Yale University

Displaying 1-40 of 162 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

    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 // 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 // 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

    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 // 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

    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

    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

    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

    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 // 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 // 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 2010

    Proportional Fairness in Multi-Rate Wireless LANs

    In multi-rate wireless LANs, throughput-based fair bandwidth allocation can lead to drastically reduced aggregate throughput. To balance aggregate throughput while serving users in a fair manner, proportional fair or time-based fair scheduling has been proposed to apply at each Access Point (AP). However, since a realistic deployment of wireless LANs...

    Provided By Yale University

  • White Papers // Jan 2010

    On Self Adaptive Routing in Dynamic Environments - An Evaluation and Design Using a Simple, Probabilistic Scheme

    Recently authors have seen an emergent trend of self adaptive routing in both Internet and wireless ad hoc networks. Although there are previous methods for computing the traffic equilibria of self adaptive routing (e.g., selsh routing), these methods use computationally demanding algorithms and require that a precise analytical model of...

    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 // Jan 2011

    How Financial Literacy And Impatience Shape Retirement Wealth And Investment Behaviors

    Two competing explanations for why consumers have trouble with financial decisions are gaining momentum. One is that people are financially illiterate since they lack understanding of simple economic concepts and cannot carry out computations such as computing compound interest, which could cause them to make suboptimal financial decisions. A second...

    Provided By Yale University

  • White Papers // Sep 2009

    Moral Hazard In A Mutual Health-Insurance System: German Knappschaften, 1867-1914

    This paper studies moral hazard in a sickness-insurance fund that provided the model for social-insurance schemes around the world. The German Knappschaften was formed in the medieval period to provide sickness, accident, and death benefits for miners. By the mid-nineteenth century, participation in the Knappschaft was compulsory for workers in...

    Provided By Yale University

  • White Papers // Apr 2010

    Preventing Active Timing Attacks in Low-Latency Anonymous Communication

    Low-latency anonymous communication protocols in general and the popular onion-routing protocol in particular, are broken against simple timing attacks. While there have been few proposed solutions to this problem when the adversary is active, several padding schemes have been proposed to defend against a passive adversary that just observes timing...

    Provided By Yale University

  • White Papers // Jan 2011

    On Self Adaptive Routing in Dynamic Environments- An Evaluation and Design Using a Simple, Probabilistic Scheme

    Recently the authors have seen an emergent trend of self adaptive routing in both Internet and wireless ad hoc networks. Although there are previous methods for computing the traffic equilibria of self adaptive routing (e.g., selfish routing), these methods use computationally demanding algorithms and require that a precise analytical model...

    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 // 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 // Sep 2010

    Efficient System-Enforced Deterministic Parallelism

    Deterministic execution offers many benefits for debugging, fault tolerance, and security. Current methods of executing parallel programs deterministically, however, often incur high costs, allow misbehaved software to defeat repeatability, and transform time-dependent races into input- or path-dependent races without eliminating them. The authors introduce a new parallel programming model addressing...

    Provided By Yale University

  • White Papers // Mar 2010

    Microeconomic Approaches To Development: Schooling, Learning, And Growth

    The author illustrates the variety of approaches to development issues microeconomists employ, focusing on studies that illuminate and quantify the major mechanisms posited by growth theorists who highlight the role of education in fostering growth. The author begins with a basic issue: what are the returns to schooling? The author...

    Provided By Yale University

  • White Papers // Aug 2009

    Nonparametric Estimation In Random Coefficients Binary Choice Models

    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 characterized by an integral transform. A new density estimator for the random coefficients is developed, utilizing Fourier-Laplace series on spheres. This approach offers...

    Provided By Yale University

  • White Papers // Aug 2009

    Hyperbolic Discounting Is Rational: Valuing The Far Future With Uncertain Discount Rates

    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 better described as hyperbolic discounters, whose discount function decays much more slowly at large times, as a power law. This is generally regarded...

    Provided By Yale University

  • White Papers // Aug 2009

    The Case For Trills: Giving The People And Their Pension Funds A Stake In The Wealth Of The Nation

    The authors make the case for the U.S. government to issue a new security with a coupon tied to the United States' current dollar GDP. This security might pay, for example, a coupon of one-trillionth of the GDP, and they propose the name "Trill" be used to refer to this...

    Provided By Yale University

  • White Papers // Jul 2009

    The Leverage Cycle

    Equilibrium determines leverage, not just interest rates. Variations in leverage cause fluctuations in asset prices. This leverage cycle can be damaging to the economy, and should be regulated. At least since the time of Irving Fisher, economists, as well as the general public, have regarded the interest rate as the...

    Provided By Yale University

  • White Papers // Jul 2009

    An Improved Bootstrap Test Of Stochastic Dominance

    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 well as finite dimensional unknown parameters, so that the variables are allowed to be residuals from nonparametric and semiparametric models. The...

    Provided By Yale University

  • White Papers // Jul 2009

    Selecting A Unique Competitive Equilibrium With Default Penalties

    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. The authors consider economies for which common credit money can be applied to uniquely select any competitive equilibrium with suitable default penalties. They identify...

