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Yale University
(184 results)-
White Papers
History-Dependent Risk Attitude
February 1, 2011, 12:00am PST
The authors propose a model of History-Dependent Risk Attitude (HDRA), allowing the attitude of a Decision-Maker (DM) towards risk at each stage of a T-stage lottery to evolve as a function of his...
Provided by Yale University
-
White Papers
Inference Based On Conditional Moment Inequalities
June 1, 2010, 12:00am PDT
In this paper, the authors propose an instrumental variable approach to constructing Confidence Sets (CS's) for the true parameter in models defined by conditional moment inequalities/equalities....
Provided by Yale University
-
White Papers
Estimated Macroeconomic Effects Of The U.S. Stimulus Bill
May 1, 2010, 12:00am PDT
This paper uses a multicountry macroeconometric model to estimate the macroeconomic effects of the U.S. stimulus bill passed in February 2009. The analysis has the advantage of taking into account...
Provided by Yale University
-
White Papers
Introduction To Judgment Aggregation
February 4, 2010, 12:00am PST
This introduces the symposium on judgment aggregation. The theory of judgment aggregation asks how several individuals' judgments on some logically connected propositions can be aggregated into...
Provided by Yale University
-
White Papers
Solving The Present Crisis And Managing The Leverage Cycle
January 1, 2010, 12:00am PST
The present crisis is the bottom of a recurring problem that the author calls the leverage cycle, in which leverage gradually rises too high then suddenly falls much too low. The government must...
Provided by Yale University
-
White Papers
Two New Zealand Pioneer Econometricians
January 1, 2010, 12:00am PST
Two distinguished New Zealanders pioneered some of the foundations of modern econometrics. Alec Aitken, one of the most famous and well-documented mental arithmeticians of all time, contributed...
Provided by Yale University
-
White Papers
Optimal Estimation Under Nonstandard Conditions
January 1, 2010, 12:00am PST
The authors analyze optimality properties of Maximum Likelihood (ML) and other estimators when the problem does not necessarily fall within the Locally Asymptotically Normal (LAN) class, therefore...
Provided by Yale University
-
White Papers
X-Differencing And Dynamic Panel Model Estimation
January 1, 2010, 12:00am PST
This paper introduces a new estimation method for dynamic panel models with fixed effects and AR(p) idiosyncratic errors. The proposed estimator uses a novel form of systematic differencing,...
Provided by Yale University
-
White Papers
Leverage Causes Fat Tails And Clustered Volatility
January 1, 2010, 12:00am PST
The authors build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "Value investing", i.e....
Provided by Yale University
-
White Papers
Selling Information
August 1, 2010, 12:00am PDT
The authors study a dynamic buyer-seller problem in which the good is information and there are no property rights. The potential buyer is reluctant to pay for information whose value to him is...
Provided by Yale University
-
White Papers
A Specification Test For Instrumental Variables Regression With Many Instruments
December 1, 2009, 12:00am PST
This paper considers specification testing for instrumental variables estimation in the presence of many instruments. The test proposed is a modified version of the Sargan (1958, Econometrica...
Provided by Yale University
-
White Papers
Nonparametric Tests Of Conditional Treatment Effects
November 1, 2009, 12:00am PDT
The authors develop a general class of nonparametric tests for treatment effects conditional on covariates. They consider a wide spectrum of null and alternative hypotheses regarding conditional...
Provided by Yale University
-
White Papers
On A Markov Game With One-sided Incomplete Information
November 2, 2009, 12:00am PST
The authors apply the average cost optimality equation to zero-sum Markov games, by considering a simple game with one-sided incomplete information that generalizes an example of Aumann and...
Provided by Yale University
-
White Papers
Strategic Supply Function Competition With Private Information
October 1, 2009, 12:00am PDT
A finite number of sellers (n) compete in schedules to supply an elastic demand. The costs of the sellers have uncertain common and private value components and there is no exogenous noise in the...
Provided by Yale University
-
White Papers
Uniform Topologies On Types
October 20, 2009, 12:00am PDT
The authors study the robustness of interim correlated rationalizability to perturbations of higher-order beliefs. They introduce a new metric topology on the universal type space; called uniform...
