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Robust Nonstationary Regression, Peter C.B. Phillips Nov 1993

Robust Nonstationary Regression, Peter C.B. Phillips

Cowles Foundation Discussion Papers

This paper provides a robust statistical approach to nonstationary time series regression and inference. Fully modified extensions of traditional robust statistical procedures are developed which allow for endogeneities in the nonstationary regressors and serial dependence in the shocks that drive the regressors and the errors that appear in the equation being estimated. The suggested estimators involve semiparametric corrections to accommodate these possibilities and they belong to the same family as the fully modified least squares (FM-OLS) estimator of Phillips and Hansen (1990). Specific attention is given to fully modified least absolute deviation (FM-LAD) estimation and fully modified M (FM-M)-estimation. The …


Senate Banking Committee Report For The Community Development, Credit Enhancement, And Regulatory Improvement Act Of 1993, United States: Congress: Senate, United States: Congress: Senate: Committee On Banking, Housing, And Urban Affairs Oct 1993

Senate Banking Committee Report For The Community Development, Credit Enhancement, And Regulatory Improvement Act Of 1993, United States: Congress: Senate, United States: Congress: Senate: Committee On Banking, Housing, And Urban Affairs

Documents

No abstract provided.


Last Week's Payout Closed Big Chapter In Depco Annals, Neil Downing Oct 1993

Last Week's Payout Closed Big Chapter In Depco Annals, Neil Downing

Documents

No abstract provided.


Depco Bonanza Is At Hand For 16,000 Depositors, Neil Downing Oct 1993

Depco Bonanza Is At Hand For 16,000 Depositors, Neil Downing

Documents

No abstract provided.


Depco Repays U.S. In A Big Way: A $125 Million Check Marked The First Retirement Of A Chunk Of Debt Taken On By The Bailout Agency, John Kostrzewa Oct 1993

Depco Repays U.S. In A Big Way: A $125 Million Check Marked The First Retirement Of A Chunk Of Debt Taken On By The Bailout Agency, John Kostrzewa

Documents

No abstract provided.


Regional Instability And Economic Growth: Thy Neighbor’S Curse, Hak B. Chua, Alberto Ades Oct 1993

Regional Instability And Economic Growth: Thy Neighbor’S Curse, Hak B. Chua, Alberto Ades

Discussion Papers

No abstract provided.


The Natural Rate As New Classical Macroeconomics, James Tobin Oct 1993

The Natural Rate As New Classical Macroeconomics, James Tobin

Cowles Foundation Discussion Papers

Friedman identified his “natural rate” as Walrasian equilibrium. Keynes’s “full employment” is also classical equilibrium: labor markets are clearing at existing real wages. Why is equilibrium unemployment not zero? Keynes and Friedman cite, but do not explain, “frictional” unemployment. They differ on what explains cycles. Friedman and Lucas answer: misperceptions of inflation. Markets clear at wrong prices and quantities. Today New Classicals stress variations in the natural rate itself. In Keynesian cycles markets don’t clear. Excess supplies or demands trigger Phillips-curve movements of wages and prices. Unemployment and vacancies coexist in varying proportions because inter-sectoral shocks always occur. Adjustment dynamics, …


Macroeconomic Shocks In An Aggregative Disequilibrium Model, Vassilis A. Hajivassiliou Oct 1993

Macroeconomic Shocks In An Aggregative Disequilibrium Model, Vassilis A. Hajivassiliou

Cowles Foundation Discussion Papers

In this paper, I first show how aggregation over submarkets that exhibit varying degrees of disequilibrium can provide a foundation to the classic “short-side” disequilibrium econometric model of Fair and Jaffee [11]. I then introduce explicit randomness in the aggregative model as arising from economy-wide demand and supply shocks, which are allowed to be serially correlated. I develop suitable simulation estimation methods to circumvent hitherto intractable computational problems resulting from serial correlation in the unobservables in disequilibrium analysis. I show that the introduction of macroeconomic shocks has fundamentally different implications compared to the traditional approach that arbitrarily appends an additive …


Nota Bene; Volume Vii, Number Iii, Yale University Library Oct 1993

Nota Bene; Volume Vii, 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.


Was The Erm Crisis Inevitable?, Byron Higgins Oct 1993

Was The Erm Crisis Inevitable?, Byron Higgins

Documents

No abstract provided.


