Yale University

Displaying 1-40 of 169 results

  • White Papers // Jan 2014

    Query Optimization of Distributed Pattern Matching

    Greedy algorithms for subgraph pattern matching operations are often sufficient when the graph data set can be held in memory on a single machine. However, as graph data sets increasingly expand and require external storage and partitioning across a cluster of machines, more sophisticated query optimization techniques become critical to...

    Provided By Yale University

  • White Papers // Jun 2013

    Modularity and Scalability in Calvin

    Calvin is a transaction scheduling and replication management layer for distributed storage systems. By first writing transaction requests to a durable, replicated log, and then using a concurrency control mechanism that emulates a deterministic serial execution of the log's transaction requests, Calvin sup-ports strongly consistent replication and fully ACID distributed...

    Provided By Yale University

  • White Papers // May 2012

    Icebergs in the Clouds: The Other Risks of Cloud Computing

    Cloud computing is appealing from management and efficiency perspectives, but brings risks both known and unknown. Well-known and hotly-debated information security risks, due to software vulnerabilities, insider attacks, and side-channels for example, may be only the "Tip of the iceberg." As diverse, independently developed cloud services share ever more fluidly...

    Provided By Yale University

  • White Papers // May 2012

    Plugging Side-Channel Leaks With Timing Information Flow Control

    The cloud model's dependence on massive parallelism and resource sharing exacerbates the security challenge of timing side-channels. Timing Information Flow Control (TIFC) is a novel adaptation of IFC techniques that may offer a way to reason about, and ultimately control, the flow of sensitive information through systems via timing channels....

    Provided By Yale University

  • White Papers // Jan 2012

    FORBID: Cope With Byzantine Behaviors in Wireless Multi-Path Routing and Forwarding

    Consider multi-path routing and forwarding scenarios in wireless ad hoc networks. Rational and Byzantine nodes both might deviate from the protocol. However, their intentions and behaviors are different. To extend the authors' previous work on Generalized Second Price (GSP) auction for stimulating rational nodes for cooperation, they propose FORBID mechanism...

    Provided By Yale University

  • White Papers // Jul 2011

    Tranching, CDs And Asset Prices: How Financial Innovation Can Cause Bubbles And Crashes

    The authors show how the timing of financial innovation might have contributed to the mortgage boom and then to the bust of 2007-2009. They study the effect of leverage, tranching, securitization and CDS on asset prices in a general equilibrium model with collateral. They show why tranching and leverage tend...

    Provided By Yale University

  • White Papers // Jul 2011

    Pricing And Investments In Matching Markets

    Different markets are cleared by different types of prices - seller-specific prices that are uniform across buyers in some markets, and personalized prices tailored to the buyer in others. The authors examine a setting in which buyers and sellers make investments before matching in a competitive market. They introduce the...

    Provided By Yale University

  • White Papers // Jun 2011

    Minion - An All-Terrain Packet Packhorse to Jump-Start Stalled Internet Transports

    Transport layer evolution is stuck. A proliferation of middleboxes in the Internet has shifted the waist of the hourglass upward from IP to include legacy transports. While popular for many different reasons, middleboxes deviate from the Internet's end-to-end design, creating large deployment "Black-holes" - singularities where legacy transports get through,...

    Provided By Yale University

  • White Papers // Jun 2011

    A World Macro Saving Fact And An Explanation

    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 1995 and 2000, a huge increase between 2000 and 2003, a huge fall between 2003 and 2006,...

    Provided By Yale University

  • White Papers // Jun 2011

    Endowments And Investments Within The Household: Evidence From Iodine Supplementation On Tanzania

    Standard theories of resource allocation within the household posit that parents' investments in their children reflect a combination of children's endowments and parents' preferences for child quality. The authors study how changes in children's cognitive endowments affect the distribution of parental investments amongst siblings, using data from a large-scale iodine...

