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Articles 1 - 30 of 43
Full-Text Articles in Social and Behavioral Sciences
Marginal Versus Average Cost Pricing In The Presence Of A Public Monopoly, Donald J. Brown, Geoffrey M. Heal
Marginal Versus Average Cost Pricing In The Presence Of A Public Monopoly, Donald J. Brown, Geoffrey M. Heal
Cowles Foundation Discussion Papers
No abstract provided.
The Exact Distribution Of Liml: I, Peter C.B. Phillips
The Exact Distribution Of Liml: I, Peter C.B. Phillips
Cowles Foundation Discussion Papers
It is shown that the exact finite sample distribution of the limited information maximum likelihood (LIML) estimator in a general and leading single equation case is multivariate Cauchy. When the LIML estimator utilizes a known error covariance matrix (LIMLK) it is proved that the same Cauchy distribution still applies. The corresponding result for the instrumental variable (IV) estimator is a form of multivariate t density where the degrees of freedom depend on the number of instruments.
Near-Markets And Market Games, Martin Shubik, Myrna Holtz Wooders
Near-Markets And Market Games, Martin Shubik, Myrna Holtz Wooders
Cowles Foundation Discussion Papers
No abstract provided.
Optimal Labor Contracts And The Role Of Monetary Policy In An Overlapping Generations Model, Russell Cooper
Optimal Labor Contracts And The Role Of Monetary Policy In An Overlapping Generations Model, Russell Cooper
Cowles Foundation Discussion Papers
This paper extends the optimal labor contracts literature to consider an environment with both real and nominal shocks. In an overlapping generations model, we compare alternative means of trading labor services: spot markets, fixed nominal wage contracts and price-contingent contracts. The ordering of these market structures will depend on the relative variability of the real and nominal shocks and the costs of contingent contracts. We also investigate the role of monetary policy and the circumstances under which feedback rules are neutral. Finally, we show that a non-stochastic monetary policy is optimal.
Global Stability In A Class Of Markets With Three Commodities And Three Consumers, Masayoshi Hirota
Global Stability In A Class Of Markets With Three Commodities And Three Consumers, Masayoshi Hirota
Cowles Foundation Discussion Papers
No abstract provided.
Revelation Of Information In Strategic Market Games: A Critique Of Rational Expectations, Pradeep Dubey, John Geanakoplos, Martin Shubik
Revelation Of Information In Strategic Market Games: A Critique Of Rational Expectations, Pradeep Dubey, John Geanakoplos, Martin Shubik
Cowles Foundation Discussion Papers
No abstract provided.
Scarf's Procedure For Integer Programming And A Dual Simplex Algorithm, Philip M. White, Andrew S. Caplin, Ludo Van Der Heyden
Scarf's Procedure For Integer Programming And A Dual Simplex Algorithm, Philip M. White, Andrew S. Caplin, Ludo Van Der Heyden
Cowles Foundation Discussion Papers
Herbert Scarf has recently introduced an algorithm for integer programs based on the concept of primitive sets. We show that as the choice variables become continuous, this algorithm converges to a dual simplex algorithm. This result is robust in the sense that even before the limit is reached, the simplex path is contained in the primitive sets which define Scarf’s path to the solution of the integer program.
Investment Versus Savings Incentives: The Size Of The Bang For The Buck And The Potential For Self-Financing Business Tax Cuts, Alan J. Auerbach, Laurence Kotlikoff
Investment Versus Savings Incentives: The Size Of The Bang For The Buck And The Potential For Self-Financing Business Tax Cuts, Alan J. Auerbach, Laurence Kotlikoff
Cowles Foundation Discussion Papers
No abstract provided.
Revelation Of Information In Strategic Market Games: A Critique Of Rational Expectations, Pradeep Dubey, John Geanakoplos, Martin Shubik
Revelation Of Information In Strategic Market Games: A Critique Of Rational Expectations, Pradeep Dubey, John Geanakoplos, Martin Shubik
Cowles Foundation Discussion Papers
We criticize the R.E.E. approach to asymmetric information general equilibrium because it does not explain how information gets “into” the prices. This leads to well-known paradoxes. We suggest a multiperiod game instead, where the flow of information into and out of prices is explicitly modeled. In our game Nash equilibria (N.E.) (1) generalize Walrasian equilibria to asymmetric information; (2) exist generically; (3) eliminate pure speculation; (4) allow prices to reveal information and markets to become more efficient over time; (5) are consistent with the weak efficient markets hypothesis that tracking past prices is not profitable; (6) yet always lead to …
Stable Disequilibrium Prices: Macroeconomics And Increasing Returns I, Geoffrey M. Heal
Stable Disequilibrium Prices: Macroeconomics And Increasing Returns I, Geoffrey M. Heal
Cowles Foundation Discussion Papers
The paper establishes conditions for the existence of a set of prices which are stable and at which markets do not clear, providing a rigorous foundation for the existence of fixed-price equilibria via the macroeconomics of increasing returns. It analyzes a Walrasian price adjustment process for a general equilibrium economy with economies of scale in production.