Provided by Yale University
-
White Papers
Identification Of A Heterogeneous Generalized Regression Model With Group Effects
October 7, 2009, 12:00am PDT
The authors consider identification in a "Generalized regression model" (Han, 1987) for panel settings in which each observation can be associated with a "Group" whose members are subject to a...
Provided by Yale University
-
White Papers
Semiparametric Efficiency Bound For Models Of Sequential Moment Restrictions Containing Unknown Functions
October 1, 2009, 12:00am PDT
This paper computes the semiparametric efficiency bound for finite dimensional parameters identified by models of sequential moment restrictions containing unknown functions. The results extend...
Provided by Yale University
-
White Papers
Default Penalty As A Disciplinary And Selection Mechanism In Presence Of Multiple Equilibria
October 1, 2009, 12:00am PDT
Closed exchange and production-and-exchange economies may have multiple equilibria, a fact that is usually ignored in macroeconomic models. The basic argument is that default and bankruptcy laws...
Provided by Yale University
-
White Papers
Marshallian Money, Welfare, And Side-payments
September 1, 2009, 12:00am PDT
A link between a No-Side-Payment (NSP) market game and a Side-Payment (SP) market game can be established by introducing a sufficient amount of an ideal utility-money of constant marginal utility...
Provided by Yale University
-
White Papers
Has Macro Progressed?
July 1, 2010, 12:00am PDT
There have been a number of recent papers arguing that there has been considerable convergence in macro research and to the good. This paper considers the question whether what has been converged...
Provided by Yale University
-
White Papers
Possible Macroeconomic Consequences Of Large Future Federal Government Deficits
February 1, 2010, 12:00am PST
This paper uses a multicountry macroeconometric model to analyze possible macroeconomic consequences of large future U.S. federal government deficits. The analysis has the advantage of accounting...
Provided by Yale University
-
White Papers
Subjectivity In Inductive Inference
August 27, 2009, 12:00am PDT
This paper examines circumstances under which subjectivity enhances the effectiveness of inductive reasoning. The authors consider a game in which Fate chooses a data generating process and agents...
Provided by Yale University
-
White Papers
Optimal Comparison Of Misspecified Moment Restriction Models
August 21, 2009, 12:00am PDT
This paper considers optimal testing of model comparison hypotheses for misspecified unconditional moment restriction models. The authors adopt the generalized Neyman-Pearson optimality criterion,...
Provided by Yale University
-
White Papers
Nonparametric Estimation In Random Coefficients Binary Choice Models
August 1, 2009, 12:00am PDT
This paper considers random coefficients binary choice models. The main goal is to estimate the density of the random coefficients nonparametrically. This is an ill-posed inverse problem...
Provided by Yale University
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White Papers
Hyperbolic Discounting Is Rational: Valuing The Far Future With Uncertain Discount Rates
August 1, 2009, 12:00am PDT
Conventional economics supposes that agents value the present vs. the future using an exponential discounting function. In contrast, experiments with animals and humans suggest that agents are...
Provided by Yale University
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White Papers
An Improved Bootstrap Test Of Stochastic Dominance
July 14, 2009, 12:00am PDT
The authors 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...
Provided by Yale University
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White Papers
Analyzing Macroeconomic Forecastability
September 1, 2009, 12:00am PDT
This paper examines whether recessions and booms are forecastable under the assumption that equity prices, housing prices, import prices, exports, and random shocks are not. Each of the 214...
Provided by Yale University
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White Papers
A Paradox Of Inconsistent Parametric And Consistent Nonparametric Regression
June 1, 2009, 12:00am PDT
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...
Provided by Yale University
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White Papers
Dynamic Misspecification In Nonparametric Cointegrating Regression
June 1, 2009, 12:00am PDT
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...
Provided by Yale University
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White Papers
Monitoring With Collective Memory: Forgiveness For Optimally Empty Promises
April 20, 2010, 12:00am PDT
The authors 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...
Provided by Yale University
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White Papers
Rationalizable Implementation
May 1, 2009, 12:00am PDT
This paper studies (full) implementation of social choice functions under complete information in (correlated) rationalizable strategies. The monotonicity condition shown by Maskin (1999) to be...
Provided by Yale University
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White Papers
Principal Components And Long Run Implications Of Multivariate Diffusions
April 1, 2009, 12:00am PDT
The authors investigate a method for extracting nonlinear principal components. These principal components maximize variation subject to smoothness and orthogonality constraints; but they allow...
