Economics Commons^™

Asymptotic Results For Generalized Wald Tests, Donald W.K. Andrews

Cowles Foundation Discussion Papers

This note presents conditions under which a quadratic form based on a g-inverted weighting matrix converges to a chi-square distribution as the sample size goes to infinity. Subject to fairly weak underlying conditions, a necessary and sufficient condition is given for this result. The result is of interest, because it is needed to establish asymptotic significance levels and local power properties of generalized Wald tests (i.e., Wald tests with singular limiting covariance matrices). Included in this class of tests are Hausman specification tests and various goodness of fit tests, among others. The necessary and sufficient condition is relevant to procedures …

The Term Structure Of Euromarket Interest Rates: An Empirical Investigation, John Y. Campbell, Richard H. Clarida

Cowles Foundation Discussion Papers

This paper is an empirical investigation of the predictability and comovement of risk premia in the term structure of Euromarket interest rates. We show that variables which have been used as proxies for risk premia on uncovered foreign asset positions also predict excess returns in Euromarket term structures, while variables which have been used as proxies for risk premia in the term structure also predict excess returns on taking uncovered foreign asset positions. These findings suggest that risk premia move together. We test formally the hypothesis that risk premia on uncovered 3-month EuroDM and Eurosterling deposits move in proportion to …

Forecasting Efficiency: Concepts And Applications, William D. Nordhaus

Cowles Foundation Discussion Papers

The question of forecasting accuracy is, of course, one that has been the subject of numerous investigations over the last two decades. The present study contributes to this line of research in two ways. First, we introduce a new concept, called “forecast efficiency,” that measures the extent to which information is incorporated into forecasts. This concept is closely related to concepts of efficiency used in the analysis of stock and other financial markets. The paper proves two readily testable propositions about efficient forecasts. Second, the empirical part of the study examines forecast efficiency by looking at forecast revisions (“fixed-horizon forecasts”), …

Neoclassical Theory In America: J. B. Clark And Fisher, James Tobin

Cowles Foundation Discussion Papers

The intellectual breakthroughs that mark the neoclassical revolution in economic analysis occurred in Europe around 1870. The next two decades witnessed lively debates in which the new theory more or less absorbed or was absorbed in the classical tradition that preceded and provoked it. In the 1890s, according to Joseph A. Schumpeter (1954, p. 754) there emerged “a large expanse of common ground and … a feeling of repose, both of which created, in the superficial observer, an impression of finality — the finality of a Greek temple that spreads its perfect lines against a cloudless sky.” Of course the …

Multiple Time Series Regression With Integrated Processes, Peter C.B. Phillips, Steven N. Durlauf

Cowles Foundation Discussion Papers

This paper develops a general asymptotic theory of regression for processes which are integrated of order one. The theory includes vector autoregressions and multivariate regressions amongst integrated processes that are driven by innovation sequences which allow for a wide class of weak dependence and heterogeneity. The models studied cover cointegrated systems and quite general linear simultaneous equations systems with contemporaneous regressor-error correlation and serially correlated errors. Problems of statistical testing in vector autoregressions and multivariate regressions with integrated processes are also studied. It is shown that the asymptotic theory for conventional tests involves major departures from classical theory and raises …

Random Cell Chi-Square Diagnostic Tests For Econometric Models: I. Introduction And Applications, Donald W.K. Andrews

Cowles Foundation Discussion Papers

This paper and its sequel, Andrews [4], extend the Pearson chi-square testing method to non-dynamic parametric econometric models, in particular, models with covariates. The present paper introduced the test and discusses a wide variety of applications. Andrews [4] establishes the asymptotic properties of the test, by extending recent probabilistic results for the weak convergence of empirical processes indexed by sets. The chi-square test that is introduced can be used to test goodness-of-fit of a parametric model, as well as to test particular aspects of the parametric model that are of interest. In the event of rejection of the null hypothesis …

Random Cell Chi-Square Diagnostic Tests For Econometric Models: Ii. Theory, Donald W.K. Andrews

Cowles Foundation Discussion Papers

This paper extends the Pearson chi-square testing method to non-dynamic parametric econometric models, in particular, to models with covariates. The paper establishes the asymptotic distribution of the test statistic under the null and local alternatives, when the test statistic is based on data-dependent random cells of a general form, and on an arbitrary asymptotically normal estimator. These results are attained by extending recent probabilistic results for the weak convergence of empirical processes indexed by sets. The chi-square test that is introduced can be used to test goodness-of-fit of a parametric model, as well as to test particular aspects of the …

A Theory Of Hierarchies Based On Limited Managerial Attention, John Geanakoplos, Paul R. Milgrom

Cowles Foundation Discussion Papers

Our purpose in this paper is to investigate the economics of managerial organizations by focusing on the decision problem of management. Ours is a “team theory” analysis, that is, it ignores the problem of conflicting objectives among managers and focuses instead on the problem of coordinating the decisions of several imperfectly informed actors. However, unlike classical team theory, we concentrate on the choice by managers of what to know, as well as what to do, and we allow the possibility that bounded rationality limits the managers’ ability to understand subtle messages.

