2021-06-15T11:53:31Z
http://oai.repec.org/oai.php
oai:RePEc:ecm:emetrp:v:79:y:2011:i:1:p:319-3252015-04-29RePEc:ecm:emetrp
article
Report of the Treasurer
1
2011
79
01
Econometrica
319
325
Rafael Repullo
oai:RePEc:ecm:emetrp:v:78:y:2010:i:6:p:1823-18622015-04-29RePEc:ecm:emetrp
article
Adverse Selection in Competitive Search Equilibrium
6
2010
78
11
Econometrica
1823
1862
Veronica Guerrieri
Robert Shimer
Randall Wright
oai:RePEc:ecm:emetrp:v:79:y:2011:i:4:p:1139-11802015-04-29RePEc:ecm:emetrp
article
Menu Costs, Multiproduct Firms, and Aggregate Fluctuations
4
2011
79
07
Econometrica
1139
1180
Virgiliu Midrigan
oai:RePEc:ecm:emetrp:v:79:y:2011:i:1:p:47-732015-04-29RePEc:ecm:emetrp
article
Axiomatic Foundations of Multiplier Preferences
1
2011
79
01
Econometrica
47
73
Tomasz Strzalecki
oai:RePEc:ecm:emetrp:v:79:y:2011:i:1:p:159-2092015-04-29RePEc:ecm:emetrp
article
Selection and Comparative Advantage in Technology Adoption
1
2011
79
01
Econometrica
159
209
Tavneet Suri
oai:RePEc:ecm:emetrp:v:79:y:2011:i:1:p:211-2512015-04-29RePEc:ecm:emetrp
article
The Effect of Expected Income on Individual Migration Decisions
1
2011
79
01
Econometrica
211
251
John Kennan
James R. Walker
oai:RePEc:ecm:emetrp:v:79:y:2011:i:4:p:1181-12322015-04-29RePEc:ecm:emetrp
article
Efficient Derivative Pricing by the Extended Method of Moments
4
2011
79
07
Econometrica
1181
1232
P. Gagliardini
C. Gourieroux
E. Renault
oai:RePEc:ecm:emetrp:v:78:y:2010:i:6:p:2021-20422015-04-29RePEc:ecm:emetrp
article
Irregular Identification, Support Conditions, and Inverse Weight Estimation
6
2010
78
11
Econometrica
2021
2042
Shakeeb Khan
Elie Tamer
oai:RePEc:ecm:emetrp:v:79:y:2011:i:3:p:893-9212015-04-29RePEc:ecm:emetrp
article
An Experimental Study of Collective Deliberation
3
2011
79
05
Econometrica
893
921
Jacob K. Goeree
Leeat Yariv
oai:RePEc:ecm:emetrp:v:79:y:2011:i:4:p:1233-12752015-04-29RePEc:ecm:emetrp
article
Persistent Private Information
4
2011
79
07
Econometrica
1233
1275
Noah Williams
oai:RePEc:ecm:emetrp:v:79:y:2011:i:2:p:601-6442015-04-29RePEc:ecm:emetrp
article
Temptation and Revealed Preference
2
2011
79
03
Econometrica
601
644
Jawwad Noor
oai:RePEc:ecm:emetrp:v:79:y:2011:i:4:p:1027-10682015-04-29RePEc:ecm:emetrp
article
Risk Sharing in Private Information Models With Asset Accumulation: Explaining the Excess Smoothness of Consumption
4
2011
79
07
Econometrica
1027
1068
Orazio P. Attanasio
Nicola Pavoni
oai:RePEc:ecm:emetrp:v:79:y:2011:i:1:p:123-1572015-04-29RePEc:ecm:emetrp
article
The Distribution of Wealth and Fiscal Policy in Economies With Finitely Lived Agents
1
2011
79
01
Econometrica
123
157
Jess Benhabib
Alberto Bisin
Shenghao Zhu
oai:RePEc:ecm:emetrp:v:78:y:2010:i:6:p:1939-19712015-04-29RePEc:ecm:emetrp
article
Generalized Utilitarianism and Harsanyi's Impartial Observer Theorem
6
2010
78
11
Econometrica
1939
1971
Simon Grant
Atsushi Kajii
Ben Polak
Zvi Safra
oai:RePEc:ecm:emetrp:v:79:y:2011:i:3:p:949-9552015-04-29RePEc:ecm:emetrp
article
Partial Identification in Triangular Systems of Equations With Binary Dependent Variables
3
2011
79
05
Econometrica
949
955
Azeem M. Shaikh
Edward J. Vytlacil
oai:RePEc:ecm:emetrp:v:78:y:2010:i:6:p:1783-18222015-04-29RePEc:ecm:emetrp
article
Alternative Models for Moment Inequalities
6
2010
78
11
Econometrica
1783
1822
A. Pakes
oai:RePEc:ecm:emetrp:v:78:y:2010:i:6:p:2043-20612015-04-29RePEc:ecm:emetrp
article
Testing for Causal Effects in a Generalized Regression Model With Endogenous Regressors
6
2010
78
11
Econometrica
2043
2061
Jason Abrevaya
Jerry A. Hausman
Shakeeb Khan
oai:RePEc:ecm:emetrp:v:79:y:2011:i:1:p:341-3432015-04-29RePEc:ecm:emetrp
article
Report of the Editors of the Monograph Series
1
2011
79
01
Econometrica
341
343
George J. Mailath
Rosa L. Matzkin
oai:RePEc:ecm:emetrp:v:79:y:2011:i:2:p:555-6002015-04-29RePEc:ecm:emetrp
article
The Economics of Labor Coercion
2
2011
79
03
Econometrica
555
600
Daron Acemoglu
Alexander Wolitzky
oai:RePEc:ecm:emetrp:v:79:y:2011:i:2:p:347-3942015-04-29RePEc:ecm:emetrp
article
Applied Nonparametric Instrumental Variables Estimation
2
2011
79
03
Econometrica
347
394
Joel L. Horowitz
oai:RePEc:ecm:emetrp:v:79:y:2011:i:1:p:309-3172015-04-29RePEc:ecm:emetrp
article
Report of the Secretary
1
2011
79
01
Econometrica
309
317
Rafael Repullo
oai:RePEc:ecm:emetrp:v:79:y:2011:i:2:p:437-4522015-04-29RePEc:ecm:emetrp
article
Efficiency Bounds for Missing Data Models With Semiparametric Restrictions
2
2011
79
03
Econometrica
437
452
Bryan S. Graham
oai:RePEc:ecm:emetrp:v:79:y:2011:i:2:p:453-4972015-04-29RePEc:ecm:emetrp
article
The Model Confidence Set
2
2011
79
03
Econometrica
453
497
Peter R. Hansen
Asger Lunde
James M. Nason
oai:RePEc:ecm:emetrp:v:79:y:2011:i:4:p:973-10262015-04-29RePEc:ecm:emetrp
article
Herding and Contrarian Behavior in Financial Markets
4
2011
79
07
Econometrica
973
1026
Andreas Park
Hamid Sabourian
oai:RePEc:ecm:emetrp:v:79:y:2011:i:3:p:733-7722015-04-29RePEc:ecm:emetrp
article
The Granular Origins of Aggregate Fluctuations
3
2011
79
05
Econometrica
733
772
Xavier Gabaix
oai:RePEc:ecm:emetrp:v:78:y:2010:i:6:p:1863-19032015-04-29RePEc:ecm:emetrp
article
The Persistent Effects of Peru's Mining Mita
6
2010
78
11
Econometrica
1863
1903
Melissa Dell
oai:RePEc:ecm:emetrp:v:79:y:2011:i:4:p:1103-11382015-04-29RePEc:ecm:emetrp
article
Nature or Nurture? Learning and the Geography of Female Labor Force Participation
4
2011
79
07
Econometrica
1103
1138
Alessandra Fogli
Laura Veldkamp
oai:RePEc:ecm:emetrp:v:79:y:2011:i:1:p:75-1222015-04-29RePEc:ecm:emetrp
article
Search and Rest Unemployment
1
2011
79
01
Econometrica
75
122
Fernando Alvarez
Robert Shimer
oai:RePEc:ecm:emetrp:v:81:y:2013:i:2:p:849-8512013-07-30RePEc:ecm:emetrp
article
Comment on If You're so Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets
2
2013
81
03
Econometrica
849
851
http://hdl.handle.net/10.3982/ECTA10455
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Filippo Massari
oai:RePEc:ecm:emetrp:v:81:y:2013:i:4:p:1395-14542013-07-30RePEc:ecm:emetrp
article
Modeling Earnings Dynamics
4
2013
81
07
Econometrica
1395
1454
http://hdl.handle.net/10.3982/ECTA8415
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Joseph G. Altonji
Anthony A. Smith Jr.
Ivan Vidangos
oai:RePEc:ecm:emetrp:v:81:y:2013:i:4:p:1347-13932013-07-30RePEc:ecm:emetrp
article
Identifying Technology Spillovers and Product Market Rivalry
4
2013
81
07
Econometrica
1347
1393
http://hdl.handle.net/10.3982/ECTA9466
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Nicholas Bloom
Mark Schankerman
John Van Reenen
oai:RePEc:ecm:emetrp:v:81:y:2013:i:4:p:1541-15992013-07-30RePEc:ecm:emetrp
article
The Theory of Optimal Delegation With an Application to Tariff Caps
4
2013
81
07
Econometrica
1541
1599
http://hdl.handle.net/10.3982/ECTA9288
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Manuel Amador
Kyle Bagwell
oai:RePEc:ecm:emetrp:v:81:y:2013:i:3:p:1229-12472013-07-30RePEc:ecm:emetrp
article
Preference Monotonicity and Information Aggregation in Elections
3
2013
81
05
Econometrica
1229
1247
http://hdl.handle.net/10.3982/ECTA8311
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Sourav Bhattacharya
oai:RePEc:ecm:emetrp:v:81:y:2013:i:4:p:1507-15392013-07-30RePEc:ecm:emetrp
article
The Bubble Game: An Experimental Study of Speculation
4
2013
81
07
Econometrica
1507
1539
http://hdl.handle.net/10.3982/ECTA9433
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Sophie Moinas
Sebastien Pouget
oai:RePEc:ecm:emetrp:v:81:y:2013:i:2:p:581-6072013-07-30RePEc:ecm:emetrp
article
Nonparametric Estimation in Random Coefficients Binary Choice Models
2
2013
81
03
Econometrica
581
607
http://hdl.handle.net/10.3982/ECTA8675
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Eric Gautier
Yuichi Kitamura
oai:RePEc:ecm:emetrp:v:81:y:2013:i:4:p:1455-14812013-07-30RePEc:ecm:emetrp
article
Optimal Inattention to the Stock Market With Information Costs and Transactions Costs
4
2013
81
07
Econometrica
1455
1481
http://hdl.handle.net/10.3982/ECTA7624
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Andrew B. Abel
Janice C. Eberly
Stavros Panageas
oai:RePEc:ecm:emetrp:v:81:y:2013:i:2:p:609-6662013-07-30RePEc:ecm:emetrp
article
Inference Based on Conditional Moment Inequalities
2
2013
81
03
Econometrica
609
666
http://hdl.handle.net/10.3982/ECTA9370
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Donald W. K. Andrews
Xiaoxia Shi
oai:RePEc:ecm:emetrp:v:81:y:2013:i:4:p:1601-16722013-07-30RePEc:ecm:emetrp
article
Gambling Reputation: Repeated Bargaining With Outside Options
4
2013
81
07
Econometrica
1601
1672
http://hdl.handle.net/10.3982/ECTA9200
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Jihong Lee
Qingmin Liu
oai:RePEc:ecm:emetrp:v:81:y:2013:i:3:p:941-10012013-07-30RePEc:ecm:emetrp
article
A Dynamic Model of Welfare Reform
3
2013
81
05
Econometrica
941
1001
http://hdl.handle.net/10.3982/ECTA9075
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Marc K. Chan
oai:RePEc:ecm:emetrp:v:81:y:2013:i:2:p:813-8242013-07-30RePEc:ecm:emetrp
article
A Note on the Equilibrium Existence Problem in Discontinuous Games
2
2013
81
03
Econometrica
813
824
http://hdl.handle.net/10.3982/ECTA9125
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Paulo Barelli
Idione Meneghel
oai:RePEc:ecm:emetrp:v:81:y:2013:i:3:p:1185-12012013-07-30RePEc:ecm:emetrp
article
Robustness, Infinitesimal Neighborhoods, and Moment Restrictions
3
2013
81
05
Econometrica
1185
1201
http://hdl.handle.net/10.3982/ECTA8617
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Yuichi Kitamura
Taisuke Otsu
Kirill Evdokimov
oai:RePEc:ecm:emetrp:v:81:y:2013:i:2:p:781-8122013-07-30RePEc:ecm:emetrp
article
Language Barriers
2
2013
81
03
Econometrica
781
812
http://hdl.handle.net/10.3982/ECTA9183
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Andreas Blume
Oliver Board
oai:RePEc:ecm:emetrp:v:81:y:2013:i:4:p:1483-15062013-07-30RePEc:ecm:emetrp
article
An Approach to Asset Pricing Under Incomplete and Diverse Perceptions
4
2013
81
07
Econometrica
1483
1506
http://hdl.handle.net/10.3982/ECTA10499
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Erik Eyster
Michele Piccione
oai:RePEc:ecm:emetrp:v:81:y:2013:i:3:p:1039-10742013-07-30RePEc:ecm:emetrp
article
Temporal Resolution of Uncertainty and Recursive Models of Ambiguity Aversion
3
2013
81
05
Econometrica
1039
1074
http://hdl.handle.net/10.3982/ECTA9619
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Tomasz Strzalecki
oai:RePEc:ecm:emetrp:v:81:y:2013:i:4:p:1251-13082013-07-30RePEc:ecm:emetrp
article
Robust Predictions in Games With Incomplete Information
4
2013
81
07
Econometrica
1251
1308
http://hdl.handle.net/10.3982/ECTA11105
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Dirk Bergemann
Stephen Morris
oai:RePEc:ecm:emetrp:v:81:y:2013:i:2:p:667-7372013-07-30RePEc:ecm:emetrp
article
Intersection Bounds: Estimation and Inference
2
2013
81
03
Econometrica
667
737
http://hdl.handle.net/10.3982/ECTA8718
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Victor Chernozhukov
Sokbae Lee
Adam M. Rosen
oai:RePEc:ecm:emetrp:v:81:y:2013:i:3:p:1203-12272013-07-30RePEc:ecm:emetrp
article
Eigenvalue Ratio Test for the Number of Factors
3
2013
81
05
Econometrica
1203
1227
http://hdl.handle.net/10.3982/ECTA8968
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Seung C. Ahn
Alex R. Horenstein
oai:RePEc:ecm:emetrp:v:81:y:2013:i:3:p:855-8822013-07-30RePEc:ecm:emetrp
article
From Natural Variation to Optimal Policy? The Importance of Endogenous Peer Group Formation
3
2013
81
05
Econometrica
855
882
http://hdl.handle.net/10.3982/ECTA10168
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Scott E. Carrell
Bruce I. Sacerdote
James E. West
oai:RePEc:ecm:emetrp:v:80:y:2012:i:5:p:2047-20872012-10-16RePEc:ecm:emetrp
article
Reputational Bargaining With Minimal Knowledge of Rationality
5
2012
80
09
Econometrica
2047
2087
http://hdl.handle.net/10.3982/ECTA9865
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Alexander Wolitzky
oai:RePEc:ecm:emetrp:v:80:y:2012:i:5:p:2303-23192012-10-16RePEc:ecm:emetrp
article
Sequential Estimation of Structural Models With a Fixed Point Constraint
5
2012
80
09
Econometrica
2303
2319
http://hdl.handle.net/10.3982/ECTA8291
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Hiroyuki Kasahara
Katsumi Shimotsu
oai:RePEc:ecm:emetrp:v:80:y:2012:i:5:p:2089-21042012-10-16RePEc:ecm:emetrp
article
Mechanism Design With Renegotiation and Costly Messages
5
2012
80
09
Econometrica
2089
2104
http://hdl.handle.net/10.3982/ECTA8772
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Robert Evans
oai:RePEc:ecm:emetrp:v:80:y:2012:i:5:p:1937-19762012-10-16RePEc:ecm:emetrp
article
Speculative Overpricing in Asset Markets With Information Flows
5
2012
80
09
Econometrica
1937
1976
http://hdl.handle.net/10.3982/ECTA8781
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Thomas R. Palfrey
Stephanie W. Wang
oai:RePEc:ecm:emetrp:v:80:y:2012:i:5:p:1895-19362012-10-16RePEc:ecm:emetrp
article
Competition in Financial Innovation
5
2012
80
09
Econometrica
1895
1936
http://hdl.handle.net/10.3982/ECTA9837
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Andrés Carvajal
Marzena Rostek
Marek Weretka
oai:RePEc:ecm:emetrp:v:80:y:2012:i:5:p:2269-23012012-10-16RePEc:ecm:emetrp
article
Partial Distributional Policy Effects
5
2012
80
09
Econometrica
2269
2301
http://hdl.handle.net/10.3982/ECTA9671
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Christoph Rothe
oai:RePEc:ecm:emetrp:v:80:y:2012:i:5:p:1819-18432012-10-16RePEc:ecm:emetrp
article
Perfectionism and Choice
5
2012
80
09
Econometrica
1819
1843
http://hdl.handle.net/10.3982/ECTA8941
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Igor Kopylov
oai:RePEc:ecm:emetrp:v:80:y:2012:i:5:p:2017-20452012-10-16RePEc:ecm:emetrp
article
Noisy Stochastic Games
5
2012
80
09
Econometrica
2017
2045
http://hdl.handle.net/10.3982/ECTA10125
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John Duggan
oai:RePEc:ecm:emetrp:v:80:y:2012:i:5:p:2349-23642012-10-16RePEc:ecm:emetrp
article
A Mechanism Design Approach to Ranking Asymmetric Auctions
5
2012
80
09
Econometrica
2349
2364
http://hdl.handle.net/10.3982/ECTA9859
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René Kirkegaard
oai:RePEc:ecm:emetrp:v:78:y:2010:i:5:p:1625-16722014-07-09RePEc:ecm:emetrp
article
Asymptotic Equivalence of Probabilistic Serial and Random Priority Mechanisms
The random priority (random serial dictatorship) mechanism is a common method for assigning objects. The mechanism is easy to implement and strategy-proof. However, this mechanism is inefficient, because all agents may be made better off by another mechanism that increases their chances of obtaining more preferred objects. This form of inefficiency is eliminated by a mechanism called probabilistic serial, but this mechanism is not strategy-proof. Thus, which mechanism to employ in practical applications is an open question. We show that these mechanisms become equivalent when the market becomes large. More specifically, given a set of object types, the random assignments in these mechanisms converge to each other as the number of copies of each object type approaches infinity. Thus, the inefficiency of the random priority mechanism becomes small in large markets. Our result gives some rationale for the common use of the random priority mechanism in practical problems such as student placement in public schools. Copyright 2010 The Econometric Society.
5
2010
78
09
Econometrica
1625
1672
http://hdl.handle.net/10.3982/ECTA8354
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Yeon-Koo Che
Fuhito Kojima
oai:RePEc:ecm:emetrp:v:78:y:2010:i:5:p:1569-15912014-07-09RePEc:ecm:emetrp
article
Nonparametric Identification and Estimation of Nonadditive Hedonic Models
This paper studies the identification and estimation of preferences and technologies in equilibrium hedonic models. In it, we identify nonparametric structural relationships with nonadditive heterogeneity. We determine what features of hedonic models can be identified from equilibrium observations in a single market under weak assumptions about the available information. We then consider use of additional information about structural functions and heterogeneity distributions. Separability conditions facilitate identification of consumer marginal utility and firm marginal product functions. We also consider how identification is facilitated using multimarket data. Copyright 2010 The Econometric Society.
5
2010
78
09
Econometrica
1569
1591
http://hdl.handle.net/10.3982/ECTA6388
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James J. Heckman
Rosa L. Matzkin
Lars Nesheim
oai:RePEc:ecm:emetrp:v:78:y:2010:i:5:p:1711-17482014-07-09RePEc:ecm:emetrp
article
An Axiomatization of the Serial Cost-Sharing Method
We offer an axiomatization of the serial cost-sharing method of Friedman and Moulin (1999). The key property in our axiom system is Group Demand Monotonicity, asking that when a group of agents raise their demands, not all of them should pay less. Copyright 2010 The Econometric Society.
5
2010
78
09
Econometrica
1711
1748
http://hdl.handle.net/10.3982/ECTA9019
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Yves Sprumont
oai:RePEc:ecm:emetrp:v:77:y:2009:i:4:p:1047-10942014-07-09RePEc:ecm:emetrp
article
Social Connections and Incentives in the Workplace: Evidence From Personnel Data
We present evidence on the effect of social connections between workers and managers on productivity in the workplace. To evaluate whether the existence of social connections is beneficial to the firm's overall performance, we explore how the effects of social connections vary with the strength of managerial incentives and worker's ability. To do so, we combine panel data on individual worker's productivity from personnel records with a natural field experiment in which we engineered an exogenous change in managerial incentives, from fixed wages to bonuses based on the average productivity of the workers managed. We find that when managers are paid fixed wages, they favor workers to whom they are socially connected irrespective of the worker's ability, but when they are paid performance bonuses, they target their effort toward high ability workers irrespective of whether they are socially connected to them or not. Although social connections increase the performance of connected workers, we find that favoring connected workers is detrimental for the firm's overall performance. Copyright 2009 The Econometric Society.
4
2009
77
07
Econometrica
1047
1094
http://hdl.handle.net/10.3982/ECTA6496
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Oriana Bandiera
Iwan Barankay
Imran Rasul
oai:RePEc:ecm:emetrp:v:78:y:2010:i:5:p:1773-17732014-07-09RePEc:ecm:emetrp
article
Corrigendum to "Uniform Inference in Autoregressive Models"
5
2010
78
09
Econometrica
1773
1773
http://hdl.handle.net/10.3982/ECTA9351
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Anna Mikusheva
oai:RePEc:ecm:emetrp:v:78:y:2010:i:5:p:1529-15682014-07-09RePEc:ecm:emetrp
article
Identification and Estimation of a Discrete Game of Complete Information
We discuss the identification and estimation of discrete games of complete information. Following Bresnahan and Reiss (1990, 1991), a discrete game is a generalization of a standard discrete choice model where utility depends on the actions of other players. Using recent algorithms to compute all of the Nash equilibria to a game, we propose simulation-based estimators for static, discrete games. We demonstrate that the model is identified under weak functional form assumptions using exclusion restrictions and an identification at infinity approach. Monte Carlo evidence demonstrates that the estimator can perform well in moderately sized samples. As an application, we study entry decisions by construction contractors to bid on highway projects in California. We find that an equilibrium is more likely to be observed if it maximizes joint profits, has a higher Nash product, uses mixed strategies, and is not Pareto dominated by another equilibrium. Copyright 2010 The Econometric Society.
5
2010
78
09
Econometrica
1529
1568
http://hdl.handle.net/10.3982/ECTA5434
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Patrick Bajari
Han Hong
Stephen P. Ryan
oai:RePEc:ecm:emetrp:v:78:y:2010:i:5:p:1749-17722014-07-09RePEc:ecm:emetrp
article
Monotonicity and Implementability
Consider an environment with a finite number of alternatives, and agents with private values and quasilinear utility functions. A domain of valuation functions for an agent is a monotonicity domain if every finite-valued monotone randomized allocation rule defined on it is implementable in dominant strategies. We fully characterize the set of all monotonicity domains. Copyright 2010 The Econometric Society.
5
2010
78
09
Econometrica
1749
1772
http://hdl.handle.net/10.3982/ECTA8882
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Itai Ashlagi
Mark Braverman
Avinatan Hassidim
Dov Monderer
oai:RePEc:ecm:emetrp:v:78:y:2010:i:5:p:1491-15272014-07-09RePEc:ecm:emetrp
article
Last-In First-Out Oligopoly Dynamics
This paper extends the static analysis of oligopoly structure into an infinite-horizon setting with sunk costs and demand uncertainty. The observation that exit rates decline with firm age motivates the assumption of last-in first-out dynamics: An entrant expects to produce no longer than any incumbent. This selects an essentially unique Markov-perfect equilibrium. With mild restrictions on the demand shocks, sequences of thresholds describe firms' equilibrium entry and survival decisions. Bresnahan and Reiss' (1993) empirical analysis of oligopolists' entry and exit assumes that such thresholds govern the evolution of the number of competitors. Our analysis provides an infinite-horizon game-theoretic foundation for that structure. Copyright 2010 The Econometric Society.
5
2010
78
09
Econometrica
1491
1527
http://hdl.handle.net/10.3982/ECTA6863
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Jaap H. Abbring
Jeffrey R. Campbell
oai:RePEc:ecm:emetrp:v:78:y:2010:i:5:p:1673-17102014-07-09RePEc:ecm:emetrp
article
Repeated Games Where the Payoffs and Monitoring Structure Are Unknown
This paper studies repeated games with imperfect public monitoring where the players are uncertain both about the payoff functions and about the relationship between the distribution of signals and the actions played. We introduce the concept of perfect public ex post equilibrium (PPXE), and show that it can be characterized with an extension of the techniques used to study perfect public equilibria. We develop identifiability conditions that are sufficient for a folk theorem; these conditions imply that there are PPXE in which the payoffs are approximately the same as if the monitoring structure and payoff functions were known. Finally, we define perfect type-contingently public ex post equilibria (PTXE), which allows players to condition their actions on their initial private information, and we provide its linear programming characterization. Copyright 2010 The Econometric Society.
5
2010
78
09
Econometrica
1673
1710
http://hdl.handle.net/10.3982/ECTA8565
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Drew Fudenberg
Yuichi Yamamoto
oai:RePEc:ecm:emetrp:v:77:y:2009:i:4:p:1299-13152014-07-09RePEc:ecm:emetrp
article
More on Confidence Intervals for Partially Identified Parameters
This paper extends Imbens and Manski's (2004) analysis of confidence intervals for interval identified parameters. The extension is motivated by the discovery that for their final result, Imbens and Manski implicitly assumed locally superefficient estimation of a nuisance parameter. Copyright 2009 The Econometric Society.
4
2009
77
07
Econometrica
1299
1315
http://hdl.handle.net/10.3982/ECTA7347
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Jorg Stoye
oai:RePEc:ecm:emetrp:v:77:y:2009:i:4:p:1229-12792014-07-09RePEc:ecm:emetrp
article
Panel Data Models With Interactive Fixed Effects
This paper considers large N and large T panel data models with unobservable multiple interactive effects, which are correlated with the regressors. In earnings studies, for example, workers' motivation, persistence, and diligence combined to influence the earnings in addition to the usual argument of innate ability. In macroeconomics, interactive effects represent unobservable common shocks and their heterogeneous impacts on cross sections. We consider identification, consistency, and the limiting distribution of the interactive-effects estimator. Under both large N and large T, the estimator is shown to be root(N T) consistent, which is valid in the presence of correlations and heteroskedasticities of unknown form in both dimensions. We also derive the constrained estimator and its limiting distribution, imposing additivity coupled with interactive effects. The problem of testing additive versus interactive effects is also studied. In addition, we consider identification and estimation of models in the presence of a grand mean, time-invariant regressors, and common regressors. Given identification, the rate of convergence and limiting results continue to hold. Copyright 2009 The Econometric Society.
4
2009
77
07
Econometrica
1229
1279
http://hdl.handle.net/10.3982/ECTA6135
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Jushan Bai
oai:RePEc:ecm:emetrp:v:78:y:2010:i:5:p:1593-16232014-07-09RePEc:ecm:emetrp
article
The Coalitional Nash Bargaining Solution
The coalitional Nash bargaining solution is defined to be the core allocation for which the product of players' payoffs is maximal. We consider a non-cooperative model with discounting in which one team may form and every player is randomly selected to make a proposal in every period. The grand team, consisting of all players, generates the largest surplus. But a smaller team may form. We show that as players get more patient if an efficient and stationary equilibrium exists, it must deliver payoffs that correspond to the coalitional Nash bargaining solution. We also characterize when an efficient and stationary equilibrium exists, which requires conditions that go beyond the nonemptiness of the core. Copyright 2010 The Econometric Society.
5
2010
78
09
Econometrica
1593
1623
http://hdl.handle.net/10.3982/ECTA7883
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Olivier Compte
Philippe Jehiel
oai:RePEc:ecm:emetrp:v:80:y:2012:i:2:p:661-6862012-03-20RePEc:ecm:emetrp
article
When Are Local Incentive Constraints Sufficient?
2
2012
80
03
Econometrica
661
686
http://hdl.handle.net/10.3982/ECTA9454
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Gabriel Carroll
oai:RePEc:ecm:emetrp:v:80:y:2012:i:2:p:755-7822012-03-20RePEc:ecm:emetrp
article
Bayesian and Frequentist Inference in Partially Identified Models
2
2012
80
03
Econometrica
755
782
http://hdl.handle.net/10.3982/ECTA8360
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Hyungsik Roger Moon
Frank Schorfheide
oai:RePEc:ecm:emetrp:v:80:y:2012:i:2:p:687-7112012-03-20RePEc:ecm:emetrp
article
Price Inference in Small Markets
2
2012
80
03
Econometrica
687
711
http://hdl.handle.net/10.3982/ECTA9573
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Marzena Rostek
Marek Weretka
oai:RePEc:ecm:emetrp:v:80:y:2012:i:2:p:883-9032012-03-20RePEc:ecm:emetrp
article
Clocks and Trees: Isomorphic Dutch Auctions and Centipede Games
2
2012
80
03
Econometrica
883
903
http://hdl.handle.net/10.3982/ECTA9589
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James C. Cox
Duncan James
oai:RePEc:ecm:emetrp:v:80:y:2012:i:2:p:559-5912012-03-20RePEc:ecm:emetrp
article
Ambiguity, Learning, and Asset Returns
2
2012
80
03
Econometrica
559
591
http://hdl.handle.net/10.3982/ECTA7618
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Nengjiu Ju
Jianjun Miao
oai:RePEc:ecm:emetrp:v:80:y:2012:i:2:p:631-6602012-03-20RePEc:ecm:emetrp
article
Higher Order Uncertainty and Information: Static and Dynamic Games
2
2012
80
03
Econometrica
631
660
http://hdl.handle.net/10.3982/ECTA9159
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Antonio Penta
oai:RePEc:ecm:emetrp:v:80:y:2012:i:2:p:713-7542012-03-20RePEc:ecm:emetrp
article
Efficient Semiparametric Estimation of the Fama–French Model and Extensions
2
2012
80
03
Econometrica
713
754
http://hdl.handle.net/10.3982/ECTA7432
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Gregory Connor
Matthias Hagmann
Oliver Linton
oai:RePEc:ecm:emetrp:v:77:y:2009:i:4:p:1003-10452013-04-09RePEc:ecm:emetrp
article
An Economic Model of Friendship: Homophily, Minorities, and Segregation
We develop a model of friendship formation that sheds light on segregation patterns observed in social and economic networks. Individuals have types and see type-dependent benefits from friendships. We examine the properties of a steady-state equilibrium of a matching process of friendship formation. We use the model to understand three empirical patterns of friendship formation: (i) larger groups tend to form more same-type ties and fewer other-type ties than small groups, (ii) larger groups form more ties per capita, and (iii) all groups are biased towards same-type relative to demographics, with the most extreme bias coming from middle-sized groups. We show how these empirical observations can be generated by biases in preferences and biases in meetings. We also illustrate some welfare implications of the model. Copyright 2009 The Econometric Society.
4
2009
77
07
Econometrica
1003
1045
http://hdl.handle.net/10.3982/ECTA7528
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Sergio Currarini
Matthew O. Jackson
Paolo Pin
oai:RePEc:ecm:emetrp:v:77:y:2009:i:4:p:1317-13282013-04-09RePEc:ecm:emetrp
article
Information Independence and Common Knowledge
In Bayesian environments with private information, as described by the types of Harsanyi, how can types of agents be (statistically) disassociated from each other and how are such disassociations reflected in the agents' knowledge structure? Copyright 2009 The Econometric Society.
4
2009
77
07
Econometrica
1317
1328
http://hdl.handle.net/10.3982/ECTA7469
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Olivier Gossner
Ehud Kalai
Robert Weber
oai:RePEc:ecm:emetrp:v:77:y:2009:i:4:p:1193-12272013-04-09RePEc:ecm:emetrp
article
Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions
This paper studies the nonparametric identification of the first-price auction model with risk averse bidders within the private value paradigm. First, we show that the benchmark model is nonindentified from observed bids. We also derive the restrictions imposed by the model on observables and show that these restrictions are weak. Second, we establish the nonparametric identification of the bidders' utility function under exclusion restrictions. Our primary exclusion restriction takes the form of an exogenous bidders' participation, leading to a latent distribution of private values that is independent of the number of bidders. The key idea is to exploit the property that the bid distribution varies with the number of bidders while the private value distribution does not. We then extend these results to endogenous bidders' participation when the exclusion restriction takes the form of instruments that do not affect the bidders' private value distribution. Though derived for a benchmark model, our results extend to more general cases such as a binding reserve price, affiliated private values, and asymmetric bidders. Last, possible estimation methods are proposed. Copyright 2009 The Econometric Society.
4
2009
77
07
Econometrica
1193
1227
http://hdl.handle.net/10.3982/ECTA7028
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Emmanuel Guerre
Isabelle Perrigne
Quang Vuong
oai:RePEc:ecm:emetrp:v:77:y:2009:i:4:p:1281-12972013-04-09RePEc:ecm:emetrp
article
Testing Models With Multiple Equilibria by Quantile Methods
This paper proposes a method for testing complementarities between explanatory and dependent variables in a large class of economic models. The proposed test is based on the monotone comparative statics (MCS) property of equilibria. Our main result is that MCS produces testable implications on the (small and large) quantiles of the dependent variable, despite the presence of multiple equilibria. The key features of our approach are that (i) we work with a nonparametric structural model of a continuous dependent variable in which the unobservable is allowed to be correlated with the explanatory variable in a reasonably general way; (ii) we do not require the structural function to be known or estimable; (iii) we remain fairly agnostic on how an equilibrium is selected. We illustrate the usefulness of our result for policy evaluation within Berry, Levinsohn, and Pakes's (1999) model. Copyright 2009 The Econometric Society.
4
2009
77
07
Econometrica
1281
1297
http://hdl.handle.net/10.3982/ECTA6223
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Federico Echenique
Ivana Komunjer
oai:RePEc:ecm:emetrp:v:77:y:2009:i:4:p:1137-11642013-04-09RePEc:ecm:emetrp
article
Bubbles and Self-Enforcing Debt
We characterize equilibria with endogenous debt constraints for a general equilibrium economy with limited commitment in which the only consequence of default is losing the ability to borrow in future periods. First, we show that equilibrium debt limits must satisfy a simple condition that allows agents to exactly roll over existing debt period by period. Second, we provide an equivalence result, whereby the resulting set of equilibrium allocations with self-enforcing private debt is equivalent to the allocations that are sustained with unbacked public debt or rational bubbles. In contrast to the classic result by Bulow and Rogoff (1989a), positive levels of debt are sustainable in our environment because the interest rate is sufficiently low to provide repayment incentives. Copyright 2009 The Econometric Society.