    Provided By Yale University

  • White Papers // Jun 2009

    Inflationary Equilibrium In A Stochastic Economy With Independent Agents

    The authors argue that even when macroeconomic variables are constant, underlying microeconomic uncertainty and borrowing constraints generate inflation. They 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...

    Provided By Yale University

  • White Papers // Oct 2009

    Default Penalty As A Disciplinary And Selection Mechanism In Presence Of Multiple Equilibria

    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 are required to prevent strategic default, and these laws can also serve to provide the conditions for uniqueness. In this paper, the authors...

    Provided By Yale University

  • White Papers // Sep 2009

    Marshallian Money, Welfare, And Side-payments

    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 to all agents. At some point when there is "Enough money" in the system, if it is "Well distributed" the...

    Provided By Yale University

  • White Papers // Jul 2010

    Has Macro Progressed?

    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 to is good. Has progress been made in understanding how the macro economy works? It seems clear that...

    Provided By Yale University

  • White Papers // Feb 2010

    Possible Macroeconomic Consequences Of Large Future Federal Government Deficits

    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 for the endogeneity of the deficit. In the baseline run, which assumes no large tax increases or spending cuts and no bad dollar and...

    Provided By Yale University

  • White Papers // Aug 2009

    Subjectivity In Inductive Inference

    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 are characterized by inference rules that may be purely objective (or data-based) or may incorporate subjective considerations. The basic intuition is that...

    Provided By Yale University

  • White Papers // Aug 2009

    Optimal Comparison Of Misspecified Moment Restriction Models

    This paper considers optimal testing of model comparison hypotheses for misspecified unconditional moment restriction models. The authors adopt the generalized Neyman-Pearson optimality criterion, which focuses on the convergence rates of the type I and II error probabilities under fixed global alternatives, and derive an optimal but practically infeasible test. They...

    Provided By Yale University

  • White Papers // Sep 2009

    Analyzing Macroeconomic Forecastability

    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 eight-quarter periods within the overall 1954:1-2009:1 period is examined regarding predictions of output growth and inflation. The results for low output...

    Provided By Yale University

  • White Papers // Jun 2009

    A Paradox Of Inconsistent Parametric And Consistent Nonparametric Regression

    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...

    Provided By Yale University

  • White Papers // Jun 2009

    Dynamic Misspecification In Nonparametric Cointegrating Regression

    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...

    Provided By Yale University

  • White Papers // Apr 2010

    Monitoring With Collective Memory: Forgiveness For Optimally Empty Promises

    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 incentives, but each team member has limited capacity to allocate between monitoring and productive tasks. Players incur contractual punishments for unfulfilled...

    Provided By Yale University

  • White Papers // Feb 2010

    The Evolution Of Decision And Experienced Utilities

    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 dichotomy between decision and experienced utilities may be the solution to an evolutionary design problem. The authors examine a setting in which evolution...

    Provided By Yale University

  • White Papers // Apr 2010

    The Value Of Fiat Money With An Outside Bank: An Experimental Game

    Why people accept intrinsically worthless fiat money in exchange for real goods and services has been a longstanding question. There are many competing sufficient explanations that may confound each other in practice but can be individually tested in isolation experimentally. In this paper, the authors examine a sufficient explanation of...

    Provided By Yale University

  • White Papers // Oct 2009

    Rationalizing Choice With Multi-Self Models

    To facilitate systematic study of multi-self decision making, this paper proposes an axiomatic framework that encompasses a variety of models proposed in economics, psychology, and marketing. The authors model a decision-maker as a collection of utility functions (selves) and an aggregation rule (a theory of how selves are activated by...

    Provided By Yale University

  • White Papers // Feb 2008

    Communication And Learning

    The authors study the intergenerational accumulation of knowledge in an infinite-horizon model of communication. Each in a sequence of players receives an informative but imperfect signal of the once-and-for-all realization of an unobserved state. The state affects all players' preferences over present and future decisions. Each player observes his own...

    Provided By Yale University

  • White Papers // Jan 2010

    Solving The Present Crisis And Managing The Leverage Cycle

    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 manage the leverage cycle in normal times by monitoring and regulating leverage to keep it from getting...

    Provided By Yale University

  • White Papers // Jan 2010

    Two New Zealand Pioneer Econometricians

    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 the matrix formulation and projection geometry of linear regression, Generalized Least Squares (GLS) estimation, algorithms for Hodrick Prescott (HP) style data smoothing (six...

    Provided By Yale University

  • White Papers // Jan 2010

    Optimal Estimation Under Nonstandard Conditions

    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 covering cases that are excluded from conventional LAN theory such as unit root nonstationary time series. The classical H?jek-Le Cam optimality theory is...

    Provided By Yale University

  • White Papers // Jan 2010

    X-Differencing And Dynamic Panel Model Estimation

    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, called X-differencing, that eliminates fixed effects and retains information and signal strength in cases where there is a root at or near...

    Provided By Yale University

  • White Papers // Jan 2010

    Leverage Causes Fat Tails And Clustered Volatility

    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. systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are normally distributed and uncorrelated...

    Provided By Yale University

  • White Papers // Aug 2010

    Selling Information

    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 uncertain, but the seller cannot credibly convey its value to the buyer without disclosing the information itself....

    Provided By Yale University