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Articles 1321 - 1350 of 3476
Full-Text Articles in Economics
Optimal Uniform Convergence Rates And Asymptotic Normality For Series Estimators Under Weak Dependence And Weak Conditions, Xiaohong Chen, Timothy M. Christensen
Optimal Uniform Convergence Rates And Asymptotic Normality For Series Estimators Under Weak Dependence And Weak Conditions, Xiaohong Chen, Timothy M. Christensen
Cowles Foundation Discussion Papers
We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal uniform (i.e., sup-norm) convergence rate ( n /log n ) - p /(2p+ d ) of Stone (1982), where d is the number of regressors and p is the smoothness of the regression function. The optimal rate is achieved even for heavy-tailed martingale difference errors with finite (2 + ( d/p ))th absolute moment for d/p < 2. We also establish the asymptotic normality of t statistics for possibly nonlinear, irregular functionals of the conditional mean function under weak conditions. The results are proved by deriving a new exponential inequality for sums of weakly dependent random matrices, which is of independent interest.
Asymptotic Size Of Kleibergen's Lm And Conditional Lr Tests For Moment Condition Models, Donald W.K. Andrews, Patrik Guggenberger
Asymptotic Size Of Kleibergen's Lm And Conditional Lr Tests For Moment Condition Models, Donald W.K. Andrews, Patrik Guggenberger
Cowles Foundation Discussion Papers
An influential paper by Kleibergen (2005) introduces Lagrange multiplier (LM) and conditional likelihood ratio-like (CLR) tests for nonlinear moment condition models. These procedures aim to have good size performance even when the parameters are unidentified or poorly identified. However, the asymptotic size and similarity (in a uniform sense) of these procedures has not been determined in the literature. This paper does so. This paper shows that the LM test has correct asymptotic size and is asymptotically similar for a suitably chosen parameter space of null distributions. It shows that the CLR tests also have these properties when the dimension p …
A New Hedonic Regression For Real Estate Prices Applied To The Singapore Residential Market, Liang Jiang, Peter C.B. Phillips, Jun Yu
A New Hedonic Regression For Real Estate Prices Applied To The Singapore Residential Market, Liang Jiang, Peter C.B. Phillips, Jun Yu
Cowles Foundation Discussion Papers
This paper develops a new hedonic method for constructing a real estate price index that utilizes all transaction price information that encompasses both single-sale and repeat-sale properties. The new method is less prone to specification errors than standard hedonic methods and uses all available data. Like the Case-Shiller repeat-sales method, the new method has the advantage of being computationally efficient. In an empirical analysis of the methodology, we fit the model to all transaction prices for private residential property holdings in Singapore between Q1 1995 and Q2 2014, covering several periods of major price fluctuation and changes in government macroprudential …
The Early Impact Of The Affordable Care Act State-By-State, Amanda E. Kowalski
The Early Impact Of The Affordable Care Act State-By-State, Amanda E. Kowalski
Cowles Foundation Discussion Papers
I examine the impact of state policy decisions on the early impact of the ACA using data through the first half of 2014. I focus on the individual health insurance market, which includes plans purchased through exchanges as well as plans purchased directly from insurers. In this market, at least 13.2 million people were covered in the second quarter of 2014, representing an increase of at least 4.2 million beyond pre-ACA state-level trends. I use data on coverage, premiums, and costs and a model developed by Hackmann, Kolstad, and Kowalski (2013) to calculate changes in selection and markups, which allow …
On The Choice Of Test Statistic For Conditional Moment Inequalities, Timothy B. Armstrong
On The Choice Of Test Statistic For Conditional Moment Inequalities, Timothy B. Armstrong
Cowles Foundation Discussion Papers
This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for conditional moment inequality models in the set identified case. Combined with power results for Kolmogorov-Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting function and, for tests based on kernel estimates, kernel bandwidth. The results show that KS tests are preferred to CvM tests, and that a truncated variance weighting is preferred to bounded weightings under a minimax criterion, and for a class of alternatives that arises naturally in these models. The results also provide insight into how moment selection and …
On The Choice Of Test Statistic For Conditional Moment Inequalities, Timothy B. Armstrong
On The Choice Of Test Statistic For Conditional Moment Inequalities, Timothy B. Armstrong
Cowles Foundation Discussion Papers
This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for inference on a finite dimensional parameter defined by conditional moment inequalities in the case where the parameter is set identified. Combined with power results for Kolmogorov-Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting function and, for tests based on kernel estimates, kernel bandwidth. The results show that KS tests are preferred to CvM tests, and that a truncated variance weighting is preferred to bounded weightings under a minimax criterion, and for a class of alternatives that arises naturally in these …
On The Choice Of Test Statistic For Conditional Moment Inequalities, Timothy B. Armstrong
On The Choice Of Test Statistic For Conditional Moment Inequalities, Timothy B. Armstrong
Cowles Foundation Discussion Papers
This paper derives asymptotic approximations to the power of Cramer-von Mises (CvM) style tests for inference on a finite dimensional parameter defined by conditional moment inequalities in the case where the parameter is set identified. Combined with power results for Kolmogorov-Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting function and, for tests based on kernel estimates, kernel bandwidth. The results show that, in the setting considered here, KS tests are preferred to CvM tests, and that a truncated variance weighting is preferred to bounded weightings.
