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The Term Structure Of Euromarket Interest Rates: An Empirical Investigation, John Y. Campbell, Richard H. Clarida Sep 1985

The Term Structure Of Euromarket Interest Rates: An Empirical Investigation, John Y. Campbell, Richard H. Clarida

Cowles Foundation Discussion Papers

This paper is an empirical investigation of the predictability and comovement of risk premia in the term structure of Euromarket interest rates. We show that variables which have been used as proxies for risk premia on uncovered foreign asset positions also predict excess returns in Euromarket term structures, while variables which have been used as proxies for risk premia in the term structure also predict excess returns on taking uncovered foreign asset positions. These findings suggest that risk premia move together. We test formally the hypothesis that risk premia on uncovered 3-month EuroDM and Eurosterling deposits move in proportion to …


Forecasting Efficiency: Concepts And Applications, William D. Nordhaus Sep 1985

Forecasting Efficiency: Concepts And Applications, William D. Nordhaus

Cowles Foundation Discussion Papers

The question of forecasting accuracy is, of course, one that has been the subject of numerous investigations over the last two decades. The present study contributes to this line of research in two ways. First, we introduce a new concept, called “forecast efficiency,” that measures the extent to which information is incorporated into forecasts. This concept is closely related to concepts of efficiency used in the analysis of stock and other financial markets. The paper proves two readily testable propositions about efficient forecasts. Second, the empirical part of the study examines forecast efficiency by looking at forecast revisions (“fixed-horizon forecasts”), …


Neoclassical Theory In America: J. B. Clark And Fisher, James Tobin Sep 1985

Neoclassical Theory In America: J. B. Clark And Fisher, James Tobin

Cowles Foundation Discussion Papers

The intellectual breakthroughs that mark the neoclassical revolution in economic analysis occurred in Europe around 1870. The next two decades witnessed lively debates in which the new theory more or less absorbed or was absorbed in the classical tradition that preceded and provoked it. In the 1890s, according to Joseph A. Schumpeter (1954, p. 754) there emerged “a large expanse of common ground and … a feeling of repose, both of which created, in the superficial observer, an impression of finality — the finality of a Greek temple that spreads its perfect lines against a cloudless sky.” Of course the …


Multiple Time Series Regression With Integrated Processes, Peter C.B. Phillips, Steven N. Durlauf Sep 1985

Multiple Time Series Regression With Integrated Processes, Peter C.B. Phillips, Steven N. Durlauf

Cowles Foundation Discussion Papers

This paper develops a general asymptotic theory of regression for processes which are integrated of order one. The theory includes vector autoregressions and multivariate regressions amongst integrated processes that are driven by innovation sequences which allow for a wide class of weak dependence and heterogeneity. The models studied cover cointegrated systems and quite general linear simultaneous equations systems with contemporaneous regressor-error correlation and serially correlated errors. Problems of statistical testing in vector autoregressions and multivariate regressions with integrated processes are also studied. It is shown that the asymptotic theory for conventional tests involves major departures from classical theory and raises …


The Many Properties Of Money: A Strategic Market Game Analysis, Martin Shubik Sep 1985

The Many Properties Of Money: A Strategic Market Game Analysis, Martin Shubik

Cowles Foundation Discussion Papers

Among the major properties of a money are that it can serve as (1) a numeraire, (2) a means of exchange, (3) a store of value, and (4) a source of liquidity. Among the lesser properties are that it should be easy to transport and identify, it should be durable, easily divisible, hard to counterfeit and easy to store. A possibly desirable property is that it is an anonymous “bearer instrument,” but the price of anonymity is that it is hard to recover if it is stolen. A personal check which is bank money can be stopped and is more …


Random Cell Chi-Square Diagnostic Tests For Econometric Models: I. Introduction And Applications, Donald W.K. Andrews Sep 1985

Random Cell Chi-Square Diagnostic Tests For Econometric Models: I. Introduction And Applications, Donald W.K. Andrews

Cowles Foundation Discussion Papers

This paper and its sequel, Andrews [4], extend the Pearson chi-square testing method to non-dynamic parametric econometric models, in particular, models with covariates. The present paper introduced the test and discusses a wide variety of applications. Andrews [4] establishes the asymptotic properties of the test, by extending recent probabilistic results for the weak convergence of empirical processes indexed by sets. The chi-square test that is introduced can be used to test goodness-of-fit of a parametric model, as well as to test particular aspects of the parametric model that are of interest. In the event of rejection of the null hypothesis …


Random Cell Chi-Square Diagnostic Tests For Econometric Models: Ii. Theory, Donald W.K. Andrews Sep 1985

Random Cell Chi-Square Diagnostic Tests For Econometric Models: Ii. Theory, Donald W.K. Andrews

Cowles Foundation Discussion Papers

This paper extends the Pearson chi-square testing method to non-dynamic parametric econometric models, in particular, to models with covariates. The paper establishes the asymptotic distribution of the test statistic under the null and local alternatives, when the test statistic is based on data-dependent random cells of a general form, and on an arbitrary asymptotically normal estimator. These results are attained by extending recent probabilistic results for the weak convergence of empirical processes indexed by sets. The chi-square test that is introduced can be used to test goodness-of-fit of a parametric model, as well as to test particular aspects of the …