4
2009
77
07
Econometrica
1137
1164
http://hdl.handle.net/10.3982/ECTA6754
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Christian Hellwig
Guido Lorenzoni
oai:RePEc:ecm:emetrp:v:77:y:2009:i:4:p:1165-11922013-04-09RePEc:ecm:emetrp
article
An Elementary Theory of Comparative Advantage
Comparative advantage, whether driven by technology or factor endowment, is at the core of neoclassical trade theory. Using tools from the mathematics of complementarity, this paper offers a simple yet unifying perspective on the fundamental forces that shape comparative advantage. The main results characterize sufficient conditions on factor productivity and factor supply to predict patterns of international specialization in a multifactor generalization of the Ricardian model which we refer to as an "elementary neoclassical economy." These conditions, which hold for an arbitrarily large number of countries, goods, and factors, generalize and extend many results from the previous trade literature. They also offer new insights about the joint effects of technology and factor endowments on international specialization. Copyright 2009 The Econometric Society.
4
2009
77
07
Econometrica
1165
1192
http://hdl.handle.net/10.3982/ECTA7636
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Arnaud Costinot
oai:RePEc:ecm:emetrp:v:77:y:2009:i:6:p:1791-18282013-11-01RePEc:ecm:emetrp
article
Market Structure and Multiple Equilibria in Airline Markets
We provide a practical method to estimate the payoff functions of players in complete information, static, discrete games. With respect to the empirical literature on entry games originated by Bresnahan and Reiss (1990) and Berry (1992), the main novelty of our framework is to allow for general forms of heterogeneity across players without making equilibrium selection assumptions. We allow the effects that the entry of each individual airline has on the profits of its competitors, its "competitive effects," to differ across airlines. The identified features of the model are sets of parameters (partial identification) such that the choice probabilities predicted by the econometric model are consistent with the empirical choice probabilities estimated from the data. Copyright 2009 The Econometric Society.
6
2009
77
11
Econometrica
1791
1828
http://hdl.handle.net/10.3982/ECTA5368
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Federico Ciliberto
Elie Tamer
oai:RePEc:ecm:emetrp:v:78:y:2010:i:1:p:309-3472013-11-01RePEc:ecm:emetrp
article
Recursive Equilibrium in Stochastic Overlapping-Generations Economies
We prove the generic existence of a recursive equilibrium for overlapping-generations economies with uncertainty. "Generic" here means in a residual set of utilities and endowments. The result holds provided there is a sufficient number of potentially different individuals within each cohort. Copyright 2010 The Econometric Society.
1
2010
78
01
Econometrica
309
347
http://hdl.handle.net/10.3982/ECTA7219
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Alessandro Citanna
Paolo Siconolfi
oai:RePEc:ecm:emetrp:v:78:y:2010:i:1:p:1-342013-11-01RePEc:ecm:emetrp
article
State Capacity, Conflict, and Development
The absence of state capacities to raise revenue and to support markets is a key factor in explaining the persistence of weak states. This paper reports on an ongoing project to investigate the incentive to invest in such capacities. The paper sets out a simple analytical structure in which state capacities are modeled as forward looking investments by government. The approach highlights some determinants of state building including the risk of external or internal conflict, the degree of political instability, and dependence on natural resources. Throughout, we link these state capacity investments to patterns of development and growth. Copyright 2010 The Econometric Society.
1
2010
78
01
Econometrica
1
34
http://hdl.handle.net/10.3982/ECTA8073
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Timothy Besley
Torsten Persson
oai:RePEc:ecm:emetrp:v:78:y:2010:i:1:p:73-1182013-11-01RePEc:ecm:emetrp
article
Large Risks, Limited Liability, and Dynamic Moral Hazard
We study a continuous-time principal-agent model in which a risk-neutral agent with limited liability must exert unobservable effort to reduce the likelihood of large but relatively infrequent losses. Firm size can be decreased at no cost or increased subject to adjustment costs. In the optimal contract, investment takes place only if a long enough period of time elapses with no losses occurring. Then, if good performance continues, the agent is paid. As soon as a loss occurs, payments to the agent are suspended, and so is investment if further losses occur. Accumulated bad performance leads to downsizing. We derive explicit formulae for the dynamics of firm size and its asymptotic growth rate, and we provide conditions under which firm size eventually goes to zero or grows without bounds. Copyright 2010 The Econometric Society.
1
2010
78
01
Econometrica
73
118
http://hdl.handle.net/10.3982/ECTA7261
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Bruno Biais
Thomas Mariotti
Jean-Charles Rochet
StÈphane Villeneuve
oai:RePEc:ecm:emetrp:v:77:y:2009:i:6:p:1865-18992013-11-01RePEc:ecm:emetrp
article
Bayesian Estimation of Dynamic Discrete Choice Models
We propose a new methodology for structural estimation of infinite horizon dynamic discrete choice models. We combine the dynamic programming (DP) solution algorithm with the Bayesian Markov chain Monte Carlo algorithm into a single algorithm that solves the DP problem and estimates the parameters simultaneously. As a result, the computational burden of estimating a dynamic model becomes comparable to that of a static model. Another feature of our algorithm is that even though the number of grid points on the state variable is small per solution-estimation iteration, the number of effective grid points increases with the number of estimation iterations. This is how we help ease the "curse of dimensionality." We simulate and estimate several versions of a simple model of entry and exit to illustrate our methodology. We also prove that under standard conditions, the parameters converge in probability to the true posterior distribution, regardless of the starting values. Copyright 2009 The Econometric Society.
6
2009
77
11
Econometrica
1865
1899
http://hdl.handle.net/10.3982/ECTA5658
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Susumu Imai
Neelam Jain
Andrew Ching
oai:RePEc:ecm:emetrp:v:78:y:2010:i:1:p:213-2442013-11-01RePEc:ecm:emetrp
article
A Model of Delegated Project Choice
We present a model in which a principal delegates the choice of project to an agent with different preferences. The principal determines the set of projects from which the agent may choose. The principal can verify the characteristics of the project chosen by the agent, but does not know which other projects were available to the agent. We consider situations where the collection of available projects is exogenous to the agent but uncertain, where the agent must invest effort to discover a project, where the principal can pay the agent to choose a desirable project, and where the principal can adopt more complex schemes than simple permission sets. Copyright 2010 The Econometric Society.
1
2010
78
01
Econometrica
213
244
http://hdl.handle.net/10.3982/ECTA7965
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Mark Armstrong
John Vickers
oai:RePEc:ecm:emetrp:v:77:y:2009:i:6:p:1949-19922013-11-01RePEc:ecm:emetrp
article
Comparative Statics, Informativeness, and the Interval Dominance Order
We identify a new way to order functions, called the interval dominance order, that generalizes both the single crossing property and a standard condition used in statistical decision theory. This allows us to provide a unified treatment of the major theorems on monotone comparative statics with and without uncertainty, the comparison of signal informativeness, and a non-Bayesian theorem on the completeness of increasing decision rules. We illustrate the concept and results with various applications, including an application to optimal stopping time problems where the single crossing property is typically violated. Copyright 2009 The Econometric Society.
6
2009
77
11
Econometrica
1949
1992
http://hdl.handle.net/10.3982/ECTA7583
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John K.-H. Quah
Bruno Strulovici
oai:RePEc:ecm:emetrp:v:78:y:2010:i:1:p:35-712013-11-01RePEc:ecm:emetrp
article
What Drives Media Slant? Evidence From U.S. Daily Newspapers
We construct a new index of media slant that measures the similarity of a news outlet's language to that of a congressional Republican or Democrat. We estimate a model of newspaper demand that incorporates slant explicitly, estimate the slant that would be chosen if newspapers independently maximized their own profits, and compare these profit-maximizing points with firms' actual choices. We find that readers have an economically significant preference for like-minded news. Firms respond strongly to consumer preferences, which account for roughly 20 percent of the variation in measured slant in our sample. By contrast, the identity of a newspaper's owner explains far less of the variation in slant. Copyright 2010 The Econometric Society.
1
2010
78
01
Econometrica
35
71
http://hdl.handle.net/10.3982/ECTA7195
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Matthew Gentzkow
Jesse M. Shapiro
oai:RePEc:ecm:emetrp:v:78:y:2010:i:1:p:245-2832013-11-01RePEc:ecm:emetrp
article
Insider Trading With a Random Deadline
We consider a model of strategic trading with asymmetric information of an asset whose value follows a Brownian motion. An insider continuously observes a signal that tracks the evolution of the asset's fundamental value. The value of the asset is publicly revealed at a random time. The equilibrium has two regimes separated by an endogenously determined time T. In [0, T), the insider gradually transfers her information to the market. By time T, all her information has been transferred and the price agrees with the market value of the asset. In the interval [T, ∞), the insider trades large volumes and reveals her information immediately, so market prices track the market value perfectly. Despite this market efficiency, the insider is able to collect strictly positive rents after T. Copyright 2010 The Econometric Society.
1
2010
78
01
Econometrica
245
283
http://hdl.handle.net/10.3982/ECTA7884
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RenÈ Caldentey
Ennio Stacchetti
oai:RePEc:ecm:emetrp:v:78:y:2010:i:1:p:377-3942013-11-01RePEc:ecm:emetrp
article
Evaluating Marginal Policy Changes and the Average Effect of Treatment for Individuals at the Margin
This paper develops methods for evaluating marginal policy changes. We characterize how the effects of marginal policy changes depend on the direction of the policy change, and show that marginal policy effects are fundamentally easier to identify and to estimate than conventional treatment parameters. We develop the connection between marginal policy effects and the average effect of treatment for persons on the margin of indifference between participation in treatment and nonparticipation, and use this connection to analyze both parameters. We apply our analysis to estimate the effect of marginal changes in tuition on the return to going to college. Copyright 2010 The Econometric Society.
1
2010
78
01
Econometrica
377
394
http://hdl.handle.net/10.3982/ECTA7089
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Pedro Carneiro
James J. Heckman
Edward Vytlacil
oai:RePEc:ecm:emetrp:v:78:y:2010:i:1:p:395-4102013-11-01RePEc:ecm:emetrp
article
Copulas and Temporal Dependence
An emerging literature in time series econometrics concerns the modeling of potentially nonlinear temporal dependence in stationary Markov chains using copula functions. We obtain sufficient conditions for a geometric rate of mixing in models of this kind. Geometric β-mixing is established under a rather strong sufficient condition that rules out asymmetry and tail dependence in the copula function. Geometric ρ-mixing is obtained under a weaker condition that permits both asymmetry and tail dependence. We verify one or both of these conditions for a range of parametric copula functions that are popular in applied work. Copyright 2010 The Econometric Society.
1
2010
78
01
Econometrica
395
410
http://hdl.handle.net/10.3982/ECTA8152
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Brendan K. Beare
oai:RePEc:ecm:emetrp:v:78:y:2010:i:1:p:349-3762013-11-01RePEc:ecm:emetrp
article
Multiple Temptations
We use a preference-over-menus framework to model a decision maker who is affected by multiple temptations. Our two main axioms on preference-exclusion and inclusion-identify when the agent would want to restrict his choice set and when he would want to expand his choice set. An agent who is tempted would want to restrict his choice set by excluding the normatively worst alternative of that choice set. Simultaneously, he would want to expand his choice set by including a normatively superior alternative. Our representation identifies the agent's normative preference and temptations, and suggests the agent is uncertain which of these temptations will affect him. We provide examples to illustrate how our model improves on those of Gul and Pesendorfer (2001) and Dekel, Lipman, and Rustichini (2009). Copyright 2010 The Econometric Society.
1
2010
78
01
Econometrica
349
376
http://hdl.handle.net/10.3982/ECTA8090
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John E. Stovall
oai:RePEc:ecm:emetrp:v:77:y:2009:i:6:p:1751-17902013-11-01RePEc:ecm:emetrp
article
Liquidity and Trading Dynamics
In this paper, we build a model where the presence of liquidity constraints tends to magnify the economy's response to aggregate shocks. We consider a decentralized model of trade, where agents may use money or credit to buy goods. When agents do not have access to credit and the real value of money balances is low, agents are more likely to be liquidity constrained. This makes them more concerned about their short-term earning prospects when making their consumption decisions and about their short-term spending opportunities when making their production decisions. This generates a coordination element in spending and production which leads to greater aggregate volatility and greater comovement across producers. Copyright 2009 The Econometric Society.
6
2009
77
11
Econometrica
1751
1790
http://hdl.handle.net/10.3982/ECTA7231
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Veronica Guerrieri
Guido Lorenzoni
oai:RePEc:ecm:emetrp:v:78:y:2010:i:1:p:285-3082013-11-01RePEc:ecm:emetrp
article
Mediated Partnerships
This paper studies partnerships that employ a mediator to improve their contractual ability. Intuitively, profitable deviations must be attributable, that is, there must be some group behavior such that an individual can be statistically identified as innocent, to provide incentives in partnerships. Mediated partnerships add value by effectively using different behavior to attribute different deviations. As a result, mediated partnerships are necessary to provide the right incentives in a wide range of economic environments. Copyright 2010 The Econometric Society.
1
2010
78
01
Econometrica
285
308
http://hdl.handle.net/10.3982/ECTA6131
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David Rahman
Ichiro Obara
oai:RePEc:ecm:emetrp:v:77:y:2009:i:6:p:1829-18632013-11-01RePEc:ecm:emetrp
article
Longevity and Lifetime Labor Supply: Evidence and Implications
Conventional wisdom suggests that increased life expectancy had a key role in causing a rise in investment in human capital. I incorporate the retirement decision into a version of Ben-Porath's (1967) model and find that a necessary condition for this causal relationship to hold is that increased life expectancy will also increase lifetime labor supply. I then show that this condition does not hold for American men born between 1840 and 1970 and for the American population born between 1890 and 1970. The data suggest similar patterns in Western Europe. I end by discussing the implications of my findings for the debate on the fundamental causes of long-run growth. Copyright 2009 The Econometric Society.
6
2009
77
11
Econometrica
1829
1863
http://hdl.handle.net/10.3982/ECTA8107
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Moshe Hazan
oai:RePEc:ecm:emetrp:v:77:y:2009:i:6:p:1711-17502013-11-01RePEc:ecm:emetrp
article
A Parsimonious Macroeconomic Model for Asset Pricing
I study asset prices in a two-agent macroeconomic model with two key features: limited stock market participation and heterogeneity in the elasticity of intertemporal substitution in consumption (EIS). The model is consistent with some prominent features of asset prices, such as a high equity premium, relatively smooth interest rates, procyclical stock prices, and countercyclical variation in the equity premium, its volatility, and in the Sharpe ratio. In this model, the risk-free asset market plays a central role by allowing non-stockholders (with low EIS) to smooth the fluctuations in their labor income. This process concentrates non-stockholders' labor income risk among a small group of stockholders, who then demand a high premium for bearing the aggregate equity risk. Furthermore, this mechanism is consistent with the very small share of aggregate wealth held by non-stockholders in the U.S. data, which has proved problematic for previous models with limited participation. I show that this large wealth inequality is also important for the model's ability to generate a countercyclical equity premium. When it comes to business cycle performance, the model's progress has been more limited: consumption is still too volatile compared to the data, whereas investment is still too smooth. These are important areas for potential improvement in this framework. Copyright 2009 The Econometric Society.
6
2009
77
11
Econometrica
1711
1750
http://hdl.handle.net/10.3982/ECTA6658
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Fatih Guvenen
oai:RePEc:ecm:emetrp:v:78:y:2010:i:1:p:159-1682013-11-01RePEc:ecm:emetrp
article
Binary Response Models for Panel Data: Identification and Information
This paper considers a panel data model for predicting a binary outcome. The conditional probability of a positive response is obtained by evaluating a given distribution function (F) at a linear combination of the predictor variables. One of the predictor variables is unobserved. It is a random effect that varies across individuals but is constant over time. The semiparametric aspect is that the conditional distribution of the random effect, given the predictor variables, is unrestricted. Copyright 2010 The Econometric Society.
1
2010
78
01
Econometrica
159
168
http://hdl.handle.net/10.3982/ECTA8419
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Gary Chamberlain
oai:RePEc:ecm:emetrp:v:77:y:2009:i:6:p:2009-20172013-11-01RePEc:ecm:emetrp
article
Comments on "Convergence Properties of the Likelihood of Computed Dynamic Models"
We show by counterexample that Proposition 2 in Fernandez-Villaverde, Rubio-RamÌrez, and Santos (Econometrica (2006), 74, 93-119) is false. We also show that even if their Proposition 2 were corrected, it would be irrelevant for parameter estimates. As a more constructive contribution, we consider the effects of approximation error on parameter estimation, and conclude that second order approximation errors in the policy function have at most second order effects on parameter estimates. Copyright 2009 The Econometric Society.
6
2009
77
11
Econometrica
2009
2017
http://hdl.handle.net/10.3982/ECTA7669
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Daniel Ackerberg
John Geweke
Jinyong Hahn
oai:RePEc:ecm:emetrp:v:78:y:2010:i:1:p:119-1572013-11-01RePEc:ecm:emetrp
article
Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection
The topic of this paper is inference in models in which parameters are defined by moment inequalities and/or equalities. The parameters may or may not be identified. This paper introduces a new class of confidence sets and tests based on generalized moment selection (GMS). GMS procedures are shown to have correct asymptotic size in a uniform sense and are shown not to be asymptotically conservative. Copyright 2010 The Econometric Society.
1
2010
78
01
Econometrica
119
157
http://hdl.handle.net/10.3982/ECTA7502
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Donald W. K. Andrews
Gustavo Soares
oai:RePEc:ecm:emetrp:v:77:y:2009:i:6:p:1901-19482013-11-01RePEc:ecm:emetrp
article
Structural Nonparametric Cointegrating Regression
Nonparametric estimation of a structural cointegrating regression model is studied. As in the standard linear cointegrating regression model, the regressor and the dependent variable are jointly dependent and contemporaneously correlated. In nonparametric estimation problems, joint dependence is known to be a major complication that affects identification, induces bias in conventional kernel estimates, and frequently leads to ill-posed inverse problems. In functional cointegrating regressions where the regressor is an integrated or near-integrated time series, it is shown here that inverse and ill-posed inverse problems do not arise. Instead, simple nonparametric kernel estimation of a structural nonparametric cointegrating regression is consistent and the limit distribution theory is mixed normal, giving straightforward asymptotics that are useable in practical work. It is further shown that use of augmented regression, as is common in linear cointegration modeling to address endogeneity, does not lead to bias reduction in nonparametric regression, but there is an asymptotic gain in variance reduction. The results provide a convenient basis for inference in structural nonparametric regression with nonstationary time series when there is a single integrated or near-integrated regressor. The methods may be applied to a range of empirical models where functional estimation of cointegrating relations is required. Copyright 2009 The Econometric Society.
6
2009
77
11
Econometrica
1901
1948
http://hdl.handle.net/10.3982/ECTA7732
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Qiying Wang
Peter C. B. Phillips
oai:RePEc:ecm:emetrp:v:77:y:2009:i:6:p:1993-20082013-11-01RePEc:ecm:emetrp
article
Observing Unobservables: Identifying Information Asymmetries With a Consumer Credit Field Experiment
Information asymmetries are important in theory but difficult to identify in practice. We estimate the presence and importance of hidden information and hidden action problems in a consumer credit market using a new field experiment methodology. We randomized 58,000 direct mail offers to former clients of a major South African lender along three dimensions: (i) an initial "offer interest rate" featured on a direct mail solicitation; (ii) a "contract interest rate" that was revealed only after a borrower agreed to the initial offer rate; and (ii) a dynamic repayment incentive that was also a surprise and extended preferential pricing on future loans to borrowers who remained in good standing. These three randomizations, combined with complete knowledge of the lender's information set, permit identification of specific types of private information problems. Our setup distinguishes hidden information effects from selection on the offer rate (via unobservable risk and anticipated effort), from hidden action effects (via moral hazard in effort) induced by actual contract terms. We find strong evidence of moral hazard and weaker evidence of hidden information problems. A rough estimate suggests that perhaps 13% to 21% of default is due to moral hazard. Asymmetric information thus may help explain the prevalence of credit constraints even in a market that specializes in financing high-risk borrowers. Copyright 2009 The Econometric Society.
6
2009
77
11
Econometrica
1993
2008
http://hdl.handle.net/10.3982/ECTA5781
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Dean Karlan
Jonathan Zinman
oai:RePEc:ecm:emetrp:v:58:y:1990:i:4:p:873-9002013-03-04RePEc:ecm:emetrp
article
Efficiency Despite Mutually Payoff-Relevant Private Information: The Finite Case.
Individuals with finite private information independently choose acts and messages. Their utilities may depend on all acts and information, including the center's. Incentive payments are separable and fully transferable. Implementable incentives making specified behavior a Bayesian equilibrium are derived whenever the center's information depends stochastically, however slightly, on all relevant private information, and also whenever individuals' relative valuations of acts, however divergent, are not too dissimilarly affected by different states of nature. Feasibility is resolved whenever the desired strategies reveal the agents' beliefs about the center's information. Key concepts of agent similarity are developed for nonresponsive and budget-balancing cases. Copyright 1990 by The Econometric Society.
4
1990
58
July
Econometrica
873
900
http://links.jstor.org/sici?sici=0012-9682%28199007%2958%3A4%3C873%3AEDMPPI%3E2.0.CO%3B2-O&origin=repec
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Johnson, Scott
Pratt, John W
Zeckhauser, Richard J
oai:RePEc:ecm:emetrp:v:66:y:1998:i:3:p:569-5962013-03-04RePEc:ecm:emetrp
article
Learning in High Stakes Ultimatum Games: An Experiment in the Slovak Republic
In an ultimatum game experiment, financial incentives were varied by a factor of twenty-five. Consistent with prior results, changes in stakes had only a small effect on play for inexperienced players. However, rejections were less frequent the higher the stakes and proposals in the high stakes declined slowly as proposers gained experience. The lower rejection frequency when stakes were higher can be explained by the added power of multiple observations per subject in this experiment. A model of learning suggests that the lower rejection frequency is the reason proposers in higher stakes learn to make lower offers.
3
1998
66
May
Econometrica
569
596
Robert Slonim
Alvin E. Roth
oai:RePEc:ecm:emetrp:v:55:y:1987:i:4:p:911-222013-03-04RePEc:ecm:emetrp
article
Equilibrium in Hotelling's Model of Spatial Competition.
A partly analytical, partly computational approach is used to study mixed strategy equilibria of Hotelling's model of sp atial competition in which each of two firms chooses a location in a line segment and a price. There is a unique (up to symmetry) subgame perfect equilibrium in which the locations choices are pure. In it, t he locations are close to the quartiles of the market, and the suppor t of the equilibrium mixed-price strategy of each firm is the union o f two short intervals. There is also a subgame perfect equilibrium in which the firms randomize over locations. Copyright 1987 by The Econometric Society.
4
1987
55
July
Econometrica
911
22
http://links.jstor.org/sici?sici=0012-9682%28198707%2955%3A4%3C911%3AEIHMOS%3E2.0.CO%3B2-X&origin=repec
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Osborne, Martin J
Pitchik, Carolyn
oai:RePEc:ecm:emetrp:v:65:y:1997:i:4:p:861-8742013-03-04RePEc:ecm:emetrp
article
An Information-Theoretic Alternative to Generalized Method of Moments Estimation
While optimally weighted generalized method of moments (GAM) estimation has desirable large sample properties, its small sample performance is poor in some applications. The authors propose a computationally simple alternative, for weakly dependent data generating mechanisms, based on minimization of the Kullback-Leibler information criterion. Conditions are derived under which the large sample properties of this estimator are similar to GAM, i.e., the estimator will be consistent and asymptotically normal, with the same asymptotic covariance matrix as GAM. In addition, the authors propose overidentifying and parametric restrictions tests as alternatives to analogous GAM procedures.
4
1997
65
July
Econometrica
861
874
Yuichi Kitamura
Michael Stutzer
oai:RePEc:ecm:emetrp:v:47:y:1979:i:4:p:939-562013-03-04RePEc:ecm:emetrp
article
Econometric Methods for the Duration of Unemployment.
4
1979
47
July
Econometrica
939
56
http://links.jstor.org/sici?sici=0012-9682%28197907%2947%3A4%3C939%3AEMFTDO%3E2.0.CO%3B2-7&origin=repec
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Lancaster, Tony
oai:RePEc:ecm:emetrp:v:44:y:1976:i:5:p:1033-432013-03-04RePEc:ecm:emetrp
article
Representable Choice Functions.
5
1976
44
Sept.
Econometrica
1033
43
http://links.jstor.org/sici?sici=0012-9682%28197609%2944%3A5%3C1033%3ARCF%3E2.0.CO%3B2-5&origin=repec
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Fishburn, Peter C
oai:RePEc:ecm:emetrp:v:50:y:1982:i:4:p:1055-632013-03-04RePEc:ecm:emetrp
article
An Investigation of the Robustness of the Tobit Estimator to Non-Normality.
4
1982
50
July
Econometrica
1055
63
http://links.jstor.org/sici?sici=0012-9682%28198207%2950%3A4%3C1055%3AAIOTRO%3E2.0.CO%3B2-T&origin=repec
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Arabmazar, Abbas
Schmidt, Peter
oai:RePEc:ecm:emetrp:v:57:y:1989:i:4:p:971-772013-03-04RePEc:ecm:emetrp
article
Hajek Inequalities, Measures of Leverage and the Size of Heteroskedasticity Robust Wald Tests.
4
1989
57
July
Econometrica
971
77
http://links.jstor.org/sici?sici=0012-9682%28198907%2957%3A4%3C971%3AHIMOLA%3E2.0.CO%3B2-D&origin=repec
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Chesher, Andrew
oai:RePEc:ecm:emetrp:v:46:y:1978:i:3:p:663-752013-03-04RePEc:ecm:emetrp
article
The Heteroscedastic Linear Model: Exact Finite Sample Results.
3
1978
46
May
Econometrica
663
75
http://links.jstor.org/sici?sici=0012-9682%28197805%2946%3A3%3C663%3ATHLMEF%3E2.0.CO%3B2-M&origin=repec
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Taylor, William E
oai:RePEc:ecm:emetrp:v:71:y:2003:i:3:p:757-7912013-03-04RePEc:ecm:emetrp
article
Robust Predictions for Bilateral Contracting with Externalities
The paper studies bilateral contracting between one principal and N agents when each agent's utility depends on the principal's unobservable contracts with other agents. We show that allowing deviations to menu contracts from which the principal chooses bounds equilibrium outcomes in a wide class of bilateral contracting games without imposing ad hoc restrictions on the agents' beliefs. This bound yields, for example, competitive convergence as N →∞ in environments in which an appropriately-defined notion of competitive equilibrium exists. We also examine the additional restrictions arising in two common bilateral contracting games: the "offer game" in which the principal makes simultaneous offers to the agents, and the "bidding game" in which the agents make simultaneous offers to the principal. Copyright Econometric Society, 2002.
3
2003
71
05
Econometrica
757
791
Ilya Segal
ilya.segal@stanford.edu
Michael D. Whinston
oai:RePEc:ecm:emetrp:v:39:y:1971:i:3:p:577-912013-03-04RePEc:ecm:emetrp
article
Identification in Parametric Models.
3
1971
39
May
Econometrica
577
91
http://links.jstor.org/sici?sici=0012-9682%28197105%2939%3A3%3C577%3AIIPM%3E2.0.CO%3B2-Q&origin=repec
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Rothenberg, Thomas J
oai:RePEc:ecm:emetrp:v:47:y:1979:i:3:p:637-402013-03-04RePEc:ecm:emetrp
article
A Note on Group Strategy-Proof Decision Schemes.
3
1979
47
May
Econometrica
637
40
http://links.jstor.org/sici?sici=0012-9682%28197905%2947%3A3%3C637%3AANOGSD%3E2.0.CO%3B2-V&origin=repec
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Barbera, Salvador
oai:RePEc:ecm:emetrp:v:70:y:2002:i:1:p:369-3752013-03-04RePEc:ecm:emetrp
article
An Impossibility Theorem Concerning Multilateral International Comparison of Volumes
1
2002
70
January
Econometrica
369
375
Matthijs van Veelen
veelen@tinbergen.nl
Department of Econometrics and Tinbergen Institute, Vrije Universiteit, The Netherlands
oai:RePEc:ecm:emetrp:v:45:y:1977:i:1:p:101-132013-03-04RePEc:ecm:emetrp
article
On the Foundations of the Theory of Monopolistic Competition.
1
1977
45
Jan.
Econometrica
101
13
http://links.jstor.org/sici?sici=0012-9682%28197701%2945%3A1%3C101%3AOTFOTT%3E2.0.CO%3B2-E&origin=repec
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Roberts, John
Sonnenschein, Hugo
oai:RePEc:ecm:emetrp:v:50:y:1982:i:4:p:825-622013-03-04RePEc:ecm:emetrp
article
Inflation, Tax Rules and Investment: Some Econometric Evidence.
4
1982
50
July
Econometrica
825
62
http://links.jstor.org/sici?sici=0012-9682%28198207%2950%3A4%3C825%3AITRAIS%3E2.0.CO%3B2-5&origin=repec
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Feldstein, Martin
oai:RePEc:ecm:emetrp:v:47:y:1979:i:4:p:869-762013-03-04RePEc:ecm:emetrp
article
Existence of a Core When There Are Increasing Returns.
4
1979
47
July
Econometrica
869
76
http://links.jstor.org/sici?sici=0012-9682%28197907%2947%3A4%3C869%3AEOACWT%3E2.0.CO%3B2-F&origin=repec
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Sharkey, W W
oai:RePEc:ecm:emetrp:v:61:y:1993:i:5:p:1019-452013-03-04RePEc:ecm:emetrp
article
Rational Learning Leads to Nash Equilibrium.
Subjective utility maximizers, in an infinitely repeated game, will learn to predict opponents' future strategies and will converge to play according to a Nash equilibrium of the repeated game. Players' initial uncertainty is placed directly on opponents' strategies and the above result is obtained under the assumption that the individual beliefs are compatible with the chosen strategies. An immediate corollary is that, when playing a Harsanyi-Nash equilibrium of a repeated game of incomplete information about opponents' payoff matrices, players will eventually play a Nash equilibrium of the real game, as if they had complete information. Copyright 1993 by The Econometric Society.
5
1993
61
September
Econometrica
1019
45
http://links.jstor.org/sici?sici=0012-9682%28199309%2961%3A5%3C1019%3ARLLTNE%3E2.0.CO%3B2-Z&origin=repec
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Kalai, Ehud
Lehrer, Ehud
oai:RePEc:ecm:emetrp:v:39:y:1971:i:3:p:501-102013-03-04RePEc:ecm:emetrp
article
Regression with Non-Gaussian Stable Disturbances: Some Sampling Results.
3
1971
39
May
Econometrica
501
10
http://links.jstor.org/sici?sici=0012-9682%28197105%2939%3A3%3C501%3ARWNSDS%3E2.0.CO%3B2-0&origin=repec
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Blattberg, Robert
Sargent, Thomas J
oai:RePEc:ecm:emetrp:v:69:y:2001:i:5:p:1391-952013-03-04RePEc:ecm:emetrp
article
Implementing the First Best in an Agency Relationship with Renegotiation: A Corrigendum.
5
2001
69
September
Econometrica
1391
95
Edlin, Aaron S
Hermalin, Benjamin E
oai:RePEc:ecm:emetrp:v:61:y:1993:i:4:p:929-522013-03-04RePEc:ecm:emetrp
article
Simulated Moments Estimation of Markov Models of Asset Prices.
This paper provides a simulated moments estimator of the parameters of dynamic models in which the state vector follows a time-homogeneous Markov process. Conditions are provided for both weak and strong consistency as well as asymptotic normality. Various trade-offs among the regularity conditions underlying the large sample properties of the simulated moments estimator are discussed in the context of an asset-pricing model. Geometric ergodicity of the underlying Markov process plays a central role in the analysis, ensuring that the simulated processes are asymptotically stationary with an ergodic distribution that is independent of starting values. Copyright 1993 by The Econometric Society.
4
1993
61
July
Econometrica
929
52
http://links.jstor.org/sici?sici=0012-9682%28199307%2961%3A4%3C929%3ASMEOMM%3E2.0.CO%3B2-P&origin=repec
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Duffie, Darrell
Singleton, Kenneth J
oai:RePEc:ecm:emetrp:v:61:y:1993:i:6:p:1341-542013-03-04RePEc:ecm:emetrp
article
Dynamic Procedures and Incentives in Public Good Economies.
This paper considers economies involving one public good, one private good, and convex technology and proposes an informationally decentralized dynamic nontatonnement procedure that converges in general from the initial endowments to an allocation in the core. The procedure may be seen as enunciating a plausible method of cooperation among the agents for achieving an optimal provision of a public good and an equitable sharing of its cost. The viewpoint of noncooperative game theory is also considered and it is shown that there exists a trade-off between the requirements of local incentive compatibility and equitable cost sharing. Copyright 1993 by The Econometric Society.
6
1993
61
November
Econometrica
1341
54
http://links.jstor.org/sici?sici=0012-9682%28199311%2961%3A6%3C1341%3ADPAIIP%3E2.0.CO%3B2-E&origin=repec
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Chander, Parkash
oai:RePEc:ecm:emetrp:v:45:y:1977:i:5:p:1043-632013-03-04RePEc:ecm:emetrp
article
On the Theory of Layoffs and Unemployment.
5
1977
45
July
Econometrica
1043
63
http://links.jstor.org/sici?sici=0012-9682%28197707%2945%3A5%3C1043%3AOTTOLA%3E2.0.CO%3B2-Q&origin=repec
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Baily, Martin Neil
oai:RePEc:ecm:emetrp:v:60:y:1992:i:4:p:803-362013-03-04RePEc:ecm:emetrp
article
An Experimental Study of the Centipede Game.
4
1992
60
July
Econometrica
803
36
http://links.jstor.org/sici?sici=0012-9682%28199207%2960%3A4%3C803%3AAESOTC%3E2.0.CO%3B2-J&origin=repec
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McKelvey, Richard D
Palfrey, Thomas R
oai:RePEc:ecm:emetrp:v:70:y:2002:i:3:p:1111-11532013-03-04RePEc:ecm:emetrp
article
Spatial Price Competition: A Semiparametric Approach
We investigate the nature of price competition among firms that produce differentiated products and compete in markets that are limited in extent. We propose an instrumental variables series estimator for the matrix of cross price response coefficients, demonstrate that our estimator is consistent, and derive its asymptotic distribution. Our semiparametric approach allows us to discriminate among models of global competition, in which all products compete with all others, and local competition, in which products compete only with their neighbors. We apply our semiparametric estimator to data from U.S. wholesale gasoline markets and find that, in this market, competition is highly localized. Copyright The Econometric Society 2002.