Digitally Mapping The Growth Of The Railroads In The United States, Michael Weaver
Digitally Mapping The Growth Of The Railroads In The United States, Michael Weaver
Yale Day of Data
As part of my dissertation, I creating digital maps of the extent of the railways in the United States during the late 19th century (1880 to 1910) on a yearly basis. While other researchers have created digital maps of the railways in approximately 10-year intervals, this misses out on the rapid change in the railways in the interim. These previous digitization attempts have relied on using detailed maps created of the railways at a given time. But accurate maps were not made on a yearly basis and only exist for roughly every 10 years. However, during the 19th century, people …
Economics: Between Prediction And Criticism, Itzhak Gilboa, Andrew Postlewaite, Larry Samuelson, David Schmeidler
Economics: Between Prediction And Criticism, Itzhak Gilboa, Andrew Postlewaite, Larry Samuelson, David Schmeidler
Cowles Foundation Discussion Papers
We suggest that one way in which economic analysis is useful is by offering a critique of reasoning. According to this view, economic theory may be useful not only by providing predictions, but also by pointing out weaknesses of arguments. It is argued that, when a theory requires a non-trivial act of interpretation, its roles in producing predictions and offering critiques vary in a substantial way. We offer a formal model in which these different roles can be captured.
Strongly Symmetric Equilibria In Bandit Games, Johannes Hörner, Nicolas Klein, Sven Rady
Strongly Symmetric Equilibria In Bandit Games, Johannes Hörner, Nicolas Klein, Sven Rady
Cowles Foundation Discussion Papers
This paper studies strongly symmetric equilibria (SSE) in continuous-time games of strategic experimentation with Poisson bandits. SSE payoffs can be studied via two functional equations similar to the HJB equation used for Markov equilibria. This is valuable for three reasons. First, these equations retain the tractability of Markov equilibrium, while allowing for punishments and rewards: the best and worst equilibrium payoff are explicitly solved for. Second, they capture behavior of the discrete-time game: as the period length goes to zero in the discretized game, the SSE payoff set converges to their solution. Third, they encompass a large payoff set: there …
Approximate Solutions Of Walrasian And Gorman Polar Form Equilibrium Inequalities, Donald J. Brown
Approximate Solutions Of Walrasian And Gorman Polar Form Equilibrium Inequalities, Donald J. Brown
Cowles Foundation Discussion Papers
Recently Cherchye et al. (2011) reformulated the Walrasian equilibrium inequalities, introduced by Brown and Matzkin (1996), as an integer programming problem and proved that solving the Walrasian equilibrium inequalities is NP-hard. Following Brown and Shannon (2000), we reformulate the Walrasian equilibrium inequalities as the dual Walrasian equilibrium inequalities. Brown and Shannon proved that the Walrasian equilibrium inequalities are solvable iff the dual Walrasian equilibrium inequalities are solvable. We show that solving the dual Walrasian equilibrium inequalities is equivalent to solving a NP-hard minimization problem. Approximation theorems are polynomial time algorithms for computing approximate solutions of NP-hard minimization problems. The primary …
Approximate Solutions Of The Walrasian Equilibrium Inequalities With Bounded Marginal Utilities Of Income, Donald J. Brown
Approximate Solutions Of The Walrasian Equilibrium Inequalities With Bounded Marginal Utilities Of Income, Donald J. Brown
Cowles Foundation Discussion Papers