A Theory Of Hierarchies Based On Limited Managerial Attention, John Geanakoplos, Paul R. Milgrom Sep 1985

A Theory Of Hierarchies Based On Limited Managerial Attention, John Geanakoplos, Paul R. Milgrom

Cowles Foundation Discussion Papers

Our purpose in this paper is to investigate the economics of managerial organizations by focusing on the decision problem of management. Ours is a “team theory” analysis, that is, it ignores the problem of conflicting objectives among managers and focuses instead on the problem of coordinating the decisions of several imperfectly informed actors. However, unlike classical team theory, we concentrate on the choice by managers of what to know, as well as what to do, and we allow the possibility that bounded rationality limits the managers’ ability to understand subtle messages.


Yale Scientific Magazine: Volume 60, Number 1 Sep 1985

Yale Scientific Magazine: Volume 60, Number 1

Yale Scientific Magazine

No abstract provided.


What Influences Patters Of Women’S Work In Rural Bangladesh?, Shahidur R. Khandker Aug 1985

What Influences Patters Of Women’S Work In Rural Bangladesh?, Shahidur R. Khandker

Discussion Papers

No abstract provided.


Sections And Extensions Of Concave Functions, Roger Howe Aug 1985

Sections And Extensions Of Concave Functions, Roger Howe

Cowles Foundation Discussion Papers

No abstract provided.


Existence, Regularity, And Constrained Suboptimality Of Competitive Allocations When The Asset Market Is Incomplete, John Geanakoplos, Heracles M. Polemarchakis Aug 1985

Existence, Regularity, And Constrained Suboptimality Of Competitive Allocations When The Asset Market Is Incomplete, John Geanakoplos, Heracles M. Polemarchakis

Cowles Foundation Discussion Papers

Let assets be denominated in an a priori specified numeraire. Whether or not the asset is complete, a competitive equilibrium exists as long as arbitrage is possible when assets are free. Generically, the set of competitive equilibria is finite, and the equilibrium prices and allocations in the commodity spot markets are uniquely determined by the asset allocation in a neighborhood of a competitive equilibrium. If the asset market is incomplete, a competitive equilibrium allocation is generically constrained suboptimal : there exists an arbitrarily small reallocation of the existing assets, which leads to a Pareto improvement in welfare when prices and …


Asymptotic Expansions In Nonstationary Vector Autoregressions, Peter C.B. Phillips Aug 1985

Asymptotic Expansions In Nonstationary Vector Autoregressions, Peter C.B. Phillips

Cowles Foundation Discussion Papers

This paper studies the statistical properties of vector autoregressions (VAR’s) for quite general multiple time series which are integrated of order one. Functional central limit theorems are given for multivariate partial sums of weakly dependent innovations and these are applied to yield first order asymptotics in nonstationary VAR’s. Characteristic and cumulant functionals for generalized random processes are introduced as a means of developing a refinement of central limit theory on function spaces. The theory is used to find asymptotic expansions of the regression coefficients in nonstationary VAR’s under very general conditions. The results are specified to the scalar case and …


Yale Nurse, Yale School Of Nursing Aug 1985

Yale Nurse, Yale School Of Nursing

Yale School of Nursing Alumni Newsletters and Magazines

No abstract provided.


Women’S Role In Household Productive Activities And Fertility In Bangladesh, Shahidur R. Khandker Jul 1985

Women’S Role In Household Productive Activities And Fertility In Bangladesh, Shahidur R. Khandker

Discussion Papers

No abstract provided.


School Expenditures And Enrollments, 1960-1980: The Effects Of Income, Price And Population Growth, T. Paul Schultz Jul 1985

School Expenditures And Enrollments, 1960-1980: The Effects Of Income, Price And Population Growth, T. Paul Schultz

Discussion Papers

No abstract provided.


On The Performance Of Least Squares In Linear Regression With Undefined Error Means, Donald W.K. Andrews Jul 1985

On The Performance Of Least Squares In Linear Regression With Undefined Error Means, Donald W.K. Andrews

Cowles Foundation Discussion Papers

This paper considers the linear regression model with multiple stochastic regressors, intercept, and errors that have undefined means. This model is of interest from a robustness perspective as a polar case. Generally, least squares estimators are inconsistent in this context. It is shown, however, that this inconsistency is restricted to the estimation of the intercept, if the regressors are highly variable. Rates of convergence of the least squares slope estimators are determined, and are shown to exceed the standard rate, n -1/2 , in certain contexts. The results place no restrictions on the temporal dependence of the errors, and require …


Population And Food, T. N. Srinivasan Jun 1985

Population And Food, T. N. Srinivasan

Discussion Papers

No abstract provided.


The National Defense Argument For Government Intervention In Foreign Trade, T. N. Srinivasan Jun 1985

The National Defense Argument For Government Intervention In Foreign Trade, T. N. Srinivasan

Discussion Papers

No abstract provided.


