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Articles 2191 - 2220 of 2930
Full-Text Articles in Social and Behavioral Sciences
The Exact Distribution Of The Wald Statistic, Peter C.B. Phillips
The Exact Distribution Of The Wald Statistic, Peter C.B. Phillips
Cowles Foundation Discussion Papers
This paper derives the exact distribution of the Wald statistic for testing general linear restrictions on the coefficients in the multivariate linear model. This generalizes all previously known results including those for the standard F statistic in linear regression, for Hotelling’s T 2 test and for Hotelling’s generalized T 0 2 test. Conventional classical assumptions of normally distributed errors and nonrandom exogenous variables are employed.
Trends, Random Walks, And Tests Of The Permanent Income Hypothesis, N. Gregory Mankiw, Matthew D. Shapiro
Trends, Random Walks, And Tests Of The Permanent Income Hypothesis, N. Gregory Mankiw, Matthew D. Shapiro
Cowles Foundation Discussion Papers
Recent studies find that consumption is excessively sensitive to income. These studies assume that income is stationary around a deterministic trend. The data, however, do not reject the hypothesis that disposable income is a random walk with drift. If income is indeed a random walk, then the standard testing procedure is greatly biased toward finding excess sensitivity. Moreover, if income is borderline stationary, this procedure is also seriously biased.
The Many Approaches To The Study Of Monopolistic Competition, Martin Shubik
The Many Approaches To The Study Of Monopolistic Competition, Martin Shubik
Cowles Foundation Discussion Papers
It is suggested here that there are many highly different purposes for the study and application of theories of oligopolistic competition, monopolistic competition, and allied topics. This paper sets the different purposes and questions in context, then makes criticisms and suggestions as to where to go from here.
Product Warranties And Double Moral Hazard, Russell Cooper, Thomas W. Ross
Product Warranties And Double Moral Hazard, Russell Cooper, Thomas W. Ross
Cowles Foundation Discussion Papers
This paper explores a model of warranties in which moral hazard problems play a key role. The goal is to understand the important characteristics of warranties including their provision of incomplete insurance and the relationship between product quality and coverage. We analyze a model in which buyers and sellers take actions which affect a product’s performance. Since these actions are not cooperatively determined, an incentives problem arises. We characterize the optimal warranty contract and undertake comparative statics to determine the predicted correlation of warranty coverage and product quality.
Stock Prices And Social Dynamics, Robert J. Shiller
Stock Prices And Social Dynamics, Robert J. Shiller
Cowles Foundation Discussion Papers
No abstract provided.
Stock Prices And Social Dynamics, Robert J. Shiller
Stock Prices And Social Dynamics, Robert J. Shiller
Cowles Foundation Discussion Papers
The empirical evidence that is widely interpreted as supporting the efficient markets theory in finance actually does not rule out the possibility that changing fashions or fads among investors have an important influence on prices in financial markets. A model of the impact of such fashions on prices is proposed and used in an exploratory data analysis of the aggregate United States Stock Market in the 20th century.
I And First And Second Scenarios (A Sensitivity Analysis), Paul Bracken, Moshe Haviv, Martin Shubik, Ulrich Tulowitzki
I And First And Second Scenarios (A Sensitivity Analysis), Paul Bracken, Moshe Haviv, Martin Shubik, Ulrich Tulowitzki
Cowles Foundation Discussion Papers
No abstract provided.
Empirical Tests Of The Rationality Of Economic Forecasters: A Fixed Horizons Approach, William D. Nordhaus, Steven N. Durlauf
Empirical Tests Of The Rationality Of Economic Forecasters: A Fixed Horizons Approach, William D. Nordhaus, Steven N. Durlauf
Cowles Foundation Discussion Papers
No abstract provided.
Empirical Tests Of The Rationality Of Economic Forecasters: A Fixed Horizons Approach, William D. Nordhaus, Steven N. Durlauf
Empirical Tests Of The Rationality Of Economic Forecasters: A Fixed Horizons Approach, William D. Nordhaus, Steven N. Durlauf
Cowles Foundation Discussion Papers
This paper examines the behavior of 4 major forecasters and the forecast consensus. We employ a new technique of “Fixed Horizon” models. This technique analyzes the sequence of adjustments of a series of forecasts of the same event. We first demonstrate that these forecast adjustment sequences should fluctuate randomly under rationality. We then examine approximately 1200 forecast adjustments over the 1978-1982 period to examine the statistical properties of forecast adjustments. The evidence clearly demonstrates that there are marked and significant elements of statistical rationality for these major forecasters. Information shocks are processed slowly. The pattern of adjustments is consistent with …
Plausible Outcomes For Games In Strategic Form, Martin Shubik
Plausible Outcomes For Games In Strategic Form, Martin Shubik
Cowles Foundation Discussion Papers
This is the first projected series of papers on solutions to games in matrix and extensive form.
