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Articles 1951 - 1980 of 2768
Full-Text Articles in Social and Behavioral Sciences
Resources, Technology, And Development: Will The Table Be Bare When Poor Countries Get There?, William D. Nordhaus
Resources, Technology, And Development: Will The Table Be Bare When Poor Countries Get There?, William D. Nordhaus
Cowles Foundation Discussion Papers
This paper discusses the net effect of these two economic forces on developing countries: Is the drag to economic advance from dwindling resources outweighed by the accompanying technological advances? Or will the potential scarcity of resources during the next century on balance weigh down the pace of economic progress?
Trends Versus Random Walks In Time Series Analysis, Steven N. Durlauf, Peter C.B. Phillips
Trends Versus Random Walks In Time Series Analysis, Steven N. Durlauf, Peter C.B. Phillips
Cowles Foundation Discussion Papers
This paper studies the effects of spurious detrending in regression. The asymptotic behavior of traditional least squares estimators and tests are examined in the context of models where the generating mechanism is systematically misspecified by the presence of deterministic time trends. Most previous work on the subject has relied upon Monte Carlo studies to understand the issues involved in detrending data that is generated by integrated processes and our analytical results help to shed light on many of the simulation findings. Standard F tests and Hausman tests are shown to inadequately discriminate between the competing hypotheses. Durbin-Watson statistics, on the …
Issues Arising In Management And Control Of Naval Forces, Paul Bracken, Martin Shubik
Issues Arising In Management And Control Of Naval Forces, Paul Bracken, Martin Shubik
Cowles Foundation Discussion Papers
This paper takes the context of political and military command as given and considers the fundamental question of how a modern navy fits in with the usual conception of nuclear deterrence between the United States and the Soviet Union. We here summarize the major issues, questions, and conclusions from this research as they serve to provide the context for our observations on the relevance of and potential for operations research and decision sciences contributions to providing understanding and analysis for these critical and highly qualitative problems.
Defense Economics And Economic Warfare Revisited, J. Hoult Verkerke, Martin Shubik
Defense Economics And Economic Warfare Revisited, J. Hoult Verkerke, Martin Shubik
Cowles Foundation Discussion Papers
In this paper we paint with a broad brush. Our purpose is to present an overview, a status report, and by implication, an indication of what needs to be done at this time. We first provide a survey of topics in the economics of defense and in economic warfare, then we comment on some naval aspects of these topics.
Consistency In Nonlinear Econometric Models: A Generic Uniform Law Of Large Numbers, Donald W.K. Andrews
Consistency In Nonlinear Econometric Models: A Generic Uniform Law Of Large Numbers, Donald W.K. Andrews
Cowles Foundation Discussion Papers
A basic tool of modern econometrics is a uniform law of large numbers (LLN). It is a primary ingredient used in proving consistency and asymptotic normality of parametric and nonparametric estimators in nonlinear econometric models. Thus, in a well-known review article, Burguete, Gallant, and Sousa [8, p. 162] introduce a uniform LLN with the statement: “The following theorem is the result upon which the asymptotic theory of nonlinear econometrics rests.” So pervasive is the use of uniform LLNs, that numerous authors appeal to an unspecified generic uniform LLN. Others appeal to some specific result. The purpose of this paper is …
Two Misspecification Tests For The Simple Switching Regressions Disequilibrium Model, Vassilis A. Hajivassiliou
Two Misspecification Tests For The Simple Switching Regressions Disequilibrium Model, Vassilis A. Hajivassiliou
Cowles Foundation Discussion Papers
Two specification tests for switching regimes disequilibrium models are developed. The first is an asymptotically locally optimal Lagrange multiplier test of endogeneity of a set of regressors, which takes the convenient form of a LM significance-test of certain regression residuals. The second is a Hausman specification test of the accuracy of regime classification information.
Toward A Theory Of Discounted Repeated Games With Imperfect Monitoring, Dilip Abreu, David G. Pearce, Ennio Stacchetti
Toward A Theory Of Discounted Repeated Games With Imperfect Monitoring, Dilip Abreu, David G. Pearce, Ennio Stacchetti
Cowles Foundation Discussion Papers
This paper investigates pure strategy sequential equilibria of repeated games with imperfect monitoring. The approach emphasizes the equilibrium value set and the static optimization problems embedded in external equilibria. We characterize these equilibria, and provide computational and comparative statics results. The “self-generation” and “bang-bang” propositions which were at the core of our analysis of optimal cartel equilibria [2], are generalized to asymmetric games and infinite action spaces. New results on optimal implicit reward functions include the necessity (as opposed to sufficiency) of bang-bang functions, and the nature of optimal punishment regions.