A Geometric Explanation Of The Transfer Paradox In A Stable Economy, John Geanakoplos, Geoffrey M. Heal
A Geometric Explanation Of The Transfer Paradox In A Stable Economy, John Geanakoplos, Geoffrey M. Heal
Cowles Foundation Discussion Papers
No abstract provided.
Robust And Asymptotically Efficient Estimation Of Location In A Stationary Strong Mixing Gaussian Parametric Model, Donald W.K. Andrews
Robust And Asymptotically Efficient Estimation Of Location In A Stationary Strong Mixing Gaussian Parametric Model, Donald W.K. Andrews
Cowles Foundation Discussion Papers
This paper considers the problem of robust estimation of location in a model with stationary strong mixing Gaussian parametric distributions. An estimator is found that is within epsilon of being asymptotically efficient at the Gaussian parametric distribution and is within epsilon of being optimally robust! For the robustness results a Huber-type minimax criterion is used, where minimaxing takes place over neighborhoods of the parametric Gaussian distributions. The neighborhood system considered includes distributions of strong mixing processes and allows for deviations from the normal univariate parametric distributions within a Hellinger metric neighborhood, as well as deviations from stationarity and from the …
On Allocative Distortions In Problems Of Self-Selection, Russell Cooper
On Allocative Distortions In Problems Of Self-Selection, Russell Cooper
Cowles Foundation Discussion Papers
This paper considers the general structure of self-selection models. By imposing conditions which permit the ordering of agents by their preferences, we provide a characterization of the distortions inherent in the sorting process. We also discuss extensions of the basic model such as randomization. Time Series Behavior of Prices for Overlapping Futures Contracts, with an Application to Soybean Futures
The Structure Of Social Risk, William D. Nordhaus, Steven N. Durlauf
The Structure Of Social Risk, William D. Nordhaus, Steven N. Durlauf
Cowles Foundation Discussion Papers
It is increasingly recognized that the structure of financial risks interacts with economic or fundamental risks in a way that influence real economic outcomes. Recent work documents, on the one hand, the apparent excessive sensitivity of financial markets to economic shocks (see especially Shiller (1979)); and on the other hand the close dependence of investment and economic variables on financial variables. One of the central developments to analyze such interactions has been portfolio theory, particularly the capital asset pricing model (CAPM). This field has been extremely fertile, and has seen an outpouring of both theoretical and empirical work. Unfortunately, virtually …
Utility Functions For Debreu's ‘Excess Demands', John Geanakoplos
Utility Functions For Debreu's ‘Excess Demands', John Geanakoplos
Cowles Foundation Discussion Papers
No abstract provided.
Core And Competitive Equilibria With Indivisibilities, Martine Quinzii
Core And Competitive Equilibria With Indivisibilities, Martine Quinzii
Cowles Foundation Discussion Papers
No abstract provided.
Era's: A New Approach To Small Sample Theory, Peter C.B. Phillips
Era's: A New Approach To Small Sample Theory, Peter C.B. Phillips
Cowles Foundation Discussion Papers
This article proposes a new approach to small sample theory that achieves a meaningful integration of earlier directions of research in this field. The approach centers on the constructive technique of approximating distributions developed recently by the author in [10]. This technique utilizes extended rational approximants (ERA’s) which methods (such as those based on asymptotic expansions) and which simultaneously blend information from diverse analytic, numerical and experimental sources. The first part of the article explores the general theory of approximation of continuous probability distributions by means of ERA’s. Existence, characterization, error bound and uniqueness for the convergence result obtained earlier …
On The Disaggregation Of Excess Demand Functions, John Geanakoplos, Heracles M. Polemarchakis
On The Disaggregation Of Excess Demand Functions, John Geanakoplos, Heracles M. Polemarchakis
Cowles Foundation Discussion Papers
No abstract provided.
The Distribution Of Matrix Quotients, Peter C.B. Phillips
The Distribution Of Matrix Quotients, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Cramér’s inversion formula for the distribution of a quotient is generalized to matrix variates and applied to give an alternative derivation of the matrix t-distribution.
