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Yale University

1991

Articles 31 - 47 of 47

Full-Text Articles in Social and Behavioral Sciences

Testing The Null Hypothesis Of Stationarity Against The Alternative Of A Unit Root: How Sure Are We That Economic Time Series Have A Unit Root?, Denis Kwiatkowski, Peter C.B. Phillips, Peter Schmidt May 1991

Testing The Null Hypothesis Of Stationarity Against The Alternative Of A Unit Root: How Sure Are We That Economic Time Series Have A Unit Root?, Denis Kwiatkowski, Peter C.B. Phillips, Peter Schmidt

Cowles Foundation Discussion Papers

The standard conclusion that is drawn from this empirical evidence is that many or most aggregate economic time series contain a unit root. However, it is important to note that in this empirical work the unit root is set up as the null hypothesis testing is carried out ensures that the null hypothesis is accepted unless there is strong evidence against it. Therefore, an alternative explanation for the common failure to reject a unit root is simply that most economic time series are not very informative about whether or not there is a unit root; or, equivalently, that standard unit …

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Time Series Modelling With A Bayesian Frame Of Reference: I. Concepts And Illustrations, Peter C.B. Phillips, Werner Ploberger May 1991

Time Series Modelling With A Bayesian Frame Of Reference: I. Concepts And Illustrations, Peter C.B. Phillips, Werner Ploberger

Cowles Foundation Discussion Papers

This paper offers a general approach to time series modeling that attempts to reconcile classical and methods. The central idea put forward to achieve reconciliation is that the Bayesian approach relies implicitly a frame of reference for the data generating mechanism that is quite different from the one that is employed in the classical approach. Differences in inferences from the two approaches are therefore to be expected unless the altered frame reference is taken into account. We show that the new frame of reference in Bayesian inference is a consequence of a change of measure that arises naturally in the …

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Nota Bene; Volume V, Number Ii, Yale University Library Apr 1991

Nota Bene; Volume V, Number Ii, 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.

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Exactly Unbiased Estimation Of First Order Autoregressive/Unit Root Models, Donald W.K. Andrews Apr 1991

Exactly Unbiased Estimation Of First Order Autoregressive/Unit Root Models, Donald W.K. Andrews

Cowles Foundation Discussion Papers

This paper is concerned with the estimation of first-order autoregressive/unit root models with independent identically distributed normal errors. The models considered include those without an intercept, those with an intercept, and those with an intercept and time trend. The autoregressive (AR) parameter alpha is allowed to lie in the interval (-1,1], which includes the case of a unit root. Exactly median-unbiased estimators of the AR parameter alpha are proposed. Exact confidence intervals for this parameter are introduced. Corresponding exactly median-unbiased estimators and exact confidence intervals are also provided for the impulse response function and the cumulative impulse response. An unbiased …

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-Person Game And Endogenous Coalition Formation, Lin Zhou Apr 1991

-Person Game And Endogenous Coalition Formation, Lin Zhou

Cowles Foundation Discussion Papers

The two most fundamental questions in cooperative game theory are: When a game is played, what coalitions will be formed and what payoff vectors will be chosen? No previous solution concepts or theories in the literature provide satisfactory answers to both questions; answers are especially lacking for the first one. In this paper we introduce the refined bargaining set, which is the first solution concept in cooperative game theory that simultaneously provides answers to both of the fundamental questions.

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Yale Political Monthly 1991 March, The Politic, Inc. Mar 1991

Yale Political Monthly 1991 March, The Politic, Inc.

The Politic

No abstract provided.

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Strictly Fair Allocations In Large Exchange Economies, Lin Zhou Mar 1991

Strictly Fair Allocations In Large Exchange Economies, Lin Zhou

Cowles Foundation Discussion Papers

In this paper we introduce the concept of a strictly fair allocation and investigate the set of strictly fair allocations in large exchange economies. We prove that when agents’ utility functions are differentiable, the set of strictly fair allocations coincides with the set of equal-income Walrasian equilibria. This is shown using both the “limit theorem” approach the “limit economy” approach. We also extend the analysis to economies that have both atoms and an atomless sector. These results substantially improve upon the existing characterizations of equal-income Walrasian equilibria in terms of both economic efficiency and economic equity.

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Dual Distribution In Franchising, Nancy Gallini, Nancy A. Lutz Mar 1991

Dual Distribution In Franchising, Nancy Gallini, Nancy A. Lutz

Cowles Foundation Discussion Papers

In this paper we offer an explanation for the practice of dual distribution. the simultaneous use of franchises and company owned outlets for distributing new products. Our explanation rests on the observation that franchisors often acquire private information, not available to franchisees, on product demand through marketing efforts. Under this assumption of asymmetric information, we show that a franchisor will use both direct ownership as well as the franchise contract to convey information about a new product. This explanation for dual distribution relies neither on capital market imperfections nor upon location-specific factors, in contrast to alternative explanations advanced in the …

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Yale Political Monthly 1991 February, The Politic, Inc. Feb 1991

Yale Political Monthly 1991 February, The Politic, Inc.

