Open Access. Powered by Scholars. Published by Universities.®
Social and Behavioral Sciences Commons™
Open Access. Powered by Scholars. Published by Universities.®
- Keyword
-
- Mechanism design (33)
- Asymptotic size (26)
- Bayes correlated equilibrium (25)
- Incomplete information (25)
- Unit root (25)
-
- Adverse selection (24)
- Information structure (24)
- Test (24)
- Climate change (23)
- Cointegration (22)
- Identification (22)
- Asymptotics (21)
- Default (21)
- Moment inequalities (21)
- Nonstationarity (21)
- Confidence set (20)
- Productivity (20)
- Asymptotic theory (19)
- Robustness (19)
- Autoregression (18)
- Common knowledge (18)
- Game theory (18)
- Moral hazard (18)
- Weak instruments (18)
- Brownian motion (17)
- Correlated equilibrium (17)
- General equilibrium (17)
- Long memory (17)
- Unit roots (17)
- Experimentation (16)
- Publication Year
Articles 1771 - 1800 of 2768
Full-Text Articles in Social and Behavioral Sciences
-Person Game And Endogenous Coalition Formation, Lin Zhou
-Person Game And Endogenous Coalition Formation, Lin Zhou
Cowles Foundation Discussion Papers
The two most fundamental questions in cooperative game theory are: When a game is played, what coalitions will be formed and what payoff vectors will be chosen? No previous solution concepts or theories in the literature provide satisfactory answers to both questions; answers are especially lacking for the first one. In this paper we introduce the refined bargaining set, which is the first solution concept in cooperative game theory that simultaneously provides answers to both of the fundamental questions.
Exactly Unbiased Estimation Of First Order Autoregressive/Unit Root Models, Donald W.K. Andrews
Exactly Unbiased Estimation Of First Order Autoregressive/Unit Root Models, Donald W.K. Andrews
Cowles Foundation Discussion Papers
This paper is concerned with the estimation of first-order autoregressive/unit root models with independent identically distributed normal errors. The models considered include those without an intercept, those with an intercept, and those with an intercept and time trend. The autoregressive (AR) parameter alpha is allowed to lie in the interval (-1,1], which includes the case of a unit root. Exactly median-unbiased estimators of the AR parameter alpha are proposed. Exact confidence intervals for this parameter are introduced. Corresponding exactly median-unbiased estimators and exact confidence intervals are also provided for the impulse response function and the cumulative impulse response. An unbiased …
Strictly Fair Allocations In Large Exchange Economies, Lin Zhou
Strictly Fair Allocations In Large Exchange Economies, Lin Zhou
Cowles Foundation Discussion Papers
In this paper we introduce the concept of a strictly fair allocation and investigate the set of strictly fair allocations in large exchange economies. We prove that when agents’ utility functions are differentiable, the set of strictly fair allocations coincides with the set of equal-income Walrasian equilibria. This is shown using both the “limit theorem” approach the “limit economy” approach. We also extend the analysis to economies that have both atoms and an atomless sector. These results substantially improve upon the existing characterizations of equal-income Walrasian equilibria in terms of both economic efficiency and economic equity.
Dual Distribution In Franchising, Nancy Gallini, Nancy A. Lutz
Dual Distribution In Franchising, Nancy Gallini, Nancy A. Lutz
Cowles Foundation Discussion Papers
In this paper we offer an explanation for the practice of dual distribution. the simultaneous use of franchises and company owned outlets for distributing new products. Our explanation rests on the observation that franchisors often acquire private information, not available to franchisees, on product demand through marketing efforts. Under this assumption of asymmetric information, we show that a franchisor will use both direct ownership as well as the franchise contract to convey information about a new product. This explanation for dual distribution relies neither on capital market imperfections nor upon location-specific factors, in contrast to alternative explanations advanced in the …
Economic Equilibrium And Soviet Economic Reform, Herbert E. Scarf
Economic Equilibrium And Soviet Economic Reform, Herbert E. Scarf
Cowles Foundation Discussion Papers
The paper, prepared for a Roundtable on Major Economic Problems in the U.S. and the U.S.S.R., discusses some aspects of price theory — in particular, the theory of general equilibrium — which may offer some theoretical insights about the economic problems to be encountered during the transition from Socialism to private markets in the Soviet Union.
