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 961 - 990 of 2768
Full-Text Articles in Social and Behavioral Sciences
Selecting A Unique Competitive Equilibrium With Default Penalties, Cheng-Zhong Qin, Martin Shubik
Selecting A Unique Competitive Equilibrium With Default Penalties, Cheng-Zhong Qin, Martin Shubik
Cowles Foundation Discussion Papers
The enlargement of the general-equilibrium structure to allow default subject to penalties results in a construction of a simple mechanism for selecting a unique competitive equilibrium. We consider economies for which a common credit money can be applied to uniquely select any competitive equilibrium with suitable default penalties. We identify two classes of such economies. One consists of economies with utility functions being homogeneous of degree 1; the other consists of economies with the number of consumers equal to the number of commodities and traders having quasi-linear utility functions with respect to different commodities.
Nonparametric Estimation Of A Polarization Measure, Gordon J. Anderson, Oliver B. Linton, Yoon-Jae Whang
Nonparametric Estimation Of A Polarization Measure, Gordon J. Anderson, Oliver B. Linton, Yoon-Jae Whang
Cowles Foundation Discussion Papers
This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution theory of our estimator, which in some cases is nonstandard due to a boundary value problem. We also propose a method for conducting inference based on estimation of unknown quantities in the limiting distribution and show that our method yields consistent inference in all cases we consider. We investigate the finite sample properties of our methods by simulation methods. We give an application to the study of polarization within …
An Improved Bootstrap Test Of Stochastic Dominance, Oliver B. Linton, Kyungchul Song, Yoon-Jae Whang
An Improved Bootstrap Test Of Stochastic Dominance, Oliver B. Linton, Kyungchul Song, Yoon-Jae Whang
Cowles Foundation Discussion Papers
We propose a new method of testing stochastic dominance that improves on existing tests based on the standard bootstrap or subsampling. The method admits prospects involving infinite as well as finite dimensional unknown parameters, so that the variables are allowed to be residuals from nonparametric and semiparametric models. The proposed bootstrap tests have asymptotic sizes that are less than or equal to the nominal level uniformly over probabilities in the null hypothesis under regularity conditions. This paper also characterizes the set of probabilities that the asymptotic size is exactly equal to the nominal level uniformly. As our simulation results show, …
Grading Exams: 100, 99, 98,...Or A, B, C?, Pradeep Dubey, John Geanakoplos
Grading Exams: 100, 99, 98,...Or A, B, C?, Pradeep Dubey, John Geanakoplos
Cowles Foundation Discussion Papers
No abstract provided.
Dynamic Misspecification In Nonparametric Cointegrating Regression, Ioannis Kasparis, Peter C.B. Phillips
Dynamic Misspecification In Nonparametric Cointegrating Regression, Ioannis Kasparis, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances of integrable transformations of non-stationary sequences and time translated sequences, allowing for the presence of a bandwidth parameter so as to accommodate kernel regression. The theory is an extension of Wang and Phillips (2008) and is useful for the analysis of nonparametric regression models with a misspecified lag structure and in situations where temporal aggregation issues arise. The limit properties of the Nadaraya-Watson (NW) estimator for cointegrating regression …
Explosive Behavior In The 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, Peter C.B. Phillips, Yangru Wu, Jun Yu
Explosive Behavior In The 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, Peter C.B. Phillips, Yangru Wu, Jun Yu
Cowles Foundation Discussion Papers
A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, date-stamping the origination and collapse of economic exuberance, and providing valid confidence intervals for explosive growth rates. The method involves the recursive implementation of a right-side unit root test and a sup test, both of which are easy to use in practical applications, and some new limit theory for mildly explosive processes. The test procedure is shown to have discriminatory power in detecting periodically collapsing bubbles, thereby overcoming a weakness in earlier applications of unit root tests for economic bubbles. An empirical application to Nasdaq stock …
Infinite Density At The Median And The Typical Shape Of Stock Return Distributions, Chirok Han, Jin Seo Cho, Peter C.B. Phillips
Infinite Density At The Median And The Typical Shape Of Stock Return Distributions, Chirok Han, Jin Seo Cho, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Statistics are developed to test for the presence of an asymptotic discontinuity (or infinite density or peakedness) in a probability density at the median. The approach makes use of work by Knight (1998) on L 1 estimation asymptotics in conjunction with non-parametric kernel density estimation methods. The size and power of the tests are assessed, and conditions under which the tests have good performance are explored in simulations. The new methods are applied to stock returns of leading companies across major U.S. industry groups. The results confirm the presence of infinite density at the median as a new significant empirical …
Lad Asymptotics Under Conditional Heteroskedasticity With Possibly Infinite Error Densities, Jin Seo Cho, Chirok Han, Peter C.B. Phillips
Lad Asymptotics Under Conditional Heteroskedasticity With Possibly Infinite Error Densities, Jin Seo Cho, Chirok Han, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Least absolute deviations (LAD) estimation of linear time-series models is considered under conditional heteroskedasticity and serial correlation. The limit theory of the LAD estimator is obtained without assuming the finite density condition for the errors that is required in standard LAD asymptotics. The results are particularly useful in application of LAD estimation to financial time series data.