3
2002
70
May
Econometrica
1111
1153
Joris Pinkse
joris@econ.ubc.ca
Dept. of Economics, The University of British Columbia, Canada
Margaret E. Slade
slade@econ.ubc.ca
Dept. of Economics, The University of British Columbia, Canada
Craig Brett
Craig.Brett@rhul.ac.uk
Dept. of Economics, Royal Holloway College, University of London, United Kingdom
oai:RePEc:ecm:emetrp:v:47:y:1979:i:6:p:1321-362013-03-04RePEc:ecm:emetrp
article
The Impossibility of Bayesian Group Decision Making with Separate Aggregation of Beliefs and Values.
6
1979
47
Nov.
Econometrica
1321
36
http://links.jstor.org/sici?sici=0012-9682%28197911%2947%3A6%3C1321%3ATIOBGD%3E2.0.CO%3B2-H&origin=repec
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Hylland, Aanund
Zeckhauser, Richard J
oai:RePEc:ecm:emetrp:v:43:y:1975:i:5-6:p:999-10032013-03-04RePEc:ecm:emetrp
article
The Most General Class of CES Functions.
5-6
1975
43
Sept.-Nov.
Econometrica
999
1003
http://links.jstor.org/sici?sici=0012-9682%28197509%2F11%2943%3A5%2F6%3C999%3ATMGCOC%3E2.0.CO%3B2-U&origin=repec
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Sato, Ryuzo
oai:RePEc:ecm:emetrp:v:66:y:1998:i:6:p:1353-13882013-03-04RePEc:ecm:emetrp
article
Efficiency and Voluntary Implementation in Markets with Repeated Pairwise Bargaining
The authors examine a bargaining setting where heterogeneous buyers and sellers are repeatedly matched and time is costly. They characterize efficiency and then, using an implementation approach, study the allocations that can result in equilibrium when the matched buyers and sellers bargain through some extensive game form. The authors are particularly concerned with the impact of making trade voluntary: buyers and sellers have the option of being rematched in the market. Finally, they compare and contrast the efficient allocations with those that could ever arise as the equilibria of some voluntary negotiation procedure.
6
1998
66
November
Econometrica
1353
1388
Matthew O. Jackson
Thomas R. Palfrey
oai:RePEc:ecm:emetrp:v:45:y:1977:i:5:p:1257-622013-03-04RePEc:ecm:emetrp
article
Bounds for the Bias of the Least Squares Estimator of s2 in the Case of a First-order Autoregressive Process (Positive Autocorrelation).
5
1977
45
July
Econometrica
1257
62
http://links.jstor.org/sici?sici=0012-9682%28197707%2945%3A5%3C1257%3ABFTBOT%3E2.0.CO%3B2-E&origin=repec
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Neudecker, Heinz
oai:RePEc:ecm:emetrp:v:51:y:1983:i:5:p:1407-162013-03-04RePEc:ecm:emetrp
article
The Theory of Syndicates and Linear Sharing Rules.
5
1983
51
September
Econometrica
1407
16
http://links.jstor.org/sici?sici=0012-9682%28198309%2951%3A5%3C1407%3ATTOSAL%3E2.0.CO%3B2-6&origin=repec
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Amershi, Amin H
Stoeckenius, Jan H W
oai:RePEc:ecm:emetrp:v:52:y:1984:i:1:p:217-222013-03-04RePEc:ecm:emetrp
article
Asymptotic Distribution of Dynamic Multipliers in Dynamic Autoregressive Models.
1
1984
52
January
Econometrica
217
22
http://links.jstor.org/sici?sici=0012-9682%28198401%2952%3A1%3C217%3AADODMI%3E2.0.CO%3B2-R&origin=repec
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full text
Knight, John L
oai:RePEc:ecm:emetrp:v:75:y:2007:i:6:p:1613-16692013-03-04RePEc:ecm:emetrp
article
Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
This paper studies a shape-invariant Engel curve system with endogenous total expenditure, in which the shape-invariant specification involves a common shift parameter for each demographic group in a pooled system of nonparametric Engel curves. We focus on the identification and estimation of both the nonparametric shapes of the Engel curves and the parametric specification of the demographic scaling parameters. The identification condition relates to the bounded completeness and the estimation procedure applies the sieve minimum distance estimation of conditional moment restrictions, allowing for endogeneity. We establish a new root mean squared convergence rate for the nonparametric instrumental variable regression when the endogenous regressor could have unbounded support. Root-n asymptotic normality and semiparametric efficiency of the parametric components are also given under a set of "low-level" sufficient conditions. Our empirical application using the U.K. Family Expenditure Survey shows the importance of adjusting for endogeneity in terms of both the nonparametric curvatures and the demographic parameters of systems of Engel curves. Copyright The Econometric Society 2007.
6
2007
75
11
Econometrica
1613
1669
http://hdl.handle.net/10.1111/j.1468-0262.2007.00808.x
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Richard Blundell
Xiaohong Chen
Dennis Kristensen
oai:RePEc:ecm:emetrp:v:70:y:2002:i:5:p:2025-20342013-03-04RePEc:ecm:emetrp
article
Coarse Matching
5
2002
70
September
Econometrica
2025
2034
R. Preston McAfee
mcafee@eco.utexas.edu
University of Texas
oai:RePEc:ecm:emetrp:v:44:y:1976:i:3:p:6032013-03-04RePEc:ecm:emetrp
article
Neutrality, Monotonicity, and the Right of Veto: A Comment.
3
1976
44
May
Econometrica
603
603
Blau, Julian H
oai:RePEc:ecm:emetrp:v:59:y:1991:i:3:p:869-772013-03-04RePEc:ecm:emetrp
article
Nash Implementation of Competitive Equilibria in a Model with Indivisible Goods.
3
1991
59
May
Econometrica
869
77
http://links.jstor.org/sici?sici=0012-9682%28199105%2959%3A3%3C869%3ANIOCEI%3E2.0.CO%3B2-B&origin=repec
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Svensson, Lars-Gunnar
oai:RePEc:ecm:emetrp:v:48:y:1980:i:7:p:1617-342013-03-04RePEc:ecm:emetrp
article
The Prisoner's Dilemma and Dynamical Systems Associated to Non-Cooperative Games.
7
1980
48
Nov.
Econometrica
1617
34
http://links.jstor.org/sici?sici=0012-9682%28198011%2948%3A7%3C1617%3ATPDADS%3E2.0.CO%3B2-%23&origin=repec
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Smale, Steve
oai:RePEc:ecm:emetrp:v:44:y:1976:i:2:p:257-632013-03-04RePEc:ecm:emetrp
article
An Approximate Divisia Index of Total Factor Productivity.
2
1976
44
March
Econometrica
257
63
http://links.jstor.org/sici?sici=0012-9682%28197603%2944%3A2%3C257%3AAADIOT%3E2.0.CO%3B2-B&origin=repec
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Star, Spencer
Hall, Robert E
oai:RePEc:ecm:emetrp:v:71:y:2003:i:1:p:399-4072013-03-04RePEc:ecm:emetrp
article
The Determinants of Econometric Society Fellows Elections
1
2003
71
January
Econometrica
399
407
Daniel S. Hamermesh
donald.andrews@yale.edu
Yale University, New Haven, U.S.A.
Peter Schmidt
avillami@uiuc.edu
University of Illinois, Champaign, USA
oai:RePEc:ecm:emetrp:v:63:y:1995:i:4:p:767-8042013-03-04RePEc:ecm:emetrp
article
Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes.
Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. The authors show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method of moments estimators and tests can be constructed using these moment conditions. The resulting econometric methods are designed to be applied to discrete-time data obtained by sampling continuous-time Markov processes. Copyright 1995 by The Econometric Society.
4
1995
63
July
Econometrica
767
804
http://links.jstor.org/sici?sici=0012-9682%28199507%2963%3A4%3C767%3ABTTFGM%3E2.0.CO%3B2-N&origin=repec
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Hansen, Lars Peter
Scheinkman, Jose Alexandre
oai:RePEc:ecm:emetrp:v:46:y:1978:i:1:p:1-192013-03-04RePEc:ecm:emetrp
article
Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo.
1
1978
46
Jan.
Econometrica
1
19
http://links.jstor.org/sici?sici=0012-9682%28197801%2946%3A1%3C1%3ABEOESP%3E2.0.CO%3B2-T&origin=repec
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Kloek, Tuen
van Dijk, Herman K
oai:RePEc:ecm:emetrp:v:43:y:1975:i:4:p:807-092013-03-04RePEc:ecm:emetrp
article
Identification and Consumer Unit Scales.
4
1975
43
July
Econometrica
807
09
http://links.jstor.org/sici?sici=0012-9682%28197507%2943%3A4%3C807%3AIACUS%3E2.0.CO%3B2-K&origin=repec
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full text
Muellbauer, John
oai:RePEc:ecm:emetrp:v:76:y:2008:i:5:p:1103-11422013-03-04RePEc:ecm:emetrp
article
Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
This paper derives asymptotic power envelopes for tests of the unit root hypothesis in a zero-mean AR(1) model. The power envelopes are derived using the limits of experiments approach and are semiparametric in the sense that the underlying error distribution is treated as an unknown infinite-dimensional nuisance parameter. Adaptation is shown to be possible when the error distribution is known to be symmetric and to be impossible when the error distribution is unrestricted. In the latter case, two conceptually distinct approaches to nuisance parameter elimination are employed in the derivation of the semiparametric power bounds. One of these bounds, derived under an invariance restriction, is shown by example to be sharp, while the other, derived under a similarity restriction, is conjectured not to be globally attainable. Copyright 2008 The Econometric Society.
5
2008
76
09
Econometrica
1103
1142
http://hdl.handle.net/10.3982/ECTA6113
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Michael Jansson
oai:RePEc:ecm:emetrp:v:69:y:2001:i:3:p:599-6312013-03-04RePEc:ecm:emetrp
article
An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model against a Nonparametric Alternative.
We develop a new test of a parametric model of a conditional mean function against a nonparametric alternative. The test adapts to the unknown smoothness of the alternative model and is uniformly consistent against alternatives whose distance from the parametric model converges to zero at the fastest possible rate. This rate is slower than n[superscript -1/2]. Some existing tests have nontrivial power against restricted classes of alternatives whose distance from the parametric model decreases at the rate n[superscript -1/2]. There are, however, sequences of alternatives against which these tests are inconsistent and ours is consistent. As a consequence, there are alternative models for which the finite-sample power of our test greatly exceeds that of existing tests. This conclusion is illustrated by the results of some Monte Carlo experiments.
3
2001
69
May
Econometrica
599
631
Horowitz, Joel L
Spokoiny, Vladimir G
oai:RePEc:ecm:emetrp:v:68:y:2000:i:6:p:1491-15102013-03-04RePEc:ecm:emetrp
article
Multiperson Bargaining and Strategic Complexity
6
2000
68
November
Econometrica
1491
1510
Kalyan Chatterjee
Hamid Sabourian
oai:RePEc:ecm:emetrp:v:64:y:1996:i:6:p:1249-622013-03-04RePEc:ecm:emetrp
article
Testable Restrictions on the Equilibrium Manifold.
The authors present a finite system of polynomial inequalities in unobservable variables and market data that observations on market prices, individual incomes and, aggregate endowments must satisfy to be consistent with the equilibrium behavior of some pure trade economy. Quantifier elimination is used to derive testable restrictions on finite data sets for the pure trade model. A characterization of observations on aggregate endowments and market prices that are consistent with a Robinson Crusoe's economy is also provided. Copyright 1996 by The Econometric Society.
6
1996
64
November
Econometrica
1249
62
http://links.jstor.org/sici?sici=0012-9682%28199611%2964%3A6%3C1249%3ATROTEM%3E2.0.CO%3B2-D&origin=repec
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Brown, Donald J
Matzkin, Rosa L
oai:RePEc:ecm:emetrp:v:69:y:2001:i:2:p:377-4112013-03-04RePEc:ecm:emetrp
article
Costly Bargaining and Renegotiation.
We identify the inefficiencies that arise when negotiation between two parties takes place in the presence of transaction costs. First, for some values of these costs it is efficient to reach an agreement but the unique equilibrium outcome is one in which agreement is never reached. Secondly, even when there are equilibria in which an agreement is reached, we find that the model always has an equilibrium in which agreement is never reached, as well as equilibria in which agreement is delayed for an arbitrary length of time. Finally, the only way in which the parties can reach an agreement in equilibrium is by using inefficient punishments for (some of) the opponent's deviations. We argue that this implies that, when the parties are given the opportunity to renegotiate out of these inefficiencies, the only equilibrium outcome that survives is the one in which agreement is never reached, regardless of the value of the transaction costs.
2
2001
69
March
Econometrica
377
411
Anderlini, Luca
Felli, Leonardo
oai:RePEc:ecm:emetrp:v:44:y:1976:i:3:p:611-142013-03-04RePEc:ecm:emetrp
article
Norm Minimizing Estimation and Unbiasedness.
3
1976
44
May
Econometrica
611
14
http://links.jstor.org/sici?sici=0012-9682%28197605%2944%3A3%3C611%3ANMEAU%3E2.0.CO%3B2-P&origin=repec
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Hogan, William W
oai:RePEc:ecm:emetrp:v:46:y:1978:i:6:p:1293-13012013-03-04RePEc:ecm:emetrp
article
Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables.
6
1978
46
Nov.
Econometrica
1293
1301
http://links.jstor.org/sici?sici=0012-9682%28197811%2946%3A6%3C1293%3ATAGAAM%3E2.0.CO%3B2-D&origin=repec
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full text
Godfrey, Leslie G
oai:RePEc:ecm:emetrp:v:68:y:2000:i:4:p:981-9962013-03-04RePEc:ecm:emetrp
article
Self-Selective Social Choice Functions Verify Arrow and Gibbarad- Satterthwaite Theorems
4
2000
68
July
Econometrica
981
996
Semih Koray
oai:RePEc:ecm:emetrp:v:44:y:1976:i:5:p:1001-152013-03-04RePEc:ecm:emetrp
article
Irrelevant Alternatives and Social Welfare.
5
1976
44
Sept.
Econometrica
1001
15
http://links.jstor.org/sici?sici=0012-9682%28197609%2944%3A5%3C1001%3AIAASW%3E2.0.CO%3B2-8&origin=repec
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full text
Osborne, Dale K
oai:RePEc:ecm:emetrp:v:59:y:1991:i:5:p:1395-14242013-03-04RePEc:ecm:emetrp
article
Sequential Bargaining as a Noncooperative Foundation for Walrasian Equilibrium.
An allocation for an exchange economy with smooth preferences is shown to be Walrasian if there is a set of net trades that is closed under addition, contains the negations of net trades that would improve any agent's final bundle, and is such that each agent's final bundle is weakly preferred to the sum of the initial endowment and any allowed net trade. These conditions characterize the sets of net trades available in equilibria of market games in which randomly paired agents bargain repeatedly and imply that steady state equilibria are Walrasian. Copyright 1991 by The Econometric Society.
5
1991
59
September
Econometrica
1395
1424
http://links.jstor.org/sici?sici=0012-9682%28199109%2959%3A5%3C1395%3ASBAANF%3E2.0.CO%3B2-B&origin=repec
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McLennan, Andrew
Sonnenschein, Hugo
oai:RePEc:ecm:emetrp:v:46:y:1978:i:5:p:1165-792013-03-04RePEc:ecm:emetrp
article
The Sensitivity of Fiscal Policy Effects to Assumptions about the Behavior of the Federal Reserve.
5
1978
46
Sept.
Econometrica
1165
79
http://links.jstor.org/sici?sici=0012-9682%28197809%2946%3A5%3C1165%3ATSOFPE%3E2.0.CO%3B2-P&origin=repec
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full text
Fair, Ray C
oai:RePEc:ecm:emetrp:v:58:y:1990:i:4:p:839-592013-03-04RePEc:ecm:emetrp
article
An Algorithmic Theory of the Choice of Techniques.
The author builds a theory of the choice of techniques in joint production, at a given profit rate, considering a market algorithm. Partial results are extended by means of an abstract notion of technology, where techniques meet demand and satisfy local properties. Global results on the existence, uniqueness, and convergence towards an equilibrium technique are obtained. The author, thus, characterizes cases where a square technique is reached, which provides an answer to an old debate, initiated by W. S. Jevons, between classical and neoclassical economists. But the framework allows for a more general interpretation in terms of two-level planning procedures. Copyright 1990 by The Econometric Society.
4
1990
58
July
Econometrica
839
59
http://links.jstor.org/sici?sici=0012-9682%28199007%2958%3A4%3C839%3AAATOTC%3E2.0.CO%3B2-G&origin=repec
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Bidard, Christian
oai:RePEc:ecm:emetrp:v:37:y:1969:i:1:p:44-492013-03-04RePEc:ecm:emetrp
article
Conditional Prediction and Unbiasedness in Structural Equations.
1
1969
37
Jan.
Econometrica
44
49
http://links.jstor.org/sici?sici=0012-9682%28196901%2937%3A1%3C44%3ACPAUIS%3E2.0.CO%3B2-G&origin=repec
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Kaufman, Gordon M
oai:RePEc:ecm:emetrp:v:54:y:1986:i:4:p:897-9082013-03-04RePEc:ecm:emetrp
article
Cake Eating, Chattering, and Jumps: Existence Results for Variational Problems.
4
1986
54
July
Econometrica
897
908
http://links.jstor.org/sici?sici=0012-9682%28198607%2954%3A4%3C897%3ACECAJE%3E2.0.CO%3B2-%23&origin=repec
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full text
Romer, Paul M
oai:RePEc:ecm:emetrp:v:74:y:2006:i:2:p:565-5732013-03-04RePEc:ecm:emetrp
article
Aggregation and Optimization with State-Dependent Pricing: A Comment
A key argument in Caplin and Leahy (1997) states that the correlation between monetary shocks and output is falling in the variance of the money supply. We demonstrate that this conclusion depends on solving for the correlation in the nonstationary state of the model. In the stationary state, that correlation is initially rising. Copyright The Econometric Society 2006.
2
2006
74
03
Econometrica
565
573
http://hdl.handle.net/10.1111/j.1468-0262.2006.00672.x
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Vladislav Damjanovic
Charles Nolan
oai:RePEc:ecm:emetrp:v:54:y:1986:i:6:p:1425-332013-03-04RePEc:ecm:emetrp
article
A More Powerful Method for Triangularizing Input-Output Matrices and the Similarity of Production Structures.
6
1986
54
November
Econometrica
1425
33
http://links.jstor.org/sici?sici=0012-9682%28198611%2954%3A6%3C1425%3AAMPMFT%3E2.0.CO%3B2-K&origin=repec
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Fukui, Yukio
oai:RePEc:ecm:emetrp:v:65:y:1997:i:6:p:1467-14782013-03-04RePEc:ecm:emetrp
article
Asynchronous Choice in Repeated Coordination Games
6
1997
65
November
Econometrica
1467
1478
Roger Lagunoff
Akihiko Matsui
oai:RePEc:ecm:emetrp:v:65:y:1997:i:5:p:1201-12142013-03-04RePEc:ecm:emetrp
article
Constructing Instruments for Regressions with Measurement Error when no Additional Data are Available, with an Application to Patents and R&D
5
1997
65
September
Econometrica
1201
1214
Arthur Lewbel
oai:RePEc:ecm:emetrp:v:46:y:1978:i:3:p:723-262013-03-04RePEc:ecm:emetrp
article
The Computation of Equilibrium Prices.
3
1978
46
May
Econometrica
723
26
http://links.jstor.org/sici?sici=0012-9682%28197805%2946%3A3%3C723%3ATCOEP%3E2.0.CO%3B2-H&origin=repec
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Chander, Parkash
oai:RePEc:ecm:emetrp:v:40:y:1972:i:5:p:827-482013-03-04RePEc:ecm:emetrp
article
Binary Choice of Urban Transport Mode in the San Francisco Bay Region.
5
1972
40
Sept.
Econometrica
827
48
http://links.jstor.org/sici?sici=0012-9682%28197209%2940%3A5%3C827%3ABCOUTM%3E2.0.CO%3B2-8&origin=repec
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McGillivray, Robert G
oai:RePEc:ecm:emetrp:v:72:y:2004:i:4:p:1247-12752013-03-04RePEc:ecm:emetrp
article
Price Manipulation and Quasi-Arbitrage
In an environment where trading volume affects security prices and where prices are uncertain when trades are submitted, quasi-arbitrage is the availability of a series of trades that generate infinite expected profits with an infinite Sharpe ratio. We show that when the price impact of trades is permanent and time-independent, only linear price-impact functions rule out quasi-arbitrage and thus support viable market prices. When trades have also a temporary price impact, only the permanent price impact must be linear while the temporary one can be of a more general form. We also extend the analysis to a time-dependent framework. Copyright The Econometric Society 2004.
4
2004
72
07
Econometrica
1247
1275
http://hdl.handle.net/10.1111/j.1468-0262.2004.00531.x
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Gur Huberman
Werner Stanzl
oai:RePEc:ecm:emetrp:v:54:y:1986:i:3:p:657-782013-03-04RePEc:ecm:emetrp
article
The Encompassing Principle and Its Application to Testing Non-nested Hypotheses.
3
1986
54
May
Econometrica
657
78
http://links.jstor.org/sici?sici=0012-9682%28198605%2954%3A3%3C657%3ATEPAIA%3E2.0.CO%3B2-3&origin=repec
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Mizon, Grayham E
Richard, Jean-Francois
oai:RePEc:ecm:emetrp:v:37:y:1969:i:2:p:228-512013-03-04RePEc:ecm:emetrp
article
An Econometric Model of Colombia: A Prototype Devaluation View.
2
1969
37
April
Econometrica
228
51
http://links.jstor.org/sici?sici=0012-9682%28196904%2937%3A2%3C228%3AAEMOCA%3E2.0.CO%3B2-1&origin=repec
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Marwah, Kanta
oai:RePEc:ecm:emetrp:v:58:y:1990:i:3:p:705-232013-03-04RePEc:ecm:emetrp
article
Some Clarifications on the Transversality Condition.
In this paper, the authors study a general concave discrete-time, infinite-horizon, optimal-control problem. They establish necessary and sufficient conditions for optimality in the weak sense of W. A. Brock and for optimality in the strong sense of D. Gale. The corresponding transversality conditions are general exhaustion properties of the limit value of the optimal state variables; these properties cover and extend the well-known results obtained in special cases. Copyright 1990 by The Econometric Society.
3
1990
58
May
Econometrica
705
23
http://links.jstor.org/sici?sici=0012-9682%28199005%2958%3A3%3C705%3ASCOTTC%3E2.0.CO%3B2-3&origin=repec
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Michel, Philippe
oai:RePEc:ecm:emetrp:v:55:y:1987:i:5:p:1217-222013-03-04RePEc:ecm:emetrp
article
The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator.
5
1987
55
September
Econometrica
1217
22
http://links.jstor.org/sici?sici=0012-9682%28198709%2955%3A5%3C1217%3ATBOAHC%3E2.0.CO%3B2-6&origin=repec
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Chesher, Andrew
Jewitt, Ian
oai:RePEc:ecm:emetrp:v:55:y:1987:i:6:p:1461-642013-03-04RePEc:ecm:emetrp
article
Value, Symmetry, and Equal Treatment: A Comment [Non-symmetric Cardinal Value Allocations].
6
1987
55
November
Econometrica
1461
64
http://links.jstor.org/sici?sici=0012-9682%28198711%2955%3A6%3C1461%3AVSAETA%3E2.0.CO%3B2-E&origin=repec
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Aumann, Robert J
oai:RePEc:ecm:emetrp:v:46:y:1978:i:4:p:961-682013-03-04RePEc:ecm:emetrp
article
Least-Squares versus Instrumental Variables Estimation in a Simple Errors in Variables Model.
4
1978
46
July
Econometrica
961
68
http://links.jstor.org/sici?sici=0012-9682%28197807%2946%3A4%3C961%3ALVIVEI%3E2.0.CO%3B2-L&origin=repec
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Leamer, Edward E
oai:RePEc:ecm:emetrp:v:42:y:1974:i:3:p:497-5162013-03-04RePEc:ecm:emetrp
article
Intertemporal Consumer Theory and the Demand for Durables.
3
1974
42
May
Econometrica
497
516
http://links.jstor.org/sici?sici=0012-9682%28197405%2942%3A3%3C497%3AICTATD%3E2.0.CO%3B2-Z&origin=repec
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Diewert, W E
oai:RePEc:ecm:emetrp:v:62:y:1994:i:4:p:795-8172013-03-04RePEc:ecm:emetrp
article
A Noncooperative View of Coalition Formation and the Core.
A noncooperative implementation of the core is provided for games with transferable utility. The implementation obtained here is meant to reflect the standard motivation for the core as closely as possible. In the model proposed, time is continuous. This idealized treatment of time is most amenable for capturing an essential feature of the core--there is always time to reject a noncore proposal before it is consumated. Copyright 1994 by The Econometric Society.
4
1994
62
July
Econometrica
795
817
http://links.jstor.org/sici?sici=0012-9682%28199407%2962%3A4%3C795%3AANVOCF%3E2.0.CO%3B2-Z&origin=repec
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Perry, Motty
Reny, Philip J
oai:RePEc:ecm:emetrp:v:72:y:2004:i:2:p:541-5672013-03-04RePEc:ecm:emetrp
article
The Time Consistency of Optimal Monetary and Fiscal Policies
We show that optimal monetary and fiscal policies are time consistent for a class of economies often used in applied work, economies appealing because they are consistent with the growth facts. We establish our results in two steps. We first show that for this class of economies, the Friedman rule of setting nominal interest rates to zero is optimal under commitment. We then show that optimal policies are time consistent if the Friedman rule is optimal. For our benchmark economy in which the time consistency problem is most severe, the converse also holds: if optimal policies are time consistent, then the Friedman rule is optimal. Copyright The Econometric Society 2004.
2
2004
72
03
Econometrica
541
567
http://hdl.handle.net/10.1111/j.1468-0262.2004.00500.x
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Fernando Alvarez
Patrick J. Kehoe
Pablo Andrés Neumeyer
oai:RePEc:ecm:emetrp:v:76:y:2008:i:5:p:1017-10742013-03-04RePEc:ecm:emetrp
article
Limited Information and Advertising in the U.S. Personal Computer Industry
Traditional discrete-choice models assume buyers are aware of all products for sale. In markets where products change rapidly, the full information assumption is untenable. I present a discrete-choice model of limited consumer information, where advertising influences the set of products from which consumers choose to purchase. I apply the model to the U.S. personal computer market where top firms spend over $2 billion annually on advertising. I find estimated markups of 19% over production costs, where top firms advertise more than average and earn higher than average markups. High markups are explained to a large extent by informational asymmetries across consumers, where full information models predict markups of one-fourth the magnitude. I find that estimated product demand curves are biased toward being too elastic under traditional models. I show how to use data on media exposure to improve estimated price elasticities in the absence of micro ad data. Copyright 2008 The Econometric Society.
5
2008
76
09
Econometrica
1017
1074
http://hdl.handle.net/10.3982/ECTA4158
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Michelle Sovinsky Goeree
oai:RePEc:ecm:emetrp:v:72:y:2004:i:3:p:885-9252013-03-04RePEc:ecm:emetrp
article
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
This paper analyses multivariate high frequency financial data using realized covariation. We provide a new asymptotic distribution theory for standard methods such as regression, correlation analysis, and covariance. It will be based on a fixed interval of time (e.g., a day or week), allowing the number of high frequency returns during this period to go to infinity. Our analysis allows us to study how high frequency correlations, regressions, and covariances change through time. In particular we provide confidence intervals for each of these quantities. Copyright The Econometric Society 2004.
3
2004
72
05
Econometrica
885
925
http://hdl.handle.net/10.1111/j.1468-0262.2004.00515.x
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Ole E. Barndorff-Nielsen
Neil Shephard
oai:RePEc:ecm:emetrp:v:46:y:1978:i:2:p:397-4022013-03-04RePEc:ecm:emetrp
article
Increasing Returns in General Non-Competitive Analysis.
2
1978
46
March
Econometrica
397
402
http://links.jstor.org/sici?sici=0012-9682%28197803%2946%3A2%3C397%3AIRIGNA%3E2.0.CO%3B2-R&origin=repec
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Silvestre, Joaquim
oai:RePEc:ecm:emetrp:v:68:y:2000:i:1:p:85-1182013-03-04RePEc:ecm:emetrp
article
Bargaining and Reputation
A complete information bargaining model is amended to accommodate "irrational types" who are inflexible in their offers and demands. An "independence of procedures" result is derived: the bargaining outcome is independent of the details of the bargaining protocol if players can make offers frequently. In the limiting continuous-time game, equilibrium is unique, and entails delay, consequently inefficiency. As the probability of irrationality goes to zero, delay and inefficiency disappear; furthermore, if there are a rich set of types for both agents, their limit equilibrium payoffs are inversely proportional to their rates of time preference.
2000
68
January
1
Econometrica
85
118
Dilip Abreu
Faruk Gul
oai:RePEc:ecm:emetrp:v:70:y:2002:i:3:p:907-9282013-03-04RePEc:ecm:emetrp
article
International Business Cycles with Endogenous Incomplete Markets
Backus, Kehoe, and Kydland (1992), Baxter and Crucini (1995), and Stockman and Tesar (1995) find two major discrepancies between standard international business cycle models with complete markets and the data: In the models, cross-country correlations are much higher for consumption than for output, while in the data the opposite is true; and cross-country correlations of employment and investment are negative, while in the data they are positive. This paper introduces a friction into a standard model that helps resolve these anomalies. The friction is that international loans are imperfectly enforceable; any country can renege on its debts and suffer the consequences for future borrowing. To solve for equilibrium in this economy with endogenous incomplete markets, the methods of Marcet and Marimon (1999) are extended. Incorporating the friction helps resolve the anomalies more than does exogenously restricting the assets that can be traded. Copyright The Econometric Society 2002.
3
2002
70
May
Econometrica
907
928
Patrick J. Kehoe
pkehoe@res.mpls.frb.fed.us
Federal Reserve Bank of Minneapolis, U.S.A. and University of Minnesota, U.S.A.; and NBER
Fabrizio Perri
fperri@stern.nyu.edu
New York University, U.S.A. and Princeton University, U.S.A. and CEPR
oai:RePEc:ecm:emetrp:v:53:y:1985:i:1:p:177-2002013-03-04RePEc:ecm:emetrp
article
Third-Order Efficiency of the Extended Maximum Likelihood Estimators in a Simultaneous Equation System.
1
1985
53
January
Econometrica
177
200
http://links.jstor.org/sici?sici=0012-9682%28198501%2953%3A1%3C177%3ATEOTEM%3E2.0.CO%3B2-6&origin=repec
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Takeuchi, Kei
Morimune, Kimio
oai:RePEc:ecm:emetrp:v:61:y:1993:i:2:p:387-4212013-03-04RePEc:ecm:emetrp
article
An Efficient Semiparametric Estimator for Binary Response Models.
This paper proposes an estimator for discrete choice models that makes no assumption concerning the functional form of th e choice probability function where this function can be characterized by an index. The estimator is shown to be consistent, asymptotically normally distributed, and to achieve the semiparametric efficiency bound. Monte Carlo evidence indicates that there may be only modest efficiency losses relative to maximum likelihood estimation when the distribution of the disturbances is known and that the small-sample behavior of the estimator in other cases is good. Copyright 1993 by The Econometric Society.
2
1993
61
March
Econometrica
387
421
http://links.jstor.org/sici?sici=0012-9682%28199303%2961%3A2%3C387%3AAESEFB%3E2.0.CO%3B2-G&origin=repec
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Klein, Roger W
Spady, Richard H
oai:RePEc:ecm:emetrp:v:37:y:1969:i:4:p:737-382013-03-04RePEc:ecm:emetrp
article
A Note on Econometrics of Joint Production.
4
1969
37
Oct.
Econometrica
737
38
http://links.jstor.org/sici?sici=0012-9682%28196910%2937%3A4%3C737%3AANOEOJ%3E2.0.CO%3B2-2&origin=repec
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Rao, Potluri
oai:RePEc:ecm:emetrp:v:48:y:1980:i:5:p:1169-862013-03-04RePEc:ecm:emetrp
article
Deterministic Models for Production of Services with Stochastic Technology.
5
1980
48
July
Econometrica
1169
86
http://links.jstor.org/sici?sici=0012-9682%28198007%2948%3A5%3C1169%3ADMFPOS%3E2.0.CO%3B2-V&origin=repec
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Lipscomb, Joseph
Zalkind, David
oai:RePEc:ecm:emetrp:v:45:y:1977:i:8:p:1997-20012013-03-04RePEc:ecm:emetrp
article
Some Evidence on the Largest Squared Correlation Coefficient from Several Samples.
8
1977
45
Nov.
Econometrica
1997
2001
http://links.jstor.org/sici?sici=0012-9682%28197711%2945%3A8%3C1997%3ASEOTLS%3E2.0.CO%3B2-6&origin=repec
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Bacon, Robert W
oai:RePEc:ecm:emetrp:v:50:y:1982:i:3:p:761-642013-03-04RePEc:ecm:emetrp
article
A Computationally Efficient Quadrature Procedure for the One-Factor Multinomial Probit Model.
3
1982
50
May
Econometrica
761
64
http://links.jstor.org/sici?sici=0012-9682%28198205%2950%3A3%3C761%3AACEQPF%3E2.0.CO%3B2-O&origin=repec
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full text
Butler, J S
Moffitt, Robert
oai:RePEc:ecm:emetrp:v:49:y:1981:i:2:p:335-582013-03-04RePEc:ecm:emetrp
article
Value of Information with Sequential Futures Markets.
2
1981
49
March
Econometrica
335
58
http://links.jstor.org/sici?sici=0012-9682%28198103%2949%3A2%3C335%3AVOIWSF%3E2.0.CO%3B2-T&origin=repec
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full text
Green, Jerry R
oai:RePEc:ecm:emetrp:v:63:y:1995:i:4:p:953-802013-03-04RePEc:ecm:emetrp
article
Econometrics of First-Price Auctions.
This paper proposes a convenient estimation method for the empirical study of auction models. The authors focus on first-price sealed-bid and descending auctions within the private value paradigm. The method relies upon a simulated nonlinear least squares objective function appropriately adjusted. Asymptotic properties are established and some extensions are discussed. The method is applied to a market of agricultural products. The structural modeling takes into account the heterogeneity of the auctioned objects and the fact that only the winning bid is observed. Estimates of the parameters characterizing the distribution of the unobserved private values are provided. Copyright 1995 by The Econometric Society.
4
1995
63
July
Econometrica
953
80
http://links.jstor.org/sici?sici=0012-9682%28199507%2963%3A4%3C953%3AEOFA%3E2.0.CO%3B2-3&origin=repec
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Laffont, Jean-Jacques
Ossard, Herve
Vuong, Quang
oai:RePEc:ecm:emetrp:v:44:y:1976:i:4:p:631-502013-03-04RePEc:ecm:emetrp
article
Personal Taxation and Portfolio Composition: An Econometric Analysis.