Recently Cherchye et al. (2011) reformulated the Walrasian equilibrium inequalities, introduced by Brown and Matzkin (1996), as an integer programming problem and proved that solving the Walrasian equilibrium inequalities is NP-hard. Brown and Shannon (2002) derived an equivalent system of equilibrium inequalities, i.e., the dual Walrasian equilibrium inequalities. That is, the Walrasian equilibrium inequalities are solvable iff the dual Walrasian equilibrium inequalities are solvable. We show that solving the dual Walrasian equilibrium inequalities is equivalent to solving a NP-hard minimization problem. Approximation theorems are polynomial time algorithms for computing approximate solutions of NP-hard minimization problems. The primary contribution of this …
Approximate Solutions Of Walrasian Equilibrium Inequalities With Bounded Marginal Utilities Of Income, Donald J. Brown
Approximate Solutions Of Walrasian Equilibrium Inequalities With Bounded Marginal Utilities Of Income, Donald J. Brown
Cowles Foundation Discussion Papers
Recently Cherchye et al. (2011) reformulated the Walrasian equilibrium inequalities, introduced by Brown and Matzkin (1996), as an integer programming problem and proved that solving the Walrasian equilibrium inequalities is NP-hard. Brown and Shannon (2002) derived an equivalent system of equilibrium inequalities, i.e., the dual Walrasian equilibrium inequalities. That is, the Walrasian equilibrium inequalities are solvable iff the dual Walrasian equilibrium inequalities are solvable. We show that solving the dual Walrsian equilibrium inequalities is equivalent to solving a NP-hard minimization problem. Approximation theorems are polynomial time algorithms for computing approximate solutions of NP-hard minimization problems. The primary contribution of this …
Adaptive Testing On A Regression Function At A Point, Timothy B. Armstrong
Adaptive Testing On A Regression Function At A Point, Timothy B. Armstrong
Cowles Foundation Discussion Papers
We consider the problem of inference on a regression function at a point when the entire function satisfies a sign or shape restriction under the null. We propose a test that achieves the optimal minimax rate adaptively over a range of Holder classes, up to a log log n term, which we show to be necessary for adaptation. We apply the results to adaptive one-sided tests for the regression discontinuity parameter under a monotonicity restriction, the value of a monotone regression function at the boundary, and the proportion of true null hypotheses in a multiple testing problem.
Adaptive Testing On A Regression Function At A Point, Timothy B. Armstrong
Adaptive Testing On A Regression Function At A Point, Timothy B. Armstrong
Cowles Foundation Discussion Papers
We consider the problem of inference on a regression function at a point when the entire function satisfies a sign or shape restriction under the null. We propose a test that achieves the optimal minimax rate adaptively over a range of Hölder classes, up to a log log n term, which we show to be necessary for adaptation. We apply the results to adaptive one-sided tests for the regression discontinuity parameter under a monotonicity restriction, the value of a monotone regression function at the boundary, and the proportion of true null hypotheses in a multiple testing problem.
Selling Experiments: Menu Pricing Of Information, Dirk Bergemann, Alessandro Bonatti, Alex Smolin
Selling Experiments: Menu Pricing Of Information, Dirk Bergemann, Alessandro Bonatti, Alex Smolin
Cowles Foundation Discussion Papers
A monopolist sells informative experiments to heterogeneous buyers. Buyers differ in their prior information, and hence in their willingness to pay for additional signals. The monopolist can profitably offer a menu of experiments. We show that, even under costless information acquisition and free degrading of information, the optimal menu is quite coarse. The seller offers at most two experiments, and we derive conditions under which at vs. discriminatory pricing is optimal.