Analyzing Macroeconomic Forecastability, Ray C. Fair
Analyzing Macroeconomic Forecastability, Ray C. Fair
Cowles Foundation Discussion Papers
This paper estimates, using stochastic simulation and a multicountry macroeconometric model, the fraction of the forecast-error variance of output changes and the fraction of the forecast-error variance of inflation that are due to unpredictable asset-price changes. The results suggest that between about 25 and 37 percent of the forecast-error variance of output growth over 8 quarters is due to asset-price changes and between about 33 and 60 percent of the forecast-error variance of inflation over 8 quarters is due to asset-price changes. These estimates provide limits to the accuracy that can be expected from macroeconomic forecasting.
Nonparametric Structural Estimation Via Continuous Location Shifts In An Endogenous Regressor, Peter C.B. Phillips, Liangjun Su
Nonparametric Structural Estimation Via Continuous Location Shifts In An Endogenous Regressor, Peter C.B. Phillips, Liangjun Su
Cowles Foundation Discussion Papers
Recent work by Wang and Phillips (2009b, c) has shown that ill posed inverse problems do not arise in nonstationary nonparametric regression and there is no need for nonparametric instrumental variable estimation. Instead, simple Nadaraya Watson nonparametric estimation of a (possibly nonlinear) cointegrating regression equation is consistent with a limiting (mixed) normal distribution irrespective of the endogeneity in the regressor, near integration as well as integration in the regressor, and serial dependence in the regression equation. The present paper shows that some closely related results apply in the case of structural nonparametric regression with independent data when there are continuous …
A Paradox Of Inconsistent Parametric And Consistent Nonparametric Regression, Peter C.B. Phillips, Liangjun Su
A Paradox Of Inconsistent Parametric And Consistent Nonparametric Regression, Peter C.B. Phillips, Liangjun Su
Cowles Foundation Discussion Papers
This paper explores a paradox discovered in recent work by Phillips and Su (2009). That paper gave an example in which nonparametric regression is consistent whereas parametric regression is inconsistent even when the true regression functional form is known and used in regression. This appears to be a paradox, as knowing the true functional form should not in general be detrimental in regression. In the present case, local regression methods turn out to have a distinct advantage because of endogeneity in the regressor. The paradox arises because additional correct information is not necessarily advantageous when information is incomplete. In the …
Measurement Of Income With Time Use With Applications To Hedonic Indicators Of Happiness And Misery, William D. Nordhaus
Measurement Of Income With Time Use With Applications To Hedonic Indicators Of Happiness And Misery, William D. Nordhaus
Cowles Foundation Discussion Papers
The present paper examines several issues involved in expanding national economic accounts and quantitative social indicators to include the “consumption” of time. The first part examines this question in the context of the standard national economic accounts. It derives equilibrium conditions for consumer behavior with market and non-market consumption along with intrinsic values of time in different activities. Using a standard index-number approach, it shows that the growth of real income can be approximated by a weighted average of productivity growth rates in market and non-market productivity and that the valuation of hours drops out of the formula. The second …
The Effects Of The Security Environment On Military Expenditures: Pooled Analyses Of 165 Countries, 1950-2000, William D. Nordhaus, John R. Oneal, Bruce Russett
The Effects Of The Security Environment On Military Expenditures: Pooled Analyses Of 165 Countries, 1950-2000, William D. Nordhaus, John R. Oneal, Bruce Russett
Cowles Foundation Discussion Papers
