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Articles 1951 - 1980 of 2930
Full-Text Articles in Social and Behavioral Sciences
Inefficiency Of Strategy-Proof Allocation Mechanisms In Pure Exchange Economies, Lin Zhou
Inefficiency Of Strategy-Proof Allocation Mechanisms In Pure Exchange Economies, Lin Zhou
Cowles Foundation Discussion Papers
In this paper I prove that in the standard model of 2 times n ( n > 2) pure exchange economies there is no allocation mechanism that is efficient, non-inversely-dictatorial, and strategy-proof. This strengthens two previous results on this subject by Hurwicz and by Dasgupta, Hammond, and Maskin.
Smooth Unbiased Multivariate Probability Simulators For Maximum Likelihood Estimation Of Limited Dependent Variable Models, Vassilis A. Hajivassiliou, Axel Borsch-Supan
Smooth Unbiased Multivariate Probability Simulators For Maximum Likelihood Estimation Of Limited Dependent Variable Models, Vassilis A. Hajivassiliou, Axel Borsch-Supan
Cowles Foundation Discussion Papers
We apply a new simulation method that solves the multidimensional probability integrals that arise in maximum likelihood estimation of a broad class of limited dependent variable models. The simulation method has four key features: the simulated choice probabilities are unbiased; they are a continuous and differentiable function of the parameters of the model; they are bounded between 0 and 1; and their computation takes an effort that is nearly linear in the dimension of the probability integral, independent of the magnitudes of the true probabilities. We also show that the new simulation method produces probability estimates with substantially smaller variance …
Stock Prices And Bond Yields: Can Their Co-Movements Be Explained In Terms Of Present Value Models?, Robert J. Shiller, Andrea E. Beltratti
Stock Prices And Bond Yields: Can Their Co-Movements Be Explained In Terms Of Present Value Models?, Robert J. Shiller, Andrea E. Beltratti
Cowles Foundation Discussion Papers
Real stock prices seem to overreact to changes in long-term interest rates. That is, real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by a rational expectations present value model where expectations are based on a vector autoregression. This overreaction is not associated with any overreaction to changes in the short-run inflation rate. Over the last century real stock prices have shown little reaction to changes in inflation rates, and according to the model they should show little reaction. These conclusions were reached from an analysis of annual data in …
The Hybrid Solutions Of An N-Person Game, Jingang Zhao
The Hybrid Solutions Of An N-Person Game, Jingang Zhao
Cowles Foundation Discussion Papers
We introduce a solution concept intermediate between the cooperative and noncooperative solutions of an n -person game in normal form. Consider a partition p of the players, with each s in p a coalition. A joint strategy x = { x s | s in p } is a hybrid solution for the partition p if, for each s in p , x s is a core solution of the corresponding parametric subgame, where this game isplayed by the players in s and is parameterized by x -s , the strategies played by all outside players. This assumes that players …
A Functional Central Limit Theorem For Strong Mixing Stochastic Processes, Donald W.K. Andrews, David Pollard
A Functional Central Limit Theorem For Strong Mixing Stochastic Processes, Donald W.K. Andrews, David Pollard
Cowles Foundation Discussion Papers
This paper shows how the modern machinery for generating abstract empirical central limit theorems can be applied to arrays of dependent variables. It develops a bracketing approximation based on a moment inequality for sums of strong mixing arrays, in an effort to illustrate the sorts of difficulty that need to be overcome when adapting the empirical process theory for independent variables. Some suggestions for further development are offered. The paper is largely self-contained.
Popular Attitudes Towards Free Markets: The Soviet Union And The United States Compared, Robert J. Shiller, Maxim Boycko, Vladimir Korobov
Popular Attitudes Towards Free Markets: The Soviet Union And The United States Compared, Robert J. Shiller, Maxim Boycko, Vladimir Korobov
Cowles Foundation Discussion Papers
Random samples of the Moscow and New York populations were compared in their attitudes towards free markets by administering identical telephone interviews in the two countries in May, 1990. Although the Soviet respondents were somewhat less likely to accept exchange of money as a solution to personal problems, and their attitudes towards business were less warm, we found that the Soviet and American respondents were basically similar in most dimensions. Soviets showed no difference from Americans in their feelings that price increases may be unfair. There appears to be little difference between the Soviets and Americans in their concern with …
International Diversification Of Social And Private Risk: The Us And Japan, Stephen S. Golub
International Diversification Of Social And Private Risk: The Us And Japan, Stephen S. Golub
Cowles Foundation Discussion Papers
This paper concerns the gains from international trade in risky assets, with an application to the United States and Japan. I examine the role of international financial markets in diversifying the risks associated with the aggregate consumption opportunities of a nation (social risk) and the risks related to individual agents’ consumption opportunities (private risk). The main empirical result is that international portfolio diversification between the United States and Japan leads to small reductions in social risk but large reductions in some private risks, especially for corporate profits.