    Provided By Yale University

  • White Papers // May 2011

    Dynamic Strategic Information Transmission

    This paper studies strategic information transmission in a dynamic environment where, each period, a privately informed expert sends a message and a decision maker takes an action. The authors' main result is that, in contrast to a static environment, full information revelation is possible. The gradual revelation of information and...

    Provided By Yale University

  • White Papers // May 2011

    An Achievable Rate Region for the Broadcast Channel With Feedback

    A single-letter achievable rate region is proposed for the two-receiver discrete memory-less broadcast channel with noiseless or noisy feedback. The coding strategy involves block-Markov superposition coding using Marton's coding scheme for the broadcast channel without feedback as the starting point. If the message rates in the Marton scheme are too...

    Provided By Yale University

  • White Papers // May 2011

    Endogenous Leverage: VAR And Beyond

    The authors study endogenous leverage in a general equilibrium model with incomplete markets. They prove that in any binary tree leverage emerges in equilibrium at the maximum level such that VaR=0, so there is no default in equilibrium, provided that agents get no utility from holding the collateral. When the...

    Provided By Yale University

  • White Papers // May 2011

    Empirical Likelihood For Regression Discontinuity Design

    This paper proposes empirical likelihood based inference methods for causal effects identified from regression discontinuity designs. The authors consider both the sharp and fuzzy regression discontinuity designs and treat the regression functions as nonparametric. The proposed inference procedures do not require asymptotic variance estimation and the confidence sets have natural...

    Provided By Yale University

  • White Papers // May 2011

    Large Deviations Of Realized Volatility

    This paper studies large and moderate deviation properties of a realized volatility statistic of high frequency financial data. The authors establish a large deviation principle for the realized volatility when the number of high frequency observations in a fixed time interval increases to infinity. Their large deviation result can be...

    Provided By Yale University

  • White Papers // May 2011

    Penalized Sieve Estimation And Inference Of Semi-nonparametric Dynamic Models: A Selective Review

    In this selective review, the authors first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. They describe popular classes of semi-nonparametric dynamic models and some temporal dependence properties. They then present Penalized Sieve Extremum (PSE) estimation as a general method...

    Provided By Yale University

  • White Papers // May 2011

    A Practical Asymptotic Variance Estimator For Two-step Semiparametric Estimators

    The goal of this paper is to develop techniques to simplify semiparametric inference. The authors do this by deriving a number of numerical equivalence results. These illustrate that in many cases, one can obtain estimates of semiparametric variances using standard formulas derived in the already-well-known parametric literature. This means that...

    Provided By Yale University

  • White Papers // May 2011

    Social Policy & U.S. Poverty 1960-1999: An Economic History

    Interrogates poverty debate (growth versus redistribution) reignited by underperforming poverty reductions during 1980s' social spending austerity compared to 1960s' "War on Poverty." Growth and inequality explain 75% 1959-1999 poverty variation; census measurement changes 17%. Significantly, census measurement changes plus overestimated inflation biased-up 1980s measured poverty (deflated 1960s) partly explaining eighties'...

    Provided By Yale University

  • White Papers // Apr 2011

    Eyo: Device-Transparent Personal Storage

    Users increasingly store data collections such as digital photographs on multiple personal devices, each of which typically offers a storage management interface oblivious to the contents of the user's other devices. As a result, collections become disorganized and drift out of sync. This paper presents Eyo, a novel personal storage...

    Provided By Yale University

  • White Papers // Apr 2011

    Continuous Workout Mortgages

    This paper models Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and prepayments by employing a market-observable variable such as the house price index of the pertaining locality. The authors' main results include: explicit modelling of repayment and interest-only CWMs; closed form formulae for mortgage payment and mortgage...

    Provided By Yale University

  • White Papers // Apr 2011

    Deterministic OpenMP for Race-Free Parallelism

    Recent deterministic parallel programming models show promise for their ability to replay computations and reproduce bugs, but they currently require the programmer to adopt restrictive or unfamiliar parallel constructs. Deterministic OpenMP (DOMP) is a new deterministic parallel environment built on the familiar OpenMP framework. By leveraging OpenMP's block-structured synchronization annotations,...