Countries’ military expenditures differ greatly across both space and time. This study examines the determinants of military spending, with particular reference to the importance of the external security environment. Using the liberal-realist model of international relations, we first estimate the probability that two countries will be involved in a fatal militarized interstate dispute. We then aggregate these ex ante estimates of the likelihood of dyadic conflict, calculating the annual joint probability that a country will be involved in a fatal dispute. This is our measure of the external threat. We then estimate the level of military spending by country and …
Inflationary Equilibrium In A Stochastic Economy With Independent Agents, John Geanakoplos, Ioannis Karatzas, Martin Shubik, William D. Sudderth
Inflationary Equilibrium In A Stochastic Economy With Independent Agents, John Geanakoplos, Ioannis Karatzas, Martin Shubik, William D. Sudderth
Cowles Foundation Discussion Papers
We argue that even when macroeconomic variables are constant, underlying microeconomic uncertainty and borrowing constraints generate inflation. We study stochastic economies with fiat money, a central bank, one nondurable commodity, countably many time periods, and a continuum of agents. The aggregate amount of the commodity remains constant, but the endowments of individual agents fluctuate “independently” in a random fashion from period to period. Agents hold money and, prior to bidding in the commodity market each period, can either borrow from or deposit in a central bank at a fixed rate of interest. If the interest rate is strictly positive, then …
Monitoring With Collective Memory: Forgiveness For Optimally Empty Promises, David A. Miller, Kareen Rozen
Monitoring With Collective Memory: Forgiveness For Optimally Empty Promises, David A. Miller, Kareen Rozen
Cowles Foundation Discussion Papers
We study optimal contracting in a team setting with moral hazard, where teammates promise to complete socially efficient but costly tasks. Teammates must monitor each other to provide incentives, but each team member has limited capacity to allocate between monitoring and productive tasks. Players incur contractual punishments for unfulfilled promises that are discovered. We show that optimal contracts are generally “forgiving” and players optimally make “empty promises” that they don’t necessarily intend to fulfill. As uncertainty in task completion increases, players optimally make more empty promises but fewer total promises. A principal who hires a team of agents optimally implements …
Rationalizable Implementation, Dirk Bergemann, Stephen Morris
Rationalizable Implementation, Dirk Bergemann, Stephen Morris
Cowles Foundation Discussion Papers
This note studies (full) implementation of social choice functions under complete information in (correlated) rationalizable strategies. The monotonicity condition shown by Maskin (1999) to be necessary for Nash implementation is also necessary under the more stringent solution concept. We show that it is also sufficient under a mild “no worst alternative” condition. In particular, no economic condition is required.
Rationalizable Implementation, Dirk Bergemann, Stephen Morris, Olivier Tercieux
Rationalizable Implementation, Dirk Bergemann, Stephen Morris, Olivier Tercieux
Cowles Foundation Discussion Papers
We consider the implementation of social choice functions under complete information in rationalizable strategies. A strict (and thus stronger) version of the monotonicity condition introduced by Maskin (1999) is necessary under the solution concept of rationalizability. Assuming the social choice function is responsive (i.e., it never selects the same outcome in two distinct states), we show that it is also sufficient under a mild “no worst alternative” condition. In particular, no economic condition is required. We also discuss how our results extend when the social choice function is not responsive.