Labor Markets, Human Capital, And Development Performance In East Asia, Gustav Ranis Sep 1993

Labor Markets, Human Capital, And Development Performance In East Asia, Gustav Ranis

Discussion Papers

No abstract provided.


Understanding The Workhouse Test: Information And Poor Relief In Nineteenth-Century England, Timothy Besley, Stephen Coate, Timothy W. Guinnane Sep 1993

Understanding The Workhouse Test: Information And Poor Relief In Nineteenth-Century England, Timothy Besley, Stephen Coate, Timothy W. Guinnane

Discussion Papers

No abstract provided.


Marital Status And Fertility In The United States: Welfare And Labor Market Effects, T. Paul Schultz Sep 1993

Marital Status And Fertility In The United States: Welfare And Labor Market Effects, T. Paul Schultz

Discussion Papers

No abstract provided.


Thy Neighbor’S Keeper: The Design Of A Credit Cooperative With Theory And A Test, Timothy Guinnane, Abihijit Banerjee, Timothy Besley Sep 1993

Thy Neighbor’S Keeper: The Design Of A Credit Cooperative With Theory And A Test, Timothy Guinnane, Abihijit Banerjee, Timothy Besley

Discussion Papers

No abstract provided.


A Simulation Estimation Analysis Of The External Debt Crises Of Developing Countries, Vassilis A. Hajivassiliou Sep 1993

A Simulation Estimation Analysis Of The External Debt Crises Of Developing Countries, Vassilis A. Hajivassiliou

Cowles Foundation Discussion Papers

In this paper I develop models of the incidence and extent of external financing crises of developing countries, which lead to multiperiod multinomial discrete choice and discrete/continuous econometric specifications with flexible correlation structures in the unobservables. I show that estimation of these models based on simulation methods has attractive statistical properties and is computationally tractable. Three such simulation estimation methods are exposited, analyzed theoretically, and used in practice: a method of smoothly simulation maximum likelihood (SSML) based on a smooth recursive conditioning simulator (SRC), a method of simulated scores (MSS) based on a Gibbs sampling simulator (GSS), and an MSS …


Empirical Process Methods In Econometrics, Donald W.K. Andrews Sep 1993

Empirical Process Methods In Econometrics, Donald W.K. Andrews

Cowles Foundation Discussion Papers

This paper provides an introduction to the use of empirical process methods in econometrics. These methods can be used to establish the large sample properties of econometric estimators and test statistics. In the first part of the paper, key terminology and results are introduced and discussed heuristically. Applications in the econometrics literature are briefly reviewed. A select set of three classes of applications is discussed in more detail. The second part of the paper shows how one can verify a key property called stochastic equicontinuity. The paper takes several stochastic equicontinuity results from the probability literature, which rely on entropy …


The Theory Of Money And Financial Institutions, Martin Shubik Sep 1993

The Theory Of Money And Financial Institutions, Martin Shubik

Cowles Foundation Discussion Papers

A sketch of a game theoretic approach to the Theory of Money and Financial Institutions is presented in a nontechnical, nonmathematical manner. The detailed argument and specifics are presented in previous articles and in a forthcoming book.


Eastern Europe's Experience With Banking Reform: Is There A Role For Banks In The Transition?, Alfredo Thorne Sep 1993

Eastern Europe's Experience With Banking Reform: Is There A Role For Banks In The Transition?, Alfredo Thorne

Documents

No abstract provided.


Rtc: Data Limitations Impaired Analysis Of Sales Methods, United States: Government Accountability Office (Gao) Sep 1993

Rtc: Data Limitations Impaired Analysis Of Sales Methods, United States: Government Accountability Office (Gao)

Documents

No abstract provided.


Yale Scientific Magazine: Volume 67, Number 3 Sep 1993

Yale Scientific Magazine: Volume 67, Number 3

Yale Scientific Magazine

No abstract provided.


Fdic Approves Sale Of Crossland Federal Savings For $332 Mln, Bill Arthur, David Kleinbard Aug 1993

Fdic Approves Sale Of Crossland Federal Savings For $332 Mln, Bill Arthur, David Kleinbard

Documents

No abstract provided.