Testing Covariance Stationarity Under Moment Condition Failure With An Application To Common Stock Returns, Peter C.B. Phillips, Mico Loretan
Testing Covariance Stationarity Under Moment Condition Failure With An Application To Common Stock Returns, Peter C.B. Phillips, Mico Loretan
Cowles Foundation Discussion Papers
This paper studies tests for covariance stationarity under conditions which permit failure in the existence of fourth order moments. The problem is important because many econometric diagnostics such as tests for parameter constancy, constant variance and ARCH and GARCH effects routinely rely on fourth moment conditions. Moreover, such tests have recently been extensively employed with financial and commodity market data, where fourth moment conditions may well be quite tenuous and are usually untested. This paper considers several tests for covariance stationarity including sample split prediction tests, cusum of squares tests and modified scaled range tests. When fourth moment conditions fail …
Operational Algebra And Regression T-Tests, Peter C.B. Phillips
Operational Algebra And Regression T-Tests, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Data reduction involves a physical transition from sample data to econometric estimator and test statistic. This transition induces a mapping on the probability law of the sample, whose image is the distribution of the statistic of interest. At a general level, the mapping can often be captured by means of an operational algebra. Some methods than employ nonlinear functions of differential operators are suggested which can perform this task. The methods are related to pseudodifferential operator techniques that are used in abstract mathematics to solve systems of partial differential equations. They also generalize the fractional calculus methods developed by the …
A Shortcut To Lad Estimator Asymptotics, Peter C.B. Phillips
A Shortcut To Lad Estimator Asymptotics, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Using generalized functions of random variables and generalized Taylor series expansions, we provide almost trivial demonstrations of the asymptotic theory for the LAD estimator in a regression model setting. The approach is justified by the smoothing that is delivered in the limit by the asymptotics, whereby the generalized functions are forced to appear as linear functionals wherein they become real valued. Models with fixed and random regressors, autoregressions and autoregressions with infinite variance errors are studied. Some new analytic results are obtained including an asymptotic expansion of the distribution of the LAD estimator and the results of some earlier simulation …
To Criticize The Critics: An Objective Bayesian Analysis Of Stochastic Trends, Peter C.B. Phillips
To Criticize The Critics: An Objective Bayesian Analysis Of Stochastic Trends, Peter C.B. Phillips
Cowles Foundation Discussion Papers
In two recent articles, Sims (1988) and Sims and Uhlig (1988) question the value of much of the ongoing literature on unit roots and stochastic trends. They characterize the seeds of this literature as “sterile ideas,” the application of nonstationary limit theory as “wrongheaded and unenlightening” and the use of classical methods of inference as “unreasonable” and “logically unsound.” They advocate in place of classical methods an explicit Bayesian approach to inference that utilizes a flat prior on the autoregressive coefficient. DeJong and Whiteman adopt a related Bayesian approach in a group of papers (1989a,b,c) that seek to reevaluate the …
The Generalized Basis Reduction Algorithm, Herbert E. Scarf, László Lovász
The Generalized Basis Reduction Algorithm, Herbert E. Scarf, László Lovász
Cowles Foundation Discussion Papers
Let F ( x ) be a convex function defined in R n , which is symmetric about the origin and homogeneous of degree 1, and let L be the lattice of integers Z n . A definition of a reduced basis, b 1 , …, b n , of the lattice with respect to the distance function F is presented, and we describe an algorithm which yields a reduced basis in polynomial time, for fixed n. In the special case in which the bodies { x : F ( x ) < t } are ellipsoids, the definition of a reduced basis is identical with that given by Lenstra, Lenstra and Lovasz (1982) and the algorithm is the well known basis reduction algorithm. We show that the basis vector b 1 , in a reduced basis, is an approximation to a shortest non-zero lattice point with respect to F and relate the basis vectors b i to Minkowski’s successive minima. The results lead to an algorithm for integer programming which executes in polynomial time for fixed n, but which avoids the ellipsoidal approximation required by Lenstra’s algorithm. We also discuss the properties of a Korkine-Zolotarev basis for the lattice.