    Provided By Yale University

  • White Papers // Apr 2011

    Quantile Regression With Censoring And Endogeneity

    In this paper, the authors develop a new Censored Quantile Instrumental Variable (CQIV) estimator and describe its properties and computation. The CQIV estimator combines Powell (1986) Censored Quantile Regression (CQR) to deal semiparametrically with censoring, with a control variable approach to incorporate endogenous regressors. The CQIV estimator is obtained in...

    Provided By Yale University

  • White Papers // Apr 2011

    Robustness Of Bootstrap In Instrumental Variable Regression

    This paper studies robustness of bootstrap inference methods for instrumental variable regression models. In particular, the authors compare the uniform weight and implied probability bootstrap approximations for parameter hypothesis test statistics by applying the breakdown point theory, which focuses on behaviors of the bootstrap quantiles when outliers take arbitrarily large...

    Provided By Yale University

  • White Papers // Apr 2011

    Local Identification Of Nonparametric And Semiparametric Models

    In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. The authors show that there are corresponding sufficient conditions for nonparametric models. A nonparametric rank condition and differentiability of the moment conditions with...

    Provided By Yale University

  • White Papers // Apr 2011

    Breakdown Point Theory For Implied Probability Bootstrap

    This paper studies robustness of bootstrap inference methods under moment conditions. In particular, the authors compare the uniform weight and implied probability bootstraps by analyzing behaviors of the bootstrap quantiles when outliers take arbitrarily large values, and derive the breakdown points for those bootstrap quantiles. The breakdown point properties characterize...

    Provided By Yale University

  • White Papers // Apr 2011

    Empirical Likelihood For Nonparametric Additive Models

    Nonparametric additive modeling is a fundamental tool for statistical data analysis which allows flexible functional forms for conditional mean or quantile functions but avoids the curse of dimensionality for fully nonparametric methods induced by high-dimensional covariates. This paper proposes empirical likelihood-based inference methods for unknown functions in three types of...

    Provided By Yale University

  • White Papers // Apr 2011

    Second-Order Refinement Of Empirical Likelihood For Testing Overidentifying Restrictions

    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 likelihood test is Bartlett correctable and suggest second-order refinement methods for the test based on the empirical Bartlett correction and adjusted empirical likelihood. The...

    Provided By Yale University

  • White Papers // Apr 2011

    Political Mergers As Coalition Formation

    Political coalition formation games can describe the formation and dissolution of nations, as well as the creation of coalition governments, the establishment of political parties, and other similar phenomena. These games have been studied from a theoretical perspective, but the resulting models have not been used extensively in empirical work....

    Provided By Yale University

  • White Papers // Mar 2011

    Identification In A Class Of Nonparametric Simultaneous Equations Models

    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 that each structural error enter through a "Residual index" function. They provide constructive proofs of identification under several sets of conditions, demonstrating tradeoffs between restrictions...

    Provided By Yale University

  • White Papers // Mar 2011

    Wire-Compatible Unordered Delivery in TCP and TLS

    The performance of many common Internet applications can benefit from out-of-order delivery, a feature all IETF transports since TCP have included. Yet latency-sensitive applications still frequently build on in-order TCP despite its performance drawbacks, for reasons such as network compatibility and TCP's cultural inertia. The authors introduce uTCP, an API...

    Provided By Yale University

  • White Papers // Mar 2011

    Cost Innovation: Schumpeter And Equilibrium. Part 1. Robinson Crusoe

    Modifying a parallel dynamic programming approach to a simple deterministic economy, the authors consider the effect of an innovation in the means of production. The success of the innovation is assumed to depend on the availability of financing, locus of financial control, the amount of resources invested, and on a...

    Provided By Yale University

  • White Papers // Mar 2011

    Hodges-Lehmann Optimality For Testing Moment

    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 fixed alternative while keeping the asymptotic sizes bounded by some constant. The authors present two sets...