Press Release A2132, Argentina: Banco De La Repºblica Aug 1993

Press Release A2132, Argentina: Banco De La Repºblica

Documents

No abstract provided.


Fdic Approves Sale Of Crossland Federal Savings Bank, Brooklyn, New York, To Institutional Investors, United States: Federal Deposit Insurance Corporation (Fdic) Aug 1993

Fdic Approves Sale Of Crossland Federal Savings Bank, Brooklyn, New York, To Institutional Investors, United States: Federal Deposit Insurance Corporation (Fdic)

Documents

No abstract provided.


Fdic Hopes To Get $300 Mln For Crossland Federal Savings, David Kleinbard Aug 1993

Fdic Hopes To Get $300 Mln For Crossland Federal Savings, David Kleinbard

Documents

No abstract provided.


Cooperatives As Information Machines: The Lending Practices Of German Agricultural Credit Cooperatives, 1883-1914, Timothy W. Guinnane Aug 1993

Cooperatives As Information Machines: The Lending Practices Of German Agricultural Credit Cooperatives, 1883-1914, Timothy W. Guinnane

Discussion Papers

No abstract provided.


Investments In The Schooling And Health Of Women And Men: Quantities And Returns, T. Paul Schultz Aug 1993

Investments In The Schooling And Health Of Women And Men: Quantities And Returns, T. Paul Schultz

Discussion Papers

No abstract provided.


Yale Nurse: Yale School Of Nursing Newsletter, August 1993, Yale University School Of Nursing Aug 1993

Yale Nurse: Yale School Of Nursing Newsletter, August 1993, Yale University School Of Nursing

Yale School of Nursing Alumni Newsletters and Magazines

Cultural Diversity in Nursing is present in a BSN curriculum and increased education in Uganda, and Nurse/Missionary activity in Zambia. Please contact the Medical Historical Library if you need a higher resolution version.


On The Sources And Significance Of Interindustry Differences In Technological Opportunities, Alvin K. Klevorick, Richard C. Levin, Richard R. Nelson, Sidney G. Winter Aug 1993

On The Sources And Significance Of Interindustry Differences In Technological Opportunities, Alvin K. Klevorick, Richard C. Levin, Richard R. Nelson, Sidney G. Winter

Cowles Foundation Discussion Papers

The set of technological opportunities in a given industry is one of the fundamental determinants of technical advance in that line of business. We examine the concept of technological opportunity and discuss three categories of sources of those opportunities: advances in scientific understanding and technique, technological advances originating in other industries and in other private and governmental institutions, and feedbacks from an industry’s own technological advances. Data from the Yale Survey on Industrial Research and Development are used to measure the strength of various sources of technological opportunity and to discern interindustry differences in the importance of these sources. We …


Nonlinear Econometric Models With Deterministically Trending Variables, Donald W.K. Andrews, John Mcdermott Aug 1993

Nonlinear Econometric Models With Deterministically Trending Variables, Donald W.K. Andrews, John Mcdermott

Cowles Foundation Discussion Papers

This paper considers an alternative asymptotic framework to standard sequential asymptotics for nonlinear models with deterministically trending variables. The asymptotic distributions of generalized method of moments estimators and corresponding test statistics are derived using this framework. The asymptotic distributions are shown to be the same with deterministically trending variables as with non-trending variables. That is, the distributions are normal and chi-squared respectively. The asymptotic covariance matrices of the estimators, however, are found to depend on the form of the trends. These findings provide a justification for the use of standard asymptotic approximations in nonlinear models even when the variables have …


Forward Exchange Market Unbiasedness: The Case Of The Australian Dollar Since 1984, Peter C.B. Phillips, James W. Mcfarland Aug 1993

Forward Exchange Market Unbiasedness: The Case Of The Australian Dollar Since 1984, Peter C.B. Phillips, James W. Mcfarland

Cowles Foundation Discussion Papers

This paper implements a new statistical approach to robust regression with nonstationary time series. The methods are presently under theoretical development in other work, and are briefly exposited here. They allow us to perform regressions in levels with nonstationary time series data, they accommodate data distributions with heavy tails and they permit serial dependence and temporal heterogeneity of unknown form in the equation errors. With these features the methods are well suited to applications with frequently sampled exchange rate data, which generally display all of these empirical characteristics. Our application is to daily data on spot and forward exchange rates …