The Frobenius Problem And Maximal Lattice Free Bodies, Herbert E. Scarf, David F. Shallcross
The Frobenius Problem And Maximal Lattice Free Bodies, Herbert E. Scarf, David F. Shallcross
Cowles Foundation Discussion Papers
Let p = ( p 1 ,…, p n ) be a vector of positive integers whose greatest common divisor is unity. The Frobenius problem is to find the largest integer f * which cannot be written as a non-negative integral combination of the p i . In this note we relate the Frobenius problem to the topic of maximal lattice free bodies and describe an algorithm for n = 3.
Voting By Committees, Salvador Barberà, Hugo Sonnenschein, Lin Zhou
Voting By Committees, Salvador Barberà, Hugo Sonnenschein, Lin Zhou
Cowles Foundation Discussion Papers
Problems of social choice frequently take the following form. There are n voters and a set K = (1,2,…, k ) of objects. The voters must choose a subset of K . We define a class of voting schemes called voting by committees. The main result of the paper is a characterization of voting by committees, which is the class of all voting schemes that satisfy voter sovereignty and non-manipulability on the domain of separable preferences. This result is analogous to the literature on the Groves and Clarke scheme in that it characterizes all of the non-manipulable voting schemes on …
Further Evidence On The Great Crash, The Oil Price Shock, And The Unit Root Hypothesis, Eric Zivot, Donald W.K. Andrews
Further Evidence On The Great Crash, The Oil Price Shock, And The Unit Root Hypothesis, Eric Zivot, Donald W.K. Andrews
Cowles Foundation Discussion Papers
Recently Perron (1989) has carried out tests of the unit root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil price shock. His analysis covers the Nelson-Plosser macroeconomic data series as well as a post-war quarter real GNP series. His tests reject the unit root null hypothesis for most of the series. This paper takes issue with the assumption used by Perron that the Great Crash and the oil price shock can be treated as exogenous events. A variation of Perron’s test is …
Tests For Parameter Instability And Structural Change With Unknown Change Point, Donald W.K. Andrews
Tests For Parameter Instability And Structural Change With Unknown Change Point, Donald W.K. Andrews
Cowles Foundation Discussion Papers
This paper considers tests of parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models including models that satisfy maximum likelihood type regularity conditions and models that are suitable for estimation by generalized method of moments procedures. The paper considers likelihood ratio and likelihood ratio like tests, as well as asymptotically equivalent Wald and Lagrange multiplier tests. Each test implicitly uses an estimate of change point. Tests of both “pure” and “partial” structural change are discussed.