Dynamic Revenue Maximization: A Continuous Time Approach, Dirk Bergemann, Philipp Strack
Dynamic Revenue Maximization: A Continuous Time Approach, Dirk Bergemann, Philipp Strack
Cowles Foundation Discussion Papers
We characterize the revenue-maximizing mechanism for time separable allocation problems in continuous time. The willingness-to-pay of each agent is private information and changes over time. We derive the dynamic revenue-maximizing mechanism, analyze its qualitative structure and frequently derive its closed form solution. In the leading example of repeat sales of a good or service, we establish that commonly observed contract features such as at rates, free consumption units and two-part tariffs emerge as part of the optimal contract. We investigate in detail the environments in which the type of each agent follows an arithmetic or geometric Brownian motion or a …
Dynamic Revenue Maximization: A Continuous Time Approach, Dirk Bergemann, Philipp Strack
Dynamic Revenue Maximization: A Continuous Time Approach, Dirk Bergemann, Philipp Strack
Cowles Foundation Discussion Papers
We characterize the revenue-maximizing mechanism for time separable allocation problems in continuous time. The valuation of each agent is private information and changes over time. At the time of contracting every agent privately observes his initial type which influences the evolution of his valuation process. The leading example is the repeated sales of a good or a service. We derive the optimal dynamic mechanism, analyze its qualitative structure and frequently derive its closed form solution. This enables us to compare the distortion in various settings. In particular, we discuss the cases where the type of each agent follows an arithmetic …
Money And Status: How Best To Incentivize Work, Pradeep Dubey, John Geanakoplos
Money And Status: How Best To Incentivize Work, Pradeep Dubey, John Geanakoplos
Cowles Foundation Discussion Papers
Status is greatly valued in the real world, yet it has not received much attention from economic theorists. We examine how the owner of a firm can best combine money and status to get her employees to work hard for the least total cost. We find that she should motivate workers of low skill mostly by status and high skill mostly by money. Moreover, she should do so by using a small number of titles and wage levels. This often results in star wages to the elite performers and, more generally, in wage jumps for small increases in productivity. By …
Discounting The Distant Future, J. Doyne Farmer, John Geanakoplos, Jaume Masoliver, Miquel Montero
Discounting The Distant Future, J. Doyne Farmer, John Geanakoplos, Jaume Masoliver, Miquel Montero
Cowles Foundation Discussion Papers
If the historical average annual real interest rate is m > 0, and if the world is stationary, should consumption in the distant future be discounted at the rate of m per year? Suppose the annual real interest rate r ( t ) reverts to m according to the Ornstein Uhlenbeck (OU) continuous time process dr ( t ) = α[ m – r ( t )] dt + kdw ( t ), where w is a standard Wiener process. Then we prove that the long run rate of interest is r ∞ = m – k 2 /2α 2 . …
Games With Money And Status: How Best To Incentivize Work, Pradeep Dubey, John Geanakoplos
Games With Money And Status: How Best To Incentivize Work, Pradeep Dubey, John Geanakoplos
Cowles Foundation Discussion Papers
Status is greatly valued in the real world, yet it has not received much attention from economic theorists. We examine how the owner of a firm can best combine money and status together to get his employees to work hard for the least total cost. We find that he should motivate workers of low skill mostly by status and high skill mostly by money. Moreover, he should do so by using a small number of titles and wage levels. This often results in star wages to the elite performers.
Dynamic Revenue Maximization: A Continuous Time Approach, Dirk Bergemann, Philipp Strack
Dynamic Revenue Maximization: A Continuous Time Approach, Dirk Bergemann, Philipp Strack
Cowles Foundation Discussion Papers
We characterize the profit-maximizing mechanism for repeatedly selling a non-durable good in continuous time. The valuation of each agent is private information and changes over time. At the time of contracting every agent privately observes his initial type which influences the evolution of his valuation process. In the profit-maximizing mechanism the allocation is distorted in favor of agents with high initial types. We derive the optimal mechanism in closed form, which enables us to compare the distortion in various examples. The case where the valuation of the agents follows an arithmetic/geometric Brownian motion, Ornstein-Uhlenbeck process, or is derived from a …
Dynamic Revenue Maximization: A Continuous Time Approach, Dirk Bergemann, Philipp Strack
Dynamic Revenue Maximization: A Continuous Time Approach, Dirk Bergemann, Philipp Strack
Cowles Foundation Discussion Papers
We characterize the profit-maximizing mechanism for repeatedly selling a non-durable good in continuous time. The valuation of each agent is private information and changes over time. At the time of contracting every agent privately observes his initial type which influences the evolution of his valuation process. In the profit-maximizing mechanism the allocation is distorted in favor of agents with high initial types. We derive the optimal mechanism in closed form, which enables us to compare the distortion in various examples. The case where the valuation of the agents follows an arithmetic/geometric Brownian motion, Ornstein-Uhlenbeck process, or is derived from a …