The Use Of Expected Future Variables In Macroeconometric Models, Ray C. Fair
The Use Of Expected Future Variables In Macroeconometric Models, Ray C. Fair
Cowles Foundation Discussion Papers
A more sophisticated expectational hypothesis than is traditionally used in the specification of macroeconometric models is tested in this paper. Economic agents are assumed to use a vector of variables Z t in forming their expectations for periods t + 1 and beyond. These expectations may or may not be rational in the Muth sense. The results provide some evidence in favor of the more sophisticated hypothesis, but they are not strong enough to allow much weight to be put on the hypothesis as yet. The evidence in favor of the hypothesis is strongest for households’ response to future wages …
General Equilibrium With Wage Rigidities: An Application To Belgium, Victor Ginsburgh, Ludo Van Der Heyden
General Equilibrium With Wage Rigidities: An Application To Belgium, Victor Ginsburgh, Ludo Van Der Heyden
Cowles Foundation Discussion Papers
This paper concerns an application to the Belgian economy of general equilibrium analysis in the presence of downward real wage rigidities. The model aims at explaining the short-run impact of recent income and exchange policies upon employment in Belgium. Mathematical programming techniques are used to compute equilibria.
Stability Comparisons Of Estimators, Donald W.K. Andrews
Stability Comparisons Of Estimators, Donald W.K. Andrews
Cowles Foundation Discussion Papers
A property of estimators called stability is investigated in this paper. The stability of an estimator is a measure of the magnitude of the affect of any single observation in the sample on the realized value of the estimator. High stability often is desirable for robustness against misspecification and against highly variable observations. Stabilities are determined and compared for a wide variety of estimators and econometric models. Estimators considered include: least squares, maximum likelihood (including both LIML and FIML), instrumental variables, M-, and multi-stage estimators such as tow and three stage least squares, Zellner’s feasible Aikten estimator of the multivariate …
Estimated Trade-Offs Between Unemployment And Inflation, Ray C. Fair
Estimated Trade-Offs Between Unemployment And Inflation, Ray C. Fair
Cowles Foundation Discussion Papers
No abstract provided.
Job Discrimination, Market Forces And The Invisibility Hypothesis, Paul R. Milgrom, Sharon Oster
Job Discrimination, Market Forces And The Invisibility Hypothesis, Paul R. Milgrom, Sharon Oster
Cowles Foundation Discussion Papers
The Invisibility Hypothesis holds that the job skills of disadvantaged workers are not easily discovered by potential new employers, but that promotion enhances visibility and alleviates this problem. Then, at a competitive labor market equilibrium, firms profit by hiding talented disadvantaged workers in low level jobs. Consequently, those workers are paid less on average and promoted less often than others with the same education and ability. As a result of the inefficient and discriminatory wage and promotion policies, disadvantaged workers experience lower returns to investments in human capital than other workers.
Job Discrimination, Market Forces And The Invisibility Hypothesis, Paul R. Milgrom, Sharon Oster
Job Discrimination, Market Forces And The Invisibility Hypothesis, Paul R. Milgrom, Sharon Oster
Cowles Foundation Discussion Papers
The Invisibility Hypothesis holds that the job skills of disadvantaged workers are not easily observed by potential new employers, but that promotion enhances visibility and alleviates this problem. Then, at a competitive labor market equilibrium, disadvantaged workers will be paid less on average and promoted less often than other workers with the same education and ability, even if their employers are unprejudiced and know their workers’ abilities. As a result of the discriminatory wage and promotion policies, disadvantaged workers will experience lower returns to investments in human capital than other workers. An affirmative action program that eliminates discrimination and brings …
Price And Advertising Signals Of Product Quality, Paul R. Milgrom, John Roberts
Price And Advertising Signals Of Product Quality, Paul R. Milgrom, John Roberts
Cowles Foundation Discussion Papers
We present a signalling model, based on ideas of Phillip Nelson, in which both the introductory price and the level of directly “uninformative” advertising or other dissipative marketing expenditures are choice variables and may be used as signals for the initially unobservable quality of a newly introduced experience good. Repeat purchases play a crucial role in our model.