    Provided By Yale University

  • White Papers // Mar 2011

    Economists As Worldly Philosophers

    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 becoming an essentially technical field with narrowly specialized areas of inquiry. Certainly, specialization has allowed for great progress in economic science....

    Provided By Yale University

  • White Papers // Mar 2011

    Cost Innovation: Schumpeter And Equilibrium - Part 1: Robinson Crusoe

    Modifying a parallel dynamic programming approach to a simple deterministic economy, the authors consider the effect of an innovation in the means of production. The success of the innovation is assumed to depend on the availability of financing, locus of financial control, the amount of resources invested, and on a...

    Provided By Yale University

  • White Papers // Mar 2011

    Labor Complementarities And Health In The Agricultural Household

    Models of the agricultural household have traditionally relied on assumptions regarding the complementarity or substitutability of family labor inputs. The authors show how data on time allocations, health shocks and corresponding treatment choices can be used to test these assumptions. Data from Tanzania provide evidence that complementarities exist and can...

    Provided By Yale University

  • White Papers // Mar 2011

    Labor Supply, Schooling And The Returns To Healthcare In Tanzania

    The authors estimate the effects of higher quality healthcare usage on health, labor supply and schooling outcomes for sick individuals in Tanzania. Using exogenous variation in the cost of formal sector healthcare to predict treatment choice, they show that using better quality care improves health outcomes and changes the allocation...

    Provided By Yale University

  • White Papers // Mar 2011

    Healthcare Choices, Information And Health Outcomes

    Self-selection into healthcare options biases estimates of the effects of healthcare on health outcomes. The authors exploit exogenous variation in the cost of formal-sector care to show that the use of such care improves short-term health outcomes for acutely ill children in Tanzania. Better treatment-specific information, rather than greater access...

    Provided By Yale University

  • White Papers // Feb 2011

    Building Deterministic Transaction Processing Systems Without Deterministic Thread Scheduling

    Standard implementations of transactional systems such as database systems allow several sources of non-determinism to introduce unpredictable behavior. The recent introduction of an architecture and execution model that isolates sources of nondeterministic behavior in online transaction processing systems in order to yield deterministic transaction results makes active replication easier and...

    Provided By Yale University

  • White Papers // Feb 2011

    Specification Testing For Nonlinear Cointegrating Regression

    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 allows for linear and nonlinear models of cointegration and regressors that have autoregressive unit roots or near unit roots....

    Provided By Yale University

  • White Papers // Feb 2011

    High-Throughput Routing With Superposition Coding and Successive Interference Cancellation

    Network coding aware routing protocols have been an interesting research topic in recent years. In this paper, the authors explore similar routing gains with physical layer coding techniques. A source routing protocol S3 is proposed to be implemented with a routing metric called iETT. By extending the traditional ETT measurement,...

    Provided By Yale University

  • White Papers // Sep 2006

    Best Practice In Internal Oversight Of Lobbying Practice

    This paper makes a case for rapid adoption of best practices in corporate governance of corporate lobbying activities. Best practice requires oversight and approval of significant lobbying activities, expenditures and positions by a standing board committee of independent directors. Leading companies on this issue have recognized that lobbying on public...

    Provided By Yale University

  • White Papers // Jun 2004

    Affective Decision Making in Insurance Markets

    This paper suggests incorporating affective considerations into decision-making theory and insurance decision in particular. It describes decision maker with two internal accounts - the rational account and the mental account. The rational account decides on insurance to maximize expected (perceived) utility, while the mental account chooses risk perceptions, which then...

    Provided By Yale University

  • White Papers // Jan 2011

    Bias In Estimating Multivariate And Univariate Diffusions

    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 discrete data. This paper introduces a framework for discretizing linear multivariate continuous time systems that includes the commonly used Euler and...