Actual And Warranted Relations Between Asset Prices, Andrea E. Beltratti, Robert J. Shiller
Actual And Warranted Relations Between Asset Prices, Andrea E. Beltratti, Robert J. Shiller
Cowles Foundation Discussion Papers
Efficient markets models assert that the price of each asset is equal to the optimal forecast of its ex-post or fundamental value. These models do not imply, however, that the covariance between two asset prices is given by the covariance between the ex-post values they respectively forecast: these two covariances can even have opposite signs. However, it is possible to place bounds on the covariance between asset prices given the covariance matrix of ex-post values. We present such bounds for both covariances and correlations and show how such bounds can be tightened using information beyond the covariance matrix of ex-post …
Arithmetic Repeat Sales Price Estimators, Robert J. Shiller
Arithmetic Repeat Sales Price Estimators, Robert J. Shiller
Cowles Foundation Discussion Papers
Repeat sales price estimators are designed to infer price indexes of infrequently sold and unstandardized assets, such as houses, based only on changes in prices of those individual assets that are observed to be sold twice. Repeat sales price estimators are proposed here that are arithmetic, and either value-weighted or equally-weighted. Moreover, variants are proposed that are interval-weighted, i.e., that correct for a form of heteroskedasticity, and that include additional regressors representing changes in hedonic variables. Some of these methods are applied to data on house prices in Atlanta, Chicago, Dallas and San Francisco 1970–1986.
Tests Of Specification For Parametric And Semiparametric Models, Yoon-Jae Whang, Donald W.K. Andrews
Tests Of Specification For Parametric And Semiparametric Models, Yoon-Jae Whang, Donald W.K. Andrews
Cowles Foundation Discussion Papers
This paper provides a general framework for constructing specification tests for parametric and semiparametric models. The paper develops new specification tests using the general framework. In particular, specification tests for semiparametric partially linear regression, sample selection, and censored regression models are introduced. The results apply in time series and cross-sectional contexts. The method of proof exploits results concerning the stochastic equicontinuity or weak convergence of normalized sums of stochastic processes.
Shortest Integer Vectors, Herbert E. Scarf, David F. Shallcross
Shortest Integer Vectors, Herbert E. Scarf, David F. Shallcross
Cowles Foundation Discussion Papers
Let A be a fixed integer matrix of size m by n and consider all b for which the body is full dimensional. We examine the set of shortest non-zero integral vectors with respect to the family of norms. We show that the number of such shortest vectors is polynomial in the bit size of A , for fixed n . We also show the existence, for any n , of a family of matrices M for which the number of shortest vectors has as a lower bound a polynomial in the bit size of M of the same degree …
The Invisible Hand In Modern Macroeconomics, James Tobin
The Invisible Hand In Modern Macroeconomics, James Tobin
Cowles Foundation Discussion Papers
The Invisible Hand, one of the Great Ideas of history and one of the most influential, is Adam Smith’s most important legacy to macroeconomics, as to all economics. It is particularly important today as the ultimate inspiration for the New Classical Macroeconomics and for Real Business Cycle Theory. These are intellectual movements that engage many of the best brains in the profession, especially among younger cohorts and especially in the United States. They dominate the agenda even of theorists and econometricians who are skeptical or hostile to their methods and conclusions.
The Method Of Simulated Scores For The Estimation Of Ldv Models With An Application To External Debt Crisis, Vassilis A. Hajivassiliou, Daniel Mcfadden
The Method Of Simulated Scores For The Estimation Of Ldv Models With An Application To External Debt Crisis, Vassilis A. Hajivassiliou, Daniel Mcfadden
Cowles Foundation Discussion Papers
The method of simulated scores (MSS) is presented for estimating LDV models with flexible correlation structure in the unobservables. We propose simulators that are continuous in the unknown parameter vectors, and hence standard optimization methods can be used to compute the MSS estimators that employ these simulators. We establish consistency and asymptotic normality of the MSS estimators and derive suitable rates at which the number of simulations must use if biased simulators are used. The estimation method is applied to analyze a model in which the incidence and the extent of debt repayments problems of LDC’s are viewed as optimized …
Default And Bankruptcy In A Multistage Exchange Economy, Martin Shubik
Default And Bankruptcy In A Multistage Exchange Economy, Martin Shubik
Cowles Foundation Discussion Papers
Either lending must be secured or otherwise some form of default or bankruptcy rules are required to provide a disincentive against strategic default. When many time periods are involved, the mere specification of a penalty which is sufficient for one period of trade, is not sufficient. The complete specification of even a two period game requires that both the treatment of creditors (including seniority conditions) and the nature of the rehabilitation of the debtor must be specified. This paper explores these problems.
