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Articles 31 - 41 of 41
Full-Text Articles in Social and Behavioral Sciences
Valid Edgeworth Expansions For The Whittle Maximum Likelihood Estimator For Stationary Long-Memory Gaussian Time Series, Donald W.K. Andrews, Offer Lieberman
Valid Edgeworth Expansions For The Whittle Maximum Likelihood Estimator For Stationary Long-Memory Gaussian Time Series, Donald W.K. Andrews, Offer Lieberman
Cowles Foundation Discussion Papers
In this paper, we prove the validity of an Edgeworth expansion to the distribution of the Whittle maximum likelihood estimator for stationary long-memory Gaussian models with unknown parameter donpap26_black.jpg (3566 bytes) . The error of the (s-2)-order expansion is shown to be o ( n ( s -2)/2 ) – the usual iid rate — for a wide range of models, including the popular ARFIMA(p,d,q) models. The expansion is valid under mild assumptions on the behavior of spectral density and its derivatives in the neighborhood of the origin. As a by-product, we generalize a Theorem by Fox and Taqqu (1987) …
Partially Linear Models With Unit Roots, Ted Juhl, Zhijie Xiao
Partially Linear Models With Unit Roots, Ted Juhl, Zhijie Xiao
Cowles Foundation Discussion Papers
This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in Robinson (1988). It is proven that the autoregressive parameter can be estimated at rate N even though part of the model is estimated nonparametrically. Unit root tests based on the semiparametric estimate of the autoregressive parameter have a limiting distribution which is a mixture of a standard normal and the Dickey-Fuller distribution. A Monte …
From Nash To Walras Via Shapley-Shubik, Pradeep Dubey, John Geanakoplos
From Nash To Walras Via Shapley-Shubik, Pradeep Dubey, John Geanakoplos
Cowles Foundation Discussion Papers
We derive the existence of a Walras equilibrium directly from Nash’s theorem on noncooperative games. No price player is involved, nor are generalized games. Instead we use a variant of the Shapley-Shubik trading-post game.
Macroeconomic Strategy In Wartime, James Tobin
Macroeconomic Strategy In Wartime, James Tobin
Cowles Foundation Discussion Papers
In 2001-02 the United States has been hit by two quite different shocks, terrorism and recession. As usual in time of war, national defense is the highest priority for use of the country’s resources. Although the opportunities for international warfare are limited, the challenges to the homeland are virtually unlimited. The president’s fiscal year 2003 budget includes $48 billion additional for the military and $38 billion additional for homeland defense. Given the gravity of the threat, it is hard to understand why new expenditures are not undertaken as soon as and as large as possible. This would also be timely …
The Health Of Nations: The Contribution Of Improved Health To Living Standards, William D. Nordhaus
The Health Of Nations: The Contribution Of Improved Health To Living Standards, William D. Nordhaus
Cowles Foundation Discussion Papers
Nations generally measure their economic performance using the yardstick of national output and income. It is not widely recognized, however, that conventional measures of national income and output exclude the value of improvements in the health status of the population. The present study develops a methodology and presents preliminary estimates of how standard economic measures would change if they adequately reflected improvements in health status. The study first discusses the theory of the measurement of national income, examines some of the shortcomings of traditional concepts, and proposes a new concept called ‘health income’ that can be used to incorporate improvements …
Highway Franchising And Real Estate Values, Eduardo Engel, Ronald Fischer, Alexander Galetovic
Highway Franchising And Real Estate Values, Eduardo Engel, Ronald Fischer, Alexander Galetovic
Cowles Foundation Discussion Papers
It has become increasingly common to allocate highway franchises to the bidder that offers to charge the lowest toll. Often, building a highway increases the value of land held by a small group of developers, an effect that is more pronounced with lower tolls. We study the welfare implications of highway franchises that benefit large developers, focusing on the incentives developers have to internalize the effect of the toll they bid on the value of their land. We study how participation by developers in the auction affects equilibrium tolls and welfare. We find that large developers bid more aggressively than …
I'Ll See It When I Believe It — A Simple Model Of Cognitive Consistency, Leeat Yariv
I'Ll See It When I Believe It — A Simple Model Of Cognitive Consistency, Leeat Yariv
Cowles Foundation Discussion Papers
Psychological experiments demonstrate that people exhibit a taste for consistency. Individuals are inclined to interpret new evidence in ways that confirm their pre-existing beliefs. They also tend to change their beliefs to enhance the desirability of their past actions. I present a model that incorporates these effects into an agent’s utility function and allows me to characterize when: (i) agents become under- and over-confident, (ii) agents exhibit excess stickiness in action choices, (iii) agents prefer less accurate signals, and (iv) agents are willing to pay in order to forgo signals altogether. Applications to political campaigns and investment decisions are explored.