Principal Components And Long Run Implications Of Multivariate Diffusions, Xiaohong Chen, Lars P. Hansen, José Scheinkman
Principal Components And Long Run Implications Of Multivariate Diffusions, Xiaohong Chen, Lars P. Hansen, José Scheinkman
Cowles Foundation Discussion Papers
We investigate a method for extracting nonlinear principal components. These principal components maximize variation subject to smoothness and orthogonality constraints; but we allow for a general class of constraints and multivariate densities, including densities without compact support and even densities with algebraic tails. We provide primitive sufficient conditions for the existence of these principal components. We characterize the limiting behavior of the associated eigenvalues, the objects used to quantify the incremental importance of the principal components. By exploiting the theory of continuous-time, reversible Markov processes, we give a different interpretation of the principal components and the smoothness constraints. When the …
Intergenerational Justice When Future Worlds Are Uncertain, Humberto Llavador, John E. Roemer, Joaquim Silvestre
Intergenerational Justice When Future Worlds Are Uncertain, Humberto Llavador, John E. Roemer, Joaquim Silvestre
Cowles Foundation Discussion Papers
Suppose that there exists a positive (exogenous) probability that at each date of a possibly infinite future, the human species will disappear. We postulate an Ethical Observer (EO) who must solve an intertemporal welfare maximization problem under this kind of uncertainty, with preferences that satisfy the expected utility hypothesis. Various social welfare criteria are expressed as alternative von Neumann-Morgenstern utility functions for the EO: utilitarianism, Rawlsianism, and an extension of the latter that corrects for the size of population. Our analysis covers, first, a simple cake-eating economy, where the utilitarian and Rawlsian recommend the same intergenerational allocation. Second, we consider …
Collaborating, Alessandro Bonatti, Johannes Hörner
Collaborating, Alessandro Bonatti, Johannes Hörner
Cowles Foundation Discussion Papers
This paper examines moral hazard in teams over time. Agents are collectively engaged in an uncertain project, and their individual efforts are unobserved. Free-riding leads not only to a reduction in effort, but also to procrastination. The collaboration dwindles over time, but never ceases as long as the project has not succeeded. In fact, the delay until the project succeeds, if it ever does, increases with the number of agents. We show why deadlines, but not necessarily better monitoring, help to mitigate moral hazard.
The Ethics Of Distribution In A Warming Planet, John E. Roemer
The Ethics Of Distribution In A Warming Planet, John E. Roemer
Cowles Foundation Discussion Papers
The discounted-utilitarian social welfare function (DU) is used by the great majority of researchers studying intergenerational resource allocation in the presence of climate change (e.g., W. Nordhaus, M. Weitzman, N. Stern, and P. Dasgupta). I present three justifications for using DU: (1) the view that the first generation’s preferences should be hegemonic, (2) the viewpoint of a utilitarian Ethical Observer who maximizes expected utility when the existence of future generations is uncertain, and (3) axiomatic justifications (as in classical social-choice theory). I argue that only justification (2) provides an ethically convincing justification, and that, only if one endorses utilitarianism as …
Understanding Inflation-Indexed Bond Markets, John Y. Campbell, Robert J. Shiller, Luis M. Viceira
Understanding Inflation-Indexed Bond Markets, John Y. Campbell, Robert J. Shiller, Luis M. Viceira
Cowles Foundation Discussion Papers
This paper explores the history of inflation-indexed bond markets in the US and the UK. It documents a massive decline in long-term real interest rates from the 1990’s until 2008, followed by a sudden spike in these rates during the financial crisis of 2008. Breakeven inflation rates, calculated from inflation-indexed and nominal government bond yields, stabilized until the fall of 2008, when they showed dramatic declines. The paper asks to what extent short-term real interest rates, bond risks, and liquidity explain the trends before 2008 and the unusual developments in the fall of 2008. Low inflation-indexed yields and high short-term …
Asymptotic Theory For Zero Energy Density Estimation With Nonparametric Regression Applications, Qiying Wang, Peter C.B. Phillips
Asymptotic Theory For Zero Energy Density Estimation With Nonparametric Regression Applications, Qiying Wang, Peter C.B. Phillips
Cowles Foundation Discussion Papers
A local limit theorem is given for the sample mean of a zero energy function of a nonstationary time series involving twin numerical sequences that pass to infinity. The result is applicable in certain nonparametric kernel density estimation and regression problems where the relevant quantities are functions of both sample size and bandwidth. An interesting outcome of the theory in nonparametric regression is that the linear term is eliminated from the asymptotic bias. In consequence and in contrast to the stationary case, the Nadaraya-Watson estimator has the same limit distribution (to the second order including bias) as the local linear …
Mean And Autocovariance Function Estimation Near The Boundary Of Stationarity, Liudas Giraitis, Peter C.B. Phillips
Mean And Autocovariance Function Estimation Near The Boundary Of Stationarity, Liudas Giraitis, Peter C.B. Phillips