The Politic

No abstract provided.

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Actual And Warranted Relations Between Asset Prices, Andrea E. Beltratti, Robert J. Shiller Feb 1991

Actual And Warranted Relations Between Asset Prices, Andrea E. Beltratti, Robert J. Shiller

Cowles Foundation Discussion Papers

Efficient markets models assert that the price of each asset is equal to the optimal forecast of its ex-post or fundamental value. These models do not imply, however, that the covariance between two asset prices is given by the covariance between the ex-post values they respectively forecast: these two covariances can even have opposite signs. However, it is possible to place bounds on the covariance between asset prices given the covariance matrix of ex-post values. We present such bounds for both covariances and correlations and show how such bounds can be tightened using information beyond the covariance matrix of ex-post …

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Arithmetic Repeat Sales Price Estimators, Robert J. Shiller Feb 1991

Arithmetic Repeat Sales Price Estimators, Robert J. Shiller

Cowles Foundation Discussion Papers

Repeat sales price estimators are designed to infer price indexes of infrequently sold and unstandardized assets, such as houses, based only on changes in prices of those individual assets that are observed to be sold twice. Repeat sales price estimators are proposed here that are arithmetic, and either value-weighted or equally-weighted. Moreover, variants are proposed that are interval-weighted, i.e., that correct for a form of heteroskedasticity, and that include additional regressors representing changes in hedonic variables. Some of these methods are applied to data on house prices in Atlanta, Chicago, Dallas and San Francisco 1970–1986.

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Economic Equilibrium And Soviet Economic Reform, Herbert E. Scarf Feb 1991

Economic Equilibrium And Soviet Economic Reform, Herbert E. Scarf

Cowles Foundation Discussion Papers

The paper, prepared for a Roundtable on Major Economic Problems in the U.S. and the U.S.S.R., discusses some aspects of price theory — in particular, the theory of general equilibrium — which may offer some theoretical insights about the economic problems to be encountered during the transition from Socialism to private markets in the Soviet Union.

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Nota Bene; Volume V, Number I, Yale University Library Jan 1991

Nota Bene; Volume V, Number I, 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.

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Shortest Integer Vectors, Herbert E. Scarf, David F. Shallcross Jan 1991

Shortest Integer Vectors, Herbert E. Scarf, David F. Shallcross

Cowles Foundation Discussion Papers

Let A be a fixed integer matrix of size m by n and consider all b for which the body is full dimensional. We examine the set of shortest non-zero integral vectors with respect to the family of norms. We show that the number of such shortest vectors is polynomial in the bit size of A , for fixed n . We also show the existence, for any n , of a family of matrices M for which the number of shortest vectors has as a lower bound a polynomial in the bit size of M of the same degree …

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The Invisible Hand In Modern Macroeconomics, James Tobin Jan 1991

The Invisible Hand In Modern Macroeconomics, James Tobin

Cowles Foundation Discussion Papers

The Invisible Hand, one of the Great Ideas of history and one of the most influential, is Adam Smith’s most important legacy to macroeconomics, as to all economics. It is particularly important today as the ultimate inspiration for the New Classical Macroeconomics and for Real Business Cycle Theory. These are intellectual movements that engage many of the best brains in the profession, especially among younger cohorts and especially in the United States. They dominate the agenda even of theorists and econometricians who are skeptical or hostile to their methods and conclusions.

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The Method Of Simulated Scores For The Estimation Of Ldv Models With An Application To External Debt Crisis, Vassilis A. Hajivassiliou, Daniel Mcfadden Jan 1991

The Method Of Simulated Scores For The Estimation Of Ldv Models With An Application To External Debt Crisis, Vassilis A. Hajivassiliou, Daniel Mcfadden

Cowles Foundation Discussion Papers

The method of simulated scores (MSS) is presented for estimating LDV models with flexible correlation structure in the unobservables. We propose simulators that are continuous in the unknown parameter vectors, and hence standard optimization methods can be used to compute the MSS estimators that employ these simulators. We establish consistency and asymptotic normality of the MSS estimators and derive suitable rates at which the number of simulations must use if biased simulators are used. The estimation method is applied to analyze a model in which the incidence and the extent of debt repayments problems of LDC’s are viewed as optimized …

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Tests Of Specification For Parametric And Semiparametric Models, Yoon-Jae Whang, Donald W.K. Andrews Jan 1991

Tests Of Specification For Parametric And Semiparametric Models, Yoon-Jae Whang, Donald W.K. Andrews

Cowles Foundation Discussion Papers

This paper provides a general framework for constructing specification tests for parametric and semiparametric models. The paper develops new specification tests using the general framework. In particular, specification tests for semiparametric partially linear regression, sample selection, and censored regression models are introduced. The results apply in time series and cross-sectional contexts. The method of proof exploits results concerning the stochastic equicontinuity or weak convergence of normalized sums of stochastic processes.

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