Provided by Yale University
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White Papers
Efficient Estimation Of Copula-based Semiparametric Markov Models
March 1, 2009, 12:00am PST
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized by nonparametric invariant (one-dimensional marginal)...
Provided by Yale University
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White Papers
Mean And Autocovariance Function Estimation Near The Boundary Of Stationarity
January 1, 2009, 12:00am PST
The authors 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...
Provided by Yale University
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White Papers
Asymptotic Theory For Zero Energy Density Estimation With Nonparametric Regression Applications
January 8, 2009, 12:00am PST
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...
Provided by Yale University
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White Papers
An Analysis Of The Dismal Theorem
January 16, 2009, 12:00am PST
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...
Provided by Yale University
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White Papers
Estimation And Model Selection Of Semiparametric Multivariate Survival Functions Under General Censorship
November 1, 2008, 12:00am PDT
Many models of semiparametric multivariate survival functions are characterized by nonparametric marginal survival functions and parametric copula functions, where different copulas imply...
Provided by Yale University
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White Papers
A Principal-Agent Model Of Sequential Testing
October 1, 2008, 12:00am PDT
This paper analyzes the optimal provision of incentives in a sequential testing context. In every period the agent can acquire costly information that is relevant to the principal's decision....
Provided by Yale University
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White Papers
Copula-Based Nonlinear Quantile Autoregression
October 9, 2008, 12:00am PDT
Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-based time series...
Provided by Yale University
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White Papers
The Evolution Of Decision And Experienced Utilities
February 10, 2010, 12:00am PST
Psychologists report that people make choices on the basis of "Decision utilities" that routinely overestimate the "Experienced utility" consequences of these choices. This paper argues that this...
Provided by Yale University
-
White Papers
Optimal Comparison Of Misspecified Moment Restriction Models
August 21, 2009, 12:00am PDT
This paper considers optimal testing of model comparison hypotheses for misspecified unconditional moment restriction models. The authors adopt the generalized Neyman-Pearson optimality criterion,...
Provided by Yale University
-
White Papers
Subjectivity In Inductive Inference
August 27, 2009, 12:00am PDT
This paper examines circumstances under which subjectivity enhances the effectiveness of inductive reasoning. The authors consider a game in which Fate chooses a data generating process and agents...
Provided by Yale University
-
White Papers
Possible Macroeconomic Consequences Of Large Future Federal Government Deficits
February 1, 2010, 12:00am PST
This paper uses a multicountry macroeconometric model to analyze possible macroeconomic consequences of large future U.S. federal government deficits. The analysis has the advantage of accounting...
Provided by Yale University
-
White Papers
Has Macro Progressed?
July 1, 2010, 12:00am PDT
There have been a number of recent papers arguing that there has been considerable convergence in macro research and to the good. This paper considers the question whether what has been converged...
Provided by Yale University
-
White Papers
Marshallian Money, Welfare, And Side-payments
September 1, 2009, 12:00am PDT
A link between a No-Side-Payment (NSP) market game and a Side-Payment (SP) market game can be established by introducing a sufficient amount of an ideal utility-money of constant marginal utility...
Provided by Yale University
-
White Papers
Default Penalty As A Disciplinary And Selection Mechanism In Presence Of Multiple Equilibria
October 1, 2009, 12:00am PDT
Closed exchange and production-and-exchange economies may have multiple equilibria, a fact that is usually ignored in macroeconomic models. The basic argument is that default and bankruptcy laws...
Provided by Yale University
-
White Papers
Semiparametric Efficiency Bound For Models Of Sequential Moment Restrictions Containing Unknown Functions
October 1, 2009, 12:00am PDT
This paper computes the semiparametric efficiency bound for finite dimensional parameters identified by models of sequential moment restrictions containing unknown functions. The results extend...
Provided by Yale University
-
White Papers
Identification Of A Heterogeneous Generalized Regression Model With Group Effects
October 7, 2009, 12:00am PDT
The authors consider identification in a "Generalized regression model" (Han, 1987) for panel settings in which each observation can be associated with a "Group" whose members are subject to a...
Provided by Yale University
-
White Papers
Uniform Topologies On Types
October 20, 2009, 12:00am PDT
The authors study the robustness of interim correlated rationalizability to perturbations of higher-order beliefs. They introduce a new metric topology on the universal type space; called uniform...