Cowles Foundation Discussion Papers
We analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of stationarity. The concept of stationarity is refined, allowing for sample size dependence in the array and paying special attention to the rate at which the boundary unit root case is approached using a localizing coefficient around unity. The primary focus of the present paper is on estimation of the mean, autocovariance and autocorrelation functions within the broad region of stationarity that includes near boundary cases which vary with the sample size. The rate of consistency and the validity of the normal asymptotic approximation …
The Perils Of The Learning Model For Modeling Endogenous Technological Change, William D. Nordhaus
The Perils Of The Learning Model For Modeling Endogenous Technological Change, William D. Nordhaus
Cowles Foundation Discussion Papers
Learning or experience curves are widely used to estimate cost functions in manufacturing modeling. They have recently been introduced in policy models of energy and global warming economics to make the process of technological change endogenous. It is not widely appreciated that this is a dangerous modeling strategy. The present note has three points. First, it shows that there is a fundamental statistical identification problem in trying to separate learning from exogenous technological change and that the estimated learning coefficient will generally be biased upwards. Second, we present two empirical tests that illustrate the potential bias in practice and show …
Efficient Estimation Of Copula-Based Semiparametric Markov Models, Xiaohong Chen, Wei Biao Wu, Yanping Yi
Efficient Estimation Of Copula-Based Semiparametric Markov Models, Xiaohong Chen, Wei Biao Wu, Yanping Yi
Cowles Foundation Discussion Papers
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized by nonparametric invariant (one-dimensional marginal) distributions and parametric bivariate copula functions; where the copulas capture temporal dependence and tail dependence of the processes. The Markov processes generated via tail dependent copulas may look highly persistent and are useful for financial and economic applications. We first show that Markov processes generated via Clayton, Gumbel and Student’s t $ copulas and their survival copulas are all geometrically ergodic. We then propose a sieve maximum likelihood estimation (MLE) for the copula parameter, the invariant distribution and the …
An Analysis Of The Dismal Theorem, William D. Nordhaus
An Analysis Of The Dismal Theorem, William D. Nordhaus
Cowles Foundation Discussion Papers
In a series of papers, Martin Weitzman has proposed a Dismal Theorem. The general idea is that, under limited conditions concerning the structure of uncertainty and preferences, society has an indefinitely large expected loss from high-consequence, low-probability events. Under such conditions, standard economic analysis cannot be applied. The present study is intended to put the Dismal Theorem in context and examine the range of its applicability, with an application to catastrophic climate change. I conclude that Weitzman makes an important point about selection of distributions in the analysis of decision-making under uncertainty. However, the conditions necessary for the Dismal Theorem …
Cointegrating Rank Selection In Models With Time-Varying Variance, Xu Cheng, Peter C.B. Phillips
Cointegrating Rank Selection In Models With Time-Varying Variance, Xu Cheng, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Reduced rank regression (RRR) models with time varying heterogeneity are considered. Standard information criteria for selecting cointegrating rank are shown to be weakly consistent in semiparametric RRR models in which the errors have general nonparametric short memory components and shifting volatility provided the penalty coefficient C n → infinity and C n /n → 0 as n → ∞. The AIC criterion is inconsistent and its limit distribution is given. The results extend those in Cheng and Phillips (2008) and are useful in empirical work where structural breaks or time evolution in the error variances is present. An empirical application …
Bootstrapping I(1) Data, Peter C.B. Phillips
Bootstrapping I(1) Data, Peter C.B. Phillips
Cowles Foundation Discussion Papers
A functional law for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis (2001) is given. The results provide an alternative demonstration that continuous-path block bootstrap unit root tests are consistent under the null.
Estimation And Model Selection Of Semiparametric Multivariate Survival Functions Under General Censorship, Xiaohong Chen, Yanqin Fan, Demian Pouzo, Zhiliang Ying
Estimation And Model Selection Of Semiparametric Multivariate Survival Functions Under General Censorship, Xiaohong Chen, Yanqin Fan, Demian Pouzo, Zhiliang Ying
Cowles Foundation Discussion Papers
Many models of semiparametric multivariate survival functions are characterized by nonparametric marginal survival functions and parametric copula functions, where different copulas imply different dependence structures. This paper considers estimation and model selection for these semiparametric multivariate survival functions, allowing for misspecified parametric copulas and data subject to general censoring. We first establish convergence of the two-step estimator of the copula parameter to the pseudo-true value defined as the value of the parameter that minimizes the KLIC between the parametric copula induced multivariate density and the unknown true density. We then derive its root–n asymptotically normal distribution and provide a simple …