Strengthening The Corporate Board: A Constructive Reponses To Hostile Takeovers, Murray L. Weidenbaum

Murray Weidenbaum Publications

This report examines the role of boards of directors and the pressures felt in the boardroom, especially when dealing with an unsolicited takeover. It also examines the different view of what a board can and should do. Recommendations are included for enhancing the board's ability to respond to external challenges.

The Many Properties Of Money: A Strategic Market Game Analysis, Martin Shubik

Cowles Foundation Discussion Papers

Among the major properties of a money are that it can serve as (1) a numeraire, (2) a means of exchange, (3) a store of value, and (4) a source of liquidity. Among the lesser properties are that it should be easy to transport and identify, it should be durable, easily divisible, hard to counterfeit and easy to store. A possibly desirable property is that it is an anonymous “bearer instrument,” but the price of anonymity is that it is hard to recover if it is stolen. A personal check which is bank money can be stopped and is more …

Sraffa And Keynes: Effective Demand In The Long Run, Hyman P. Minsky Ph.D.

Hyman P. Minsky Archive

Prepared for Conference on "Sraffa’s Production of Commodities by Means of Commodities After Twenty Five Years." Aug. 24-27, 1985, Florence, Italy.

Also posted is this paper as it appeared in Krishna Bharadwaj and Bertram Schefold, Ed. Essays On Piero Sraffa: Critical Perspectives On The Revival Of Classical Theory. London, England: Routledge, 1992, pages 362-371.

The third posting is this paper with edits Minsky made apparently after the paper's publication.

Reagan Speaks With Forked Tongue, Hyman P. Minsky Ph.D.

Hyman P. Minsky Archive

One of the ongoing column "THE ECONOMY From The Not-So Ivory Tower."

Sections And Extensions Of Concave Functions, Roger Howe

Cowles Foundation Discussion Papers

No abstract provided.

Existence, Regularity, And Constrained Suboptimality Of Competitive Allocations When The Asset Market Is Incomplete, John Geanakoplos, Heracles M. Polemarchakis

Cowles Foundation Discussion Papers

Let assets be denominated in an a priori specified numeraire. Whether or not the asset is complete, a competitive equilibrium exists as long as arbitrage is possible when assets are free. Generically, the set of competitive equilibria is finite, and the equilibrium prices and allocations in the commodity spot markets are uniquely determined by the asset allocation in a neighborhood of a competitive equilibrium. If the asset market is incomplete, a competitive equilibrium allocation is generically constrained suboptimal : there exists an arbitrarily small reallocation of the existing assets, which leads to a Pareto improvement in welfare when prices and …

United States Agricultural Trade Prospects, Harry Greenbaum

Economics Commentator (1972- 2016)

No abstract provided.

Final I-O Nipa Sv Calculations Aug 1985 Bard, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Handwritten notes Calculation revisions (August 25, 1985)

• Handwritten notes Adjustment to I-O data for bias introduced by pre-1972 transfer procedure for secondary products (August 7, 1985)

• Handwritten notes Treatment of secondary products in pre-1972 I-O tables (August 3, 1985)

• Handwritten notes Intrinsic structure, pre-1972 tables (August 3, 1985)

• Handwritten notes Summary: Imputations in GNP (August 5, 1984)

• Handwritten notes Imputations in GNP (August 3, 1984)

• Handwritten notes Structure of NIPA accounts (October 31, 1983)

• GNP data from Survey of Current Business (May 1984)

• Handwritten notes Gross value and its components, I-O years (August 8, 1985)

• Handwritten notes …

  ---

  Go to article

An Assessment Of The Education Sector In The Five- Year Plan For Economic And Social Development [Manuscript] : 1982/83-1986/87, Adel S F Ishac

Archived Theses and Dissertations

No abstract provided.

Sources + Uses Of Funds, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Handwritten notes titled Sources & uses of funds, which begin by referencing Foulke, R. A. (1968). Practical financial statement analysis (6th ed.). New York, NY: McGraw-Hill.