We Can't Disagree Forever, John Geanakoplos, Heracles M. Polemarchakis
We Can't Disagree Forever, John Geanakoplos, Heracles M. Polemarchakis
Cowles Foundation Discussion Papers
Under the assumption of common priors, if the information partitions of two agents are finite, then simply by communicating back and forth and revising their posteriors the two agents will converge to a common equilibrium posterior, even though they may base their posteriors on quite different information. Furthermore, given any integer, n, one can construct an example in which the revision process not only takes n steps to converge, but no evident revision occurs — for (n – 1) steps both agents repeat the same conflicting posteriors — until the last step when the two agents decide to agree. Common …
Information Processing And Jury Decision Making, Alvin K. Klevorick, Michael Rothschild, Christopher Winship
Information Processing And Jury Decision Making, Alvin K. Klevorick, Michael Rothschild, Christopher Winship
Cowles Foundation Discussion Papers
No abstract provided.
Failure Of The Alternation Theorem In Rational Approximation Over C_0 (-Infinity,Infinity), Peter C.B. Phillips
Failure Of The Alternation Theorem In Rational Approximation Over C_0 (-Infinity,Infinity), Peter C.B. Phillips
Cowles Foundation Discussion Papers
No abstract provided.
Don't Bet On It, John Geanakoplos, James K. Sebenius
Don't Bet On It, John Geanakoplos, James K. Sebenius
Cowles Foundation Discussion Papers
If two people have different probability assessments about the realization of an uncertain event, they can design a contingent agreement such as a bet or gamble that offers each of them positive expected value. Yet, in the process of formulating this kind of agreement, information about the basis for each person’s probabilities may be indirectly revealed to the other. The very willingness to accept a proposed bet conveys information. This paper models a process by which private, asymmetrically-held information is progressively unveiled as a possible contingent agreement is discussed. If the two parties share priors and their information partitions are …
On Implicit Contracts And Involuntary Unemployment, John Geanakoplos, Takatoshi Ito
On Implicit Contracts And Involuntary Unemployment, John Geanakoplos, Takatoshi Ito
Cowles Foundation Discussion Papers
We show that a firm can increase expected profits by undertaking the additional expense of paying unemployment compensation to the workers it lays off, if they are risk averse. When this argument is applied to the implicit contract models it makes the involuntary unemployment derived there disappear, where by involuntary unemployment we mean a situation in which one worker has a job at a wage w and another worker who is known to be productively identical and willing to take on the job at a lower wage h cannot find a job. We introduce into our model asymmetric information between …
A Bookmaker Or Market Type Test For Specification In Discrete Choice Models, John J. Beggs
A Bookmaker Or Market Type Test For Specification In Discrete Choice Models, John J. Beggs
Cowles Foundation Discussion Papers
This paper suggests that the predicted probabilities of outcomes given by an estimated discrete choice model by thought of as prices (or bookmaker odds) associated with those outcomes. By buying or selling contracts (gambling) at those prices (odds) it should not be possible to, on average, make a profit if the model is well specified and is generating “correct” prices. This notion then forms the basis of a model specification test.
Integral Polyhedra In Three Space, Herbert E. Scarf
Integral Polyhedra In Three Space, Herbert E. Scarf
Cowles Foundation Discussion Papers
No abstract provided.
Inefficiency Of Nash Equilibria In A Private Goods Economy, Pradeep Dubey, J. D. Rogawski
Inefficiency Of Nash Equilibria In A Private Goods Economy, Pradeep Dubey, J. D. Rogawski
Cowles Foundation Discussion Papers
No abstract provided.
Stochastic Games I: Foundations, Curt Alfred Monash
Stochastic Games I: Foundations, Curt Alfred Monash
Cowles Foundation Discussion Papers
No abstract provided.
Information About Moves In Extensive Games: Ii, Pradeep Dubey, Mamoru Kaneko
Information About Moves In Extensive Games: Ii, Pradeep Dubey, Mamoru Kaneko
Cowles Foundation Discussion Papers
No abstract provided.
Equilibria For A Three-Person Location Problem, Martin J. Osborne, Carolyn Pitchik
Equilibria For A Three-Person Location Problem, Martin J. Osborne, Carolyn Pitchik
Cowles Foundation Discussion Papers
We find all the mixed strategy equilibria, within a certain class, of the simplified three-firm location model of Hotelling (in which the price variable is ignored).