Stability Comparisons Of Estimators, Donald W.K. Andrews
Stability Comparisons Of Estimators, Donald W.K. Andrews
Cowles Foundation Discussion Papers
This paper investigates a property of estimators called stability. The stability exponent of an estimator is defined to be a measure of the effect of any single observation in the sample on the realized value of the estimator. High stability is often desirable for robustness against misspecification and against highly variable observations. Stability exponents are determined and compared for a wide variety of estimators and econometric models. They are found to depend on the maximal moment exponent (i.e., the number of finite moments) of the estimator’s influence curve. Since it is possible often to construct estimators with specified influence curves, …
Stability Comparisons Of Estimators, Donald W.K. Andrews
Stability Comparisons Of Estimators, Donald W.K. Andrews
Cowles Foundation Discussion Papers
This paper investigates a property of estimators called stability. The stability exponent of an estimator is defined to be a measure of the effect of any single observation in the sample on the realized value of the estimator. High stability is often desirable for robustness against misspecification and against highly variable observations. Stability exponents are determined and compared for a wide variety of estimators and econometric models. They are found to depend on the maximal moment exponent (i.e., the number of finite moments) of the estimator’s influence curve. Since it is possible often to construct estimators with specified influence curves, …
A General Equilibrium Expression Of The Paradox Of Thrift, Christophe Chamley
A General Equilibrium Expression Of The Paradox Of Thrift, Christophe Chamley
Cowles Foundation Discussion Papers
A model is presented which is derived from some observations of Keynes on the nature of capital. The allocation of investment is analyzed in two economies with random demand shocks which are identical except for the types of markets. In the first, the combination of an asset and forward markets realizes the complete set of markets. In the second, the forward markets are replaced by spot markets. Consumers and entrepreneurs are rational and markets clear. A clear definition of the paradox of thrift is proposed and its existence is proven. The substitution of spot markets for forward markets generates fluctuations …
Optimal Spending And Money Holdings In The Presence Of Liquidity Constraints And Random Income Fluctuations, Richard H. Clarida
Optimal Spending And Money Holdings In The Presence Of Liquidity Constraints And Random Income Fluctuations, Richard H. Clarida
Cowles Foundation Discussion Papers
We examine the optimal spending behavior and money holdings of a risk averse individual who faces liquidity constraints and random fluctuations in his money income. Because of a cash-in-advance constraint, the individual has a well-defined transactions requirement for money balances. In addition, because money income is uncertain and money is — by assumption — the only available store of value, the risk averse individual also holds money balances as an inventory which can be drawn down in periods of unexpectedly low earnings. We establish the strict monotonicity properties of optimal expenditure and money demand decisions and show that the average …
Consumption, Liquidity Constraints And Asset Accumulation In The Presence Of Random Income Fluctuations, Richard H. Clarida
Consumption, Liquidity Constraints And Asset Accumulation In The Presence Of Random Income Fluctuations, Richard H. Clarida
Cowles Foundation Discussion Papers
Recent empirical research, Flavin (1981), Hagashi (1982), has rejected the certainty-equivalent formulation of permanent income hypothesis, Hall (1978). These findings are often attributed to households’ inability to borrow completely against expected future labor income. This paper is a theoretical investigation of optimal consumption behavior under risk aversion, random income fluctuations, and borrowing restrictions. Our principle objective is to establish the existence and to investigate the properties of the stationary probability distribution which characterizes the asymptotic behavior of consumption under these conditions.
A Comparison Of The Michigan And Fair Models: Further Results, Ray C. Fair, Lewis S. Alexander
A Comparison Of The Michigan And Fair Models: Further Results, Ray C. Fair, Lewis S. Alexander
Cowles Foundation Discussion Papers
This paper examines the equation-by-equation accuracy of the Michigan and Fair model using the method in Fair (1980). Emphasis is placed on examining the possible misspecification of the equations. In an earlier study, Fair and Alexander (1984), we used the method to examine the accuracy of the complete models. In the present study we are interested in the accuracy of the individual equations when considered in isolation from the rest of the model.