Asymptotic Expansions In Nonstationary Vector Autoregressions, Peter C.B. Phillips

Cowles Foundation Discussion Papers

This paper studies the statistical properties of vector autoregressions (VAR’s) for quite general multiple time series which are integrated of order one. Functional central limit theorems are given for multivariate partial sums of weakly dependent innovations and these are applied to yield first order asymptotics in nonstationary VAR’s. Characteristic and cumulant functionals for generalized random processes are introduced as a means of developing a refinement of central limit theory on function spaces. The theory is used to find asymptotic expansions of the regression coefficients in nonstationary VAR’s under very general conditions. The results are specified to the scalar case and …

Economcis Of Reduced Tillage Systems, Herbert R. Allen

Economics Commentator (1972- 2016)

No abstract provided.

Government Programs, Job Search Requirements, And The Duration Of Unemployment, Michael C. Keeley, Philip K. Robins

Economics Articles and Papers

This paper presents an empirical analysis of how job search requirements under various government programs influence job search behavior. The analysis indicates that job search requirements exert a significant impact on certain aspects of the job search process, but not those that generally lead to a higher probability of employment. It is also found that persons who utilize intensively search activities that result in direct employer contact have much shorter durations of unemployment than persons who do not utilize such activities intensively. It is speculated that altering job search requirements to include more direct employer contact could lead to a …

Economic ‘Recovery’ Likely To Fizzle, Hyman P. Minsky Ph.D.

Hyman P. Minsky Archive

One of the ongoing column in the St. Louis Journalism Review, "THE ECONOMY From The Not-So Ivory Tower."

Ua68/2 Intercambio Internacional, Vol. Ix, No. 2, Wku Latin American Studies

WKU Administration Documents

Newsletter created by WKU Latin American Studies program regarding science, politics and economic advances in Latin America as well as cooperative projects between WKU and universities across Latin America. The newsletter is written in both English and Spanish.

On The Performance Of Least Squares In Linear Regression With Undefined Error Means, Donald W.K. Andrews

Cowles Foundation Discussion Papers

This paper considers the linear regression model with multiple stochastic regressors, intercept, and errors that have undefined means. This model is of interest from a robustness perspective as a polar case. Generally, least squares estimators are inconsistent in this context. It is shown, however, that this inconsistency is restricted to the estimation of the intercept, if the regressors are highly variable. Rates of convergence of the least squares slope estimators are determined, and are shown to exceed the standard rate, n -1/2 , in certain contexts. The results place no restrictions on the temporal dependence of the errors, and require …

Farmland Rental Terms In Eastern And Central South Dakota, Larry Janssen, Larry Madsen

Economics Commentator (1972- 2016)

No abstract provided.

Small Farmers' Cooperatives In Brazil, 1964-1984 Reasons For Success Or Failure, Henry H. Gerber

Graduate Program in International Studies Theses & Dissertations

This study is concerned with cooperative business enterprises of small farmers. The topic has been chosen because peasants' association in supply and marketing cooperatives is considered an essential element in rural development. The author's field experience leads him to agree in principle with this assumption. But, as exemplified by Brazil, a variety of factors (ecological, sociohistorical, legal, economic and so forth) may hinder or help the inception and survival of cooperatives.

Thus, if a government aims at integrating the small producer into the national economy as supplier and consumer (as in Brazil), measures to implement t~is policy must not be …

Economics Of Home-Based Businesses, Thomas L. Dobbs

Economics Commentator (1972- 2016)

No abstract provided.

Some Notes On Taxes And Tax Reform, Hyman P. Minsky Ph.D.

Hyman P. Minsky Archive

One of the ongoing column, “THE ECONOMY From The Not-So Ivory Tower."

Enough Gold In A Society Without And With Money-Lenders, Martin Shubik

Cowles Foundation Discussion Papers

If an exchange economy is modeled as a strategic market game with one commodity serving as a money, then if there is no credit available and if all traders are insignificant in size, so that an individual does not influence prices, the noncooperative equilibria (NEs) of the game will coincide with the competitive equilibria of the exchange economy provided that there is enough money to facilitate trade. The meaning of ‘enough money’ is that the NEs are interior. In other words the constraint that an individual cannot spend more of the means of payment than he holds is not binding …

Edgeworth Equilibria, Charalambos D. Aliprantis, Donald J. Brown, Owen Burkinshaw

Cowles Foundation Discussion Papers

The paper studies pure exchange economies with infinite dimensional commodity spaces in the setting of Riesz dual systems. Several new concepts of equilibrium are introduced. An allocation ( x 1 , …, x m ) is said to be a) an Edgeworth equilibrium whenever it belongs to the core of every n -fold replication of the economy; and b) an ε- Walrasian equilibrium whenever for each ε > 0 there exists some price p not equal to 0 with p ∙ω = 1 (where ω = Σω i is the total endowment) and with x ≥ i x i implying p …