    Provided By Yale University

  • White Papers // Jan 2011

    Inconsistent VAR Regression With Common Explosive Roots

    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 co-explosive system extension and an illustrative example that helps to explain the finding, gives a consistent instrumental variable procedure, and reports some simulations....

    Provided By Yale University

  • White Papers // Jun 2011

    A World Macro Saving Fact And An Explanation

    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 1995 and 2000, a huge increase between 2000 and 2003, a huge fall between 2003 and 2006,...

    Provided By Yale University

  • White Papers // Sep 2010

    Interdependent Preferences And Strategic Distinguishability

    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 space; the agent's preference over Anscombe-Aumann acts conditional on the unconditional preferences; and so on. Two types are said to be strategically indistinguishable if they have...

    Provided By Yale University

  • White Papers // Sep 2010

    The Mysteries Of Trend

    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 decades. Yet the empirical economist, forecaster, and policy maker have little guidance from theory about the source and nature of...

    Provided By Yale University

  • White Papers // Sep 2010

    Dating The Timeline Of Financial Bubbles During The Subprime Crisis

    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 Phillips, Wu and Yu (2010) and provide a technology for identifying bubble behavior and consistent dating of their origination and collapse. The...

    Provided By Yale University

  • White Papers // Sep 2010

    Semiparametric Estimation In Time Series Of Simultaneous Equations

    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 regressors may be endogenous while the nonparametric regressors are strictly exogenous and represent trends. The parametric regressors may be stationary or nonstationary and the nonparametric...

    Provided By Yale University

  • White Papers // Sep 2010

    Nonlinear Cointegrating Regression Under Weak Identification

    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 from the presence of a loading coefficient for the nonlinear function that may be close to zero. In that case, standard nonlinear cointegrating...

    Provided By Yale University

  • White Papers // Sep 2010

    Identifying Finite Mixtures In Econometric Models

    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. Yet the literature so far only contains isolated examples, applied to specific models. The authors derive the identifying implications of a conditional...

    Provided By Yale University

  • White Papers // Mar 2011

    Hodges-Lehmann Optimality For Testing Moment

    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 fixed alternative while keeping the asymptotic sizes bounded by some constant. The authors present two sets...

    Provided By Yale University

  • White Papers // Mar 2011

    Economists As Worldly Philosophers

    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 becoming an essentially technical field with narrowly specialized areas of inquiry. Certainly, specialization has allowed for great progress in economic science....

    Provided By Yale University

  • White Papers // Mar 2011

    Identification In A Class Of Nonparametric Simultaneous Equations Models

    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 that each structural error enter through a "Residual index" function. They provide constructive proofs of identification under several sets of conditions, demonstrating tradeoffs between restrictions...

    Provided By Yale University

  • White Papers // Feb 2011

    Moderate Deviations Of Generalized Method Of Moments And Empirical Likelihood Estimators

    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 equations can be larger than the number of unknown parameters. The authors consider two cases for the data generating probability measure: the model assumption and...

    Provided By Yale University

  • White Papers // Feb 2011

    Wealth Effects Revisited 1978-2009

    The authors re-examine the link between changes in housing wealth, financial wealth, and consumer spending. They extend a panel of U.S. states observed quarterly during the seventeen-year period, 1982 through 1999, to the thirty-one year period, 1978 through 2009. Using techniques reported previously, they impute the aggregate value of owner-occupied...

    Provided By Yale University

  • White Papers // Jan 2011

    Folklore Theorems, Implicit Maps And New Unit Root Limit Theory

    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 functions, which are commonly encountered in applications, and where the usual methods sometimes fail. Important examples of failure arise in the use...

    Provided By Yale University

  • White Papers // Jan 2011

    First Difference MLE And Dynamic Panel Estimation

    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, differencing transforms the data to stationarity, thereby addressing both incidental parameter problems and the possible effects of nonstationarity. This paper draws attention...

    Provided By Yale University

  • White Papers // Feb 2011

    Specification Testing For Nonlinear Cointegrating Regression

    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 allows for linear and nonlinear models of cointegration and regressors that have autoregressive unit roots or near unit roots....