4
1976
44
July
Econometrica
631
50
http://links.jstor.org/sici?sici=0012-9682%28197607%2944%3A4%3C631%3APTAPCA%3E2.0.CO%3B2-L&origin=repec
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Feldstein, Martin S
oai:RePEc:ecm:emetrp:v:47:y:1979:i:4:p:1047-482013-03-04RePEc:ecm:emetrp
article
The Nature of Equilibrium with Semiordered Preferences: A Correction.
4
1979
47
July
Econometrica
1047
48
http://links.jstor.org/sici?sici=0012-9682%28197907%2947%3A4%3C1047%3ATNOEWS%3E2.0.CO%3B2-0&origin=repec
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Jamison, Dean T
Lau, Lawrence J
oai:RePEc:ecm:emetrp:v:62:y:1994:i:5:p:1141-602013-03-04RePEc:ecm:emetrp
article
Equivalence of Games and Markets.
The author proves an equivalence between large games with effective small groups of players and games generated by markets. Small groups are effective if all or almost all gains to collective activities can be achieved by groups bounded in size of membership. A market is an exchange economy where all participants have concave, quasi-linear payoff functions. The market approximating a game is socially homogeneous--all participants have the same monotonic nondecreasing, and 1-homogeneous payoff function. The author's results imply that any market (more generally, any economy with effective small groups) can be approximated by a socially homogeneous market. Copyright 1994 by The Econometric Society.
5
1994
62
September
Econometrica
1141
60
http://links.jstor.org/sici?sici=0012-9682%28199409%2962%3A5%3C1141%3AEOGAM%3E2.0.CO%3B2-T&origin=repec
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Wooders, Myrna Holtz
oai:RePEc:ecm:emetrp:v:70:y:2002:i:6:p:2421-24532013-03-04RePEc:ecm:emetrp
article
Informational Size and Incentive Compatibility
We examine a general equilibrium model with asymmetrically informed agents. The presence of asymmetric information generally presents a conflict between incentive compatibility and Pareto efficiency. We present a notion of informational size and show that the conflict between incentive compatibility and efficiency can be made arbitrarily small if agents are of sufficiently small informational size. Copyright The Econometric Society 2002.
6
2002
70
November
Econometrica
2421
2453
Richard McLean
rpmclean@rci.rutgers.edu
Rutgers University
Andrew Postlewaite
apostlew@econ.sas.upenn.edu
University of Pennsylvania
oai:RePEc:ecm:emetrp:v:47:y:1979:i:4:p:883-9002013-03-04RePEc:ecm:emetrp
article
Frontier Production Functions and Technical Progress: A Study of General Milk Processing in Swedish Dairy Plants.
4
1979
47
July
Econometrica
883
900
http://links.jstor.org/sici?sici=0012-9682%28197907%2947%3A4%3C883%3AFPFATP%3E2.0.CO%3B2-R&origin=repec
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Forsund, Finn R
Hjalmarsson, Lennart
oai:RePEc:ecm:emetrp:v:47:y:1979:i:4:p:843-682013-03-04RePEc:ecm:emetrp
article
Dynamics under Uncertainty.
4
1979
47
July
Econometrica
843
68
http://links.jstor.org/sici?sici=0012-9682%28197907%2947%3A4%3C843%3ADUU%3E2.0.CO%3B2-U&origin=repec
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Brock, William A
Magill, Michael J P
oai:RePEc:ecm:emetrp:v:46:y:1978:i:1:p:2372013-03-04RePEc:ecm:emetrp
article
A Computer Program for Inequality Constrained Least-Squares Estimation.
1
1978
46
Jan.
Econometrica
237
237
Liew, Chong K
Shim, Jae K
oai:RePEc:ecm:emetrp:v:75:y:2007:i:5:p:1331-13702013-03-04RePEc:ecm:emetrp
article
Estimating Dynamic Models of Imperfect Competition
We describe a two-step algorithm for estimating dynamic games under the assumption that behavior is consistent with Markov perfect equilibrium. In the first step, the policy functions and the law of motion for the state variables are estimated. In the second step, the remaining structural parameters are estimated using the optimality conditions for equilibrium. The second step estimator is a simple simulated minimum distance estimator. The algorithm applies to a broad class of models, including industry competition models with both discrete and continuous controls such as the Ericson and Pakes (1995) model. We test the algorithm on a class of dynamic discrete choice models with normally distributed errors and a class of dynamic oligopoly models similar to that of Pakes and McGuire (1994). Copyright The Econometric Society 2007.
5
2007
75
09
Econometrica
1331
1370
http://hdl.handle.net/10.1111/j.1468-0262.2007.00796.x
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Patrick Bajari
C. Lanier Benkard
Jonathan Levin
oai:RePEc:ecm:emetrp:v:59:y:1991:i:6:p:1769-782013-03-04RePEc:ecm:emetrp
article
Decentralizing Public Good Supply.
6
1991
59
November
Econometrica
1769
78
http://links.jstor.org/sici?sici=0012-9682%28199111%2959%3A6%3C1769%3ADPGS%3E2.0.CO%3B2-W&origin=repec
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Besley, Timothy
Jewitt, Ian
oai:RePEc:ecm:emetrp:v:53:y:1985:i:3:p:587-972013-03-04RePEc:ecm:emetrp
article
Existence of Cournot Equilibrium in Large Markets.
3
1985
53
May
Econometrica
587
97
http://links.jstor.org/sici?sici=0012-9682%28198505%2953%3A3%3C587%3AEOCEIL%3E2.0.CO%3B2-Q&origin=repec
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Bamon, Rodrigo
Fraysse, Jean
oai:RePEc:ecm:emetrp:v:39:y:1971:i:3:p:461-652013-03-04RePEc:ecm:emetrp
article
Estimating a Structural Equation in a Large System.
3
1971
39
May
Econometrica
461
65
http://links.jstor.org/sici?sici=0012-9682%28197105%2939%3A3%3C461%3AEASEIA%3E2.0.CO%3B2-0&origin=repec
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Fisher, Walter D
Wadycki, Walter J
oai:RePEc:ecm:emetrp:v:39:y:1971:i:6:p:899-9102013-03-04RePEc:ecm:emetrp
article
The Use of Approximate Prior Distributions in a Bayesian Decision Model.
6
1971
39
Nov.
Econometrica
899
910
http://links.jstor.org/sici?sici=0012-9682%28197111%2939%3A6%3C899%3ATUOAPD%3E2.0.CO%3B2-N&origin=repec
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full text
Kihlstrom, Richard E
oai:RePEc:ecm:emetrp:v:53:y:1985:i:6:p:1499-15282013-03-04RePEc:ecm:emetrp
article
Asset Bubbles and Overlapping Generations.
6
1985
53
November
Econometrica
1499
1528
http://links.jstor.org/sici?sici=0012-9682%28198511%2953%3A6%3C1499%3AABAOG%3E2.0.CO%3B2-N&origin=repec
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Tirole, Jean
oai:RePEc:ecm:emetrp:v:58:y:1990:i:1:p:75-922013-03-04RePEc:ecm:emetrp
article
On Calculating Cost-of-Living Index Numbers for Arbitrary Income Levels.
A method for computing (approximate) cost-of-living index numbers for arbitrary reference income levels is presented. It combines the use of fairly disaggregated data with a relatively modest use of econometric methods. The basis ingredients are (1) a series of chained Tornqvist price index numbers relating to per capital total expenditure, (2) price index numbers for the commodities distinguished, and (3) the income parameters of a differential demand system. This method attains second order precision and is equivalent to a full econometric method based on a translog utility function. The method is demonstrated on Netherlands data for 1952-81. Copyright 1990 by The Econometric Society.
1
1990
58
January
Econometrica
75
92
http://links.jstor.org/sici?sici=0012-9682%28199001%2958%3A1%3C75%3AOCCINF%3E2.0.CO%3B2-M&origin=repec
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Balk, Bert M
oai:RePEc:ecm:emetrp:v:43:y:1975:i:4:p:757-702013-03-04RePEc:ecm:emetrp
article
Factor Prices, Expectations, and Demand for Labor.
4
1975
43
July
Econometrica
757
70
http://links.jstor.org/sici?sici=0012-9682%28197507%2943%3A4%3C757%3AFPEADF%3E2.0.CO%3B2-M&origin=repec
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Gupta, Kanhaya L
oai:RePEc:ecm:emetrp:v:45:y:1977:i:4:p:1033-382013-03-04RePEc:ecm:emetrp
article
A Note on Consumer's Surplus, the Divisia Index, and the Measurement of Welfare Changes.
4
1977
45
May
Econometrica
1033
38
http://links.jstor.org/sici?sici=0012-9682%28197705%2945%3A4%3C1033%3AANOCST%3E2.0.CO%3B2-6&origin=repec
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Bruce, Neil
oai:RePEc:ecm:emetrp:v:54:y:1986:i:6:p:1259-702013-03-04RePEc:ecm:emetrp
article
Theoretical Models: Mathematical Forms and Economic Content.
6
1986
54
November
Econometrica
1259
70
http://links.jstor.org/sici?sici=0012-9682%28198611%2954%3A6%3C1259%3ATMMFAE%3E2.0.CO%3B2-R&origin=repec
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Debreu, Gerard
oai:RePEc:ecm:emetrp:v:38:y:1970:i:2:p:281-972013-03-04RePEc:ecm:emetrp
article
Price Distortion and Economic Welfare.
2
1970
38
March
Econometrica
281
97
http://links.jstor.org/sici?sici=0012-9682%28197003%2938%3A2%3C281%3APDAEW%3E2.0.CO%3B2-Z&origin=repec
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Foster, Edward
Sonnenschein, Hugo
oai:RePEc:ecm:emetrp:v:63:y:1995:i:1:p:207-112013-03-04RePEc:ecm:emetrp
article
A Mirror Image Invariance for M-Estimators.
1
1995
63
January
Econometrica
207
11
http://links.jstor.org/sici?sici=0012-9682%28199501%2963%3A1%3C207%3AAMIIF%3E2.0.CO%3B2-G&origin=repec
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Chesher, Andrew
oai:RePEc:ecm:emetrp:v:42:y:1974:i:3:p:487-962013-03-04RePEc:ecm:emetrp
article
Recursively Decentralized Decision Making.
3
1974
42
May
Econometrica
487
96
http://links.jstor.org/sici?sici=0012-9682%28197405%2942%3A3%3C487%3ARDDM%3E2.0.CO%3B2-0&origin=repec
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Blackorby, Charles, et al
oai:RePEc:ecm:emetrp:v:41:y:1973:i:2:p:299-3202013-03-04RePEc:ecm:emetrp
article
Multiple Equation Systems with Stationary Errors.
2
1973
41
March
Econometrica
299
320
http://links.jstor.org/sici?sici=0012-9682%28197303%2941%3A2%3C299%3AMESWSE%3E2.0.CO%3B2-6&origin=repec
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Hannan, E J
Terrell, R D
oai:RePEc:ecm:emetrp:v:76:y:2008:i:2:p:437-4422013-03-04RePEc:ecm:emetrp
article
Investment Reversibility and Agency Cost of Debt
Previous research has argued that debt financing affects equity-holders' investment decisions, producing substantial inefficiency. This paper shows that the size of this inefficiency depends on the degree of investment reversibility. In a dynamic model of financing and investment, the paper provides an upper bound for the inefficiency produced by debt financing. The upper bound is decreasing in the degree of investment reversibility and is zero when investment is perfectly reversible. Copyright The Econometric Society 2008.
2
2008
76
03
Econometrica
437
442
http://hdl.handle.net/10.1111/j.0012-9682.2008.00838.x
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Gustavo Manso
oai:RePEc:ecm:emetrp:v:58:y:1990:i:4:p:861-722013-03-04RePEc:ecm:emetrp
article
Discontinuous Games and Endogenous Sharing Rules.
This paper proposes a new approach to the study of economic problems that have hitherto been modeled as games with discontinuous payoffs. Typically, the discontinuities arise from indeterminacies in the underlying problem. The authors' point of departure from the conventional approach is to view the sharing rules that resolve these indeterminacies as part of the solution rather than as part of the description of the model. A solution to the authors' model is a sharing rule, together with a profile of (mixed) strategies that satisfies the usual (Nash) best response criterion. Their main result is that such a solution always exists. Copyright 1990 by The Econometric Society.
4
1990
58
July
Econometrica
861
72
http://links.jstor.org/sici?sici=0012-9682%28199007%2958%3A4%3C861%3ADGAESR%3E2.0.CO%3B2-%23&origin=repec
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Simon, Leo K
Zame, William R
oai:RePEc:ecm:emetrp:v:63:y:1995:i:5:p:1241-492013-03-04RePEc:ecm:emetrp
article
A Cardinal Characterization of the Rubinstein-Safra-Thomson Axiomatic Bargaining Theory.
5
1995
63
September
Econometrica
1241
49
http://links.jstor.org/sici?sici=0012-9682%28199509%2963%3A5%3C1241%3AACCOTR%3E2.0.CO%3B2-A&origin=repec
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Grant, Simon
Kajii, Atsushi
oai:RePEc:ecm:emetrp:v:73:y:2005:i:5:p:1401-14302013-03-04RePEc:ecm:emetrp
article
Adaptive Heuristics
We exhibit a large class of simple rules of behavior, which we call adaptive heuristics, and show that they generate rational behavior in the long run. These adaptive heuristics are based on natural regret measures, and may be viewed as a bridge between rational and behavioral viewpoints. Taken together, the results presented here establish a solid connection between the dynamic approach of adaptive heuristics and the static approach of correlated equilibria. Copyright The Econometric Society 2005.
5
2005
73
09
Econometrica
1401
1430
http://hdl.handle.net/10.1111/j.1468-0262.2005.00625.x
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Sergiu Hart
oai:RePEc:ecm:emetrp:v:75:y:2007:i:1:p:277-2822013-03-04RePEc:ecm:emetrp
article
Contagion Equilibria in a Monetary Model
1
2007
75
01
Econometrica
277
282
http://hdl.handle.net/10.1111/j.1468-0262.2007.00739.x
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Charalambos D Aliprantis
Gabriele Camera
Daniela Puzzello
oai:RePEc:ecm:emetrp:v:42:y:1974:i:4:p:7712013-03-04RePEc:ecm:emetrp
article
A Comment on SYMINV: An Algorithm for the Inversion of a Positive Definite Matrix by the Cholesky Decomposition.
4
1974
42
July
Econometrica
771
771
Stewart, J
oai:RePEc:ecm:emetrp:v:68:y:2000:i:2:p:247-2742013-03-04RePEc:ecm:emetrp
article
Inflation and Welfare
This paper reviews research on the welfare cost of inflation. New estimates are provided, based on U.S. time series for 1900-94, interpreted in a variety of ways. It is estimated that the gain from reducing the annual inflation rate from 10 percent to zero is equivalent to an increase in real income of slightly less than one percent. Using aggregate evidence only, it may not be possible to estimate reliably the gains from reducing inflation to a rate consistent with zero nominal interest.
2000
68
March
2
Econometrica
247
274
Robert E. Lucas, Jr.
oai:RePEc:ecm:emetrp:v:43:y:1975:i:1:p:169-722013-03-04RePEc:ecm:emetrp
article
A Note on "Interpersonal Aggregation and Partial Comparability".
1
1975
43
Jan.
Econometrica
169
72
http://links.jstor.org/sici?sici=0012-9682%28197501%2943%3A1%3C169%3AANO%22AA%3E2.0.CO%3B2-M&origin=repec
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Fine, Ben
oai:RePEc:ecm:emetrp:v:41:y:1973:i:6:p:1075-912013-03-04RePEc:ecm:emetrp
article
Path Independence, Rationality, and Social Choice.
6
1973
41
Nov.
Econometrica
1075
91
http://links.jstor.org/sici?sici=0012-9682%28197311%2941%3A6%3C1075%3APIRASC%3E2.0.CO%3B2-K&origin=repec
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Plott, Charles R
oai:RePEc:ecm:emetrp:v:64:y:1996:i:5:p:1183-932013-03-04RePEc:ecm:emetrp
article
Nonparametric Tests of Stochastic Dominance in Income Distributions.
A class of tests for first, second, and third order stochastic dominance, together with modifications to the Pearson goodness of fit test are proposed for the nonparametric comparison of income distributions. They are implemented and compared with tests for generalised Lorenz dominance (which is the indirect test of second order stochastic dominance currently employed in income distribution studies) utilizing Canadian family income data. Copyright 1996 by The Econometric Society.
5
1996
64
September
Econometrica
1183
93
http://links.jstor.org/sici?sici=0012-9682%28199609%2964%3A5%3C1183%3ANTOSDI%3E2.0.CO%3B2-M&origin=repec
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Anderson, Gordon
oai:RePEc:ecm:emetrp:v:53:y:1985:i:2:p:463-642013-03-04RePEc:ecm:emetrp
article
Consistent d-Relative Majority Equilibria.
2
1985
53
March
Econometrica
463
64
http://links.jstor.org/sici?sici=0012-9682%28198503%2953%3A2%3C463%3AC%40ME%3E2.0.CO%3B2-7&origin=repec
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Greenberg, Joseph
Weber, Shlomo
oai:RePEc:ecm:emetrp:v:57:y:1989:i:6:p:1439-432013-03-04RePEc:ecm:emetrp
article
A Note on the Quadratic Expenditure Model.
6
1989
57
November
Econometrica
1439
43
http://links.jstor.org/sici?sici=0012-9682%28198911%2957%3A6%3C1439%3AANOTQE%3E2.0.CO%3B2-C&origin=repec
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van Daal, Jan
Merkies, Arnold H Q M
oai:RePEc:ecm:emetrp:v:47:y:1979:i:2:p:437-542013-03-04RePEc:ecm:emetrp
article
Components of Variation in Panel Earnings Data: American Scientists, 1960-70.
2
1979
47
March
Econometrica
437
54
http://links.jstor.org/sici?sici=0012-9682%28197903%2947%3A2%3C437%3ACOVIPE%3E2.0.CO%3B2-M&origin=repec
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Lillard, Lee A
Weiss, Yoram
oai:RePEc:ecm:emetrp:v:72:y:2004:i:3:p:701-7462013-03-04RePEc:ecm:emetrp
article
Moral Hazard Contracting and Private Credit Markets
This paper studies the impact of credit markets on optimal contracting, when the agent's "interim preference" over upcoming contracts is private information because personal financial decisions affect it via the wealth effect. The main result is a severe loss of incentive provision: equilibrium contracts invariably cause the agent to shirk (i.e., exert minimal effort) if the agent's private financial decision precedes moral hazard contracting. The basic intuition is that committing on another private variable, other than the effort level, exposes the parties to further exploitation of efficient risk-sharing by relaxing the incentive constraint that was binding ex ante, unless the risk-sharing was fully efficient to begin with. Copyright The Econometric Society 2004.
3
2004
72
05
Econometrica
701
746
http://hdl.handle.net/10.1111/j.1468-0262.2004.00510.x
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In-Uck Park
oai:RePEc:ecm:emetrp:v:49:y:1981:i:4:p:1057-722013-03-04RePEc:ecm:emetrp
article
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.
4
1981
49
June
Econometrica
1057
72
http://links.jstor.org/sici?sici=0012-9682%28198107%2949%3A4%3C1057%3ALRSFAT%3E2.0.CO%3B2-4&origin=repec
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Dickey, David A
Fuller, Wayne A
oai:RePEc:ecm:emetrp:v:44:y:1976:i:2:p:337-432013-03-04RePEc:ecm:emetrp
article
Discriminating among Linear Models with Interdependent Disturbances.
2
1976
44
March
Econometrica
337
43
http://links.jstor.org/sici?sici=0012-9682%28197603%2944%3A2%3C337%3ADALMWI%3E2.0.CO%3B2-I&origin=repec
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Gaver, Kenneth M
Geisel, Martin S
oai:RePEc:ecm:emetrp:v:50:y:1982:i:2:p:345-762013-03-04RePEc:ecm:emetrp
article
Inventory Stability and Resource Allocation under Uncertainty in a Command Economy.
2
1982
50
March
Econometrica
345
76
http://links.jstor.org/sici?sici=0012-9682%28198203%2950%3A2%3C345%3AISARAU%3E2.0.CO%3B2-Q&origin=repec
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Ericson, Richard E
oai:RePEc:ecm:emetrp:v:52:y:1984:i:6:p:1415-352013-03-04RePEc:ecm:emetrp
article
Missing Observations in the Dynamic Regression Model.
6
1984
52
November
Econometrica
1415
35
http://links.jstor.org/sici?sici=0012-9682%28198411%2952%3A6%3C1415%3AMOITDR%3E2.0.CO%3B2-7&origin=repec
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Palm, Franz C
Nijman, Theo E
oai:RePEc:ecm:emetrp:v:60:y:1992:i:5:p:993-10082013-03-04RePEc:ecm:emetrp
article
Virtual Implementation in Iteratively Undominated Strategies: Complete Information.
The authors investigate the implementation of social choice functions that map to lotteries over alternatives. They require virtual implementation in iteratively undominated strategies. Under very weak domain restrictions, they show that if there are three or more players, any social choice function may be so implemented. The literature on implementation in Nash equilibrium and its refinements is compromised by its reliance on game forms with unnatural features (for example, "integer games") or "modulo" constructions with mixed strategies arbitrarily excluded. In contrast, the authors' results employ finite (consequently "well-behaved") mechanisms and allow for mixed strategies. Copyright 1992 by The Econometric Society.
5
1992
60
September
Econometrica
993
1008
http://links.jstor.org/sici?sici=0012-9682%28199209%2960%3A5%3C993%3AVIIIUS%3E2.0.CO%3B2-4&origin=repec
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Abreu, Dilip
Matsushima, Hitoshi
oai:RePEc:ecm:emetrp:v:38:y:1970:i:2:p:231-502013-03-04RePEc:ecm:emetrp
article
Public Interpretation of Federal Reserve Discount Rate Changes: Evidence on the 'Announcement Effect'.
2
1970
38
March
Econometrica
231
50
http://links.jstor.org/sici?sici=0012-9682%28197003%2938%3A2%3C231%3APIOFRD%3E2.0.CO%3B2-7&origin=repec
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Waud, Roger N
oai:RePEc:ecm:emetrp:v:51:y:1983:i:5:p:1325-432013-03-04RePEc:ecm:emetrp
article
On the Efficient Markets Hypothesis.
5
1983
51
September
Econometrica
1325
43
http://links.jstor.org/sici?sici=0012-9682%28198309%2951%3A5%3C1325%3AOTEMH%3E2.0.CO%3B2-W&origin=repec
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Jordan, J S
oai:RePEc:ecm:emetrp:v:65:y:1997:i:2:p:347-3682013-03-04RePEc:ecm:emetrp
article
Conditioning and Aggregation of Preferences
This paper develops a general framework for modeling choice under uncertainty that extends subjective expected utility to include nonseparabilities, state-dependence, and the effect of subjective or ill defined consequences. This is accomplished by not including consequences among the formal primitives. Instead, the effect of consequences is modeled indirectly, through conditional preferences over acts. The main results concern the aggregation of conditional utilities to form an unconditional utility, including the case of additive aggregation. Applications, obtained by further specifying the structure of acts and conditional preferences, include disappointment, regret, and the subjective value of information.
2
1997
65
March
Econometrica
347
368
Costis Skiadas
oai:RePEc:ecm:emetrp:v:45:y:1977:i:1:p:175-812013-03-04RePEc:ecm:emetrp
article
Non-Price Rationing of Intermediate Goods in Centrally Planned Economies: A Comment.
1
1977
45
Jan.
Econometrica
175
81
http://links.jstor.org/sici?sici=0012-9682%28197701%2945%3A1%3C175%3ANROIGI%3E2.0.CO%3B2-E&origin=repec
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Murrell, Peter
Green, Donald W
oai:RePEc:ecm:emetrp:v:46:y:1978:i:2:p:379-962013-03-04RePEc:ecm:emetrp
article
Joint Production Technology: The Case of Petrochemicals.
2
1978
46
March
Econometrica
379
96
http://links.jstor.org/sici?sici=0012-9682%28197803%2946%3A2%3C379%3AJPTTCO%3E2.0.CO%3B2-T&origin=repec
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Griffin, James M
oai:RePEc:ecm:emetrp:v:58:y:1990:i:6:p:1481-852013-03-04RePEc:ecm:emetrp
article
A Globally Stable Price Adjustment Process.
6
1990
58
November
Econometrica
1481
85
http://links.jstor.org/sici?sici=0012-9682%28199011%2958%3A6%3C1481%3AAGSPAP%3E2.0.CO%3B2-K&origin=repec
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Kamiya, Kazuya
oai:RePEc:ecm:emetrp:v:58:y:1990:i:6:p:1411-412013-03-04RePEc:ecm:emetrp
article
The Relationship between Wages and Income and the Timing and Spacing of Births: Evidence from Swedish Longitudinal Data.
This paper considers the formulation, estimation, and evaluation of semiparametric multistates duration models with time-varying regressors and unobservables correlated over spells. The authors' models are applied to test a dynamic version of the neoclassical theory of fertility. Using Swedish data, they find that rising female wages over the lifecycle delay times to all conceptions, but barely affect childlessness. The authors estimate a model that predicts fertility attained at different ages as well as the aggregate time series of birth rates. Estimated cohort drift in wage and income parameters is consistent with the expansion of pronatal social programs over the sample period. Copyright 1990 by The Econometric Society.
6
1990
58
November
Econometrica
1411
41
http://links.jstor.org/sici?sici=0012-9682%28199011%2958%3A6%3C1411%3ATRBWAI%3E2.0.CO%3B2-6&origin=repec
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Heckman, James J
Walker, James R
oai:RePEc:ecm:emetrp:v:59:y:1991:i:5:p:1425-542013-03-04RePEc:ecm:emetrp
article
Ex Ante Price Offers in Matching Games Non-steady States.
A matching problem is considered in which sellers can publicly commit to a trading price that differs from the price at which buyers expect to trade elsewhere in the market. When demand and supply are nearly equal, the equilibrium ex ante price offer lies below the price associated with the Nash bargaining split. This relationship reverses when the level of excess demand is large. Sellers always have an incentive to make ex ante offers when prices elsewhere are determined by Nash bargaining. This can be interpreted to mean that Nash bargaining is an unstable pricing institution. Copyright 1991 by The Econometric Society.
5
1991
59
September
Econometrica
1425
54
http://links.jstor.org/sici?sici=0012-9682%28199109%2959%3A5%3C1425%3AEAPOIM%3E2.0.CO%3B2-C&origin=repec
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Peters, Michael
oai:RePEc:ecm:emetrp:v:58:y:1990:i:1:p:93-1112013-03-04RePEc:ecm:emetrp
article
Solving Nonlinear Rational Expectations Models: A Stochastic Equilibrium Model of Interest Rates.
The authors introduce, in this paper, a method for solving nonlinear quadratic Pareto problems. The method provides the analyst with a set of time series realizations for the variables in the economy. By obtaining a large number of these realizations, they can approximate the empirical distributions of a variety of statistics, which will give a detailed description of the model's properties. In particular, those statistics can be compared with the similar ones obtained from actual data, and different criteria for goodness of fit can be defined on the basis of these comparisons. Copyright 1990 by The Econometric Society.
1
1990
58
January
Econometrica
93
111
http://links.jstor.org/sici?sici=0012-9682%28199001%2958%3A1%3C93%3ASNREMA%3E2.0.CO%3B2-V&origin=repec
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Novales, Alfonso
oai:RePEc:ecm:emetrp:v:44:y:1976:i:5:p:1045-752013-03-04RePEc:ecm:emetrp
article
Bayesian Limited Information Analysis of the Simultaneous Equations Model.
5
1976
44
Sept.
Econometrica
1045
75
http://links.jstor.org/sici?sici=0012-9682%28197609%2944%3A5%3C1045%3ABLIAOT%3E2.0.CO%3B2-J&origin=repec
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Dreze, Jacques H
oai:RePEc:ecm:emetrp:v:58:y:1990:i:5:p:1083-992013-03-04RePEc:ecm:emetrp
article
Nash Implementation: A Full Characterization.
The authors extend E. Maskin's results on Nash implementation. First, they establish a condition that is both necessary and sufficient for Nash implementability if there are three or more agents (the case covered by Maskin's sufficiency result). Second--and more important--they examine the two-agent case (for which there existed no general sufficiency results). The two-agent model is the leading case for applications to contracting and bargaining. For this case, too, they establish a condition that is both necessary and sufficient. The authors use their theorems to derive simpler sufficiency conditions that are applicable in a wide variety of economic environments. Copyright 1990 by The Econometric Society.
5
1990
58
September
Econometrica
1083
99
http://links.jstor.org/sici?sici=0012-9682%28199009%2958%3A5%3C1083%3ANIAFC%3E2.0.CO%3B2-G&origin=repec
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Moore, John
Repullo, Rafael
oai:RePEc:ecm:emetrp:v:58:y:1990:i:5:p:1041-632013-03-04RePEc:ecm:emetrp
article
Toward a Theory of Discounted Repeated Games with Imperfect Monitoring.
This paper investigates pure strategy sequential equilibria of repeated games with imperfect monitoring. The approach emphasizes the equilibrium value set and the static optimization problems embedded in extremal equilibria. A succession of propositions, central among which is "self-generation," allow properties of constrained efficient supergame equilibria to be deduced from the solutions of the static problems. The authors show that the latter include solutions having a "bang-bang" property; this affords a significant simplification of the equilibria that need be considered. These results apply to a broad class of asymmetric games, thereby generalizing their earlier work on optimal cartel equilibria. Copyright 1990 by The Econometric Society.
5
1990
58
September
Econometrica
1041
63
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Abreu, Dilip
Pearce, David
Stacchetti, Ennio
oai:RePEc:ecm:emetrp:v:47:y:1979:i:2:p:387-922013-03-04RePEc:ecm:emetrp
article
Some Evidence of the Efficiency of a Speculative Market.
2
1979
47
March
Econometrica
387
92
http://links.jstor.org/sici?sici=0012-9682%28197903%2947%3A2%3C387%3ASEOTEO%3E2.0.CO%3B2-E&origin=repec
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Ali, Mukhtar M
oai:RePEc:ecm:emetrp:v:65:y:1997:i:1:p:103-1322013-03-04RePEc:ecm:emetrp
article
Inference Concerning the Number of Factors in a Multivariate Nonparametric Relationship
This paper considers the problem of determining the number of factors in a multivariate nonparametric relationship. The definition of factors given is broad enough to encompass a number of potential applications in econometrics, including inferring the rank of demand, consistent tests for lack of identification in linear instrumental variable models, and testing arbitrage pricing theory. The paper gives both series and kernel methods for testing hypotheses concerning, and consistent estimation of, the number of factors. The methods are compared in a small simulation study and in an application to determining the rank of demand systems.
1
1997
65
January
Econometrica
103
132
Stephen G. Donald
oai:RePEc:ecm:emetrp:v:77:y:2009:i:2:p:427-4522013-03-04RePEc:ecm:emetrp
article
Search, Obfuscation, and Price Elasticities on the Internet
We examine the competition between a group of Internet retailers who operate in an environment where a price search engine plays a dominant role. We show that for some products in this environment, the easy price search makes demand tremendously price-sensitive. Retailers, though, engage in obfuscation-practices that frustrate consumer search or make it less damaging to firms-resulting in much less price sensitivity on some other products. We discuss several models of obfuscation and examine its effects on demand and markups empirically. Copyright 2009 The Econometric Society.
2
2009
77
03
Econometrica
427
452
http://hdl.handle.net/10.3982/ECTA5708
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Glenn Ellison
Sara Fisher Ellison
oai:RePEc:ecm:emetrp:v:58:y:1990:i:3:p:725-282013-03-04RePEc:ecm:emetrp
article
Large Sample Properties of Two Inequality Indices.
3
1990
58
May
Econometrica
725
28
http://links.jstor.org/sici?sici=0012-9682%28199005%2958%3A3%3C725%3ALSPOTI%3E2.0.CO%3B2-Q&origin=repec
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Thistle, Paul D
oai:RePEc:ecm:emetrp:v:62:y:1994:i:1:p:73-932013-03-04RePEc:ecm:emetrp
article
Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models.
The author derives some exact finite sample disbibutions and characterizes the tail behavior of maximum likelihood estimators of the cointegrating coefficients in error correction models. The reduced rank regression estimator has a distribution with Cauchy-like tails and no finite moments of integer order. The maximum likelihood estimator of the coefficients in a particular triangular system representation has matrix t-distribution tails with finite integer moments to order T - n + r, where T is the sample size, n is the total number of variables, and r is the dimension of cointegration space. This helps explain some recent simulation studies where extreme outliers occur more frequently for the reduced rank regression estimator than for alternative asymptotically efficient procedures based on triangular representation. Copyright 1994 by The Econometric Society.
1
1994
62
January
Econometrica
73
93
http://links.jstor.org/sici?sici=0012-9682%28199401%2962%3A1%3C73%3ASEDTFM%3E2.0.CO%3B2-H&origin=repec
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Phillips, Peter C B
oai:RePEc:ecm:emetrp:v:47:y:1979:i:3:p:565-772013-03-04RePEc:ecm:emetrp
article
A Representation Theorem for "Preference for Flexibility".
3
1979
47
May
Econometrica
565
77
http://links.jstor.org/sici?sici=0012-9682%28197905%2947%3A3%3C565%3AARTF%22F%3E2.0.CO%3B2-Y&origin=repec
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Kreps, David M
oai:RePEc:ecm:emetrp:v:75:y:2007:i:5:p:1243-12842013-03-04RePEc:ecm:emetrp
article
Estimation and Confidence Regions for Parameter Sets in Econometric Models
This paper develops a framework for performing estimation and inference in econometric models with partial identification, focusing particularly on models characterized by moment inequalities and equalities. Applications of this framework include the analysis of game-theoretic models, revealed preference restrictions, regressions with missing and corrupted data, auction models, structural quantile regressions, and asset pricing models. Copyright The Econometric Society 2007.
5
2007
75
09
Econometrica
1243
1284
http://hdl.handle.net/10.1111/j.1468-0262.2007.00794.x
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Victor Chernozhukov
Han Hong
Elie Tamer
oai:RePEc:ecm:emetrp:v:50:y:1982:i:4:p:931-432013-03-04RePEc:ecm:emetrp
article
Acyclic Collective Choice Rules.
4
1982
50
July
Econometrica
931
43
http://links.jstor.org/sici?sici=0012-9682%28198207%2950%3A4%3C931%3AACCR%3E2.0.CO%3B2-J&origin=repec
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Blair, Douglas H
Pollak, Robert A
oai:RePEc:ecm:emetrp:v:58:y:1990:i:1:p:53-732013-03-04RePEc:ecm:emetrp
article
Precautionary Saving in the Small and in the Large.
The theory of precautionary saving is shown to be isomorphic to the Arrow-Pratt theory of risk aversion, making possible the application of a large body of knowledge about risk aversion to precautionary saving--and more generally, to the theory of optimal choice under risk. In particular, a measure of the strength of the precautionary saving motive analogous to the Arrow-Pratt measure of risk aversion is used to establish a number of new propositions about precautionary saving and to give a new interpretation of the Dreze-Modigliani substitution effect. Copyright 1990 by The Econometric Society.