An Improved Heteroskedasticity And Autocorrelation Consistent Covariance Matrix Estimator, Donald W.K. Andrews, Christopher J. Monahan
An Improved Heteroskedasticity And Autocorrelation Consistent Covariance Matrix Estimator, Donald W.K. Andrews, Christopher J. Monahan
Cowles Foundation Discussion Papers
This paper considers a new class of heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators. The estimators considered are prewhitened kernel estimators with vetor autoregressions employed in the prewhitening stage. The paper establishes consistency, rate of convergence, and asymptotic truncated mean squared error (MSE) results for the estimators when a fixed or automatic bandwidth procedure is employed. Conditions are obtained under which prewhitening improves asymptotic truncated MSE. Monte Carlo results show that prewhitening is very effective in reducing bias, improving confidence interval coverage probabilities, and rescuing over-rejection of t -statistics constructed using kernel-HAC estimators. On the other hand, prewhitening is …
Financial Integration, Liquidity And Exchange Rates, Vittorio Grilli, Nouriel Roubini
Financial Integration, Liquidity And Exchange Rates, Vittorio Grilli, Nouriel Roubini
Cowles Foundation Discussion Papers
We present a two-country extension of Lucas’ (1988) work on how cash-in-advance constraints in asset markets affect the pricing of financial assets. In the model, there is some degree of separation between the goods markets and the assets markets, and money is used for transactions in both markets. The main results of the paper are the following. First, the equilibrium level of the exchange rate depends on the share of money used for asset transactions; a greater share corresponds to a more appreciated currency. Second, under uncertainty the liquidity effects deriving from stochastic shocks to bond creation lead to an …
Generic Uniform Convergence, Donald W.K. Andrews
Generic Uniform Convergence, Donald W.K. Andrews
Cowles Foundation Discussion Papers
This paper presents several generic uniform convergence results that include generic uniform laws of large numbers. These results provide conditions under which pointwise convergence almost surely or in probability can be strengthened to uniform convergence. The results are useful for establishing asymptotic properties of estimators and test statistics. The results given here have the following attributes, (1) they extend results of Newey to cover convergence almost surely as well as convergence in probability, (2) they apply to totally bounded parameter spaces (rather than just to compact parameter spaces), (3) they introduce a set of conditions for a generic uniform law …
A Colored Version Of Tverberg's Theorem, Imre Bárány, D. G. Larman
A Colored Version Of Tverberg's Theorem, Imre Bárány, D. G. Larman
Cowles Foundation Discussion Papers
The main result of this paper is that given n red, n white, and n green points in the plane, it is possible to form n vertex-disjoint triangles Δ 1 ,…,Δ n in such a way that the Δ i has one one red, one white, and one green vertex for every i = 1,…, n and the intersection of these triangles is nonempty.
Aggregation And Imperfect Competition: On The Existence Of Equilibrium, Andrew S. Caplin, Barry Nalebuff
Aggregation And Imperfect Competition: On The Existence Of Equilibrium, Andrew S. Caplin, Barry Nalebuff
Cowles Foundation Discussion Papers
We present a new approach to the theory of imperfect competition and apply it to study price competition among differentiated products. The central result provides general conditions under which there exists a pure strategy price equilibrium for any number of firms producing any set of products. This includes products with multi-dimensional attributes. In addition to the proof of existence, we provide conditions for uniqueness. Our analysis covers location models, the characteristic approach, and probabilistic choice together in a unified framework. To prove existence, we employ aggregation theorems due to Prekopa (1971) and Borell (1975). Our companion paper [CFDP 938] introduces …
Aggregation And Social Choice: A Mean Voter Theorem, Andrew S. Caplin, Barry Nalebuff
Aggregation And Social Choice: A Mean Voter Theorem, Andrew S. Caplin, Barry Nalebuff
Cowles Foundation Discussion Papers
A celebrated result of Black (1984a) demonstrates the existence of a simple majority winner when preferences are single-peaked. The social choice follows the preferences of the median voter’s most preferred outcome beats any alternative. However, this conclusion does not extend to elections in which candidates differ in more than one dimension. This paper provides a multi-dimensional analog of the median voter result. We show that the mean voter’s most preferred outcome is unbeatable according to a 64%-majority rule. The weaker conditions supporting this result represent a significant generalization of Caplin and Nalebuff (1988). The proof of our mean voter result …
Testing Game-Theoretic Models Of Price-Fixing Behaviour, Vassilis A. Hajivassiliou
Testing Game-Theoretic Models Of Price-Fixing Behaviour, Vassilis A. Hajivassiliou
Cowles Foundation Discussion Papers
This paper analyzes price fixing by the Joint Executive Committee railroad cartel from 1880 to 1886 and develops tests of two game-theoretic models of tacit collusion. The first model, due to Abreu, Pearce and Stacchetti (1986), predicts that price will switch across regimes according to a Markov process. The second, by Rotemberg and Saloner (1986), postulates that price wars are more likely in periods of high industry demand. Switching regressions are used to model the firms’ shifting between collusive and punishment behavior. The main econometric novelty in the estimation procedures introduced in this paper is that misclassification probabilities are allowed …
Growth And Distribution: A Neoclassical Kaldor-Robinson Exercise, James Tobin
Growth And Distribution: A Neoclassical Kaldor-Robinson Exercise, James Tobin
Cowles Foundation Discussion Papers
Kaldor’s capital/labor income distribution theory relied on differential saving propensities from profits and wages. Robinson’s growth models typically specified constant-coefficient technologies in which marginal productivities cannot determine distribution. Here these two insights are combined in a two-sector (capital goods, consumption goods) economy. Two technologies are available, but only as either-or alternatives. The choice of technology and the income distribution depend on the saving propensities. Steady-state consumption need not be greater when the economy is more capitalized and profit rates are lower.