A Strategic Market Game With A Mutual Bank With Fractional Reserves And Redemption In Gold (A Continuum Of Traders), Martin Shubik, Dimitrios P. Tsomocos
A Strategic Market Game With A Mutual Bank With Fractional Reserves And Redemption In Gold (A Continuum Of Traders), Martin Shubik, Dimitrios P. Tsomocos
Cowles Foundation Discussion Papers
We utilize the strategic market game approach to analyze the role and function of a mutual bank with variable fractional reserves, redemption in gold and endogenous interest rate formation. We specify the conditions of enough money and its distribution. Using the continuum of traders model, we show existence and optimality for the case of no bankruptcy as well as for the case in which there exists the potentiality of bankruptcy. Finally, we analyze the relationship of the gearing ratio and the bankruptcy penalty with respect to the resulting equilibrium allocations.
A Strategic Market Game Of A Finite Economy With A Mutual Bank, Martin Shubik, Jingang Zhao
A Strategic Market Game Of A Finite Economy With A Mutual Bank, Martin Shubik, Jingang Zhao
Cowles Foundation Discussion Papers
We introduce a strategic market game for an exchange economy not having enough commodity money. We show the existence of a non-cooperative equilibrium for any finite replication economy with a mutual bank, we then show that efficient trade can be achieved in the limiting economy by expanding the money supply through the use of fractional reserves, where the commodity money is demonetized and used for reserves. The means of exchange becomes bank credit backed in part, by “gold.” However, efficiency can not be achieved in general as a non-cooperative equilibrium of a finite player game or a finite exchange economy.
On The Convex Hull Of The Integer Points, Antal Balog, Imre Bárány
On The Convex Hull Of The Integer Points, Antal Balog, Imre Bárány
Cowles Foundation Discussion Papers
Let P r denote the convex hull of the integer points in the disc of radius r . We prove that the number of vertices of P r is essentially r 2 /3 as r approaches infinity.
The Price For The Widow's Cruse: Or The Value Of An Infinitely Productive Asset, Martin Shubik
The Price For The Widow's Cruse: Or The Value Of An Infinitely Productive Asset, Martin Shubik
Cowles Foundation Discussion Papers
This paper considers two basic problems: The first is the necessity for introducing government money (as contrasted with individual credit) and an infinitely lived government in an overlapping generations economy. The second concerns the evaluation of the price of an infinitely productive asset in an economy without a natural discount factor.
Estimation Of Multinomial Models Using Weak Monotonicity Assumptions, Rosa L. Matzkin
Estimation Of Multinomial Models Using Weak Monotonicity Assumptions, Rosa L. Matzkin
Cowles Foundation Discussion Papers
This paper introduces a semiparametric method of estimating multinomial models that imposes extremely weak monotonicity assumptions about a function of observable characteristics. Previous methods have imposed stronger, typically parametric, conditions on this function. The only assumptions made in this paper about the function of characteristics are its monotonicity, upper-semicontinuity, and uniform boundedness. The method is applicable, among others, to polychotomous choice models. The estimation method is shown to be strongly consistent. A technique to calculate the estimator is provided.
Least Concavity And The Distribution-Free Estimation Of Non-Parametric Concave Functions, Rosa L. Matzkin
Least Concavity And The Distribution-Free Estimation Of Non-Parametric Concave Functions, Rosa L. Matzkin
Cowles Foundation Discussion Papers
This paper studies the estimation of fully nonparametric models in which we can not identify the values of a symmetric function that we seek to estimate. I develop a method of consistently estimating a representative of a concave and monotone nonparametric systematic function. This representative possesses the same isovalue sets as the systematic function. The method proceeds by characterizing each set of observationally equivalent concave functions by a unique “least concave” representative. The least concave representative of the equivalence class to which the systematic function belongs is estimated by maximizing a criterion function over a compact set of least concave …
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.
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 …
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 …
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.
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.
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 …
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 …
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 …
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 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.