1
1990
58
January
Econometrica
53
73
http://links.jstor.org/sici?sici=0012-9682%28199001%2958%3A1%3C53%3APSITSA%3E2.0.CO%3B2-Q&origin=repec
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Kimball, Miles S
oai:RePEc:ecm:emetrp:v:57:y:1989:i:3:p:701-052013-03-04RePEc:ecm:emetrp
article
A Demand System Rank Theorem.
3
1989
57
May
Econometrica
701
05
http://links.jstor.org/sici?sici=0012-9682%28198905%2957%3A3%3C701%3AADSRT%3E2.0.CO%3B2-%23&origin=repec
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Lewbel, Arthur
oai:RePEc:ecm:emetrp:v:48:y:1980:i:5:p:1211-322013-03-04RePEc:ecm:emetrp
article
An Index Theorem for General Equilibrium Models with Production.
5
1980
48
July
Econometrica
1211
32
http://links.jstor.org/sici?sici=0012-9682%28198007%2948%3A5%3C1211%3AAITFGE%3E2.0.CO%3B2-N&origin=repec
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Kehoe, Timothy J
oai:RePEc:ecm:emetrp:v:48:y:1980:i:2:p:479-892013-03-04RePEc:ecm:emetrp
article
On the Effects of Entry.
2
1980
48
March
Econometrica
479
89
http://links.jstor.org/sici?sici=0012-9682%28198003%2948%3A2%3C479%3AOTEOE%3E2.0.CO%3B2-L&origin=repec
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Seade, Jesus K
oai:RePEc:ecm:emetrp:v:73:y:2005:i:2:p:629-6452013-03-04RePEc:ecm:emetrp
article
A Partial Folk Theorem for Games with Unknown Payoff Distributions
Repeated games with unknown payoff distributions are analogous to a single decision maker's "multi-armed bandit" problem. Each state of the world corresponds to a different payoff matrix of a stage game. When monitoring is perfect, information about the state is public, and players are sufficiently patient, the following result holds: For any function that maps each state to a payoff vector that is feasible and individually rational in that state, there is a sequential equilibrium in which players experiment to learn the realized state and achieve a payoff close to the one specified for that state. Copyright The Econometric Society 2005.
2
2005
73
03
Econometrica
629
645
http://hdl.handle.net/10.1111/j.1468-0262.2005.00589.x
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Thomas Wiseman
oai:RePEc:ecm:emetrp:v:41:y:1973:i:5:p:937-542013-03-04RePEc:ecm:emetrp
article
Toward an Econometric Accommodation of the Capital-Intensity-Perversity Phenomenon.
5
1973
41
Sept.
Econometrica
937
54
http://links.jstor.org/sici?sici=0012-9682%28197309%2941%3A5%3C937%3ATAEAOT%3E2.0.CO%3B2-5&origin=repec
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Brown, Murray
oai:RePEc:ecm:emetrp:v:79:y:2011:i:5:p:1567-15892013-03-04RePEc:ecm:emetrp
article
On the Size Distribution of Macroeconomic Disasters
5
2011
79
09
Econometrica
1567
1589
http://hdl.handle.net/10.3982/ECTA8827
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Robert J. Barro
Tao Jin
oai:RePEc:ecm:emetrp:v:60:y:1992:i:5:p:1127-502013-03-04RePEc:ecm:emetrp
article
Entry, Exit, and Firm Dynamics in Long Run Equilibrium.
A dynamic stochastic model for a competitive industry is developed in which entry, exit, and the growth of firms' output and employment is determined. The paper extends long-run industry equilibrium theory to account for entry, exit, and heterogeneity in the size and growth rate of firms. Conditions under which there is entry and exit in the long run are developed. Cross sectional implications and distributions of profits and value of firms are derived. Comparative statics on the equilibrium size distribution and turnover rates are analyzed. Copyright 1992 by The Econometric Society.
5
1992
60
September
Econometrica
1127
50
http://links.jstor.org/sici?sici=0012-9682%28199209%2960%3A5%3C1127%3AEEAFDI%3E2.0.CO%3B2-B&origin=repec
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Hopenhayn, Hugo A
oai:RePEc:ecm:emetrp:v:48:y:1980:i:3:p:565-762013-03-04RePEc:ecm:emetrp
article
The Effects of Money Supply on Economic Welfare in the Steady State.
3
1980
48
April
Econometrica
565
76
http://links.jstor.org/sici?sici=0012-9682%28198004%2948%3A3%3C565%3ATEOMSO%3E2.0.CO%3B2-A&origin=repec
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Weiss, Laurence M
oai:RePEc:ecm:emetrp:v:76:y:2008:i:5:p:1143-11662013-03-04RePEc:ecm:emetrp
article
Calibration Results for Non-Expected Utility Theories
Rabin (2000) proved that a low level of risk aversion with respect to small gambles leads to a high, and absurd, level of risk aversion with respect to large gambles. Rabin's arguments strongly depend on expected utility theory, but we show that similar arguments apply to general non-expected utility theories. Copyright 2008 The Econometric Society.
5
2008
76
09
Econometrica
1143
1166
http://hdl.handle.net/10.3982/ECTA6175
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Zvi Safra
Uzi Segal
oai:RePEc:ecm:emetrp:v:59:y:1991:i:3:p:611-362013-03-04RePEc:ecm:emetrp
article
Incentives to Help in Multi-agent Situations.
This paper concerns moral hazard problems in multiagent situations where cooperation is an issue. Each agent allocates effort to his own task and to other tasks as "help." The principal may prefer an unambiguous division of labor by inducing each agent to specialize in his own task, or prefer teamwork where each agent is motivated to help other agents. A sufficient condition for teamwork to be optimal is presented. A nonconvexity of the optimal task structure is also shown: the principal wants either strict specialization or substantial teamwork. Copyright 1991 by The Econometric Society.
3
1991
59
May
Econometrica
611
36
http://links.jstor.org/sici?sici=0012-9682%28199105%2959%3A3%3C611%3AITHIMS%3E2.0.CO%3B2-X&origin=repec
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Itoh, Hideshi
oai:RePEc:ecm:emetrp:v:49:y:1981:i:6:p:1427-422013-03-04RePEc:ecm:emetrp
article
The Approximate Slopes of Econometric Tests.
6
1981
49
Nov.
Econometrica
1427
42
http://links.jstor.org/sici?sici=0012-9682%28198111%2949%3A6%3C1427%3ATASOET%3E2.0.CO%3B2-I&origin=repec
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Geweke, John
oai:RePEc:ecm:emetrp:v:49:y:1981:i:2:p:517-182013-03-04RePEc:ecm:emetrp
article
Estimation of Time-Independent Markov Processes with Aggregate Data: A Comparison of Techniques.
2
1981
49
March
Econometrica
517
18
http://links.jstor.org/sici?sici=0012-9682%28198103%2949%3A2%3C517%3AEOTMPW%3E2.0.CO%3B2-J&origin=repec
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Kelton, Christina M L
oai:RePEc:ecm:emetrp:v:60:y:1992:i:4:p:877-882013-03-04RePEc:ecm:emetrp
article
Rationality, Computability, and Nash Equilibrium.
Suppose two agents play a game, each using a computable algorithm to decide what to do, these algorithms being common knowledge. The author shows that it is possible to act rationally provided he limits his attention to a natural subset of solvable games and to opponents who use rational algorithms; the outcome is a Nash equilibrium. Going further, the author shows that rationality is possible on many domains of games and opposing algorithms but each domain requires a particular solution algorithm; no one algorithm is rational on all possible domains. Copyright 1992 by The Econometric Society.
4
1992
60
July
Econometrica
877
88
http://links.jstor.org/sici?sici=0012-9682%28199207%2960%3A4%3C877%3ARCANE%3E2.0.CO%3B2-6&origin=repec
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Canning, David
oai:RePEc:ecm:emetrp:v:37:y:1969:i:2:p:355-592013-03-04RePEc:ecm:emetrp
article
Corrected Formulation of Direct and Indirect Additivity.
2
1969
37
April
Econometrica
355
59
http://links.jstor.org/sici?sici=0012-9682%28196904%2937%3A2%3C355%3ACFODAI%3E2.0.CO%3B2-Z&origin=repec
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Samuelson, Paul A
oai:RePEc:ecm:emetrp:v:47:y:1979:i:6:p:1367-892013-03-04RePEc:ecm:emetrp
article
Synopses in the Theory of Choice.
6
1979
47
Nov.
Econometrica
1367
89
http://links.jstor.org/sici?sici=0012-9682%28197911%2947%3A6%3C1367%3ASITTOC%3E2.0.CO%3B2-A&origin=repec
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Sertel, Murat R
Van der Bellen, Alexander
oai:RePEc:ecm:emetrp:v:74:y:2006:i:5:p:1231-12692013-03-04RePEc:ecm:emetrp
article
Toward a Strategic Foundation for Rational Expectations Equilibrium
A step toward a strategic foundation for rational expectations equilibrium is taken by considering a double auction with n buyers and m sellers with interdependent values and affiliated private information. If there are sufficiently many buyers and sellers, and their bids are restricted to a sufficiently fine discrete set of prices, then, generically, there is an equilibrium in nondecreasing bidding functions that is arbitrarily close to the unique fully revealing rational expectations equilibrium of the limit market with unrestricted bids and a continuum of agents. In particular, the large double-auction equilibrium is almost efficient and almost fully aggregates the agents' information. Copyright The Econometric Society 2006.
5
2006
74
09
Econometrica
1231
1269
http://hdl.handle.net/10.1111/j.1468-0262.2006.00703.x
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Philip J Reny
Motty Perry
oai:RePEc:ecm:emetrp:v:70:y:2002:i:4:p:1403-14432013-03-04RePEc:ecm:emetrp
article
Ambiguity, Risk, and Asset Returns in Continuous Time
Models of utility in stochastic continuous-time settings typically assume that beliefs are represented by a probability measure, hence ruling out a priori any concern with ambiguity. This paper formulates a continuous-time intertemporal version of multiple-priors utility, where aversion to ambiguity is admissible. In a representative agent asset market setting, the model delivers restrictions on excess returns that admit interpretations reflecting a premium for risk and a separate premium for ambiguity. Copyright The Econometric Society 2002.
4
2002
70
July
Econometrica
1403
1443
Zengjing Chen
czengjing@hotmail.com
Shandong University, Jinan, China
Larry Epstein
lepn@troi.cc.rochester.edu
University of Rochester, Rochester, NY U.S.A
oai:RePEc:ecm:emetrp:v:38:y:1970:i:3:p:387-922013-03-04RePEc:ecm:emetrp
article
Economies with a Finite Set of Equilibria.
3
1970
38
May
Econometrica
387
92
http://links.jstor.org/sici?sici=0012-9682%28197005%2938%3A3%3C387%3AEWAFSO%3E2.0.CO%3B2-1&origin=repec
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Debreu, Gerard
oai:RePEc:ecm:emetrp:v:43:y:1975:i:4:p:691-7092013-03-04RePEc:ecm:emetrp
article
Error Analysis in Nearly-Completely Decomposable Stochastic Systems.
4
1975
43
July
Econometrica
691
709
http://links.jstor.org/sici?sici=0012-9682%28197507%2943%3A4%3C691%3AEAINDS%3E2.0.CO%3B2-I&origin=repec
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Courtois, P J
oai:RePEc:ecm:emetrp:v:55:y:1987:i:5:p:999-10332013-03-04RePEc:ecm:emetrp
article
Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher.
This paper formulates a simple, regenerative, optimal-stopping model of bus-eng ine replacement to describe the behavior of Harold Zurcher, superinte ndent of maintenance at the Madison (Wisconsin) Metropolitan Bus Comp any. Admittedly, few people are likely to take particular interest in Harold Zurcher and bus engine replacement per se. The author focuses on a specific individual and capital good because it provides a simp le, concrete framework to illustrate two ideas: (1) a "bottom-up" a pproach for modeling replacement investment and (2) a "nested fixed point" algorithm for estimating dynamic programming models of discre te choice. Copyright 1987 by The Econometric Society.
5
1987
55
September
Econometrica
999
1033
http://links.jstor.org/sici?sici=0012-9682%28198709%2955%3A5%3C999%3AOROGBE%3E2.0.CO%3B2-N&origin=repec
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Rust, John
oai:RePEc:ecm:emetrp:v:75:y:2007:i:4:p:1209-12272013-03-04RePEc:ecm:emetrp
article
Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions
For vectors z and w and scalar v, let r(v, z, w) be a function that can be nonparametrically estimated consistently and asymptotically normally, such as a distribution, density, or conditional mean regression function. We provide consistent, asymptotically normal nonparametric estimators for the functions G and H, where r(v, z, w) = H[vG(z), w], and some related models. This framework encompasses homothetic and homothetically separable functions, and transformed partly additive models r(v, z, w) = h[v + g(z), w] for unknown functions gand h Such models reduce the curse of dimensionality, provide a natural generalization of linear index models, and are widely used in utility, production, and cost function applications. We also provide an estimator of Gthat is oracle efficient, achieving the same performance as an estimator based on local least squares when H is known. Copyright The Econometric Society 2007.
4
2007
75
07
Econometrica
1209
1227
http://hdl.handle.net/10.1111/j.1468-0262.2007.00787.x
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Arthur Lewbel
Oliver Linton
oai:RePEc:ecm:emetrp:v:52:y:1984:i:4:p:1007-282013-03-04RePEc:ecm:emetrp
article
Rationalizable Strategic Behavior.
4
1984
52
July
Econometrica
1007
28
http://links.jstor.org/sici?sici=0012-9682%28198407%2952%3A4%3C1007%3ARSB%3E2.0.CO%3B2-3&origin=repec
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Bernheim, B Douglas
oai:RePEc:ecm:emetrp:v:57:y:1989:i:5:p:1091-11202013-03-04RePEc:ecm:emetrp
article
Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications.
The extent to which specification error can explain rejection of the intertemporal capital asset pricing model is investigated using seminonparametric representations of the law of motion and utility. The authors find (1) consumption growth and asset returns display conditional heterogeneity, but this does not account for rejection of models assuming additively separable, constant relative risk aversion utility; (2) the model is accepted upon relaxation of the utility function in the direction of nonseparable utility; and (3) relaxation reduces overprediction of the conditional variance of consumption growth, overprediction of the conditional covariance of asset returns with consumption growth, and the equity premium. Copyright 1989 by The Econometric Society.
5
1989
57
September
Econometrica
1091
1120
http://links.jstor.org/sici?sici=0012-9682%28198909%2957%3A5%3C1091%3ASEOCCH%3E2.0.CO%3B2-W&origin=repec
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Gallant, Ronald
Tauchen, George
oai:RePEc:ecm:emetrp:v:73:y:2005:i:4:p:1283-13282013-03-04RePEc:ecm:emetrp
article
Estimating Long Memory in Volatility
We consider semiparametric estimation of the memory parameter in a model that includes as special cases both long-memory stochastic volatility and fractionally integrated exponential GARCH (FIEGARCH) models. Under our general model the logarithms of the squared returns can be decomposed into the sum of a long-memory signal and a white noise. We consider periodogram-based estimators using a local Whittle criterion function. We allow the optional inclusion of an additional term to account for possible correlation between the signal and noise processes, as would occur in the FIEGARCH model. We also allow for potential nonstationarity in volatility by allowing the signal process to have a memory parameter d-super-*⩾1/2. We show that the local Whittle estimator is consistent for d-super-* is an element of (0,1). We also show that the local Whittle estimator is asymptotically normal for d-super-* is an element of (0,3/4) and essentially recovers the optimal semiparametric rate of convergence for this problem. In particular, if the spectral density of the short-memory component of the signal is sufficiently smooth, a convergence rate of n-super-2/5 - δ for d-super-* is an element of (0,3/4) can be attained, where n is the sample size and δ>0 is arbitrarily small. This represents a strong improvement over the performance of existing semiparametric estimators of persistence in volatility. We also prove that the standard Gaussian semiparametric estimator is asymptotically normal if d-super-*=0. This yields a test for long memory in volatility. Copyright The Econometric Society 2005.
4
2005
73
07
Econometrica
1283
1328
http://hdl.handle.net/10.1111/j.1468-0262.2005.00616.x
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Clifford M. Hurvich
Eric Moulines
Philippe Soulier
oai:RePEc:ecm:emetrp:v:74:y:2006:i:2:p:521-5382013-03-04RePEc:ecm:emetrp
article
Testing a Parametric Model Against a Nonparametric Alternative with Identification Through Instrumental Variables
This paper is concerned with inference about a function g that is identified by a conditional moment restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test does not require nonparametric estimation of g and is not subject to the ill-posed inverse problem of nonparametric instrumental variables estimation. Under mild conditions, the test is consistent against any alternative model. In large samples, its power is arbitrarily close to 1 uniformly over a class of alternatives whose distance from the null hypothesis is O(n-super- - 1/2), where n is the sample size. In Monte Carlo simulations, the finite-sample power of the new test exceeds that of existing tests. Copyright The Econometric Society 2006.
2
2006
74
03
Econometrica
521
538
http://hdl.handle.net/10.1111/j.1468-0262.2006.00670.x
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Joel L. Horowitz
oai:RePEc:ecm:emetrp:v:50:y:1982:i:1:p:193-2112013-03-04RePEc:ecm:emetrp
article
Inequality Decomposition by Factor Components.
1
1982
50
Jan.
Econometrica
193
211
http://links.jstor.org/sici?sici=0012-9682%28198201%2950%3A1%3C193%3AIDBFC%3E2.0.CO%3B2-J&origin=repec
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Shorrocks, A F
oai:RePEc:ecm:emetrp:v:43:y:1975:i:5-6:p:985-862013-03-04RePEc:ecm:emetrp
article
A Third Remark on the Number of Equilibria of an Economy.
5-6
1975
43
Sept.-Nov.
Econometrica
985
86
http://links.jstor.org/sici?sici=0012-9682%28197509%2F11%2943%3A5%2F6%3C985%3AATROTN%3E2.0.CO%3B2-O&origin=repec
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Varian, Hal R
oai:RePEc:ecm:emetrp:v:59:y:1991:i:6:p:1601-152013-03-04RePEc:ecm:emetrp
article
Invariance, Nonlinear Models, and Asymptotic Tests.
The invariance properties of several asymptotic tests are studied: invariance to hypothesis representation, reparameterization, and rescaling. Noninvariant tests include Wald tests, variants of LM tests, and Neyman's C(" alpha") tests. For all these tests, simply changing measurement units can lead to vastly different results, e.g. in models with Box-Cox transformations. Various consistent estimators of the information matrix produce tests with different invariance properties. Sufficient conditions are established under which a generalized C(" alpha") test becomes invariant to hypothesis reformulations, reparameterizations, and rescaling. In many practical cases, invariant C(" alpha") tests are much cheaper to compute than other invariant tests (e.g., LR tests). Copyright 1991 by The Econometric Society.
6
1991
59
November
Econometrica
1601
15
http://links.jstor.org/sici?sici=0012-9682%28199111%2959%3A6%3C1601%3AINMAAT%3E2.0.CO%3B2-B&origin=repec
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Dagenais, Marcel G
Dufour, Jean-Marie
oai:RePEc:ecm:emetrp:v:51:y:1983:i:1:p:223-242013-03-04RePEc:ecm:emetrp
article
An Alternative Characterization of Decreasing Absolute Risk Aversion.
1
1983
51
January
Econometrica
223
24
http://links.jstor.org/sici?sici=0012-9682%28198301%2951%3A1%3C223%3AAACODA%3E2.0.CO%3B2-G&origin=repec
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Dybvig, Philip H
Lippman, Steven A
oai:RePEc:ecm:emetrp:v:60:y:1992:i:2:p:395-4212013-03-04RePEc:ecm:emetrp
article
Correlated Information and Mechanism Design.
In models of asymmetric information, possession of private information leads to rents for the possessors. This induces mechanism designers to distort away from efficiency. The authors show that this is an artifact of the presumption that information is independently distributed. Rent extraction in a large class of mechanism design games is analyzed, and a necessary and sufficient condition for arbitrarily small rents to private information is provided. Additionally, the two-person bargaining game is shown to have an efficient solution under first-order stochastic dominance and a hazard rate condition. Similar conditions allow full rent extraction in Milgrom-Weber auctions. Copyright 1992 by The Econometric Society.
2
1992
60
March
Econometrica
395
421
http://links.jstor.org/sici?sici=0012-9682%28199203%2960%3A2%3C395%3ACIAMD%3E2.0.CO%3B2-4&origin=repec
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McAfee, R Preston
Reny, Philip J
oai:RePEc:ecm:emetrp:v:51:y:1983:i:3:p:611-362013-03-04RePEc:ecm:emetrp
article
Capital Market Equilibrium with Personal Tax.
3
1983
51
May
Econometrica
611
36
http://links.jstor.org/sici?sici=0012-9682%28198305%2951%3A3%3C611%3ACMEWPT%3E2.0.CO%3B2-I&origin=repec
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Constantinides, George M
oai:RePEc:ecm:emetrp:v:66:y:1998:i:1:p:79-1042013-03-04RePEc:ecm:emetrp
article
Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
Exact tests and confidence sets are obtained for general transformations of the coefficients in linear first-order autoregressive models with exogenous variables and i.i.d. disturbances. The tests proposed have known level and are either similar (constant rejection probability under all processes consistent with the null hypothesis) or use bounds which are free of nuisance parameters. Correspondingly, the confidence sets are either similar with known size or conservative. These exact methods are asymptotically valid under weak regularity conditions. Their usefulness is illustrated by power comparisons and by applications to a dynamic trend model of money velocity and a model of money demand.
1
1998
66
January
Econometrica
79
104
Jean-Marie Dufour
Jan F. Kiviet
oai:RePEc:ecm:emetrp:v:45:y:1977:i:5:p:1279-882013-03-04RePEc:ecm:emetrp
article
Application of Pre-Test and Stein Estimators to Economic Data.
5
1977
45
July
Econometrica
1279
88
http://links.jstor.org/sici?sici=0012-9682%28197707%2945%3A5%3C1279%3AAOPASE%3E2.0.CO%3B2-S&origin=repec
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Aigner, Dennis J
Judge, George G
oai:RePEc:ecm:emetrp:v:50:y:1982:i:2:p:517-242013-03-04RePEc:ecm:emetrp
article
A Note on Measuring Immobility.
2
1982
50
March
Econometrica
517
24
http://links.jstor.org/sici?sici=0012-9682%28198203%2950%3A2%3C517%3AANOMI%3E2.0.CO%3B2-M&origin=repec
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Conlisk, John
oai:RePEc:ecm:emetrp:v:56:y:1988:i:3:p:531-482013-03-04RePEc:ecm:emetrp
article
The Stochastic Difference between Econometric Statistics.
In a somewhat general context, the author calculate s the order in probability of the difference between consistent roots of rival estimating equations, with application to point estimates i n parametric and nonparametric models, interval estimates, and test s tatistics. Differences in the statistical performances of various com monly-used iterative procedures are detected. He discusses implicatio ns of his results for higher-order efficiency comparisons and for mat ching the first-order efficiency of an implicitly defined target stat istic in finitely-many iterative steps. He justifies estimates obtain ed via a search of the objective function. His results are applied to the linear-in-variables simultaneous equations system. Copyright 1988 by The Econometric Society.
3
1988
56
May
Econometrica
531
48
http://links.jstor.org/sici?sici=0012-9682%28198805%2956%3A3%3C531%3ATSDBES%3E2.0.CO%3B2-%23&origin=repec
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Robinson, Peter M
oai:RePEc:ecm:emetrp:v:68:y:2000:i:6:p:1403-14342013-03-04RePEc:ecm:emetrp
article
Strategyproof Assignment by Hierarchical Exchange
6
2000
68
November
Econometrica
1403
1434
Szilvia Papai
oai:RePEc:ecm:emetrp:v:46:y:1978:i:1:p:21-322013-03-04RePEc:ecm:emetrp
article
Approximating the Exact Finite Sample Distribution of a Spectral Estimator.
1
1978
46
Jan.
Econometrica
21
32
http://links.jstor.org/sici?sici=0012-9682%28197801%2946%3A1%3C21%3AATEFSD%3E2.0.CO%3B2-H&origin=repec
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Poskitt, D S
oai:RePEc:ecm:emetrp:v:50:y:1982:i:1:p:213-242013-03-04RePEc:ecm:emetrp
article
Tobin's Marginal q and Average q: A Neoclassical Interpretation.
1
1982
50
Jan.
Econometrica
213
24
http://links.jstor.org/sici?sici=0012-9682%28198201%2950%3A1%3C213%3ATMQAAQ%3E2.0.CO%3B2-P&origin=repec
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Hayashi, Fumio
oai:RePEc:ecm:emetrp:v:50:y:1982:i:1:p:111-262013-03-04RePEc:ecm:emetrp
article
Price-Quantity Strategic Market Games.
1
1982
50
Jan.
Econometrica
111
26
http://links.jstor.org/sici?sici=0012-9682%28198201%2950%3A1%3C111%3APSMG%3E2.0.CO%3B2-E&origin=repec
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Dubey, Pradeep
oai:RePEc:ecm:emetrp:v:59:y:1991:i:6:p:1659-862013-03-04RePEc:ecm:emetrp
article
Dynamic (S, s) Economies.
In this paper, the authors provide a framework to study the aggregate dynamic behavior of an economy where individual units follow (S, s) policies and are subject to aggregate and idiosyncratic shocks. They characterize structural and stochastic heterogeneities that ensure convergence of the economy's aggregate to that of its (stochastic) frictionless counterpart, determine the speed at which convergence takes place, and describe the transitional dynamics of this economy. They study the evolution of the economy's aggregate and the evolution of the difference between this aggregate and that of the difference between this aggregate and that of an economy without microeconomic friction, where the latter pertains to a situation where individual units adjust with no delay to all shocks. Copyright 1991 by The Econometric Society.
6
1991
59
November
Econometrica
1659
86
http://links.jstor.org/sici?sici=0012-9682%28199111%2959%3A6%3C1659%3ADE%3E2.0.CO%3B2-L&origin=repec
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Caballero, Ricardo J
Engel, Eduardo M R A
oai:RePEc:ecm:emetrp:v:42:y:1974:i:1:p:73-852013-03-04RePEc:ecm:emetrp
article
The Estimation of Income and Substitution Effects in a Model of Family Labor Supply.
1
1974
42
Jan.
Econometrica
73
85
http://links.jstor.org/sici?sici=0012-9682%28197401%2942%3A1%3C73%3ATEOIAS%3E2.0.CO%3B2-X&origin=repec
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Ashenfelter, Orley
Heckman, James J
oai:RePEc:ecm:emetrp:v:45:y:1977:i:8:p:1877-782013-03-04RePEc:ecm:emetrp
article
A Note on the Stability of Large Cartels.
8
1977
45
Nov.
Econometrica
1877
78
http://links.jstor.org/sici?sici=0012-9682%28197711%2945%3A8%3C1877%3AANOTSO%3E2.0.CO%3B2-9&origin=repec
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Postlewaite, Andrew
Roberts, John
oai:RePEc:ecm:emetrp:v:45:y:1977:i:5:p:1117-362013-03-04RePEc:ecm:emetrp
article
Recursive Subaggregation and a Generalized Hypocycloidal Demand Model.
5
1977
45
July
Econometrica
1117
36
http://links.jstor.org/sici?sici=0012-9682%28197707%2945%3A5%3C1117%3ARSAAGH%3E2.0.CO%3B2-1&origin=repec
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Barnett, William A
oai:RePEc:ecm:emetrp:v:45:y:1977:i:4:p:889-942013-03-04RePEc:ecm:emetrp
article
The Existence of Choice Functions.
4
1977
45
May
Econometrica
889
94
http://links.jstor.org/sici?sici=0012-9682%28197705%2945%3A4%3C889%3ATEOCF%3E2.0.CO%3B2-L&origin=repec
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Mukherji, Anjan
oai:RePEc:ecm:emetrp:v:66:y:1998:i:3:p:597-6262013-03-04RePEc:ecm:emetrp
article
Communication in Repeated Games with Imperfect Private Monitoring
This paper examines repeated games in which each player observes a private and imperfect signal on the actions played and in which players are allowed to communicate using public messages. Providing incentives for players to reveal their observations generate revelation constraints which, combined with signal imperfections, may be a source of inefficiencies. However, the author shows that, by delaying the revelation of their observations, players may reduce the cost of deterring deviations. With at least three players, he obtains a Nash threat version of the folk theorem. With two players, the author shows that an efficient outcome can (almost) always be approximated.
3
1998
66
May
Econometrica
597
626
Olivier Compte
oai:RePEc:ecm:emetrp:v:61:y:1993:i:3:p:495-5212013-03-04RePEc:ecm:emetrp
article
Internal Consistency of Choice.
Internal consistency of choice has been a central concept in economics, decision theory, and social choice. This idea is essentially confused. We cannot determine whether a choice function is consistent without referring to something external to choice (e.g., objectives, values). The standard results have to be reexamined in this light. Kenneth J. Arrow's general possibility theorem is extended in this paper without demanding any internal consistency of social choice or any notion of 'social rationality.' Copyright 1993 by The Econometric Society.
3
1993
61
May
Econometrica
495
521
http://links.jstor.org/sici?sici=0012-9682%28199305%2961%3A3%3C495%3AICOC%3E2.0.CO%3B2-Q&origin=repec
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Sen, Amartya
oai:RePEc:ecm:emetrp:v:67:y:1999:i:3:p:663-6722013-03-04RePEc:ecm:emetrp
article
On the Convergence to Homogeneous Expectations when Markets Are Complete
3
1999
67
May
Econometrica
663
672
Aloisio Araujo
Alvaro Sandroni
oai:RePEc:ecm:emetrp:v:41:y:1973:i:4:p:715-212013-03-04RePEc:ecm:emetrp
article
Approximations to the Distribution Functions of Theil's K-Class Estimators.
4
1973
41
July
Econometrica
715
21
http://links.jstor.org/sici?sici=0012-9682%28197307%2941%3A4%3C715%3AATTDFO%3E2.0.CO%3B2-L&origin=repec
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Mariano, Roberto S
oai:RePEc:ecm:emetrp:v:45:y:1977:i:5:p:1205-202013-03-04RePEc:ecm:emetrp
article
The Asymptotic Properties of a Maximum Likelihood Estimator for a Model of Markets in Disequilibrium.
5
1977
45
July
Econometrica
1205
20
http://links.jstor.org/sici?sici=0012-9682%28197707%2945%3A5%3C1205%3ATAPOAM%3E2.0.CO%3B2-S&origin=repec
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Hartley, Michael J
Mallela, Parthasaradhi
oai:RePEc:ecm:emetrp:v:48:y:1980:i:7:p:1821-252013-03-04RePEc:ecm:emetrp
article
A Comparison of Tests of Overidentifying Restrictions.
7
1980
48
Nov.
Econometrica
1821
25
http://links.jstor.org/sici?sici=0012-9682%28198011%2948%3A7%3C1821%3AACOTOO%3E2.0.CO%3B2-S&origin=repec
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Hwang, Hae-Shin
oai:RePEc:ecm:emetrp:v:68:y:2000:i:3:p:685-6942013-03-04RePEc:ecm:emetrp
article
Sharing Beliefs: Between Agreeing and Disagreeing
3
2000
68
May
Econometrica
685
694
Antoine Billot
Alain Chateauneuf
Itzhak Gilboa
Jean-Marc Tallon
oai:RePEc:ecm:emetrp:v:46:y:1978:i:5:p:1239-412013-03-04RePEc:ecm:emetrp
article
A Note on "Marx in the Light of Modern Economic Theory" by M. Morishima.
5
1978
46
Sept.
Econometrica
1239
41
http://links.jstor.org/sici?sici=0012-9682%28197809%2946%3A5%3C1239%3AANO%22IT%3E2.0.CO%3B2-%23&origin=repec
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Simonovits, Andras
oai:RePEc:ecm:emetrp:v:44:y:1976:i:2:p:405-072013-03-04RePEc:ecm:emetrp
article
Public Goods and Income Distribution: A Rejoinder to the Aaron-McGuire Reply.
2
1976
44
March
Econometrica
405
07
http://links.jstor.org/sici?sici=0012-9682%28197603%2944%3A2%3C405%3APGAIDA%3E2.0.CO%3B2-R&origin=repec
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Brennan, Geoffrey
oai:RePEc:ecm:emetrp:v:41:y:1973:i:6:p:1017-252013-03-04RePEc:ecm:emetrp
article
Divisia Index Numbers.
6
1973
41
Nov.
Econometrica
1017
25
http://links.jstor.org/sici?sici=0012-9682%28197311%2941%3A6%3C1017%3ADIN%3E2.0.CO%3B2-4&origin=repec
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Hulten, Charles R
oai:RePEc:ecm:emetrp:v:37:y:1969:i:1:p:50-542013-03-04RePEc:ecm:emetrp
article
Group Preferences.
1
1969
37
Jan.
Econometrica
50
54
http://links.jstor.org/sici?sici=0012-9682%28196901%2937%3A1%3C50%3AGP%3E2.0.CO%3B2-U&origin=repec
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Hansson, Bengt
oai:RePEc:ecm:emetrp:v:77:y:2009:i:2:p:537-5602013-03-04RePEc:ecm:emetrp
article
The Optimal Income Taxation of Couples
This paper analyzes the general nonlinear optimal income tax for couples, a multidimensional screening problem. Each couple consists of a primary earner who always participates in the labor market, but makes an hours-of-work choice, and a secondary earner who chooses whether or not to work. If second-earner participation is a signal of the couple being better (worse) off, we prove that optimal tax schemes display a positive tax (subsidy) on secondary earnings and that the tax (subsidy) on secondary earnings decreases with primary earnings and converges to zero asymptotically. We present calibrated microsimulations for the United Kingdom showing that decreasing tax rates on secondary earnings is quantitatively significant and consistent with actual income tax and transfer programs. Copyright 2009 The Econometric Society.
2
2009
77
03
Econometrica
537
560
http://hdl.handle.net/10.3982/ECTA7343
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Henrik Jacobsen Kleven
Claus Thustrup Kreiner
Emmanuel Saez
oai:RePEc:ecm:emetrp:v:39:y:1971:i:5:p:723-372013-03-04RePEc:ecm:emetrp
article
Comparison of k-Class Estimators when the Disturbances are Small.
5
1971
39
Sept.
Econometrica
723
37
http://links.jstor.org/sici?sici=0012-9682%28197109%2939%3A5%3C723%3ACOKEWT%3E2.0.CO%3B2-1&origin=repec
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Kadane, Joseph B
oai:RePEc:ecm:emetrp:v:41:y:1973:i:4:p:683-7142013-03-04RePEc:ecm:emetrp
article
Distributions of Estimates of Coefficients of a Single Equation in a Simultaneous System and Their Asymptotic Expansions.