Changing Times, Changing Values: A Historical Analysis Of Sectors Within The Us Stock Market 1872-2013, Oliver D. Bunn, Robert J. Shiller
Changing Times, Changing Values: A Historical Analysis Of Sectors Within The Us Stock Market 1872-2013, Oliver D. Bunn, Robert J. Shiller
Cowles Foundation Discussion Papers
We construct a price, dividend, and earnings series for the Industrials sector, the Utilities sector, and the Railroads sector from the beginning of the 1870s until the beginning of the year 2013 from primary sources. To infer about mispricings in the sector markets over more than a century, we investigate the forecasting power of the Cyclically Adjusted Price-Earnings (CAPE) ratio1 for these sectors. With regard to the CAPE ratio, which has originally been devised and employed by Campbell and Shiller (1988, 1998, 2001) as well as Shiller (2005), we define a methodological improvement to this ratio to not only be …
Intrahousehold Inequality, Costas Meghir
Intrahousehold Inequality, Costas Meghir
Cowles Foundation Discussion Papers
Studies of inequality often ignore resource allocation within the household. In doing so they miss an important element of the distribution of welfare that can vary dramatically depending on overall environmental and economic factors. Thus, measures of inequality that ignore intra household allocations are both incomplete and misleading. We discuss determinants of intra household allocation of resources and welfare. We show how the sharing rule, which characterizes the within household allocations, can be identified from data on household consumption and labor supply. We also argue that a measure based on estimates of the sharing rule is inadequate as an approach …
Intra-Household Welfare, Costas Meghir
Intra-Household Welfare, Costas Meghir
Cowles Foundation Discussion Papers
In this paper we develop an approach to measuring inequality and poverty that recognizes the fact that individuals within households may have both different preferences and differential access to resources. We argue that a measure based on estimates of the sharing rule is inadequate as an approach that seeks to understand how welfare is distributed in the population because it ignores public good and the allocation of time to market work, leisure and household production. We develop a money metric measure of welfare that accounts for public goods (by using personalized prices) household production and for the allocation of time.
Simecs, Ithaca Hours, Berkshares, Bitcoins And Walmarts, Martin Shubik
Simecs, Ithaca Hours, Berkshares, Bitcoins And Walmarts, Martin Shubik
Cowles Foundation Discussion Papers
The practical and theoretical meaning of the rise and fall of new local and virtual currencies suggest that two basic theories of money both have their validity and reasons for coexistence. The drive for increasing efficiency in the payment mechanisms is in full swing and still presents many opportunities for improvement.
Minimally Complex Exchange Mechanisms: Emergence Of Prices, Markets, And Money, Pradeep Dubey, Siddhartha Sahi, Martin Shubik
Minimally Complex Exchange Mechanisms: Emergence Of Prices, Markets, And Money, Pradeep Dubey, Siddhartha Sahi, Martin Shubik
Cowles Foundation Discussion Papers
We consider abstract exchange mechanisms wherein individuals submit “diversified” offers in m commodities, which are then redistributed to them. Our first result is that if the mechanism satisfies certain natural conditions embodying “fairness” and “convenience” then it admits unique prices, in the sense of consistent exchange-rates across commodity pairs ij that equalize the valuation of offers and returns for each individual. We next define certain integers τ ij , π ij , and k i which represent the “time” required to exchange i for j , the “difficulty” in determining the exchange ratio, and the “dimension” of the offer space …
Investment And Competitive Matching, Georg Nöldeke, Larry Samuelson
Investment And Competitive Matching, Georg Nöldeke, Larry Samuelson
Cowles Foundation Discussion Papers
We study markets in which agents first make investments and are then matched into potentially productive partnerships. Equilibrium investments and the equilibrium matching will be efficient if agents can simultaneously negotiate investments and matches, but we focus on markets in which agents must first sink their investments before matching. Additional equilibria may arise in this sunk-investment setting, even though our matching market is competitive. These equilibria exhibit inefficiencies that we can interpret as coordination failures. All allocations satisfying a constrained efficiency property are equilibria, and the converse holds if preferences satisfy a separability condition. We identify sufficient conditions (most notably, …
Specification Tests For Nonlinear Dynamic Models, Igor Kheifets
Specification Tests For Nonlinear Dynamic Models, Igor Kheifets
Cowles Foundation Discussion Papers
We propose a new adequacy test and a graphical evaluation tool for nonlinear dynamic models. The proposed techniques can be applied in any setup where parametric conditional distribution of the data is specified, in particular to models involving conditional volatility, conditional higher moments, conditional quantiles, asymmetry, Value at Risk models, duration models, diffusion models, etc. Compared to other tests, the new test properly controls the nonlinear dynamic behavior in conditional distribution and does not rely on smoothing techniques which require a choice of several tuning parameters. The test is based on a new kind of multivariate empirical process of contemporaneous …