    Provided By Yale University

  • White Papers // May 2011

    Endogenous Leverage: VAR And Beyond

    The authors study endogenous leverage in a general equilibrium model with incomplete markets. They prove that in any binary tree leverage emerges in equilibrium at the maximum level such that VaR=0, so there is no default in equilibrium, provided that agents get no utility from holding the collateral. When the...

    Provided By Yale University

  • White Papers // May 2011

    Empirical Likelihood For Regression Discontinuity Design

    This paper proposes empirical likelihood based inference methods for causal effects identified from regression discontinuity designs. The authors consider both the sharp and fuzzy regression discontinuity designs and treat the regression functions as nonparametric. The proposed inference procedures do not require asymptotic variance estimation and the confidence sets have natural...

    Provided By Yale University

  • White Papers // May 2011

    Large Deviations Of Realized Volatility

    This paper studies large and moderate deviation properties of a realized volatility statistic of high frequency financial data. The authors establish a large deviation principle for the realized volatility when the number of high frequency observations in a fixed time interval increases to infinity. Their large deviation result can be...

    Provided By Yale University

  • White Papers // Apr 2011

    Quantile Regression With Censoring And Endogeneity

    In this paper, the authors develop a new Censored Quantile Instrumental Variable (CQIV) estimator and describe its properties and computation. The CQIV estimator combines Powell (1986) Censored Quantile Regression (CQR) to deal semiparametrically with censoring, with a control variable approach to incorporate endogenous regressors. The CQIV estimator is obtained in...

    Provided By Yale University

  • White Papers // Apr 2011

    Robustness Of Bootstrap In Instrumental Variable Regression

    This paper studies robustness of bootstrap inference methods for instrumental variable regression models. In particular, the authors compare the uniform weight and implied probability bootstrap approximations for parameter hypothesis test statistics by applying the breakdown point theory, which focuses on behaviors of the bootstrap quantiles when outliers take arbitrarily large...

    Provided By Yale University

  • White Papers // Apr 2011

    Local Identification Of Nonparametric And Semiparametric Models

    In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. The authors show that there are corresponding sufficient conditions for nonparametric models. A nonparametric rank condition and differentiability of the moment conditions with...

    Provided By Yale University

  • White Papers // Apr 2011

    Continuous Workout Mortgages

    This paper models Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and prepayments by employing a market-observable variable such as the house price index of the pertaining locality. The authors' main results include: explicit modelling of repayment and interest-only CWMs; closed form formulae for mortgage payment and mortgage...

    Provided By Yale University

  • White Papers // Apr 2011

    Breakdown Point Theory For Implied Probability Bootstrap

    This paper studies robustness of bootstrap inference methods under moment conditions. In particular, the authors compare the uniform weight and implied probability bootstraps by analyzing behaviors of the bootstrap quantiles when outliers take arbitrarily large values, and derive the breakdown points for those bootstrap quantiles. The breakdown point properties characterize...

    Provided By Yale University

  • White Papers // Apr 2011

    Empirical Likelihood For Nonparametric Additive Models

    Nonparametric additive modeling is a fundamental tool for statistical data analysis which allows flexible functional forms for conditional mean or quantile functions but avoids the curse of dimensionality for fully nonparametric methods induced by high-dimensional covariates. This paper proposes empirical likelihood-based inference methods for unknown functions in three types of...

    Provided By Yale University

  • White Papers // Apr 2011

    Second-Order Refinement Of Empirical Likelihood For Testing Overidentifying Restrictions

    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 likelihood test is Bartlett correctable and suggest second-order refinement methods for the test based on the empirical Bartlett correction and adjusted empirical likelihood. The...

    Provided By Yale University

  • White Papers // May 2011

    Penalized Sieve Estimation And Inference Of Semi-nonparametric Dynamic Models: A Selective Review

    In this selective review, the authors first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. They describe popular classes of semi-nonparametric dynamic models and some temporal dependence properties. They then present Penalized Sieve Extremum (PSE) estimation as a general method...