4
1973
41
July
Econometrica
683
714
http://links.jstor.org/sici?sici=0012-9682%28197307%2941%3A4%3C683%3ADOEOCO%3E2.0.CO%3B2-0&origin=repec
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Anderson, T W
Sawa, Takamitsu
oai:RePEc:ecm:emetrp:v:43:y:1975:i:5-6:p:845-522013-03-04RePEc:ecm:emetrp
article
Degrees of Cardinality and Aggregate Partial Orderings.
5-6
1975
43
Sept.-Nov.
Econometrica
845
52
http://links.jstor.org/sici?sici=0012-9682%28197509%2F11%2943%3A5%2F6%3C845%3ADOCAAP%3E2.0.CO%3B2-8&origin=repec
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Blackorby, Charles
oai:RePEc:ecm:emetrp:v:47:y:1979:i:2:p:495-5042013-03-04RePEc:ecm:emetrp
article
Linear Models with Autocorrelated Errors: Structural Identifiability in the Absence of Minimality Assumptions.
2
1979
47
March
Econometrica
495
504
http://links.jstor.org/sici?sici=0012-9682%28197903%2947%3A2%3C495%3ALMWAES%3E2.0.CO%3B2-W&origin=repec
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Deistler, Manfred
Schrader, Jurgen
oai:RePEc:ecm:emetrp:v:59:y:1991:i:3:p:731-532013-03-04RePEc:ecm:emetrp
article
The Relation between Firm Growth and Q with Multiple Capital Goods: Theory and Evidence from Panel Data on Japanese Firms.
The authors derive, from a model of investment with multiple capital goods, a one-to-one relation between the growth rate of the capital aggregate and the stock-market-based Q. The authors estimate the growth-Q relation using a panel of Japanese manufacturing firms taking into account the endogeneity of Q. For early years of their sample, cash flow has significant explanatory power over and above Q. The estimated Q coefficient implies that the adjustment cost is less than a half of gross profits net of the adjustment costs. Copyright 1991 by The Econometric Society.
3
1991
59
May
Econometrica
731
53
http://links.jstor.org/sici?sici=0012-9682%28199105%2959%3A3%3C731%3ATRBFGA%3E2.0.CO%3B2-M&origin=repec
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Hayashi, Fumio
Inoue, Tohru
oai:RePEc:ecm:emetrp:v:65:y:1997:i:6:p:1443-14522013-03-04RePEc:ecm:emetrp
article
What is the Econometric Society? History, Organization, and Basic Procedures
6
1997
65
November
Econometrica
1443
1452
Robert J. Gordon
oai:RePEc:ecm:emetrp:v:49:y:1981:i:4:p:883-972013-03-04RePEc:ecm:emetrp
article
Utilitarianism, Egalitarianism, and the Timing Effect in Social Choice Problems.
4
1981
49
June
Econometrica
883
97
http://links.jstor.org/sici?sici=0012-9682%28198107%2949%3A4%3C883%3AUEATTE%3E2.0.CO%3B2-A&origin=repec
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Myerson, Roger B
oai:RePEc:ecm:emetrp:v:62:y:1994:i:2:p:405-582013-03-04RePEc:ecm:emetrp
article
Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression.
A recently developed quantile regression technique, which parsimoniously describes the entire conditional distribution, is applied to every March Current Population Survey since 1964. The study examines changes in the returns to schooling and experience at different points of the wage distribution and changes in within-group wage inequality. The results from the one-group and sixteen-group linear models show that the returns to schooling and experience differ across quantiles of the wage distribution but that their patterns of change are similar. Significant differences in wage inequality are also found across the various skill groups. Copyright 1994 by The Econometric Society.
2
1994
62
March
Econometrica
405
58
http://links.jstor.org/sici?sici=0012-9682%28199403%2962%3A2%3C405%3ACITUWS%3E2.0.CO%3B2-H&origin=repec
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Buchinsky, Moshe
oai:RePEc:ecm:emetrp:v:57:y:1989:i:1:p:97-1132013-03-04RePEc:ecm:emetrp
article
Noncooperative Bargaining and Spatial Competition.
The article develops a bargaining model of spatial competition. Sellers compete by choosing locations in a market region. Consumers face a cost to moving from one place to another. The price of the good is determined as the perfect equilibrium of a bargaining game between seller and buyer. In this game, the buyer has the outside option to move to another seller and so the prices at all stores are interdependent. Existence of a location-price equilibrium is established. The outcome approaches the perfectly-competitive one if the consumer's cost of traveling becomes negligible or if the number of sellers tends to infinity. Copyright 1989 by The Econometric Society.
1
1989
57
January
Econometrica
97
113
http://links.jstor.org/sici?sici=0012-9682%28198901%2957%3A1%3C97%3ANBASC%3E2.0.CO%3B2-1&origin=repec
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Bester, Helmut
oai:RePEc:ecm:emetrp:v:46:y:1978:i:4:p:901-292013-03-04RePEc:ecm:emetrp
article
Nonlinear Estimation and Asymptotic Approximations.
4
1978
46
July
Econometrica
901
29
http://links.jstor.org/sici?sici=0012-9682%28197807%2946%3A4%3C901%3ANEAAA%3E2.0.CO%3B2-A&origin=repec
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Ramsey, James B
oai:RePEc:ecm:emetrp:v:74:y:2006:i:4:p:1109-11322013-03-04RePEc:ecm:emetrp
article
Weak Monotonicity Characterizes Deterministic Dominant-Strategy Implementation
We characterize dominant-strategy incentive compatibility with multidimensional types. A deterministic social choice function is dominant-strategy incentive compatible if and only if it is weakly monotone (W-Mon). The W-Mon requirement is the following: If changing one agent's type (while keeping the types of other agents fixed) changes the outcome under the social choice function, then the resulting difference in utilities of the new and original outcomes evaluated at the new type of this agent must be no less than this difference in utilities evaluated at the original type of this agent. Copyright The Econometric Society 2006.
4
2006
74
07
Econometrica
1109
1132
http://hdl.handle.net/10.1111/j.1468-0262.2006.00695.x
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Sushil Bikhchandani
Shurojit Chatterji
Ron Lavi
Ahuva Mu'alem
Noam Nisan
Arunava Sen
oai:RePEc:ecm:emetrp:v:45:y:1977:i:1:p:229-352013-03-04RePEc:ecm:emetrp
article
Product Durability under Monopoly and Competition: Comment.
1
1977
45
Jan.
Econometrica
229
35
http://links.jstor.org/sici?sici=0012-9682%28197701%2945%3A1%3C229%3APDUMAC%3E2.0.CO%3B2-X&origin=repec
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Swan, Peter L
oai:RePEc:ecm:emetrp:v:51:y:1983:i:3:p:575-842013-03-04RePEc:ecm:emetrp
article
Efficient Exchange with a Variable Number of Consumers.
3
1983
51
May
Econometrica
575
84
http://links.jstor.org/sici?sici=0012-9682%28198305%2951%3A3%3C575%3AEEWAVN%3E2.0.CO%3B2-5&origin=repec
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Schweizer, Urs
oai:RePEc:ecm:emetrp:v:59:y:1991:i:3:p:637-662013-03-04RePEc:ecm:emetrp
article
Evolutionary Games in Economics.
Evolutionary games are introduced as models for repeated anonymous strategic interaction: actions (or behaviors) which are more "fit," given the current distribution of behaviors, tend over time to displace less fit behaviors. Cone fields characterize the continuous-time processes compatible with a given fitness (or payoff) function. For large classes of dynamics, it is shown that all stable steady states are Nash equilibria and that all Nash equilibria are steady states. The biologists' evolutionarily stable strategy condition is shown to be less closely related to the dynamic equilibria. Economic examples and a literature survey are also provided. Copyright 1991 by The Econometric Society.
3
1991
59
May
Econometrica
637
66
http://links.jstor.org/sici?sici=0012-9682%28199105%2959%3A3%3C637%3AEGIE%3E2.0.CO%3B2-X&origin=repec
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Friedman, Daniel
oai:RePEc:ecm:emetrp:v:66:y:1998:i:3:p:627-6522013-03-04RePEc:ecm:emetrp
article
Private Observation, Communication and Collusion
The authors examine discounted repeated games where players privately observe different signals. A leading example is secret price cutting; a firm cannot directly observe rival firms' price cutting but its own sales can imperfectly indicate what is going on. The characterization of equilibria in this class of games has been an open question. The authors construct equilibria where players voluntarily communicate what they have observed and prove folk theorems. Their results thus provide a theoretical support for the conventional wisdom that communication facilitates collusion.
3
1998
66
May
Econometrica
627
652
Michihiro Kandori
Hitoshi Matsushima
oai:RePEc:ecm:emetrp:v:60:y:1992:i:6:p:1273-922013-03-04RePEc:ecm:emetrp
article
Asymptotic Efficiency in Large Exchange Economies with Asymmetric Information.
The authors provide conditions on an exchange economy with asymmetric information that guarantee that when the economy is replicated sufficiently often, there will be an allocation that is incentive compatible, individually rational, and nearly efficient. The main theorem covers both the case in which aggregate uncertainty remains when the economy is replicated and the case in which replication eliminates aggregate uncertainty. In addition, the authors demonstrate how their theorem does or does not apply to standard asymmetric information problems such as the buyer's bid double auction problem, Akerlof's lemons problem, and insurance with asymmetric information. Copyright 1992 by The Econometric Society.
6
1992
60
November
Econometrica
1273
92
http://links.jstor.org/sici?sici=0012-9682%28199211%2960%3A6%3C1273%3AAEILEE%3E2.0.CO%3B2-R&origin=repec
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Gul, Faruk
Postlewaite, Andrew
oai:RePEc:ecm:emetrp:v:53:y:1985:i:6:p:1475-882013-03-04RePEc:ecm:emetrp
article
Resistant Estimation for Simultaneous-Equations Models Using Weighted Instrumental Variables.
6
1985
53
November
Econometrica
1475
88
http://links.jstor.org/sici?sici=0012-9682%28198511%2953%3A6%3C1475%3AREFSMU%3E2.0.CO%3B2-Z&origin=repec
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Krasker, William S
Welsch, Roy E
oai:RePEc:ecm:emetrp:v:63:y:1995:i:6:p:1371-992013-03-04RePEc:ecm:emetrp
article
Evolutionary Selection in Normal-Form Games.
This paper investigates stability properties of evolutionary selection dynamics in normal-form games. The analysis is focused on deterministic dynamics in continuous time and on asymptotic stability of sets of population states, more precisely of faces of the mixed-strategy space. The main result is a characterization of those faces that are asymptotically stable in all dynamics from a certain class, and the authors show that every such face contains an essential component of the set of Nash equilibria and, hence, a strategically stable set in the sense of E. Kohlberg and J. F. Mertens (1986). Copyright 1995 by The Econometric Society.
6
1995
63
November
Econometrica
1371
99
http://links.jstor.org/sici?sici=0012-9682%28199511%2963%3A6%3C1371%3AESING%3E2.0.CO%3B2-X&origin=repec
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Ritzberger, Klaus
Weibull, Jorgen W
oai:RePEc:ecm:emetrp:v:55:y:1987:i:6:p:1331-482013-03-04RePEc:ecm:emetrp
article
Structural Consistency, Consistency, and Sequential Rationality.
Sequential equilibria comprise consistent beliefs and a sequentially ra tional strategy profile. Consistent beliefs are limits of Bayes ratio nal beliefs for sequences of strategies that approach the equilibrium strategy. Beliefs are structurally consistent if they are rationaliz ed by some single conjecture concerning opponents' strategies. Consis tent beliefs are not necessarily structurally consistent, notwithstan ding a claim by Kreps and Robert Wilson (1982). Moreover, the spirit of structural consistency conflicts with that of sequential rationali ty. One avoids these difficulties by weakening structural consistency to allow convex combinations of opponents' strategies, but this intr oduces correlation into the strategies that justify out-of-equilibriu m beliefs. Copyright 1987 by The Econometric Society.
6
1987
55
November
Econometrica
1331
48
http://links.jstor.org/sici?sici=0012-9682%28198711%2955%3A6%3C1331%3ASCCASR%3E2.0.CO%3B2-Z&origin=repec
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Kreps, David M
Ramey, Garey
oai:RePEc:ecm:emetrp:v:71:y:2003:i:3:p:731-7562013-03-04RePEc:ecm:emetrp
article
Directed Matching and Monetary Exchange
We develop a model of monetary exchange where, as in the random matching literature, agents trade bilaterally and not through centralized markets. Rather than assuming they match exogenously and at random, however, we determine who meets whom as part of the equilibrium. We show how to formalize this process of directed matching in dynamic models with double coincidence problems, and present several examples and applications that illustrate how the approach can be used in monetary theory. Some of our results are similar to those in the random matching literature; others differ significantly. Copyright Econometric Society, 2002.
3
2003
71
05
Econometrica
731
756
Dean Corbae
Ted Temzelides
Randall Wright
oai:RePEc:ecm:emetrp:v:44:y:1976:i:1:p:115-272013-03-04RePEc:ecm:emetrp
article
The Incentives for Price-Taking Behavior in Large Exchange Economies.
1
1976
44
Jan.
Econometrica
115
27
http://links.jstor.org/sici?sici=0012-9682%28197601%2944%3A1%3C115%3ATIFPBI%3E2.0.CO%3B2-D&origin=repec
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Roberts, Donald John
Postlewaite, Andrew
oai:RePEc:ecm:emetrp:v:39:y:1971:i:2:p:253-712013-03-04RePEc:ecm:emetrp
article
Conditional Expected Utility.
2
1971
39
March
Econometrica
253
71
http://links.jstor.org/sici?sici=0012-9682%28197103%2939%3A2%3C253%3ACEU%3E2.0.CO%3B2-5&origin=repec
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Luce, R Duncan
Krantz, David H
oai:RePEc:ecm:emetrp:v:54:y:1986:i:1:p:23-452013-03-04RePEc:ecm:emetrp
article
Borrowing Constraints and Aggregate Economic Activity.
1
1986
54
January
Econometrica
23
45
http://links.jstor.org/sici?sici=0012-9682%28198601%2954%3A1%3C23%3ABCAAEA%3E2.0.CO%3B2-0&origin=repec
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Scheinkman, Jose A
Weiss, Laurence
oai:RePEc:ecm:emetrp:v:51:y:1983:i:2:p:455-622013-03-04RePEc:ecm:emetrp
article
The Nonexistence of a Free Entry Cournot Equilibrium in Labor-Managed Economies.
2
1983
51
March
Econometrica
455
62
http://links.jstor.org/sici?sici=0012-9682%28198303%2951%3A2%3C455%3ATNOAFE%3E2.0.CO%3B2-S&origin=repec
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Laffont, Jean-Jacques
Moreaux, Michel
oai:RePEc:ecm:emetrp:v:44:y:1976:i:2:p:345-512013-03-04RePEc:ecm:emetrp
article
Weak Priors and Sharp Posteriors in Simultaneous Equation Models.
2
1976
44
March
Econometrica
345
51
http://links.jstor.org/sici?sici=0012-9682%28197603%2944%3A2%3C345%3AWPASPI%3E2.0.CO%3B2-R&origin=repec
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Maddala, G S
oai:RePEc:ecm:emetrp:v:50:y:1982:i:1:p:229-332013-03-04RePEc:ecm:emetrp
article
A Note on Seemingly Unrelated Regressions.
1
1982
50
Jan.
Econometrica
229
33
http://links.jstor.org/sici?sici=0012-9682%28198201%2950%3A1%3C229%3AANOSUR%3E2.0.CO%3B2-V&origin=repec
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Conniffe, Denis
oai:RePEc:ecm:emetrp:v:44:y:1976:i:2:p:353-632013-03-04RePEc:ecm:emetrp
article
The Variances of Regression Coefficient Estimates Using Aggregate Data.
2
1976
44
March
Econometrica
353
63
http://links.jstor.org/sici?sici=0012-9682%28197603%2944%3A2%3C353%3ATVORCE%3E2.0.CO%3B2-P&origin=repec
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Welsch, Roy E
Kuh, Edwin
oai:RePEc:ecm:emetrp:v:66:y:1998:i:3:p:653-6722013-03-04RePEc:ecm:emetrp
article
An Alternative Estimator for the Censored Quantile Regression Model
This paper introduces an alternative estimator for the linear censored quantile regression model. The estimator also applies to cases where the censoring point is unknown. Since the objective function is globally convex and the estimator is a solution to a linear programming problem, a global minimizer is obtained in a finite number of simplex iterations. The estimator has a square root of n-convergence rate and is asymptotically normal. A Monte Carlo study performed shows that the suggested estimator has very desirable small sample properties.
3
1998
66
May
Econometrica
653
672
Moshe Buchinsky
Jinyong Hahn
oai:RePEc:ecm:emetrp:v:37:y:1969:i:4:p:7202013-03-04RePEc:ecm:emetrp
article
Anticipated Profit in Cobb-Douglas Models.
4
1969
37
Oct.
Econometrica
720
720
Hoch, Irving
oai:RePEc:ecm:emetrp:v:46:y:1978:i:4:p:869-812013-03-04RePEc:ecm:emetrp
article
Testing Price Equations for Stability across Spectral Frequency Bands.
4
1978
46
July
Econometrica
869
81
http://links.jstor.org/sici?sici=0012-9682%28197807%2946%3A4%3C869%3ATPEFSA%3E2.0.CO%3B2-C&origin=repec
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Engle, Robert F
oai:RePEc:ecm:emetrp:v:46:y:1978:i:3:p:493-5132013-03-04RePEc:ecm:emetrp
article
Choice of Product Quality: Equilibrium and Efficiency.
3
1978
46
May
Econometrica
493
513
http://links.jstor.org/sici?sici=0012-9682%28197805%2946%3A3%3C493%3ACOPQEA%3E2.0.CO%3B2-A&origin=repec
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Dreze, Jacques H
Hagen, Kare P
oai:RePEc:ecm:emetrp:v:61:y:1993:i:6:p:1423-292013-03-04RePEc:ecm:emetrp
article
Commitment Value of Contracts under Renegotiation Constraints.
6
1993
61
November
Econometrica
1423
29
http://links.jstor.org/sici?sici=0012-9682%28199311%2961%3A6%3C1423%3ACVOCUR%3E2.0.CO%3B2-N&origin=repec
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Bensaid, Bernard
Gary-Bobo, Robert J
oai:RePEc:ecm:emetrp:v:38:y:1970:i:5:p:773-742013-03-04RePEc:ecm:emetrp
article
Comment on Invariance Axioms and Economic Indexes.
5
1970
38
Sept.
Econometrica
773
74
http://links.jstor.org/sici?sici=0012-9682%28197009%2938%3A5%3C773%3ACOIAAE%3E2.0.CO%3B2-Y&origin=repec
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Hillinger, Claude
oai:RePEc:ecm:emetrp:v:63:y:1995:i:6:p:1445-762013-03-04RePEc:ecm:emetrp
article
Nonparametric Estimation of Exact Consumers Surplus and Deadweight Loss.
The authors apply nonparametric regression models to estimation of demand curves of the type most often used in applied research. From the demand curve estimators they derive estimates of exact consumers surplus and deadweight loss. The authors also develop tests of the symmetry and downward sloping properties of compensated demand. They work out asymptotic normal sampling theory for kernel and series nonparametric estimators as well as for the parametric case. The paper includes an application to gasoline demand that estimates the shape of the demand curve and the average magnitude of welfare loss from a tax on gasoline. Copyright 1995 by The Econometric Society.
6
1995
63
November
Econometrica
1445
76
http://links.jstor.org/sici?sici=0012-9682%28199511%2963%3A6%3C1445%3ANEOECS%3E2.0.CO%3B2-J&origin=repec
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Hausman, Jerry A
Newey, Whitney K
oai:RePEc:ecm:emetrp:v:61:y:1993:i:3:p:523-452013-03-04RePEc:ecm:emetrp
article
Self-Confirming Equilibrium.
In a self-confining equilibrium, each player's strategy is a best response to his beliefs about the play of his opponents and each player's beliefs are correct along the equilibrium path of play. Thus, if a self-confirming equilibrium occurs repeatedly, no player ever observes play that contradicts his beliefs, even though beliefs about play at off-path information sets need not be correct. The authors characterize the ways in which self-confirming equilibria and Nash equilibria can differ and provide conditions under which self-confirming equilibria correspond to standard solution concepts. Copyright 1993 by The Econometric Society.
3
1993
61
May
Econometrica
523
45
http://links.jstor.org/sici?sici=0012-9682%28199305%2961%3A3%3C523%3ASE%3E2.0.CO%3B2-I&origin=repec
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Fudenberg, Drew
Levine, David K
oai:RePEc:ecm:emetrp:v:58:y:1990:i:3:p:637-592013-03-04RePEc:ecm:emetrp
article
Intertemporal Price Competition.
Alternating price competition between firms selling differentiated products to nonhomogeneous consumers can yield two different types of equilibria. One, which we call "disciplined," arises when products are close substitutes. Another, which we call "spontaneous," emerges when products are more differentiated. In disciplined equilibria, an implicit threat to cut price further, in response to an initial price cut, supports quite collusive outcomes, which become less collusive as product differentiation increases. In spontaneous equilibria, no such threat is needed. Consumers in the smaller market tend to pay a higher price, as do consumers served by the more efficient firm. Copyright 1990 by The Econometric Society.
3
1990
58
May
Econometrica
637
59
http://links.jstor.org/sici?sici=0012-9682%28199005%2958%3A3%3C637%3AIPC%3E2.0.CO%3B2-%23&origin=repec
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Eaton, Jonathan
Engers, Maxim
oai:RePEc:ecm:emetrp:v:37:y:1969:i:3:p:538-402013-03-04RePEc:ecm:emetrp
article
Comment on "Factor Analysis and Regression."
3
1969
37
July
Econometrica
538
40
http://links.jstor.org/sici?sici=0012-9682%28196908%2937%3A3%3C538%3ACO%22AAR%3E2.0.CO%3B2-3&origin=repec
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King, Benjamin
oai:RePEc:ecm:emetrp:v:47:y:1979:i:5:p:1127-352013-03-04RePEc:ecm:emetrp
article
Equity in Two Person Situations: Some Consequences.
5
1979
47
Sept.
Econometrica
1127
35
http://links.jstor.org/sici?sici=0012-9682%28197909%2947%3A5%3C1127%3AEITPSS%3E2.0.CO%3B2-X&origin=repec
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Hammond, Peter J
oai:RePEc:ecm:emetrp:v:74:y:2006:i:4:p:967-10122013-03-04RePEc:ecm:emetrp
article
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
This paper presents a new approach to estimation and inference in panel data models with a general multifactor error structure. The unobserved factors and the individual-specific errors are allowed to follow arbitrary stationary processes, and the number of unobserved factors need not be estimated. The basic idea is to filter the individual-specific regressors by means of cross-section averages such that asymptotically as the cross-section dimension (N) tends to infinity, the differential effects of unobserved common factors are eliminated. The estimation procedure has the advantage that it can be computed by least squares applied to auxiliary regressions where the observed regressors are augmented with cross-sectional averages of the dependent variable and the individual-specific regressors. A number of estimators (referred to as common correlated effects (CCE) estimators) are proposed and their asymptotic distributions are derived. The small sample properties of mean group and pooled CCE estimators are investigated by Monte Carlo experiments, showing that the CCE estimators have satisfactory small sample properties even under a substantial degree of heterogeneity and dynamics, and for relatively small values of N and T. Copyright The Econometric Society 2006.
4
2006
74
07
Econometrica
967
1012
http://hdl.handle.net/10.1111/j.1468-0262.2006.00692.x
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M. Hashem Pesaran
oai:RePEc:ecm:emetrp:v:62:y:1994:i:3:p:695-7042013-03-04RePEc:ecm:emetrp
article
Imperfect Competition in a Multi-security Market with Risk Neutrality.
3
1994
62
May
Econometrica
695
704
http://links.jstor.org/sici?sici=0012-9682%28199405%2962%3A3%3C695%3AICIAMM%3E2.0.CO%3B2-I&origin=repec
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Caballe, Jordi
Krishnan, Murugappa
oai:RePEc:ecm:emetrp:v:69:y:2001:i:3:p:633-642013-03-04RePEc:ecm:emetrp
article
Term Structures of Credit Spreads with Incomplete Accounting Information.
We study the implications of imperfect information for term structures of credit spreads on corporate bonds. We suppose that bond investors cannot observe the issuer's assets directly, and receive instead only periodic and imperfect accounting reports. For a setting in which the assets of the firm are a geometric Brownian motion until informed equityholders optimally liquidate, we derive the conditional distribution of the assets, given accounting data and survivorship. Contrary to the perfect-information case, there exists a default-arrival intensity process. That intensity is calculated in terms of the conditional distribution of assets. Credit yield spreads are characterized in terms of accounting information. Generalizations are provided.
3
2001
69
May
Econometrica
633
64
Duffie, Darrell
Lando, David
oai:RePEc:ecm:emetrp:v:53:y:1985:i:5:p:1173-982013-03-04RePEc:ecm:emetrp
article
Repeated Principal-Agent Games with Discounting.
5
1985
53
September
Econometrica
1173
98
http://links.jstor.org/sici?sici=0012-9682%28198509%2953%3A5%3C1173%3ARPGWD%3E2.0.CO%3B2-M&origin=repec
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Radner, Roy
oai:RePEc:ecm:emetrp:v:63:y:1995:i:2:p:265-792013-03-04RePEc:ecm:emetrp
article
Modelling Nonlinear Relationships between Extended-Memory Variables.
A definition of extended memory is provided, generalizing the ideas of long memory and persistence, based on the properties of forecasts over long horizons. Specification of nonlinear models with variables having extended memory is considered in terms of the balance of an equation and it is suggested that many more types of misspecification can occur than with usual situations and could produce important specification errors. Tests of linearity and standard methods of nonlinear modeling are briefly considered and advice is given on circumstances in which they can be used. Copyright 1995 by The Econometric Society.
2
1995
63
March
Econometrica
265
79
http://links.jstor.org/sici?sici=0012-9682%28199503%2963%3A2%3C265%3AMNRBEV%3E2.0.CO%3B2-3&origin=repec
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Granger, Clive W J
oai:RePEc:ecm:emetrp:v:71:y:2003:i:6:p:1795-18432013-03-04RePEc:ecm:emetrp
article
Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
We propose an estimation method for models of conditional moment restrictions, which contain finite dimensional unknown parameters (theta) and infinite dimensional unknown functions (h). Our proposal is to approximate h with a sieve and to estimate theta and the sieve parameters jointly by applying the method of minimum distance. We show that: (i) the sieve estimator of h is consistent with a rate faster than n-super--1/4 under certain metric; (ii) the estimator of theta is root-n consistent and asymptotically normally distributed; (iii) the estimator for the asymptotic covariance of the theta estimator is consistent and easy to compute; and (iv) the optimally weighted minimum distance estimator of theta attains the semiparametric efficiency bound. We illustrate our results with two examples: a partially linear regression with an endogenous nonparametric part, and a partially additive IV regression with a link function. Copyright The Econometric Society 2003.
6
2003
71
11
Econometrica
1795
1843
Chunrong Ai
Xiaohong Chen
oai:RePEc:ecm:emetrp:v:70:y:2002:i:6:p:2499-25172013-03-04RePEc:ecm:emetrp
article
Estimation of a Censored Dynamic Panel Data Model
6
2002
70
November
Econometrica
2499
2517
Luojia Hu
luojiahu@northwestern.edu
Northwestern University
oai:RePEc:ecm:emetrp:v:70:y:2002:i:1:p:191-2212013-03-04RePEc:ecm:emetrp
article
Determining the Number of Factors in Approximate Factor Models
In this paper we develop some econometric theory for factor models of large dimensions. The focus is the determination of the number of factors ("r"), which is an unresolved issue in the rapidly growing literature on multifactor models. We first establish the convergence rate for the factor estimates that will allow for consistent estimation of "r". We then propose some panel criteria and show that the number of factors can be consistently estimated using the criteria. The theory is developed under the framework of large cross-sections ("N") and large time dimensions ("T"). No restriction is imposed on the relation between "N" and "T". Simulations show that the proposed criteria have good finite sample properties in many configurations of the panel data encountered in practice. Copyright The Econometric Society 2001.
1
2002
70
January
Econometrica
191
221
Jushan Bai
jushan.bai@bc.edu
Dept. of Economics, Boston College, U.S.A.
Serena Ng
serena.ng@jhu.edu
Dept. of Economics, Johns Hopkins University, Baltimore, U.S.A.
oai:RePEc:ecm:emetrp:v:41:y:1973:i:6:p:1103-232013-03-04RePEc:ecm:emetrp
article
Temporary General Equilibrium in a Sequential Trading Model with Spot and Futures Transactions.
6
1973
41
Nov.
Econometrica
1103
23
http://links.jstor.org/sici?sici=0012-9682%28197311%2941%3A6%3C1103%3ATGEIAS%3E2.0.CO%3B2-3&origin=repec
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Green, Jerry R
oai:RePEc:ecm:emetrp:v:70:y:2002:i:5:p:1711-17402013-03-04RePEc:ecm:emetrp
article
Communication and Equilibrium in Discontinuous Games of Incomplete Information
This paper offers a new approach to the study of economic problems usually modeled as games of incomplete information with discontinuous payoffs. Typically, the discontinuities arise from indeterminacies (ties) in the underlying problem. The point of view taken here is that the tie-breaking rules that resolve these indeterminacies should be viewed as part of the solution rather than part of the description of the model. A solution is therefore a tie-breaking rule together with strategies satisfying the usual best-response criterion. When information is incomplete, solutions need not exist; that is, there may be no tie-breaking rule that is compatible with the existence of strategy profiles satisfying the usual best-response criteria. It is shown that the introduction of incentive compatible communication (cheap talk) restores existence. Copyright The Econometric Society 2002.
5
2002
70
September
Econometrica
1711
1740
Matthew O. Jackson
Leo K. Simon
Jeroen M. Swinkels
William R. Zame
oai:RePEc:ecm:emetrp:v:51:y:1983:i:5:p:1417-372013-03-04RePEc:ecm:emetrp
article
The Determination of the Union Status of Workers.
5
1983
51
September
Econometrica
1417
37
http://links.jstor.org/sici?sici=0012-9682%28198309%2951%3A5%3C1417%3ATDOTUS%3E2.0.CO%3B2-7&origin=repec
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Farber, Henry S
oai:RePEc:ecm:emetrp:v:43:y:1975:i:4:p:661-682013-03-04RePEc:ecm:emetrp
article
Coalitional Fairness of Allocations in Pure Exchange Economies.
4
1975
43
July
Econometrica
661
68
http://links.jstor.org/sici?sici=0012-9682%28197507%2943%3A4%3C661%3ACFOAIP%3E2.0.CO%3B2-E&origin=repec
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Gabszewicz, Jean Jaskold
oai:RePEc:ecm:emetrp:v:42:y:1974:i:2:p:389-912013-03-04RePEc:ecm:emetrp
article
Pooling as a Specification Error-A Note.
2
1974
42
March
Econometrica
389
91
http://links.jstor.org/sici?sici=0012-9682%28197403%2942%3A2%3C389%3APAASEN%3E2.0.CO%3B2-U&origin=repec
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Desai, Meghnad
oai:RePEc:ecm:emetrp:v:74:y:2006:i:5:p:1309-13642013-03-04RePEc:ecm:emetrp
article
Bargaining with Interdependent Values
A seller and a buyer bargain over the terms of trade for an object. The seller receives a perfect signal that determines the value of the object to both players, whereas the buyer remains uninformed. We analyze the infinite-horizon bargaining game in which the buyer makes all the offers. When the static incentive constraints permit first-best efficiency, then under some regularity conditions the outcome of the sequential bargaining game becomes arbitrarily efficient as bargaining frictions vanish. When the static incentive constraints preclude first-best efficiency, the limiting bargaining outcome is not second-best efficient and may even perform worse than the outcome from the one-period bargaining game. With frequent buyer offers, the outcome is then characterized by recurring bursts of high probability of agreement, followed by long periods of delay in which the probability of agreement is negligible. Copyright The Econometric Society 2006.
5
2006
74
09
Econometrica
1309
1364
http://hdl.handle.net/10.1111/j.1468-0262.2006.00706.x
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Raymond Deneckere
Meng-Yu Liang
oai:RePEc:ecm:emetrp:v:47:y:1979:i:4:p:1039-462013-03-04RePEc:ecm:emetrp
article
The Classical Theory of International Adjustment: Comments.
4
1979
47
July
Econometrica
1039
46
http://links.jstor.org/sici?sici=0012-9682%28197907%2947%3A4%3C1039%3ATCTOIA%3E2.0.CO%3B2-U&origin=repec
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Anderson, Richard K
Takayama, Akira
oai:RePEc:ecm:emetrp:v:50:y:1982:i:1:p:63-802013-03-04RePEc:ecm:emetrp
article
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters.
1
1982
50
Jan.
Econometrica
63
80
http://links.jstor.org/sici?sici=0012-9682%28198201%2950%3A1%3C63%3ALRTWTA%3E2.0.CO%3B2-Y&origin=repec
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Gourieroux, Christian
Holly, Alberto
Monfort, Alain
oai:RePEc:ecm:emetrp:v:46:y:1978:i:6:p:1503-042013-03-04RePEc:ecm:emetrp
article
A Note on "Aggregation in Leontief Matrices and the Labor Theory of Value."
6
1978
46
Nov.
Econometrica
1503
04
http://links.jstor.org/sici?sici=0012-9682%28197811%2946%3A6%3C1503%3AANO%22IL%3E2.0.CO%3B2-0&origin=repec
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Mates, Neven
oai:RePEc:ecm:emetrp:v:58:y:1990:i:4:p:757-822013-03-04RePEc:ecm:emetrp
article
Unemployment Insurance and Unemployment Spells.
This paper tests the effects of the level and length of unemployment insurance benefits on unemployment durations. The paper particularly studies individual behavior during the weeks just prior to when benefits lapse. Higher unemployment insurance benefits are found to have a strong negative effect on the probability of leaving unemployment. However, the probability of leaving unemployment rises dramatically just prior to when benefits lapse. Individual data are used with accurate information of spell durations, and the level and length of benefits. The semiparametric estimation techniques used in the paper yield more plausible estimates than conventional approaches and provide useful diagnostics. Copyright 1990 by The Econometric Society.
4
1990
58
July
Econometrica
757
82
http://links.jstor.org/sici?sici=0012-9682%28199007%2958%3A4%3C757%3AUIAUS%3E2.0.CO%3B2-0&origin=repec
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Meyer, Bruce D
oai:RePEc:ecm:emetrp:v:69:y:2001:i:4:p:1061-752013-03-04RePEc:ecm:emetrp
article
Cooperation and Punishment.
We show that, in repeated common interest games without discounting, strong "perturbation implies efficiency" results require that the perturbations must include strategies that are "draconian" in the sense that they are prepared to punish to the maximum extent possible. Moreover, there is a draconian strategy whose presence in the perturbations guarantees that any equilibrium is efficient. We also argue that the results of Anderlini and Sabourian (1995) using perturbation strategies that are cooperative (and hence nondraconian) are not due to computability per se but to the further restrictions they impose on allowable beliefs.