What Affects The Level Of Honesty In An Economy, Raaj Kumar Sah Jun 1985

What Affects The Level Of Honesty In An Economy, Raaj Kumar Sah

Discussion Papers

No abstract provided.


Economics Of Committees, Raaj Kumar Sah, Joseph Stiglitz Jun 1985

Economics Of Committees, Raaj Kumar Sah, Joseph Stiglitz

Discussion Papers

No abstract provided.


The Invariance Of R&D To The Number Of Firms In The Industry: Equilibrium And Efficiency Under Bertrandcompetition, Raaj Kumar Sah, Joseph Stiglitz Jun 1985

The Invariance Of R&D To The Number Of Firms In The Industry: Equilibrium And Efficiency Under Bertrandcompetition, Raaj Kumar Sah, Joseph Stiglitz

Discussion Papers

No abstract provided.


Enough Gold In A Society Without And With Money-Lenders, Martin Shubik Jun 1985

Enough Gold In A Society Without And With Money-Lenders, Martin Shubik

Cowles Foundation Discussion Papers

If an exchange economy is modeled as a strategic market game with one commodity serving as a money, then if there is no credit available and if all traders are insignificant in size, so that an individual does not influence prices, the noncooperative equilibria (NEs) of the game will coincide with the competitive equilibria of the exchange economy provided that there is enough money to facilitate trade. The meaning of ‘enough money’ is that the NEs are interior. In other words the constraint that an individual cannot spend more of the means of payment than he holds is not binding …


A Characterization Of Globally Optimal Paths In The Non-Classical Growth Model, Rabah Amir Jun 1985

A Characterization Of Globally Optimal Paths In The Non-Classical Growth Model, Rabah Amir

Cowles Foundation Discussion Papers

We show that the monotonicity property of optimal paths (or, equivalently, the uniform boundedness of the marginal propensity of consumption by unity) is a necessary condition for local (as well as for global) optimality, and is also sufficient for local optimality, but not for global optimality. We also show that the well-known properties of the value function — continuity and monotonicity — are sufficient (along with the above conditions) to guarantee global optimality. In other words, if at any stock level, a local non-global maximizer is selected, a discontinuity in the value function will be observed. We suggest that the …


Edgeworth Equilibria, Charalambos D. Aliprantis, Donald J. Brown, Owen Burkinshaw Jun 1985

Edgeworth Equilibria, Charalambos D. Aliprantis, Donald J. Brown, Owen Burkinshaw

Cowles Foundation Discussion Papers

The paper studies pure exchange economies with infinite dimensional commodity spaces in the setting of Riesz dual systems. Several new concepts of equilibrium are introduced. An allocation ( x 1 , …, x m ) is said to be a) an Edgeworth equilibrium whenever it belongs to the core of every n -fold replication of the economy; and b) an ε- Walrasian equilibrium whenever for each ε > 0 there exists some price p not equal to 0 with p ∙ω = 1 (where ω = Σω i is the total endowment) and with x ≥ i x i implying p …


Understanding Spurious Regressions In Econometrics, Peter C.B. Phillips Jun 1985

Understanding Spurious Regressions In Econometrics, Peter C.B. Phillips

Cowles Foundation Discussion Papers

This paper provides an analytical study of spurious regressions involving the levels of economic time series. As asymptotic theory is developed for regressions that relate independent random walks. It is shown that the usual t ratio significance tests do not possess limiting distributions but actually diverge as the sample size T approaches infinity. The Durbin-Watson statistic, on the other hand, converges in probability to zero. An alternative asymptotic theory is also analyzed. An alternative asymptotic theory is developed based on the concept of continuous data recording. This theory together with the large sample asymptotics that we present go a long …


Yale Scientific Magazine: Volume 59, Number 4 Jun 1985

Yale Scientific Magazine: Volume 59, Number 4

Yale Scientific Magazine

No abstract provided.


An Examination Of Psychiatric Nurses' Attitudes Towards The Suicide Attempter, Suzanne Abbott May 1985

An Examination Of Psychiatric Nurses' Attitudes Towards The Suicide Attempter, Suzanne Abbott

Yale School of Nursing Digital Theses

This study explored attitudes of psychiatric nurses in two public mental health facilities towards the suicide attempter. The study utilized a descriptive, relation-searching survey design. A convenience sample (N = 44) of psychiatric nurses completed a questionnaire designed to explore relationships among characteristics of the attempter, characteristics of the system, nurses’ characteristics, attitudes towards treatment of the suicide attempter, and death anxiety levels of the clinicians. Significant relationships were found between characteristics of the attempter and attitudes and between comfort regarding legal knowledge and attitudes. Nurses preferred the manipulative type of attempter to the depressive one even though they perceived …


Agricultural Household Models: A Survey Of Recent Findings And Their Policy Implications, Inderjit Singh, Lyn Squire, John Strauss May 1985

Agricultural Household Models: A Survey Of Recent Findings And Their Policy Implications, Inderjit Singh, Lyn Squire, John Strauss

Discussion Papers

No abstract provided.


Current Account Policies, Charles Engel May 1985

Current Account Policies, Charles Engel

Discussion Papers

No abstract provided.