Edgeworth Equilibria In Production Economies, Charalambos D. Aliprantis, Donald J. Brown, Owen Burkinshaw
Edgeworth Equilibria In Production Economies, Charalambos D. Aliprantis, Donald J. Brown, Owen Burkinshaw
Cowles Foundation Discussion Papers
An Edgeworth equilibrium is an allocation that belongs to the core of every n -fold replica of the economy. In [2] we studied in the setting of Riesz spaces the properties of Edgeworth equilibria for pure exchange economies with infinite dimensional commodity spaces. In this work, we study the same problem for economies with production. Under some relatively mild conditions we establish (among other things) that: 1. Edgeworth equilibria exist; 2. Every Edgeworth equilibrium is a quasiequilibrium; and 3. An allocation is an Edgeworth equilibrium if and only if it can be “decentralized” by a price system.
Best Median Unbiased Estimation In Linear Regression With Bounded Asymmetric Loss Functions, Ray C. Fair
Best Median Unbiased Estimation In Linear Regression With Bounded Asymmetric Loss Functions, Ray C. Fair
Cowles Foundation Discussion Papers
We first show that the Generalized Least Squares estimator is the best median unbiased estimator of the regression parameters for quite general loss functions, when the parameter space is unrestricted. Of note is the fact that this result holds without moment restrictions. Thus, the errors may have multivariate Cauchy distribution. Next, we show that a restricted GLS estimator is best median unbiased for a linear combination of the regression parameters, when that linear combination is restricted to lie in an interval. Certain other linear combinations of the parameter vector may be subject to arbitrary additional restrictions. The paper then presents …
Cointegration And Tests Of Present Value Models, John Y. Campbell, Robert J. Shiller
Cointegration And Tests Of Present Value Models, John Y. Campbell, Robert J. Shiller
Cowles Foundation Discussion Papers
In a model where a variable Y is proportional to the present value, with constant discount rate, of expected future values of a variable y , the “spread” S – Y – qy will be stationary for some q whether or not y must be differenced to induce stationarity. Thus, Y and y are cointegrated. The model implies that S is proportional to the optimal forecast of S *, the present value of future changes in y. We use vector autoregressive methods, and recent literature on cointegrated processes, to test the model. When Y is the long-term interest rate and …
Towards A Unified Asymptotic Theory For Autoregression, Peter C.B. Phillips
Towards A Unified Asymptotic Theory For Autoregression, Peter C.B. Phillips
Cowles Foundation Discussion Papers
This paper develops an asymptotic theory for a first order autoregression with a root near unity. Deviations from the unit root theory are measured through a noncentrality parameter. When this parameter is negative we have a local alternative that is stationary; when it is positive, the local alternative is explosive; and when it is zero we have the standard unit root theory. Our asymptotic theory accommodates these alternatives and helps to unify earlier theory in which the unit root case appears as a singularity of the asymptotics. The general theory is expressed in terms of functionals of a simple diffusion …
The Share Economy: A Symposium, William D. Nordhaus, Andrew John
The Share Economy: A Symposium, William D. Nordhaus, Andrew John
Cowles Foundation Discussion Papers
In June 1985, the Yale Economics Department sponsored a half-day conference on Martin Weitzman’s striking proposal that sharing would be introduced into compensation arrangements. His suggestions have received wide attention in the popular press and from economists, but the organizers believed that the suggestions were sufficiently novel and promising to warrant careful scrutiny from a wide range of points of view. The conference participants therefore examined the “share economy” from the vantage point of labor economics, capital theory, general equilibrium theory, and macroeconomics.
Towards A Unified Asymptotic Theory For Autoregression, Peter C.B. Phillips
Towards A Unified Asymptotic Theory For Autoregression, Peter C.B. Phillips
Cowles Foundation Discussion Papers
This paper develops an asymptotic theory for a first order autoregression with a root near unity. Deviations from the unit root theory are measured through a noncentrality parameter c . When c < 0 we have a local alternative that is stationary and when c > 0 the local alternative is explosive. As c approaches the limits of its domain of definition (±∞) it is shown that the asymptotic distributions known to apply under fixed stationary and explosive alternatives are obtained as special cases. Moreover, when c = 0 we have the standard unit root theory. Thus, the asymptotic theory that we present goes a long way towards unifying earlier theory for these individual …
Regression Theory For Near-Integrated Time Series, Peter C.B. Phillips
Regression Theory For Near-Integrated Time Series, Peter C.B. Phillips
Cowles Foundation Discussion Papers
The concept of a near-integrated vector random process is introduced. Such processes help us to work towards a general asymptotic theory of regression for multiple time series in which some series may be integrated processes of the ARIMA type, others may be stable ARMA processes with near unit roots, and yet others may be mildly explosive. A limit theory for the sample moments of such time series is developed using weak convergence and is shown to involve a simple functionals of a vector diffusion. The results suggest finite sample approximations which in the stationary case correspond to conventional central limit …
Regression Theory For Near-Integrated Time Series, Peter C.B. Phillips
Regression Theory For Near-Integrated Time Series, Peter C.B. Phillips
Cowles Foundation Discussion Papers
The concept of a near-integrated vector random process is introduced. Such processes help us to work towards a general asymptotic theory of regression for multiple time series in which some series may be integrated processes of the ARIMA type, others may be stable ARMA processes with near unit roots, and yet others may be mildly explosive. A limit theory for the sample moments of such time series is developed using weak convergence on function spaces. This theory generalizes the limit theory that was derived in Phillips and Durlauf (1985) for integrated processes. It is also shown to imply a general …
The Monetary-Fiscal Mix: Long-Run Implications, James Tobin
The Monetary-Fiscal Mix: Long-Run Implications, James Tobin
Cowles Foundation Discussion Papers
The long-run dynamics of public deficits and debt are modeled, assuming that public debt competes with capital for limited private savings. The interest costs of the debt are endogenously determined inthis market, and the deficit in other budget transactions is a constant fraction of Gross National Product. Simulations with parameter values suggested by recent United States experience show the likelihood of unstable paths, along which debt grows faster than GNP indefinitely.