4
2001
69
July
Econometrica
1061
75
Evans, Robert
Thomas, Jonathan P
oai:RePEc:ecm:emetrp:v:38:y:1970:i:6:p:889-9062013-03-04RePEc:ecm:emetrp
article
Equivalence of Price and Quantity Formulations of Spatial Equilibrium: Purified Duality in Quadratic and Concave Programming.
6
1970
38
Nov.
Econometrica
889
906
http://links.jstor.org/sici?sici=0012-9682%28197011%2938%3A6%3C889%3AEOPAQF%3E2.0.CO%3B2-I&origin=repec
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Takayama, T
Woodland, A D
oai:RePEc:ecm:emetrp:v:73:y:2005:i:3:p:837-9012013-03-04RePEc:ecm:emetrp
article
Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
Entropy is a classical statistical concept with appealing properties. Establishing asymptotic distribution theory for smoothed nonparametric entropy measures of dependence has so far proved challenging. In this paper, we develop an asymptotic theory for a class of kernel-based smoothed nonparametric entropy measures of serial dependence in a time-series context. We use this theory to derive the limiting distribution of Granger and Lin's (1994) normalized entropy measure of serial dependence, which was previously not available in the literature. We also apply our theory to construct a new entropy-based test for serial dependence, providing an alternative to Robinson's (1991) approach. To obtain accurate inferences, we propose and justify a consistent smoothed bootstrap procedure. The naive bootstrap is not consistent for our test. Our test is useful in, for example, testing the random walk hypothesis, evaluating density forecasts, and identifying important lags of a time series. It is asymptotically locally more powerful than Robinson's (1991) test, as is confirmed in our simulation. An application to the daily S&P 500 stock price index illustrates our approach. Copyright The Econometric Society 2005.
3
2005
73
05
Econometrica
837
901
http://hdl.handle.net/10.1111/j.1468-0262.2005.00597.x
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Yongmiao Hong
Halbert White
oai:RePEc:ecm:emetrp:v:55:y:1987:i:1:p:1-182013-03-04RePEc:ecm:emetrp
article
Correlated Equilibrium as an Expression of Bayesian Rationality.
If it is common knowledge that the players in a game are Bayesian utility maximizers who treat uncertainty about other players' actions like any other uncertainty, then the outcome is necessarily a correlated equilibrium. Random strategies appear as an expression of each player's uncertainty about what the others will do, not as the result of willful randomization. Use is made of the common prior assumption, according to which differences in probability assessments by different individuals are due to the different information that they have (where "information" may be interpreted broadly, to include experience, upbringing, and genetic makeup). Copyright 1987 by The Econometric Society.
1
1987
55
January
Econometrica
1
18
http://links.jstor.org/sici?sici=0012-9682%28198701%2955%3A1%3C1%3ACEAAEO%3E2.0.CO%3B2-Y&origin=repec
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Aumann, Robert J
oai:RePEc:ecm:emetrp:v:51:y:1983:i:3:p:821-412013-03-04RePEc:ecm:emetrp
article
Approximate Distributions of k-Class Estimators When the Degree of Overidentifiability Is Large Compared with the Sample Size.
3
1983
51
May
Econometrica
821
41
http://links.jstor.org/sici?sici=0012-9682%28198305%2951%3A3%3C821%3AADOKEW%3E2.0.CO%3B2-X&origin=repec
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Morimune, Kimio
oai:RePEc:ecm:emetrp:v:77:y:2009:i:1:p:249-2782013-03-04RePEc:ecm:emetrp
article
Two New Conditions Supporting the First-Order Approach to Multisignal Principal-Agent Problems
This paper presents simple new multisignal generalizations of the two classic methods used to justify the first-order approach to moral hazard principal-agent problems, and compares these two approaches with each other. The paper first discusses limitations of previous generalizations. Then a state-space formulation is used to obtain a new multisignal generalization of the Jewitt (1988) conditions. Next, using the Mirrlees formulation, new multisignal generalizations of the convexity of the distribution function condition (CDFC) approach of Rogerson (1985) and Sinclair-Desgagné (1994) are obtained. Vector calculus methods are used to derive easy-to-check local conditions for our generalization of the CDFC. Finally, we argue that the Jewitt conditions may generalize more flexibly than the CDFC to the multisignal case. This is because, with many signals, the principal can become very well informed about the agent's action and, even in the one-signal case, the CDFC must fail when the signal becomes very accurate. Copyright 2009 The Econometric Society.
1
2009
77
01
Econometrica
249
278
http://hdl.handle.net/10.3982/ECTA6688
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John R. Conlon
oai:RePEc:ecm:emetrp:v:47:y:1979:i:3:p:773-742013-03-04RePEc:ecm:emetrp
article
Function for Size Distribution of Incomes: A Further Comment.
3
1979
47
May
Econometrica
773
74
http://links.jstor.org/sici?sici=0012-9682%28197905%2947%3A3%3C773%3AAFFSDO%3E2.0.CO%3B2-1&origin=repec
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Cronin, D C
oai:RePEc:ecm:emetrp:v:69:y:2001:i:5:p:1349-722013-03-04RePEc:ecm:emetrp
article
Common Agency and the Revelation Principle.
5
2001
69
September
Econometrica
1349
72
Peters, Michael
oai:RePEc:ecm:emetrp:v:40:y:1972:i:5:p:9592013-03-04RePEc:ecm:emetrp
article
Interpersonal Comparison and Partial Comparability: A Correction.
5
1972
40
Sept.
Econometrica
959
959
Sen, Amartya K
oai:RePEc:ecm:emetrp:v:64:y:1996:i:5:p:1213-222013-03-04RePEc:ecm:emetrp
article
On the Differential Geometry of the Wald Test with Nonlinear Restrictions.
5
1996
64
September
Econometrica
1213
22
http://links.jstor.org/sici?sici=0012-9682%28199609%2964%3A5%3C1213%3AOTDGOT%3E2.0.CO%3B2-7&origin=repec
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Critchley, Frank
Marriott, Paul
Salmon, Mark
oai:RePEc:ecm:emetrp:v:38:y:1970:i:1:p:93-962013-03-04RePEc:ecm:emetrp
article
Utility Functions for Partially Ordered Topological Spaces.
1
1970
38
Jan.
Econometrica
93
96
http://links.jstor.org/sici?sici=0012-9682%28197001%2938%3A1%3C93%3AUFFPOT%3E2.0.CO%3B2-I&origin=repec
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Peleg, Bezalel
oai:RePEc:ecm:emetrp:v:76:y:2008:i:5:p:945-9782013-03-04RePEc:ecm:emetrp
article
Identification in Nonparametric Simultaneous Equations Models
This paper provides conditions for identification of functionals in nonparametric simultaneous equations models with nonadditive unobservable random terms. The conditions are derived from a characterization of observational equivalence between models. We show that, in the models considered, observational equivalence can be characterized by a restriction on the rank of a matrix. The use of the new results is exemplified by deriving previously known results about identification in parametric and nonparametric models as well as new results. A stylized method for analyzing identification, which is useful in some situations, is also presented. Copyright 2008 The Econometric Society.
5
2008
76
09
Econometrica
945
978
http://hdl.handle.net/10.3982/ECTA5940
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link to full text
Rosa L. Matzkin
oai:RePEc:ecm:emetrp:v:39:y:1971:i:2:p:341-582013-03-04RePEc:ecm:emetrp
article
The Use of Variance Components Models in Pooling Cross Section and Time Series Data.
2
1971
39
March
Econometrica
341
58
Maddala, G S
oai:RePEc:ecm:emetrp:v:42:y:1974:i:4:p:749-582013-03-04RePEc:ecm:emetrp
article
The Exact Mean of the Two-Stage Least Squares Estimator of the Structural Parameters in an Equation Having Three Endogenous Variables.
4
1974
42
July
Econometrica
749
58
http://links.jstor.org/sici?sici=0012-9682%28197407%2942%3A4%3C749%3ATEMOTT%3E2.0.CO%3B2-C&origin=repec
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Ullah, Aman
Nagar, A L
oai:RePEc:ecm:emetrp:v:40:y:1972:i:5:p:9292013-03-04RePEc:ecm:emetrp
article
Spurious Seasonal Fluctuations in Seasonally Adjusted Series.
5
1972
40
Sept.
Econometrica
929
929
Easton, B H
oai:RePEc:ecm:emetrp:v:50:y:1982:i:5:p:1243-682013-03-04RePEc:ecm:emetrp
article
Decreasing Costs in International Trade and Frank Graham's Argument for Protection.
5
1982
50
September
Econometrica
1243
68
http://links.jstor.org/sici?sici=0012-9682%28198209%2950%3A5%3C1243%3ADCIITA%3E2.0.CO%3B2-A&origin=repec
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Ethier, Wilfred J
oai:RePEc:ecm:emetrp:v:63:y:1995:i:1:p:191-932013-03-04RePEc:ecm:emetrp
article
Every Stable Set Contains a Fully Stable Set.
1
1995
63
January
Econometrica
191
93
http://links.jstor.org/sici?sici=0012-9682%28199501%2963%3A1%3C191%3AESSCAF%3E2.0.CO%3B2-A&origin=repec
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Govindan, Srihari
oai:RePEc:ecm:emetrp:v:54:y:1986:i:2:p:415-242013-03-04RePEc:ecm:emetrp
article
Sampling Designs for Short Panel Data.
2
1986
54
March
Econometrica
415
24
http://links.jstor.org/sici?sici=0012-9682%28198603%2954%3A2%3C415%3ASDFSPD%3E2.0.CO%3B2-7&origin=repec
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DeStavola, Bianca L
oai:RePEc:ecm:emetrp:v:53:y:1985:i:4:p:889-9042013-03-04RePEc:ecm:emetrp
article
Justifiable Beliefs in Sequential Equilibrium.
4
1985
53
July
Econometrica
889
904
http://links.jstor.org/sici?sici=0012-9682%28198507%2953%3A4%3C889%3AJBISE%3E2.0.CO%3B2-O&origin=repec
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McLennan, Andrew
oai:RePEc:ecm:emetrp:v:52:y:1984:i:5:p:1085-11162013-03-04RePEc:ecm:emetrp
article
The Costs of Substitution.
5
1984
52
September
Econometrica
1085
1116
http://links.jstor.org/sici?sici=0012-9682%28198409%2952%3A5%3C1085%3ATCOS%3E2.0.CO%3B2-Y&origin=repec
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von Weizsacker, C Christian
oai:RePEc:ecm:emetrp:v:50:y:1982:i:1:p:27-412013-03-04RePEc:ecm:emetrp
article
On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables.
1
1982
50
Jan.
Econometrica
27
41
http://links.jstor.org/sici?sici=0012-9682%28198201%2950%3A1%3C27%3AOTAPOE%3E2.0.CO%3B2-T&origin=repec
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Robinson, Peter M
oai:RePEc:ecm:emetrp:v:41:y:1973:i:1:p:41-582013-03-04RePEc:ecm:emetrp
article
The Exact Finite Sample Distribution of a Non-Consistent Structural Variance Estimator.
1
1973
41
Jan.
Econometrica
41
58
http://links.jstor.org/sici?sici=0012-9682%28197301%2941%3A1%3C41%3ATEFSDO%3E2.0.CO%3B2-%23&origin=repec
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Basmann, R L
Richardson, D H
oai:RePEc:ecm:emetrp:v:74:y:2006:i:6:p:1579-16012013-03-04RePEc:ecm:emetrp
article
Promises and Partnership
We examine experimentally the impact of communication on trust and cooperation. Our design admits observation of promises, lies, and beliefs. The evidence is consistent with people striving to live up to others' expectations so as to avoid guilt, as can be modeled using psychological game theory. When players exhibit such guilt aversion, communication may influence motivation and behavior by influencing beliefs about beliefs. Promises may enhance trustworthy behavior, which is what we observe. We argue that guilt aversion may be relevant for understanding strategic interaction in a variety of settings, and that it may shed light on the role of language, discussions, agreements, and social norms in these contexts. Copyright The Econometric Society 2006.
6
2006
74
11
Econometrica
1579
1601
http://hdl.handle.net/10.1111/j.1468-0262.2006.00719.x
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Gary Charness
Martin Dufwenberg
oai:RePEc:ecm:emetrp:v:71:y:2003:i:1:p:135-1712013-03-04RePEc:ecm:emetrp
article
Inferential Theory for Factor Models of Large Dimensions
This paper develops an inferential theory for factor models of large dimensions. The principal components estimator is considered because it is easy to compute and is asymptotically equivalent to the maximum likelihood estimator (if normality is assumed). We derive the rate of convergence and the limiting distributions of the estimated factors, factor loadings, and common components. The theory is developed within the framework of large cross sections ("N") and a large time dimension ("T"), to which classical factor analysis does not apply.We show that the estimated common components are asymptotically normal with a convergence rate equal to the minimum of the square roots of "N" and "T". The estimated factors and their loadings are generally normal, although not always so. The convergence rate of the estimated factors and factor loadings can be faster than that of the estimated common components. These results are obtained under general conditions that allow for correlations and heteroskedasticities in both dimensions. Stronger results are obtained when the idiosyncratic errors are serially uncorrelated and homoskedastic. A necessary and sufficient condition for consistency is derived for large "N" but fixed "T". Copyright The Econometric Society 2003.
1
2003
71
January
Econometrica
135
171
Jushan Bai
jushan.bai@nyu.edu
New York University, U.S.A.
oai:RePEc:ecm:emetrp:v:47:y:1979:i:4:p:1031-372013-03-04RePEc:ecm:emetrp
article
The Distributional Implications of Public Goods Revisited.
4
1979
47
July
Econometrica
1031
37
http://links.jstor.org/sici?sici=0012-9682%28197907%2947%3A4%3C1031%3ATDIOPG%3E2.0.CO%3B2-L&origin=repec
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West, E G
Staaf, R J
oai:RePEc:ecm:emetrp:v:38:y:1970:i:6:p:816-302013-03-04RePEc:ecm:emetrp
article
The Restricted Aitken Estimation of Sets of Demand Relations.
6
1970
38
Nov.
Econometrica
816
30
http://links.jstor.org/sici?sici=0012-9682%28197011%2938%3A6%3C816%3ATRAEOS%3E2.0.CO%3B2-L&origin=repec
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Byron, R P
oai:RePEc:ecm:emetrp:v:61:y:1993:i:1:p:123-372013-03-04RePEc:ecm:emetrp
article
The Limiting Distribution of the Maximum Rank Correlation Estimator.
Han's maximum rank correlation estimator is shown to be square-root n-consistent and asymptotically normal. The proof rests on a general method for determining the asymptotic distribution of a maximization estimator, a simple U-statistic decomposition, and a uniform bound for degenerate U-processes. A consistent estimator of the asymptotic covariance matrix is provided, along with a result giving the explicit form of this matrix for any model within the scope of the maximum rate correlation estimator. The latter result is applied to the binary choice model, and it is found that the maximum rate correlation estimator does not achieve the semiparametric efficiency bound. Copyright 1993 by The Econometric Society.
1
1993
61
January
Econometrica
123
37
http://links.jstor.org/sici?sici=0012-9682%28199301%2961%3A1%3C123%3ATLDOTM%3E2.0.CO%3B2-J&origin=repec
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Sherman, Robert P
oai:RePEc:ecm:emetrp:v:59:y:1991:i:3:p:711-302013-03-04RePEc:ecm:emetrp
article
The Rank of Demand Systems: Theory and Nonparametric Estimation.
W. M. Gorman's (1981) concept of Engel curve "rank" is extended to apply to any demand system. Rank is shown to have implications for specification, separability, and aggregation of demands. A simple nonparametric test of rank using Engel curve data is described and applied to U.S. and U.K. consumer survey data. The test employs a new general method for testing the rank of estimated matrices. The results are used to assess theoretical and empirical aggregation error in representative consumer models, and to explain a representative consumer paradox. Copyright 1991 by The Econometric Society.
3
1991
59
May
Econometrica
711
30
http://links.jstor.org/sici?sici=0012-9682%28199105%2959%3A3%3C711%3ATRODST%3E2.0.CO%3B2-Q&origin=repec
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Lewbel, Arthur
oai:RePEc:ecm:emetrp:v:40:y:1972:i:6:p:1059-812013-03-04RePEc:ecm:emetrp
article
A Class of Informative Priors and Distributed Lag Analysis.
6
1972
40
Nov.
Econometrica
1059
81
http://links.jstor.org/sici?sici=0012-9682%28197211%2940%3A6%3C1059%3AACOIPA%3E2.0.CO%3B2-A&origin=repec
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Leamer, Edward E
oai:RePEc:ecm:emetrp:v:48:y:1980:i:2:p:531-332013-03-04RePEc:ecm:emetrp
article
Positive Profits without Exploitation: A Note on the Generalized Fundamental Marxian Theorem.
2
1980
48
March
Econometrica
531
33
http://links.jstor.org/sici?sici=0012-9682%28198003%2948%3A2%3C531%3APPWEAN%3E2.0.CO%3B2-Z&origin=repec
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Petri, Fabio
oai:RePEc:ecm:emetrp:v:45:y:1977:i:2:p:317-272013-03-04RePEc:ecm:emetrp
article
Optimal Maximin Accumulation with Uncertain Future Technology.
2
1977
45
March
Econometrica
317
27
http://links.jstor.org/sici?sici=0012-9682%28197703%2945%3A2%3C317%3AOMAWUF%3E2.0.CO%3B2-2&origin=repec
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Calvo, Guillermo A
oai:RePEc:ecm:emetrp:v:41:y:1973:i:5:p:901-122013-03-04RePEc:ecm:emetrp
article
Semiorders and the Theory of Choice.
5
1973
41
Sept.
Econometrica
901
12
http://links.jstor.org/sici?sici=0012-9682%28197309%2941%3A5%3C901%3ASATTOC%3E2.0.CO%3B2-0&origin=repec
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full text
Jamison, Dean T
Lau, Lawrence J
oai:RePEc:ecm:emetrp:v:41:y:1973:i:2:p:365-702013-03-04RePEc:ecm:emetrp
article
Comment on R. P. Byron's "The Restricted Aitken Estimation of Sets of Demand Relations".
2
1973
41
March
Econometrica
365
70
http://links.jstor.org/sici?sici=0012-9682%28197303%2941%3A2%3C365%3ACORPB%22%3E2.0.CO%3B2-8&origin=repec
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Basmann, R L
Battalio, Raymond C
Kagel, John H
oai:RePEc:ecm:emetrp:v:65:y:1997:i:6:p:1453-14662013-03-04RePEc:ecm:emetrp
article
Statistical Inference for the Measurement of the Incidence of Taxes and Transfers
6
1997
65
November
Econometrica
1453
1466
Russell Davidson
Jean-Yves Duclos
oai:RePEc:ecm:emetrp:v:46:y:1978:i:3:p:571-752013-03-04RePEc:ecm:emetrp
article
Non-Convexifiable Pareto Sets.
3
1978
46
May
Econometrica
571
75
http://links.jstor.org/sici?sici=0012-9682%28197805%2946%3A3%3C571%3ANPS%3E2.0.CO%3B2-W&origin=repec
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Kannai, Yakar
Mantel, Rolf
oai:RePEc:ecm:emetrp:v:67:y:1999:i:6:p:1385-14062013-03-04RePEc:ecm:emetrp
article
Asymptotic Properties of Weighted M-Estimators for Variable Probability Samples
I provide a systematic treatment of the asymptotic properties of weighted M-estimators under variable probability stratified sampling. The characterization of the sampling scheme and representation of the objective function allow for a straightforward analysis. Simple, consistent asymptotic variance matrix estimators are proposed. When stratification is based on exogenous variables, I show that the unweighted M-estimator is more efficient than the weighted estimator under a generalized conditional information matrix equality. When population frequencies are known, a more efficient weighting is possible. I also show how the results carry over to multinomial sampling.
6
1999
67
November
Econometrica
1385
1406
Jeffrey M. Wooldridge
oai:RePEc:ecm:emetrp:v:57:y:1989:i:4:p:815-292013-03-04RePEc:ecm:emetrp
article
The Random Utility Hypothesis and Inference in Demand Systems.
In this paper, the authors examine the consequences of adopting the random utility hypothesis as an approach for randomizing a system of demand equations. Random utility models are appealing since they allow the usual assumption of deterministic utility-maximizing behavior by each consumer to coexist with the apparent randomness across individuals that is exhibited by data. Their results show that the use of random utility models implies that the disturbances of the demand equations may not be homoskedastic, but must be functions of prices and/or income. Copyright 1989 by The Econometric Society.
4
1989
57
July
Econometrica
815
29
http://links.jstor.org/sici?sici=0012-9682%28198907%2957%3A4%3C815%3ATRUHAI%3E2.0.CO%3B2-Q&origin=repec
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Brown, Bryan W
Walker, Mary Beth
oai:RePEc:ecm:emetrp:v:43:y:1975:i:3:p:363-932013-03-04RePEc:ecm:emetrp
article
A Stochastic Decentralized Resource Allocation Process: Part II.
3
1975
43
May
Econometrica
363
93
http://links.jstor.org/sici?sici=0012-9682%28197505%2943%3A3%3C363%3AASDRAP%3E2.0.CO%3B2-R&origin=repec
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Hurwicz, Leonid
Radner, Roy
Reiter, Stanley
oai:RePEc:ecm:emetrp:v:67:y:1999:i:6:p:1255-12942013-03-04RePEc:ecm:emetrp
article
State Dependence, Serial Correlation and Heterogeneity in Intertemporal Labor Force Participation of Married Women
The intertemporal labor force participation of married women is analyzed using a dynamic search framework. Maximum simulated likelihood (MSL) estimation is used to estimate dynamic Probit models, and the sensitivity to alternative assumptions examined using Linear Probability models. Participation decisions are characterized by significant positive state dependence, unobserved heterogeneity, and negatively correlated errors. The hypothesis that women's participation is exogenous to their fertility decisions is rejected when dynamics are ignored, but there is no evidence against this hypothesis in dynamic specifications. Women's participation response is stronger to permanent than current non-labor income, reflecting unobserved taste factors.
6
1999
67
November
Econometrica
1255
1294
Dean R. Hyslop
oai:RePEc:ecm:emetrp:v:50:y:1982:i:2:p:277-3232013-03-04RePEc:ecm:emetrp
article
"Expected Utility" Analysis without the Independence Axiom.
2
1982
50
March
Econometrica
277
323
http://links.jstor.org/sici?sici=0012-9682%28198203%2950%3A2%3C277%3A%22UAWTI%3E2.0.CO%3B2-V&origin=repec
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Machina, Mark J
oai:RePEc:ecm:emetrp:v:44:y:1976:i:2:p:409-112013-03-04RePEc:ecm:emetrp
article
A Proof That Both the Bias and the Mean Square Error of the Two-Stage Least Squares Estimator Are Monotonically Non-Increasing Functions of Sample Size.
2
1976
44
March
Econometrica
409
11
http://links.jstor.org/sici?sici=0012-9682%28197603%2944%3A2%3C409%3AAPTBTB%3E2.0.CO%3B2-V&origin=repec
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Owen, A D
oai:RePEc:ecm:emetrp:v:47:y:1979:i:6:p:1457-742013-03-04RePEc:ecm:emetrp
article
Expectational Consistency, Informational Lags, and the Formulation of Expectations in Continuous Time Models.
6
1979
47
Nov.
Econometrica
1457
74
http://links.jstor.org/sici?sici=0012-9682%28197911%2947%3A6%3C1457%3AECILAT%3E2.0.CO%3B2-5&origin=repec
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Gray, Malcolm R
Turnovsky, Stephen J
oai:RePEc:ecm:emetrp:v:44:y:1976:i:5:p:879-9052013-03-04RePEc:ecm:emetrp
article
The Specification of Adaptive Expectations in Continuous Time Dynamic Economic Models.
5
1976
44
Sept.
Econometrica
879
905
http://links.jstor.org/sici?sici=0012-9682%28197609%2944%3A5%3C879%3ATSOAEI%3E2.0.CO%3B2-X&origin=repec
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Burmeister, Edwin
Turnovsky, Stephen J
oai:RePEc:ecm:emetrp:v:61:y:1993:i:4:p:871-9072013-03-04RePEc:ecm:emetrp
article
Nonlinear Dynamic Structures.
Methods for nonlinear impulse response analysis are introduced. The methods are based on conditional moment profiles defined for a stationary time series. Comparing conditional moment profiles to baseline profiles is the nonlinear analog of conventional impulse-response analysis. The bootstrap may be used for statistical inference. Profile bundles may be examined for evidence of damping or persistence. Application to bivariate NYSE price and volume series from 1928 to 1987 finds evidence of a heavily damped 'leverage effect' and a differential response of trading volume to 'common-knowledge' price shocks. Copyright 1993 by The Econometric Society.
4
1993
61
July
Econometrica
871
907
http://links.jstor.org/sici?sici=0012-9682%28199307%2961%3A4%3C871%3ANDS%3E2.0.CO%3B2-5&origin=repec
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Gallant, A Ronald
Rossi, Peter E
Tauchen, George
oai:RePEc:ecm:emetrp:v:63:y:1995:i:5:p:1161-802013-03-04RePEc:ecm:emetrp
article
Epistemic Conditions for Nash Equilibrium.
Sufficient conditions for Nash equilibrium in an 'n'-person game are given in terms of what the players know and believe - about the game, and about each other's rationality, actions, knowledge, and beliefs. Mixed strategies are treated not as conscious randomizations, but as conjectures, on the part of other players, as to what a player will do. Common knowledge plays a smaller role in characterizing Nash equilibrium than had been supposed. When 'n' = 2, mutual knowledge of the payoff functions, of rationality, and of the conjectures implies that the conjectures form a Nash equilibrium. When 'n [greater than or equal to] 3 and there is a common prior, mutual knowledge of the payoff functions and of rationality, and common knowledge of the conjectures, imply that the conjectures form a Nash equilibrium. Examples show the results to be tight. Copyright 1995 by The Econometric Society.
5
1995
63
September
Econometrica
1161
80
http://links.jstor.org/sici?sici=0012-9682%28199509%2963%3A5%3C1161%3AECFNE%3E2.0.CO%3B2-C&origin=repec
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Aumann, Robert
Brandenburger, Adam
oai:RePEc:ecm:emetrp:v:47:y:1979:i:5:p:1305-062013-03-04RePEc:ecm:emetrp
article
The Borda Rule and Pareto Stability: A Comment.
5
1979
47
Sept.
Econometrica
1305
06
http://links.jstor.org/sici?sici=0012-9682%28197909%2947%3A5%3C1305%3ATBRAPS%3E2.0.CO%3B2-L&origin=repec
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Farkas, Daniel
Nitzan, Shmuel
oai:RePEc:ecm:emetrp:v:48:y:1980:i:3:p:761-632013-03-04RePEc:ecm:emetrp
article
Recursive Systems Containing Qualitative Endogenous Variables Representing Nonstochastically Dependent Events.
3
1980
48
April
Econometrica
761
63
http://links.jstor.org/sici?sici=0012-9682%28198004%2948%3A3%3C761%3ARSCQEV%3E2.0.CO%3B2-2&origin=repec
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Elliott, Donald
oai:RePEc:ecm:emetrp:v:47:y:1979:i:5:p:1287-942013-03-04RePEc:ecm:emetrp
article
A Simple Test for Heteroscedasticity and Random Coefficient Variation.
5
1979
47
Sept.
Econometrica
1287
94
http://links.jstor.org/sici?sici=0012-9682%28197909%2947%3A5%3C1287%3AASTFHA%3E2.0.CO%3B2-9&origin=repec
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Breusch, T S
Pagan, A R
oai:RePEc:ecm:emetrp:v:49:y:1981:i:6:p:1605-132013-03-04RePEc:ecm:emetrp
article
A Condition Guaranteeing the Optimality of Public Choice.
6
1981
49
Nov.
Econometrica
1605
13
http://links.jstor.org/sici?sici=0012-9682%28198111%2949%3A6%3C1605%3AACGTOO%3E2.0.CO%3B2-2&origin=repec
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Rob, Rafael
oai:RePEc:ecm:emetrp:v:43:y:1975:i:2:p:231-592013-03-04RePEc:ecm:emetrp
article
A General Solution for Linear Decision Rules: An Optimal Dynamic Strategy Applicable under Uncertainty.
2
1975
43
March
Econometrica
231
59
http://links.jstor.org/sici?sici=0012-9682%28197503%2943%3A2%3C231%3AAGSFLD%3E2.0.CO%3B2-H&origin=repec
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Hay, George A
Holt, Charles C
oai:RePEc:ecm:emetrp:v:70:y:2002:i:6:p:2265-22942013-03-04RePEc:ecm:emetrp
article
On the Global Convergence of Stochastic Fictitious Play
We establish global convergence results for stochastic fictitious play for four classes of games: games with an interior ESS, zero sum games, potential games, and supermodular games. We do so by appealing to techniques from stochastic approximation theory, which relate the limit behavior of a stochastic process to the limit behavior of a differential equation defined by the expected motion of the process. The key result in our analysis of supermodular games is that the relevant differential equation defines a strongly monotone dynamical system. Our analyses of the other cases combine Lyapunov function arguments with a discrete choice theory result: that the choice probabilities generated by any additive random utility model can be derived from a deterministic model based on payoff perturbations that depend nonlinearly on the vector of choice probabilities. Copyright The Econometric Society 2002.
6
2002
70
November
Econometrica
2265
2294
Josef Hofbauer
josef.hofbauer@univie.ac.at
Universitat Wien, Austria
William H. Sandholm
whs@ssc.wisc.edu
University of Wisconsin
oai:RePEc:ecm:emetrp:v:63:y:1995:i:6:p:1477-842013-03-04RePEc:ecm:emetrp
article
Nonparametric and Semiparametric Estimation with Discrete Regressors.
6
1995
63
November
Econometrica
1477
84
http://links.jstor.org/sici?sici=0012-9682%28199511%2963%3A6%3C1477%3ANASEWD%3E2.0.CO%3B2-4&origin=repec
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Delgado, Miguel A
Mora, Juan
oai:RePEc:ecm:emetrp:v:54:y:1986:i:3:p:707-152013-03-04RePEc:ecm:emetrp
article
Falmagne and the Rationalizability of Stochastic Choices in Terms of Random Orderings.
3
1986
54
May
Econometrica
707
15
http://links.jstor.org/sici?sici=0012-9682%28198605%2954%3A3%3C707%3AFATROS%3E2.0.CO%3B2-2&origin=repec
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Barbera, Salvador
Pattanaik, Prasanta K
oai:RePEc:ecm:emetrp:v:75:y:2007:i:4:p:1191-12082013-03-04RePEc:ecm:emetrp
article
Nonparametric Instrumental Variables Estimation of a Quantile Regression Model
We consider nonparametric estimation of a regression function that is identified by requiring a specified quantile of the regression "error" conditional on an instrumental variable to be zero. The resulting estimating equation is a nonlinear integral equation of the first kind, which generates an ill-posed inverse problem. The integral operator and distribution of the instrumental variable are unknown and must be estimated nonparametrically. We show that the estimator is mean-square consistent, derive its rate of convergence in probability, and give conditions under which this rate is optimal in a minimax sense. The results of Monte Carlo experiments show that the estimator behaves well in finite samples. Copyright The Econometric Society 2007.
4
2007
75
07
Econometrica
1191
1208
http://hdl.handle.net/10.1111/j.1468-0262.2007.00786.x
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Joel L. Horowitz
Sokbae Lee
oai:RePEc:ecm:emetrp:v:58:y:1990:i:5:p:1151-802013-03-04RePEc:ecm:emetrp
article
Pensions, the Option Value of Work, and Retirement.
The effects of firm pension plan provisions on the retirement decisions of older employees are analyzed. The empirical results are based on data from a large firm, with a typical defined benefit pension plan. The "option value" of continued work is the central feature of the analysis. Estimation relies on a retirement decision rule that is close in spirit to the dynamic programming rule, but is considerably less complex than a comprehensive implementation of that rule, thus greatly facilitating the numerical analysis. Copyright 1990 by The Econometric Society.
5
1990
58
September
Econometrica
1151
80
http://links.jstor.org/sici?sici=0012-9682%28199009%2958%3A5%3C1151%3APTOVOW%3E2.0.CO%3B2-1&origin=repec
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Stock, James H
Wise, David A
oai:RePEc:ecm:emetrp:v:45:y:1977:i:8:p:1989-962013-03-04RePEc:ecm:emetrp
article
The Durbin-Watson Test for Serial Correlation with Extreme Sample Sizes or Many Regressors.
8
1977
45
Nov.
Econometrica
1989
96
http://links.jstor.org/sici?sici=0012-9682%28197711%2945%3A8%3C1989%3ATDTFSC%3E2.0.CO%3B2-D&origin=repec
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Savin, N Eugene
White, Kenneth J
oai:RePEc:ecm:emetrp:v:44:y:1976:i:6:p:1201-222013-03-04RePEc:ecm:emetrp
article
The Income Tax and Charitable Contributions.
6
1976
44
Nov.
Econometrica
1201
22
http://links.jstor.org/sici?sici=0012-9682%28197611%2944%3A6%3C1201%3ATITACC%3E2.0.CO%3B2-4&origin=repec
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Feldstein, Martin S
Taylor, Amy
oai:RePEc:ecm:emetrp:v:44:y:1976:i:4:p:685-952013-03-04RePEc:ecm:emetrp
article
The Control of Nonlinear Econometric Systems with Unknown Parameters.
4
1976
44
July
Econometrica
685
95
http://links.jstor.org/sici?sici=0012-9682%28197607%2944%3A4%3C685%3ATCONES%3E2.0.CO%3B2-M&origin=repec
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Chow, Gregory C
oai:RePEc:ecm:emetrp:v:60:y:1992:i:4:p:967-722013-03-04RePEc:ecm:emetrp
article
Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes.
4
1992
60
July
Econometrica
967
72
http://links.jstor.org/sici?sici=0012-9682%28199207%2960%3A4%3C967%3ACCMEFD%3E2.0.CO%3B2-A&origin=repec
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Hansen, Bruce E
oai:RePEc:ecm:emetrp:v:58:y:1990:i:5:p:1241-432013-03-04RePEc:ecm:emetrp
article
A Simple Characterization of Stochastically Monotone Functions.
5
1990
58
September
Econometrica
1241
43
http://links.jstor.org/sici?sici=0012-9682%28199009%2958%3A5%3C1241%3AASCOSM%3E2.0.CO%3B2-6&origin=repec
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Bergin, James
Brandenburger, Adam
oai:RePEc:ecm:emetrp:v:54:y:1986:i:5:p:1055-782013-03-04RePEc:ecm:emetrp
article
Bargaining Power, Fear of Disagreement, and Wage Settlements: Theory and Evidence from U.S. Industry.