    Provided By Yale University

  • White Papers // May 2011

    A Practical Asymptotic Variance Estimator For Two-step Semiparametric Estimators

    The goal of this paper is to develop techniques to simplify semiparametric inference. The authors do this by deriving a number of numerical equivalence results. These illustrate that in many cases, one can obtain estimates of semiparametric variances using standard formulas derived in the already-well-known parametric literature. This means that...

    Provided By Yale University

  • White Papers // May 2011

    Dynamic Strategic Information Transmission

    This paper studies strategic information transmission in a dynamic environment where, each period, a privately informed expert sends a message and a decision maker takes an action. The authors' main result is that, in contrast to a static environment, full information revelation is possible. The gradual revelation of information and...

    Provided By Yale University

  • White Papers // May 2010

    Assigning Tasks for Efficiency in Hadoop

    In recent years Google's MapReduce has emerged as a leading large-scale data processing architecture. Adopted by companies such as Amazon, Facebook, Google, IBM and Yahoo! in daily use, and more recently put in use by several universities, it allows parallel processing of huge volumes of data over cluster of machines....

    Provided By Yale University

  • White Papers // Feb 2010

    Mosaic: Policy Homomorphic Network Extension

    With the advent of large-scale cloud computing infrastructure, network extension and migration has emerged as a major challenge in the management of modern enterprise networks. Many enterprises are considering extending or relocating their network components, in whole or in part, to remote, private and public data centers, in order to...

    Provided By Yale University

  • White Papers // Nov 2009

    Collateralized Security Markets

    Much of the lending in modern economies is secured by some form of collateral: residential and commercial mortgages, corporate bonds, mortgage-backed securities, and collateralized debt obligations are familiar examples. This paper builds an extension of general equilibrium theory that incorporates durable goods, collateralized securities and the possibility of default to...

    Provided By Yale University

  • White Papers // Mar 2011

    Cost Innovation: Schumpeter And Equilibrium - Part 1: Robinson Crusoe

    Modifying a parallel dynamic programming approach to a simple deterministic economy, the authors consider the effect of an innovation in the means of production. The success of the innovation is assumed to depend on the availability of financing, locus of financial control, the amount of resources invested, and on a...

    Provided By Yale University

  • White Papers // Jul 2010

    Tilted Nonparametric Estimation Of Volatility Functions With Empirical Applications

    This paper proposes a novel positive nonparametric estimator of the conditional variance function without reliance on logarithmic or other transformations. The estimator is based on an empirical likelihood modification of conventional local level nonparametric regression applied to squared mean regression residuals. The estimator is shown to be asymptotically equivalent to...

    Provided By Yale University

  • White Papers // Jan 2006

    Understanding Overbidding In Second Price Auctions: An Experimental Study

    This paper presents results from a series of Second Price Private value Auction (SPA) experiments in which bidders are either given for free, or are allowed to purchase, noisy signals about their opponents' value. Even though theoretically such information about opponents' value has no strategetic use in the SPA, it...

    Provided By Yale University

  • White Papers // Jun 2009

    Three Minimal Market Institutions With Human And Algorithmic Agents: Theory And Experimental Evidence

    The authors define and examine the performance of three minimal strategic market games (sell-all, buy-sell, and double auction) in laboratory relative to the predictions of theory. Unlike open or partial equilibrium settings of most other experiments, these closed exchange economies have limited amounts of cash to facilitate transactions, and include...

    Provided By Yale University

  • White Papers // Mar 2010

    An Economy With Personal Currency: Theory And Experimental Evidence

    Is personal currency issued by participants sufficient to operate an economy efficiently, with no outside or government money? Sahi and Yao (1989) and Sorin (1996) constructed a strategic market game to prove that this is possible. The authors conduct an experimental game in which each agent issues her personal IOUs,...

    Provided By Yale University