On The Theory Of Macroeconomic Policy, James Tobin
On The Theory Of Macroeconomic Policy, James Tobin
Cowles Foundation Discussion Papers
Jan Tinbergen was and is of course a scientist, full of curiosity about how the world works. But his motivation has always been more than curiosity. He wants to know how the world works so that he can make it work better. Knowledge is the foundation of policy. It was natural for Tinbergen to set forth a formal theory of policy nearly fifty years ago and it was equally natural from him to relate the theory to practical problems of policy in the Netherlands and else where and to implement it and illustrate it with the help of theoretical and …
Mathematical Programming And Economic Theory, Herbert E. Scarf
Mathematical Programming And Economic Theory, Herbert E. Scarf
Cowles Foundation Discussion Papers
The paper discusses the analogy between economic institutions and algorithms for the solution of mathematical programming problems. The simplex method for solving linear programs can be interpreted as a search for market prices that equilibrate the demand for factors of production with their supply. An interpretation in terms of the internal organization of the large firm is offered for Lenstra’s integer programming algorithm.
Observability And Optimality, John Geanakoplos, Heracles M. Polemarchakis
Observability And Optimality, John Geanakoplos, Heracles M. Polemarchakis
Cowles Foundation Discussion Papers
Observability of an individual’s excess demand function for assets and commodities as all prices and revenue vary suffices in order to recover his von Neumann-Morgenstern utility function. This is generically the case, even when the asset market is incomplete and the cardinal utility indices state dependent, as long as there are at least two commodities traded in spot markets at each state of nature. On the contrary, if the response of individuals’ excess demand for assets as prices in spot commodity markets vary is not observable, recoverability fails when the asset market is incomplete. In particular, it is not possible …
Asymptotics For Linear Processes, Peter C.B. Phillips, Victor Solo
Asymptotics For Linear Processes, Peter C.B. Phillips, Victor Solo
Cowles Foundation Discussion Papers
A method of deriving asymptotics for linear processes is introduced which uses an explicit algebraic decomposition of the linear filter. The method leads to substantial simplifications in the asymptotics and offers a unified approach to strong laws and central limit theory for linear processes. Sample means and sample covariances are covered. The results also accommodate both homogeneous and heterogeneous innovations as well as innovations with undefined means and variances.
Asymptotic And Finite Sample Distribution Theory For Iv Estimators And Tests In Partially Identified Structural Equations, In Choi, Peter C.B. Phillips
Asymptotic And Finite Sample Distribution Theory For Iv Estimators And Tests In Partially Identified Structural Equations, In Choi, Peter C.B. Phillips
Cowles Foundation Discussion Papers
General formula for the finite sample and asymptotic distributions of the instrumental variable estimators and the Wald statistics in a simultaneous equation model are derived. It is assumed that the coefficient vectors of both endogenous and exogenous variables are only partially identified, even though the order condition for identification is satisfied. This work extends previous results in Phillips (1989) where the coefficient vector of the exogenous variables is partially identified and that of the endogenous variables is totally unidentified. The effect of partial identification on the finite sample and asymptotic distributions of the estimators and the Wald statistics is analyzed …
Solving Systems Of Simultaneous Equations In Economics, John Geanakoplos, Wayne Shafer
Solving Systems Of Simultaneous Equations In Economics, John Geanakoplos, Wayne Shafer
Cowles Foundation Discussion Papers
We show that there is a broad range of systems of simultaneous equations that arise in economics as descriptions of equilibrium that can be solved in elementary fashion via degree theory. Some of these systems are not susceptible to analysis by standard Brouwer fixed point methods. Two of our applications are to general equilibrium with incomplete markets, and to nonconvex production with noncompetitive pricing rules.