Provided by Yale University
-
White Papers
Strategic Supply Function Competition With Private Information
October 1, 2009, 12:00am PDT
A finite number of sellers (n) compete in schedules to supply an elastic demand. The costs of the sellers have uncertain common and private value components and there is no exogenous noise in the...
Provided by Yale University
-
White Papers
On A Markov Game With One-sided Incomplete Information
November 2, 2009, 12:00am PST
The authors apply the average cost optimality equation to zero-sum Markov games, by considering a simple game with one-sided incomplete information that generalizes an example of Aumann and...
Provided by Yale University
-
White Papers
Nonparametric Tests Of Conditional Treatment Effects
November 1, 2009, 12:00am PDT
The authors develop a general class of nonparametric tests for treatment effects conditional on covariates. They consider a wide spectrum of null and alternative hypotheses regarding conditional...
Provided by Yale University
-
White Papers
A Specification Test For Instrumental Variables Regression With Many Instruments
December 1, 2009, 12:00am PST
This paper considers specification testing for instrumental variables estimation in the presence of many instruments. The test proposed is a modified version of the Sargan (1958, Econometrica...
Provided by Yale University
-
White Papers
Selling Information
August 1, 2010, 12:00am PDT
The authors study a dynamic buyer-seller problem in which the good is information and there are no property rights. The potential buyer is reluctant to pay for information whose value to him is...
Provided by Yale University
-
White Papers
Leverage Causes Fat Tails And Clustered Volatility
January 1, 2010, 12:00am PST
The authors build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "Value investing", i.e....
Provided by Yale University
-
White Papers
X-Differencing And Dynamic Panel Model Estimation
January 1, 2010, 12:00am PST
This paper introduces a new estimation method for dynamic panel models with fixed effects and AR(p) idiosyncratic errors. The proposed estimator uses a novel form of systematic differencing,...
Provided by Yale University
-
White Papers
Optimal Estimation Under Nonstandard Conditions
January 1, 2010, 12:00am PST
The authors analyze optimality properties of Maximum Likelihood (ML) and other estimators when the problem does not necessarily fall within the Locally Asymptotically Normal (LAN) class, therefore...
Provided by Yale University
-
White Papers
Two New Zealand Pioneer Econometricians
January 1, 2010, 12:00am PST
Two distinguished New Zealanders pioneered some of the foundations of modern econometrics. Alec Aitken, one of the most famous and well-documented mental arithmeticians of all time, contributed...
Provided by Yale University
-
White Papers
Solving The Present Crisis And Managing The Leverage Cycle
January 1, 2010, 12:00am PST
The present crisis is the bottom of a recurring problem that the author calls the leverage cycle, in which leverage gradually rises too high then suddenly falls much too low. The government must...
Provided by Yale University
-
White Papers
Introduction To Judgment Aggregation
February 4, 2010, 12:00am PST
This introduces the symposium on judgment aggregation. The theory of judgment aggregation asks how several individuals' judgments on some logically connected propositions can be aggregated into...
Provided by Yale University
-
White Papers
Estimated Macroeconomic Effects Of The U.S. Stimulus Bill
May 1, 2010, 12:00am PDT
This paper uses a multicountry macroeconometric model to estimate the macroeconomic effects of the U.S. stimulus bill passed in February 2009. The analysis has the advantage of taking into account...
Provided by Yale University
-
White Papers
Inference Based On Conditional Moment Inequalities
June 1, 2010, 12:00am PDT
In this paper, the authors propose an instrumental variable approach to constructing Confidence Sets (CS's) for the true parameter in models defined by conditional moment inequalities/equalities....
Provided by Yale University
-
White Papers
History-Dependent Risk Attitude
February 1, 2011, 12:00am PST
The authors propose a model of History-Dependent Risk Attitude (HDRA), allowing the attitude of a Decision-Maker (DM) towards risk at each stage of a T-stage lottery to evolve as a function of his...
Provided by Yale University
-
White Papers
Identifying Finite Mixtures In Econometric Models
September 1, 2010, 12:00am PDT
Mixtures of distributions are present in many econometric models, such as models with unobserved heterogeneity. It is thus crucial to have a general approach to identify them nonparametrically....