How To Auction An Essential Facility When Underhand Integration Is Possible, Eduardo Engel, Ronald Fischer, Alexander Galetovic
How To Auction An Essential Facility When Underhand Integration Is Possible, Eduardo Engel, Ronald Fischer, Alexander Galetovic
Cowles Foundation Discussion Papers
Regulating seaports is difficult in general, even more so for the weak regulatory institutions common in developing countries. For this reason some countries have awarded these facilities via Demsetz auctions, to the port operator that bids the lowest cargo-handling fee. A major concern with Demsetz auctions in this context, is that the winning operator may integrate with a shipper and monopolize the shipping market, by worsening the service quality for competing shippers. The standard policy recommendation against service quality discrimination is to ban the seaport from operating in the shipping market. The effectiveness of such prohibitions is suspect, however, because …
Consistent Testing For Stochastic Dominance: A Subsampling Approach, Oliver B. Linton, Esfandiar Maasoumi, Yoon-Jae Whang
Consistent Testing For Stochastic Dominance: A Subsampling Approach, Oliver B. Linton, Esfandiar Maasoumi, Yoon-Jae Whang
Cowles Foundation Discussion Papers
We propose a procedure for estimating the critical values of the Klecan, McFadden, and McFadden (1990) test for first and second order stochastic dominance in the general k -prospect case. Our method is based on subsampling bootstrap. We show that the resulting test is consistent. We allow for correlation amongst the prospects and for the observations to be autocorrelated over time. Importantly, the prospects may be the residuals from certain conditional models.
An Optimal Fair Job Assignment Problem, Zaifu Yang
An Optimal Fair Job Assignment Problem, Zaifu Yang
Cowles Foundation Discussion Papers
We study the problem of how to allocate a set of indivisible objects like jobs or houses and an amount of money among a group of people as fairly and as efficiently as possible. A particular constraint for such an allocation is that every person should be assigned with the same number of objects in his or her bundle. The preferences of people depend on the bundle of objects and the quantity of money they take. We propose a solution to this problem, called a perfectly fair allocation. It is shown that every perfectly fair allocation is efficient and envy-free, …
Valid Asymptotic Expansions For The Maximum Likelihood Estimator Of The Parameter Of A Stationary, Gaussian, Strongly Dependent Process, Offer Lieberman, Judith Rousseau, David M. Zucker
Valid Asymptotic Expansions For The Maximum Likelihood Estimator Of The Parameter Of A Stationary, Gaussian, Strongly Dependent Process, Offer Lieberman, Judith Rousseau, David M. Zucker
Cowles Foundation Discussion Papers
We establish the validity of an Edgeworth expansion to the distribution of the maximum likelihood estimator of the parameter of a stationary, Gaussian, strongly dependent process. The result covers ARFIMA type models, including fractional Gaussian noise. The method of proof consists of three main ingredients: (i) verification of a suitably modified version of Durbin’s (1980) general conditions for the validity of the Edgeworth expansion to the joint density of the log-likelihood derivatives; (ii) appeal to a simple result of Skovgaard (1986) to obtain from this an Edgeworth expansion for the joint distribution of the log-likelihood derivatives; (iii) appeal to and …