Auction Theory, Paul R. Milgrom
Auction Theory, Paul R. Milgrom
Cowles Foundation Discussion Papers
This paper discusses two central questions: Why do auction institutions continue to be so popular after thousands of years? and What accounts for particular details, like the popularity of sealed bid and ascending-bid auctions?
Walrasian Indeterminacy And Keynesian Macroeconomics, John Geanakoplos, Heracles M. Polemarchakis
Walrasian Indeterminacy And Keynesian Macroeconomics, John Geanakoplos, Heracles M. Polemarchakis
Cowles Foundation Discussion Papers
Overlapping generations models with or without production or a portfolio demand for money display a fundamental indeterminacy. Expectations matter; and they are not, in the short run, constrained by the hypotheses of agent optimization, rational expectations, and market clearing. No short run policy analysis is possible without some explicit understanding of how agents expect the economy to respond to the policy. In this framework of perfect foresight and market clearing prices, it is possible to make Keynesian assumptions about the rigidity of money wages and the exogeneity of “animal spirits” of investors, to use the standard IS-LM apparatus, and to …
Comparative Statics And Local Indeterminacy In Olg Economies: An Application Of The Multiplicative Ergodic Theorem, John Geanakoplos, Donald J. Brown
Comparative Statics And Local Indeterminacy In Olg Economies: An Application Of The Multiplicative Ergodic Theorem, John Geanakoplos, Donald J. Brown
Cowles Foundation Discussion Papers
This study is an effort to give a simple measure of the local size of the equilibrium set of OLG economies in which there may be more than one good and more than one consumer per period, and in which the generations may differ across time.
The Uses, Value And Limitation Of Game Theoretic Methods In Defense Analysis, Martin Shubik
The Uses, Value And Limitation Of Game Theoretic Methods In Defense Analysis, Martin Shubik
Cowles Foundation Discussion Papers
The central contribution of game theory to defense analysis has been a language for the understanding of how to formulate and study strategic or cross-purposes optimization in situations involving two or more actors. It is suggested here in this discussion that two fundamentally different classes of application of game theory to problems in defense have emerged. The first is the application of two-person zero sum game theory to military, primarily tactical situations which for the purposes at hand can be reasonably well modeled in this manner. The second is the application of two or more person nonconstant sum game theory …
On Finitely Repeated Games And Pseudo-Nash Equilibria, Chien-Fu Chou, John Geanakoplos
On Finitely Repeated Games And Pseudo-Nash Equilibria, Chien-Fu Chou, John Geanakoplos
Cowles Foundation Discussion Papers
In this paper we propose a pseudo-Nash equilibrium for N -person games in which very simply we allow play in the last period to be arbitrary, but otherwise it must conform to the (perfect) Nash optimality criterion.
The Many Properties Of Money: A Strategic Market Game Analysis, Martin Shubik
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 …
Asymptotic Results For Generalized Wald Tests, Donald W.K. Andrews
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
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 …
Random Cell Chi-Square Diagnostic Tests For Econometric Models: I. Introduction And Applications, Donald W.K. Andrews
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 …
Forecasting Efficiency: Concepts And Applications, William D. Nordhaus
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”), …
A Theory Of Hierarchies Based On Limited Managerial Attention, John Geanakoplos, Paul R. Milgrom
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.
Random Cell Chi-Square Diagnostic Tests For Econometric Models: Ii. Theory, Donald W.K. Andrews
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 …
Fractional Matrix Calculus And The Distribution Of Multivariate Tests, Peter C.B. Phillips
Fractional Matrix Calculus And The Distribution Of Multivariate Tests, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Fractional matrix operator methods are introduced as a new tool of distribution theory for use in multivariate analysis and econometrics. Earlier work by the author on this operational calculus is reviewed and to illustrate the use of these methods we give an exact distribution theory for a general class of tests in the multivariate linear model. This distribution theory unifies and generalizes 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 -2 test. We also provide a simple and novel derivation of conventional asymptotic theory as …
Neoclassical Theory In America: J. B. Clark And Fisher, James Tobin
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 …