cowles Foundation Discussion Papers

We introduce a new kernel smoother for nonparametric regression that uses prior information on regression shape in the form of a parametric model. In effect, we nonparametrically encompass the parametric model. We derive pointwise and uniform consistency and the asymptotic distribution of our procedure. It has superior performance to the usual kernel estimators at or near the parametric model. It is particularly well motivated for binary data using the probit or logit parametric model as a base. We include an application to the Horowitz (1993) transport choice dataset.

Insurance Market Games: Scale Effects And Public Policy, Michael R. Powers, Martin Shubik, Shuntian Yao

Cowles Foundation Discussion Papers

We propose a game-theoretic model to study various effects of scale in an insurance market. After reviewing a simple static model, we present a one-period game in which both the buyers and sellers of insurance make strategic bids, and show that, under reasonably broad conditions, market equilibrium exists. For a special case, we then consider how both the price and quantity of insurance, as well as other quantities of interest to public policy decision makers, are affected by the number of insurance firms, the number of customers, and the total amount of capital provided by investors.

Federal Open Market Committee Conference Call, July 20, 1994, Federal Reserve System: Board Of Governors: Federal Open Market Committee (Fomc)

Documents

No abstract provided.

Genetic Resources, International Organizations, And Rice Varietal Improvement, Robert E. Evenson, Douglas Gollin

Discussion Papers

No abstract provided.

Home Equity Insurance, Robert J. Shiller, Allan N. Weiss

Cowles Foundation Discussion Papers

Home equity insurance policies, policies insuring homeowners against declines in the price of their homes, would bear some resemblance both to ordinary insurance and to financial hedging vehicles. A menu of choices for the design of such policies is presented here, and conceptual issues are discussed. Choices include pass-through futures and options, in which the insurance company in effect serves as a retailer to homeowners of short positions in real estate futures markets or of put options on real estate. Another choice is a life-event-triggered insurance policy, in which the homeowner pays regular fixed insurance premia and is entitled to …

Federal Reserve Bulletin - July 1994, Federal Reserve Board Of Governors (Frb)

Documents

No abstract provided.