Provided by Yale University
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White Papers
Nonlinear Cointegrating Regression Under Weak Identification
September 1, 2010, 12:00am PDT
An asymptotic theory is developed for a weakly identified cointegrating regression model in which the regressor is a nonlinear transformation of an integrated process. Weak identification arises...
Provided by Yale University
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White Papers
Semiparametric Estimation In Time Series Of Simultaneous Equations
September 1, 2010, 12:00am PDT
A system of vector semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric...
Provided by Yale University
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White Papers
Dating The Timeline Of Financial Bubbles During The Subprime Crisis
September 1, 2010, 12:00am PDT
A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in...
Provided by Yale University
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White Papers
The Mysteries Of Trend
September 1, 2010, 12:00am PDT
Trends are ubiquitous in economic discourse, they figure prominently in media commentary, they play a role in much economic theory, and they have been intensively studied in econometrics for three...
Provided by Yale University
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White Papers
Interdependent Preferences And Strategic Distinguishability
September 1, 2010, 12:00am PDT
A universal type space of interdependent expected utility preference types is constructed from higher-order preference hierarchies describing an agent's (unconditional) preferences over a lottery...
Provided by Yale University
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White Papers
A World Macro Saving Fact And An Explanation
June 1, 2011, 12:00am PDT
The world macro saving fact concerns the total financial saving of the world's private sector divided by world GDP. Relative to changes before 1994, there was a huge fall in this ratio between...
Provided by Yale University
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White Papers
Inconsistent VAR Regression With Common Explosive Roots
January 1, 2011, 12:00am PST
Nielsen (2009) shows that vector autoregression is inconsistent when there are common explosive roots with geometric multiplicity greater than unity. This paper discusses that result, provides a...
Provided by Yale University
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White Papers
Bias In Estimating Multivariate And Univariate Diffusions
January 1, 2011, 12:00am PST
Multivariate continuous time models are now widely used in economics and finance. Empirical applications typically rely on some process of discretization so that the system may be estimated with...
Provided by Yale University
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White Papers
Specification Testing For Nonlinear Cointegrating Regression
February 18, 2011, 12:00am PST
The authors provide a limit theory for a general class of kernel smoothed U statistics that may be used for specification testing in time series regression with nonstationary data. The framework...
Provided by Yale University
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White Papers
First Difference MLE And Dynamic Panel Estimation
January 1, 2011, 12:00am PST
First Difference Maximum Likelihood (FDML) seems an attractive estimation methodology in dynamic panel data modeling because differencing eliminates fixed effects and, in the case of a unit root,...
Provided by Yale University
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White Papers
Folklore Theorems, Implicit Maps And New Unit Root Limit Theory
January 1, 2011, 12:00am PST
The delta method and continuous mapping theorem are among the most extensively used tools in asymptotic derivations in econometrics. Extensions of these methods are provided for sequences of...
Provided by Yale University
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White Papers
Moderate Deviations Of Generalized Method Of Moments And Empirical Likelihood Estimators
February 1, 2011, 12:00am PST
This paper studies moderate deviation behaviors of the generalized method of moments and generalized empirical likelihood estimators for generalized estimating equations, where the number of...
Provided by Yale University
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White Papers
Identification In A Class Of Nonparametric Simultaneous Equations Models
March 10, 2011, 12:00am PST
The authors consider identification in a class of nonparametric simultaneous equations models introduced by Matzkin (2008). These models combine standard exclusion restrictions with a requirement...
Provided by Yale University
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White Papers
Economists As Worldly Philosophers
March 1, 2011, 12:00am PST
While leading figures in the early history of economics conceived of it as inseparable from philosophy and other humanities, there has been movement, especially in recent decades, towards its...
Provided by Yale University
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White Papers
Hodges-Lehmann Optimality For Testing Moment
March 1, 2011, 12:00am PST
This paper studies the Hodges and Lehmann (1956) optimality of tests in a general setup. The tests are compared by the exponential rates of growth to one of the power functions evaluated at a...
Provided by Yale University
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White Papers
Second-Order Refinement Of Empirical Likelihood For Testing Overidentifying Restrictions
April 1, 2011, 12:00am PDT
This paper studies second-order properties of the empirical likelihood overidentifying restriction test to check the validity of moment condition models. The authors show that the empirical...
Provided by Yale University
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