The Cooperative Form, The Value And The Allocation Of Joint Costs And Benefits, Martin Shubik
The Cooperative Form, The Value And The Allocation Of Joint Costs And Benefits, Martin Shubik
Cowles Foundation Discussion Papers
No abstract provided.
On The Stochastic Steady-State Behavior Of Optimal Asset Accumulation In The Presence Of Random Wage Fluctuations And Incomplete Markets, Richard H. Clarida
On The Stochastic Steady-State Behavior Of Optimal Asset Accumulation In The Presence Of Random Wage Fluctuations And Incomplete Markets, Richard H. Clarida
Cowles Foundation Discussion Papers
We establish rigorously the existence and properties of the stationary probability distribution which characterizes the accumulation of non-contingent financial claims by a risk averse individual who confronts random wage fluctuations and incomplete insurance markets. We show that there exists a unique, almost-everyhwere continuous stationary cumulative distribution function which characterizes the accumulation of non-contingent financial claims in a stochastic steady-state. This distribution is shown to possess a single mass point coinciding with the non-negative, finite borrowing limit faced by the individual. We establish that the stationary distribution which characterizes the asset accumulation of low time preference individuals is at least as …
Optimal Taxation Of Capital Income In Economies With Identical Private And Social Discount Rates, Christophe Chamley
Optimal Taxation Of Capital Income In Economies With Identical Private And Social Discount Rates, Christophe Chamley
Cowles Foundation Discussion Papers
The optimal capital income tax is analyzed in the framework of intertemporal efficient taxation. The relation between the zero tax in the long-run and the equality between private and social discount rates is emphasized. The properties of the dynamic second best path described for a specific example (convergence to a steady state and values of the capital income tax in the transition). The case where wealth is a specific utility argument is also considered.
Conditional Projection By Means Of Kalman Filtering, Richard H. Clarida, Diane Coyle
Conditional Projection By Means Of Kalman Filtering, Richard H. Clarida, Diane Coyle
Cowles Foundation Discussion Papers
We establish that the recursive, state-space methods of Kalman filtering and smoothing can be used to implement the Doan, Litterman, and Sims (1983) approach to econometric forecast and policy evaluation. Compared with the methods outlined in Doan, Litterman, and Sims, the Kalman algorithms are more easily programmed and modified to incorporate different linear constraints, avoid cumbersome matrix inversions, and provide estimates of the full variance-covariance matrix of the constrained projection errors which can be used directly, under standard normality assumptions, to test statistically the likelihood and internal consistency of the forecast under study.
A Comparison Of The Michigan And Fair Models, Ray C. Fair, Lewis S. Alexander
A Comparison Of The Michigan And Fair Models, Ray C. Fair, Lewis S. Alexander
Cowles Foundation Discussion Papers
No abstract provided.
The Behavior Of U.S. Short-Term Interest Rates Since October 1979, Richard H. Clarida, Benjamin M. Friedman
The Behavior Of U.S. Short-Term Interest Rates Since October 1979, Richard H. Clarida, Benjamin M. Friedman
Cowles Foundation Discussion Papers
Short-term interest rates in the United States have been “too high” since October 1979 in the sense that both unconditional and conditional forecasts, based on an estimated vector autoregression model summarizing the prior experience, underpredict short-term interest rates during this period. Although a non-structural model cannot directly answer the question of why this has been so, comparisons of alternative conditional forecasts point to the post-October 1979 relationship between the growth of real income and the growth of real money balances as closely connected to the level and pattern of short-term interest rates. This finding is consistent with the authors’ macroeconomic …
A Zero-One Result For The Least Squares Estimator, Donald W.K. Andrews
A Zero-One Result For The Least Squares Estimator, Donald W.K. Andrews
Cowles Foundation Discussion Papers
The least squares estimator for the linear regression model is shown to converge to the true parameter vector either with probability one or with probability zero under weak conditions on the dependent random variable and regressor variables. No additional conditions are placed on the errors. The dependent and regressor variables are assumed to be weakly dependent — in particular, to be strong mixing. The regressors may be fixed or random and must exhibit a certain degree of independent variability. No further assumptions are needed. The model considered allows the number of regressors to increase without bound as the sample size …