5
1986
54
September
Econometrica
1055
78
http://links.jstor.org/sici?sici=0012-9682%28198609%2954%3A5%3C1055%3ABPFODA%3E2.0.CO%3B2-T&origin=repec
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Svejnar, Jan
oai:RePEc:ecm:emetrp:v:42:y:1974:i:4:p:611-322013-03-04RePEc:ecm:emetrp
article
Marx in the Light of Modern Economic Theory.
4
1974
42
July
Econometrica
611
32
http://links.jstor.org/sici?sici=0012-9682%28197407%2942%3A4%3C611%3AMITLOM%3E2.0.CO%3B2-G&origin=repec
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Morishima, Michio
oai:RePEc:ecm:emetrp:v:67:y:1999:i:1:p:121-1462013-03-04RePEc:ecm:emetrp
article
Strategy-Proof and Symmetric Social Choice Functions for Public Good Economies
For economies with one private good and one public good, the author discusses social choice functions satisfying the following requirements: strategy-proofness--representing true preferences is a dominant strategy; symmetry--two agents having the same preference pay equal cost shares--anonymity--when agents' preferences are switched, so are their consumption bundles; and individual rationality--allocations making agents worse off than their initial situations are never obtained. Theorem 1 characterizes strategy-proof, budget-balancing, and symmetric social choice functions under convex public good technology. Theorems 2 and 3 characterize such functions without the convexity assumption, but employ anonymity and individual rationality requirements respectively.
1
1999
67
January
Econometrica
121
146
Shigehiro Serizawa
oai:RePEc:ecm:emetrp:v:55:y:1987:i:4:p:765-992013-03-04RePEc:ecm:emetrp
article
The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions.
This study undertakes a systematic analysis of several theoretic and statistical assumption s used in many empirical models of female labor supply. Using a singl e data set (PSID 1975 labor supply data) the author is able to replic ate most of the range of estimated income and substitution effects fo und in previous studies in this field. He undertakes extensive specif ication tests and finds that most of this range should be rejected du e to statistical and model misspecifications. The two most important assumptions appear to be the Tobit assumption used to control for sel f-selection into the labor force and exogeneity assumptions on the wi fe's wage rate and her labor market experience. Copyright 1987 by The Econometric Society.
4
1987
55
July
Econometrica
765
99
http://links.jstor.org/sici?sici=0012-9682%28198707%2955%3A4%3C765%3ATSOAEM%3E2.0.CO%3B2-S&origin=repec
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Mroz, Thomas A
oai:RePEc:ecm:emetrp:v:45:y:1977:i:6:p:1481-972013-03-04RePEc:ecm:emetrp
article
Multiple Time Series Analysis and the Final Form of Econometric Models.
6
1977
45
Sept.
Econometrica
1481
97
http://links.jstor.org/sici?sici=0012-9682%28197709%2945%3A6%3C1481%3AMTSAAT%3E2.0.CO%3B2-6&origin=repec
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Wallis, Kenneth F
oai:RePEc:ecm:emetrp:v:67:y:1999:i:3:p:543-5642013-03-04RePEc:ecm:emetrp
article
Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
This paper considers a generalized method of moments (GMM) estimation problem in which one has a vector of moment conditions, some of which are correct and some incorrect. The paper introduces several procedures for consistently selecting the correct moment conditions. Application of the results of the paper to instrumental variables estimation problems yields consistent procedures for selecting instrumental variables. The paper specifies moment selection criteria that are GMM analogues of the widely used BIC and AIC model selection criteria. (The latter is not consistent.) The paper also considers downward and upward testing procedures.
3
1999
67
May
Econometrica
543
564
Donald W. K. Andrews
oai:RePEc:ecm:emetrp:v:39:y:1971:i:5:p:829-442013-03-04RePEc:ecm:emetrp
article
Some Statistical Models for Limited Dependent Variables with Application to the Demand for Durable Goods.
5
1971
39
Sept.
Econometrica
829
44
http://links.jstor.org/sici?sici=0012-9682%28197109%2939%3A5%3C829%3ASSMFLD%3E2.0.CO%3B2-K&origin=repec
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Cragg, John G
oai:RePEc:ecm:emetrp:v:38:y:1970:i:2:p:311-232013-03-04RePEc:ecm:emetrp
article
Efficient Inference in a Random Coefficient Regression Model.
2
1970
38
March
Econometrica
311
23
http://links.jstor.org/sici?sici=0012-9682%28197003%2938%3A2%3C311%3AEIIARC%3E2.0.CO%3B2-A&origin=repec
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Swamy, P A V B
oai:RePEc:ecm:emetrp:v:40:y:1972:i:1:p:87-982013-03-04RePEc:ecm:emetrp
article
More Stochastic Properties of the Klein-Goldberger Model.
1
1972
40
Jan.
Econometrica
87
98
http://links.jstor.org/sici?sici=0012-9682%28197201%2940%3A1%3C87%3AMSPOTK%3E2.0.CO%3B2-M&origin=repec
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Bowden, Roger J
oai:RePEc:ecm:emetrp:v:50:y:1982:i:2:p:483-992013-03-04RePEc:ecm:emetrp
article
Instrumental Variables Regression with Independent Observations.
2
1982
50
March
Econometrica
483
99
http://links.jstor.org/sici?sici=0012-9682%28198203%2950%3A2%3C483%3AIVRWIO%3E2.0.CO%3B2-L&origin=repec
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White, Halbert
oai:RePEc:ecm:emetrp:v:56:y:1988:i:5:p:1045-642013-03-04RePEc:ecm:emetrp
article
Controlling a Stochastic Process with Unknown Parameters.
The problem of controlling a stochastic process, with unknown parameters over an infinite horizon, with discounting is considered. Agents express beliefs about unknown parameters in terms of distributions. Under general conditions, the sequence of beliefs converges to a limit distribution. The limit distribution may or may not be concentrated at the true parameter value. In some cases, complete learning is optimal; in others, the optimal strategy does not imply complete learning. The paper concludes with examination of some special cases and a discussion of a procedure for generating examples in which incomplete learning is optimal. Copyright 1988 by The Econometric Society.
5
1988
56
September
Econometrica
1045
64
http://links.jstor.org/sici?sici=0012-9682%28198809%2956%3A5%3C1045%3ACASPWU%3E2.0.CO%3B2-A&origin=repec
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Easley, David
Kiefer, Nicholas M
oai:RePEc:ecm:emetrp:v:48:y:1980:i:1:p:241-492013-03-04RePEc:ecm:emetrp
article
The Existence of Moments of k-Class Estimators.
1
1980
48
Jan.
Econometrica
241
49
http://links.jstor.org/sici?sici=0012-9682%28198001%2948%3A1%3C241%3ATEOMOK%3E2.0.CO%3B2-D&origin=repec
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Kinal, Terrence W
oai:RePEc:ecm:emetrp:v:59:y:1991:i:5:p:1383-932013-03-04RePEc:ecm:emetrp
article
The Once but Not Twice Differentiability of the Policy Function.
It is shown that an increasing policy function that is the solution of a C(superscript "2") dynamic programming problem is always C(superscript "1"). This implies that the value function is C(superscript "2"). Examples are given to show that the policy function might not be twice differentiable and therefore the value might not be three times differentiable, even if the program is C(superscript "3"). Copyright 1991 by The Econometric Society.
5
1991
59
September
Econometrica
1383
93
http://links.jstor.org/sici?sici=0012-9682%28199109%2959%3A5%3C1383%3ATOBNTD%3E2.0.CO%3B2-A&origin=repec
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Araujo, A
oai:RePEc:ecm:emetrp:v:69:y:2001:i:4:p:959-932013-03-04RePEc:ecm:emetrp
article
Likelihood Inference for Discretely Observed Nonlinear Diffusions.
This paper is concerned with the Bayesian estimation of nonlinear stochastic differential equations when observations are discretely sampled. The estimation framework relies on the introduction of latent auxiliary data to complete the missing diffusion between each pair of measurements. Tuned Markov chain Monte Carlo (MCMC) methods based on the Metropolis-Hastings algorithm, in conjunction with the Euler-Maruyama discretization scheme, are used to sample the posterior distribution of the latent data and the model parameters. Techniques for computing the likelihood function, the marginal likelihood, and diagnostic measures (all based on the MCMC output) are developed. Examples using simulated and real data are presented and discussed in detail.
4
2001
69
July
Econometrica
959
93
Elerain, Ola
Chib, Siddhartha
Shephard, Neil
oai:RePEc:ecm:emetrp:v:45:y:1977:i:5:p:1065-792013-03-04RePEc:ecm:emetrp
article
Fertility, Schooling, and the Economic Contribution of Children in Rural India: An Econometric Analysis.
5
1977
45
July
Econometrica
1065
79
http://links.jstor.org/sici?sici=0012-9682%28197707%2945%3A5%3C1065%3AFSATEC%3E2.0.CO%3B2-Z&origin=repec
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Rosenzweig, Mark R
Evenson, Robert E
oai:RePEc:ecm:emetrp:v:43:y:1975:i:3:p:421-302013-03-04RePEc:ecm:emetrp
article
Certainty Equivalence, First Order Certainty Equivalence, Stochastic Control, and the Covariance Structure.
3
1975
43
May
Econometrica
421
30
http://links.jstor.org/sici?sici=0012-9682%28197505%2943%3A3%3C421%3ACEFOCE%3E2.0.CO%3B2-7&origin=repec
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Young, Richard M
oai:RePEc:ecm:emetrp:v:66:y:1998:i:4:p:863-8962013-03-04RePEc:ecm:emetrp
article
The Method of Simulated Scores for the Estimation of LDV Models
The method of simulated scores (MSS) is presented for estimating limited dependent variables models (LDV) with flexible correlation structure in the unobservables. The authors propose simulators that are continuous in the unknown parameter vectors, and hence standard optimization methods can be used to compute the MSS estimators that employ these simulators. The first continuous method relies on a recursive conditioning of the multivariate normal density through a Cholesky triangularization of its variance-covariance matrix. The second method combines results about the conditionals of the multivariate normal distribution with Gibbs resampling techniques. The authors establish consistency and asymptotic normality of the MSS estimators and derive suitable rates at which the number of simulations must rise if biased simulators are used.
4
1998
66
July
Econometrica
863
896
Vassilis A. Hajivassiliou
Daniel L. McFadden
oai:RePEc:ecm:emetrp:v:40:y:1972:i:2:p:393-952013-03-04RePEc:ecm:emetrp
article
A Comment on the Consistency of Estimating the Inventory Impact of Defense Orders.
2
1972
40
March
Econometrica
393
95
http://links.jstor.org/sici?sici=0012-9682%28197203%2940%3A2%3C393%3AACOTCO%3E2.0.CO%3B2-W&origin=repec
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Gramlich, Edward M
Galper, Harvey
oai:RePEc:ecm:emetrp:v:52:y:1984:i:6:p:1369-852013-03-04RePEc:ecm:emetrp
article
Inequality Decomposition by Population Subgroups.
6
1984
52
November
Econometrica
1369
85
http://links.jstor.org/sici?sici=0012-9682%28198411%2952%3A6%3C1369%3AIDBPS%3E2.0.CO%3B2-4&origin=repec
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Shorrocks, Anthony F
oai:RePEc:ecm:emetrp:v:44:y:1976:i:4:p:765-762013-03-04RePEc:ecm:emetrp
article
Instrumental Variables Estimation of Differential Equations.
4
1976
44
July
Econometrica
765
76
http://links.jstor.org/sici?sici=0012-9682%28197607%2944%3A4%3C765%3AIVEODE%3E2.0.CO%3B2-V&origin=repec
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Robinson, P M
oai:RePEc:ecm:emetrp:v:65:y:1997:i:5:p:1005-10282013-03-04RePEc:ecm:emetrp
article
Social Distance and Social Decisions
A model of social distance is presented that is useful for understanding social decisions. An example is constructed of class stability. Agents who are initially close interact strongly while those who are socially distant have little interaction. In this example, inherited social position, which may be interpreted as social class, plays a dominant role. The relevance of this model to social decisions, such as the choice of educational attainment and childbearing, is discussed in the context of specific ethnographic examples. Class position may play a dominant role in these decisions.
5
1997
65
September
Econometrica
1005
1028
George A. Akerlof
oai:RePEc:ecm:emetrp:v:54:y:1986:i:4:p:755-842013-03-04RePEc:ecm:emetrp
article
Patents as Options: Some Estimates of the Value of Holding European Patent Stocks.
4
1986
54
July
Econometrica
755
84
http://links.jstor.org/sici?sici=0012-9682%28198607%2954%3A4%3C755%3APAOSEO%3E2.0.CO%3B2-X&origin=repec
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Pakes, Ariel S
oai:RePEc:ecm:emetrp:v:65:y:1997:i:4:p:875-9122013-03-04RePEc:ecm:emetrp
article
Collusion under Asymmetric Information
When applied to groups, the revelation principle postulates a Bayesian-Nash behavior between agents. Their binding agreements are unenforceable or the principal can prevent them at no cost. The authors analyze instead a mechanism design problem in which the agents can communicate between themselves and collude under asymmetric information. They characterize the set of implementable collusion-proof contracts both when the principal offers anonymous and nonanonymous contracts. After having isolated the nexi and the stakes of collusion, the authors proceed to normative analysis, do some comparative statics, discuss their concept of collusion-proofness, and provide some insights about transaction costs in side-contracting.
4
1997
65
July
Econometrica
875
912
Jean-Jacques Laffont
David Martimort
oai:RePEc:ecm:emetrp:v:62:y:1994:i:6:p:1415-442013-03-04RePEc:ecm:emetrp
article
Auctions for Oil and Gas Leases with an Informed Bidder and a Random Reservation Price.
The authors analyze a first-price, sealed bid auction of an object with unknown common value, but one buyer has better information. The reservation price is correlated with the informed buyer's assessment of the value and of the probability of rejection. If all random variables are affiliated, the rate of increase in the distribution of the uninformed bid is never greater than that of the informed bid, the distributions are identical above the support of the reservation price, and the informed buyer is more likely to submit low bids. Bids for offshore oil and gas leases on drainage tracts satisfy these restrictions. Copyright 1994 by The Econometric Society.
6
1994
62
November
Econometrica
1415
44
http://links.jstor.org/sici?sici=0012-9682%28199411%2962%3A6%3C1415%3AAFOAGL%3E2.0.CO%3B2-Y&origin=repec
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Hendricks, Kenneth
Porter, Robert H
Wilson, Charles A
oai:RePEc:ecm:emetrp:v:55:y:1987:i:2:p:409-242013-03-04RePEc:ecm:emetrp
article
A Discrete Choice Model for Ordered Alternatives.
A generalization of the multinomial logit (MNL) model is developed for cases where discrete alternatives are ordered, by allowing stochastic correlation among alternatives in close proximity. The model belongs to the Generalized Extreme Value class and is therefore consistent with random utility maximization. An extension can handle cases where observations have been selected from a truncated choice set. A two-stage procedure using MNL computer software provides a specification test for MNL against the proposed model. Two empirical applications are briefly described. Copyright 1987 by The Econometric Society.
2
1987
55
March
Econometrica
409
24
http://links.jstor.org/sici?sici=0012-9682%28198703%2955%3A2%3C409%3AADCMFO%3E2.0.CO%3B2-I&origin=repec
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Small, Kenneth A
oai:RePEc:ecm:emetrp:v:44:y:1976:i:6:p:1317-212013-03-04RePEc:ecm:emetrp
article
A Note on Bias in the Almon Distributed Lag Estimator.
6
1976
44
Nov.
Econometrica
1317
21
http://links.jstor.org/sici?sici=0012-9682%28197611%2944%3A6%3C1317%3AANOBIT%3E2.0.CO%3B2-H&origin=repec
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Terasvirta, Timo
oai:RePEc:ecm:emetrp:v:46:y:1978:i:1:p:153-612013-03-04RePEc:ecm:emetrp
article
Consistent Voting Systems.
1
1978
46
Jan.
Econometrica
153
61
http://links.jstor.org/sici?sici=0012-9682%28197801%2946%3A1%3C153%3ACVS%3E2.0.CO%3B2-3&origin=repec
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Peleg, Bezalel
oai:RePEc:ecm:emetrp:v:51:y:1983:i:3:p:637-452013-03-04RePEc:ecm:emetrp
article
A Financial Theory of Investment Behavior.
3
1983
51
May
Econometrica
637
45
http://links.jstor.org/sici?sici=0012-9682%28198305%2951%3A3%3C637%3AAFTOIB%3E2.0.CO%3B2-P&origin=repec
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Steigum, Erling, Jr
oai:RePEc:ecm:emetrp:v:48:y:1980:i:2:p:315-312013-03-04RePEc:ecm:emetrp
article
On the Disaggregation of Excess Demand Functions.
2
1980
48
March
Econometrica
315
31
http://links.jstor.org/sici?sici=0012-9682%28198003%2948%3A2%3C315%3AOTDOED%3E2.0.CO%3B2-6&origin=repec
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Geanakoplos, J D
Polemarchakis, H M
oai:RePEc:ecm:emetrp:v:40:y:1972:i:3:p:549-632013-03-04RePEc:ecm:emetrp
article
Market Excess Demand Functions.
3
1972
40
May
Econometrica
549
63
http://links.jstor.org/sici?sici=0012-9682%28197205%2940%3A3%3C549%3AMEDF%3E2.0.CO%3B2-3&origin=repec
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Sonnenschein, Hugo
oai:RePEc:ecm:emetrp:v:38:y:1970:i:3:p:507-162013-03-04RePEc:ecm:emetrp
article
The Estimation of Simultaneous Equation Models with Lagged Endogenous Variables and First Order Serially Correlated Errors.
3
1970
38
May
Econometrica
507
16
http://links.jstor.org/sici?sici=0012-9682%28197005%2938%3A3%3C507%3ATEOSEM%3E2.0.CO%3B2-T&origin=repec
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Fair, Ray C
oai:RePEc:ecm:emetrp:v:51:y:1983:i:6:p:1839-452013-03-04RePEc:ecm:emetrp
article
Energy Price Uncertainty and Optimal Factor Intensity: A Mean-Variance Analysis.
6
1983
51
November
Econometrica
1839
45
http://links.jstor.org/sici?sici=0012-9682%28198311%2951%3A6%3C1839%3AEPUAOF%3E2.0.CO%3B2-Z&origin=repec
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Abel, Andrew B
oai:RePEc:ecm:emetrp:v:48:y:1980:i:6:p:1451-612013-03-04RePEc:ecm:emetrp
article
Hybrid Corn Revisited.
6
1980
48
Sept.
Econometrica
1451
61
http://links.jstor.org/sici?sici=0012-9682%28198009%2948%3A6%3C1451%3AHCR%3E2.0.CO%3B2-3&origin=repec
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Dixon, Robert J
oai:RePEc:ecm:emetrp:v:72:y:2004:i:2:p:615-6252013-03-04RePEc:ecm:emetrp
article
Neoclassical Theory Versus Prospect Theory: Evidence from the Marketplace
Several experimental studies have provided evidence that suggest indifference curves have a kink around the current endowment level. These results, which clearly contradict closely held economic doctrines, have led some influential commentators to call for an entirely new economic paradigm to displace conventional neoclassical theory-e.g., prospect theory, which invokes psychological effects. This paper pits neoclassical theory against prospect theory by investigating data drawn from more than 375 subjects actively participating in a well-functioning marketplace. The pattern of results suggests that prospect theory adequately organizes behavior among inexperienced consumers, but consumers with intense market experience behave largely in accordance with neoclassical predictions. Moreover, the data are consistent with the notion that consumers learn to overcome the endowment effect in situations beyond specific problems they have previously encountered. This "transference of behavior" across domains has important implications in both a positive and normative sense. Copyright The Econometric Society 2004.
2
2004
72
03
Econometrica
615
625
http://hdl.handle.net/10.1111/j.1468-0262.2004.00502.x
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John A. List
oai:RePEc:ecm:emetrp:v:38:y:1970:i:5:p:666-812013-03-04RePEc:ecm:emetrp
article
Recursive Decision Systems: An Existence Analysis.
5
1970
38
Sept.
Econometrica
666
81
http://links.jstor.org/sici?sici=0012-9682%28197009%2938%3A5%3C666%3ARDSAEA%3E2.0.CO%3B2-E&origin=repec
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Day, Richard H
Kennedy, Peter E
oai:RePEc:ecm:emetrp:v:69:y:2001:i:1:p:1-352013-03-04RePEc:ecm:emetrp
article
Corporate Governance.
The paper first develops an economic analysis of the concept of shareholder value, describes its approach, and discusses some open questions. It emphasizes the relationship between pledgeable income, monitoring, and control rights using a unifying and simple framework. The paper then provides a first and preliminary analysis of the concept of the stakeholder society. It investigates whether the managerial incentives and the control structure described in the first part can be modified so as to promote the stakeholder society. It shows that the implementation of the stakeholder society strikes three rocks: dearth of pledgeable income, deadlocks in decision-making, and lack of clear mission for management. While it fares better than the stakeholder society on those three grounds, shareholder value generates biased decision-making; the paper analyzes the costs and benefits of various methods of protecting noncontrolling stakeholders: covenants, exit options, flat claims, enlarged fiduciary duty.
1
2001
69
January
Econometrica
1
35
Tirole, Jean
oai:RePEc:ecm:emetrp:v:54:y:1986:i:2:p:359-622013-03-04RePEc:ecm:emetrp
article
A Utility Representation for a Preference Relation on a s-Algebra.
2
1986
54
March
Econometrica
359
62
http://links.jstor.org/sici?sici=0012-9682%28198603%2954%3A2%3C359%3AAURFAP%3E2.0.CO%3B2-2&origin=repec
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Berliant, Marcus C
oai:RePEc:ecm:emetrp:v:50:y:1982:i:5:p:1143-622013-03-04RePEc:ecm:emetrp
article
Information in Production.
5
1982
50
September
Econometrica
1143
62
http://links.jstor.org/sici?sici=0012-9682%28198209%2950%3A5%3C1143%3AIIP%3E2.0.CO%3B2-4&origin=repec
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MacDonald, Glenn M
oai:RePEc:ecm:emetrp:v:59:y:1991:i:4:p:925-512013-03-04RePEc:ecm:emetrp
article
The Effects of Male and Female Labor Supply on Commodity Demands.
The authors examine the effects of male and female labor supply on household demands and present a simple and robust test for the separability of demands from labor supply. Using data on individual households from six years of the U.K. Family Expenditure Survey, they estimate a demand system for seven goods that includes hours and participation dummies as conditioning variables. Allowance is made for the possible endogeneity of theses conditioning labor-supply variables. The authors find that separability is rejected. Furthermore, they present evidence that ignoring labor supply leads to bias in the parameter estimates. Copyright 1991 by The Econometric Society.
4
1991
59
July
Econometrica
925
51
http://links.jstor.org/sici?sici=0012-9682%28199107%2959%3A4%3C925%3ATEOMAF%3E2.0.CO%3B2-8&origin=repec
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Browning, Martin
Meghir, Costas
oai:RePEc:ecm:emetrp:v:55:y:1987:i:2:p:441-672013-03-04RePEc:ecm:emetrp
article
Monopoly Provision of Quality and Warranties: An Exploration in the Theory of Multidimensional Screening.
New ways of handling incentive constraints between nonadjacent types of buyer are used to solve a monopoly screening problem. The monopoly wishes to price discriminate by designing a product line of goods distinguished by different quality, warranty, and price attributes. The multidimensionality of the line causes the local approach usually taken to fail. The optimal product line is nevertheless fully characterized. Contrary to the result always obtained in simple models, attributes need not be monotone in buyer type, e.g., more eager types sometimes receive lower quality. Copyright 1987 by The Econometric Society.
2
1987
55
March
Econometrica
441
67
http://links.jstor.org/sici?sici=0012-9682%28198703%2955%3A2%3C441%3AMPOQAW%3E2.0.CO%3B2-Y&origin=repec
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Matthews, Steven
Moore, John
oai:RePEc:ecm:emetrp:v:49:y:1981:i:1:p:1-322013-03-04RePEc:ecm:emetrp
article
Production Sets with Indivisibilities-Part I: Generalities.
1
1981
49
Jan.
Econometrica
1
32
http://links.jstor.org/sici?sici=0012-9682%28198101%2949%3A1%3C1%3APSWIPI%3E2.0.CO%3B2-V&origin=repec
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Scarf, Herbert E
oai:RePEc:ecm:emetrp:v:46:y:1978:i:6:p:1351-622013-03-04RePEc:ecm:emetrp
article
The Computation of FIML Estimates as Iterative Generalized Least Squares Estimates in Linear and Nonlinear Simultaneous Equations Models.
6
1978
46
Nov.
Econometrica
1351
62
http://links.jstor.org/sici?sici=0012-9682%28197811%2946%3A6%3C1351%3ATCOFEA%3E2.0.CO%3B2-T&origin=repec
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Dagenais, Marcel G
oai:RePEc:ecm:emetrp:v:66:y:1998:i:2:p:289-3142013-03-04RePEc:ecm:emetrp
article
Sieve Extremum Estimates for Weakly Dependent Data
Many non/semiparametric time series estimates may be regarded as different forms of sieve extremum estimates. For stationary absolute regular mixing observations, the authors obtain convergence rates of sieve extremurn estimates and root-n asymptotic normality of 'plug-in' sieve extremum estimates of smooth functionals. As applications to time series models, they give convergence rates for nonparametric ARX(p,q) regression via neural networks, splines, wavelets; root-n asymptotic normality for partial linear additive AR(p) models, and monotone transformation AR(1) models.
2
1998
66
March
Econometrica
289
314
Xiaohong Chen
Xiaotong Shen
oai:RePEc:ecm:emetrp:v:75:y:2007:i:4:p:1175-11892013-03-04RePEc:ecm:emetrp
article
Least Squares Model Averaging
This paper considers the problem of selection of weights for averaging across least squares estimates obtained from a set of models. Existing model average methods are based on exponential Akaike information criterion (AIC) and Bayesian information criterion (BIC) weights. In distinction, this paper proposes selecting the weights by minimizing a Mallows criterion, the latter an estimate of the average squared error from the model average fit. We show that our new Mallows model average (MMA) estimator is asymptotically optimal in the sense of achieving the lowest possible squared error in a class of discrete model average estimators. In a simulation experiment we show that the MMA estimator compares favorably with those based on AIC and BIC weights. The proof of the main result is an application of the work of Li (1987). Copyright The Econometric Society 2007.
4
2007
75
07
Econometrica
1175
1189
http://hdl.handle.net/10.1111/j.1468-0262.2007.00785.x
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Bruce E. Hansen
oai:RePEc:ecm:emetrp:v:67:y:1999:i:2:p:427-4342013-03-04RePEc:ecm:emetrp
article
A Root-N Consistent Semiparametric Estimator for Related-Effect Binary Response Panel Data
2
1999
67
March
Econometrica
427
434
Myoung-jae Lee
oai:RePEc:ecm:emetrp:v:61:y:1993:i:2:p:273-3022013-03-04RePEc:ecm:emetrp
article
Extensive Form Reasoning in Normal Form Games.
There is a tension between a belief in the strategic relevance of information sets and subgames and a belief in the sufficiency of the reduced normal form. The authors identify a prope rty of extensive form information sets and subgames termed strategic independence. Strategic independence is captured by the reduced norm al form and can be used to define normal form information sets and subgames. The authors prove a close relationship between these norma l form structures and their extensive form namesakes. They then motiva te and implement solution concepts corresponding to subgame perfection, sequential equilibrium, and forward induction entirely in the reduce d normal form. Copyright 1993 by The Econometric Society.
2
1993
61
March
Econometrica
273
302
http://links.jstor.org/sici?sici=0012-9682%28199303%2961%3A2%3C273%3AEFRINF%3E2.0.CO%3B2-N&origin=repec
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Mailath, George J
Samuelson, Larry
Swinkels, Jeroen M
oai:RePEc:ecm:emetrp:v:56:y:1988:i:2:p:467-722013-03-04RePEc:ecm:emetrp
article
Analytic Derivatives for Estimation of Discrete-Time,.
2
1988
56
March
Econometrica
467
72
http://links.jstor.org/sici?sici=0012-9682%28198803%2956%3A2%3C467%3AADFEOD%3E2.0.CO%3B2-6&origin=repec
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Zadrozny, Peter
oai:RePEc:ecm:emetrp:v:44:y:1976:i:3:p:561-732013-03-04RePEc:ecm:emetrp
article
A Small Open Economy with More Produced Commodities Than Factors.
3
1976
44
May
Econometrica
561
73
http://links.jstor.org/sici?sici=0012-9682%28197605%2944%3A3%3C561%3AASOEWM%3E2.0.CO%3B2-1&origin=repec
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Mayer, Wolfgang
oai:RePEc:ecm:emetrp:v:74:y:2006:i:4:p:929-9662013-03-04RePEc:ecm:emetrp
article
If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets
This paper provides an analysis of the asymptotic properties of Pareto optimal consumption allocations in a stochastic general equilibrium model with heterogeneous consumers. In particular, we investigate the market selection hypothesis that markets favor traders with more accurate beliefs. We show that in any Pareto-optimal allocation whether each consumer vanishes or survives is determined entirely by discount factors and beliefs. Whereas equilibrium allocations in economies with complete markets are Pareto optimal, our results characterize the limit behavior of these economies. We show that, all else equal, the market selects for consumers who use Bayesian learning with the truth in the support of their prior and selects among Bayesians according to the size of their parameter space. Finally, we show that in economies with incomplete markets, these conclusions may not hold. With incomplete markets, payoff functions can matter for long-run survival, and the market selection hypothesis fails. Copyright The Econometric Society 2006.
4
2006
74
07
Econometrica
929
966
http://hdl.handle.net/10.1111/j.1468-0262.2006.00691.x
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Lawrence Blume
David Easley
oai:RePEc:ecm:emetrp:v:50:y:1982:i:3:p:777-792013-03-04RePEc:ecm:emetrp
article
Revealed Preference: An Elementary Treatment.
3
1982
50
May
Econometrica
777
79
http://links.jstor.org/sici?sici=0012-9682%28198205%2950%3A3%3C777%3ARPAET%3E2.0.CO%3B2-6&origin=repec
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Sondermann, Dieter
oai:RePEc:ecm:emetrp:v:67:y:1999:i:4:p:741-7822013-03-04RePEc:ecm:emetrp
article
Incomplete Contracts: Where Do We Stand?
This paper takes stock of the advances and directions for research on the incomplete contracting front. It first illustrates some of the main ideas of the incomplete contract literature through an example. It then offers methodological insights on the standard approach to modeling incomplete contracts; in particular it discusses a tension between two assumptions made in the literature, namely rationality and the existence of transaction costs. Last, it argues that, contrary to what is commonly argued, the complete contract methodology need not be unable to account for standard institutions such as authority and ownership; and it concludes with a discussion of the research agenda.
4
1999
67
July
Econometrica
741
782
Jean Tirole
oai:RePEc:ecm:emetrp:v:66:y:1998:i:1:p:47-782013-03-04RePEc:ecm:emetrp
article
Estimating and Testing Linear Models with Multiple Structural Changes
This paper develops the statistical theory for testing and estimating multiple change points in regression models. The rate of convergence and limiting distribution for the estimated parameters are obtained. Several test statistics are proposed to determine the existence as well as the number of change points. A partial structural change model is considered. The authors study both fixed and shrinking magnitudes of shifts. In addition, the models allow for serially correlated disturbances (mixingales). An estimation strategy for which the location of the breaks need not be simultaneously determined is discussed. Instead, the authors' method successively estimates each break point.
1
1998
66
January
Econometrica
47
78
Jushan Bai
Pierre Perron
oai:RePEc:ecm:emetrp:v:52:y:1984:i:4:p:939-612013-03-04RePEc:ecm:emetrp
article
A Hazard Rate Approach to the Timing of Births.
4
1984
52
July
Econometrica
939
61
http://links.jstor.org/sici?sici=0012-9682%28198407%2952%3A4%3C939%3AAHRATT%3E2.0.CO%3B2-J&origin=repec
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Newman, John L
McCulloch, Charles E
oai:RePEc:ecm:emetrp:v:44:y:1976:i:3:p:467-732013-03-04RePEc:ecm:emetrp
article
Point Estimation in Multiplicative Models.
3
1976
44
May
Econometrica
467
73
http://links.jstor.org/sici?sici=0012-9682%28197605%2944%3A3%3C467%3APEIMM%3E2.0.CO%3B2-A&origin=repec
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Evans, I G
Shaban, S A
oai:RePEc:ecm:emetrp:v:49:y:1981:i:4:p:921-432013-03-04RePEc:ecm:emetrp
article
Rational Expectations, Information Acquisition, and Competitive Bidding.
4
1981
49
June
Econometrica
921
43
http://links.jstor.org/sici?sici=0012-9682%28198107%2949%3A4%3C921%3AREIAAC%3E2.0.CO%3B2-W&origin=repec
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Milgrom, Paul R
oai:RePEc:ecm:emetrp:v:68:y:2000:i:1:p:135-1482013-03-04RePEc:ecm:emetrp
article
Information Acquisition in Auctions
2000
68
January
1
Econometrica
135
148
Nicola Persico
oai:RePEc:ecm:emetrp:v:68:y:2000:i:2:p:275-3082013-03-04RePEc:ecm:emetrp
article
Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options
Option theory predicts that mortgage prepayment or default will be exercised by homeowners if the call or put option is sufficiently "in the money." This analysis: tests the extent to which the option approach explains default and prepayment behavior; evaluates the importance of modeling both options simultaneously; and models the unobserved heterogeneity of mortgage holders. The paper presents a unified model of the competing risks of mortgage termination, considering the hazards as dependent competing risks, estimated jointly. It also accounts for the unobserved heterogeneity among borrowers, and estimates the unobserved heterogeneity simultaneously with the prepayment and default functions.
2000
68
March
2
Econometrica
275
308
Yongheng Deng
John M. Quigley
Robert Van Order
oai:RePEc:ecm:emetrp:v:77:y:2009:i:1:p:107-1332013-03-04RePEc:ecm:emetrp
article
Decision Theory Applied to a Linear Panel Data Model
This paper applies some general concepts in decision theory to a linear panel data model. A simple version of the model is an autoregression with a separate intercept for each unit in the cross section, with errors that are independent and identically distributed with a normal distribution. There is a parameter of interest Gamma and a nuisance parameter τ, a N×K matrix, where N is the cross-section sample size. The focus is on dealing with the incidental parameters problem created by a potentially high-dimension nuisance parameter. We adopt a "fixed-effects" approach that seeks to protect against any sequence of incidental parameters. We transform tau to (delta, rho, omega), where delta is a J x K matrix of coefficients from the least-squares projection of tau on a N x J matrix x of strictly exogenous variables, rho is a K x K symmetric, positive semidefinite matrix obtained from the residual sums of squares and cross-products in the projection of tau on x, and omega is a (N - J) x K matrix whose columns are orthogonal and have unit length. The model is invariant under the actions of a group on the sample space and the parameter space, and we find a maximal invariant statistic. The distribution of the maximal invariant statistic does not depend upon omega. There is a unique invariant distribution for omega. We use this invariant distribution as a prior distribution to obtain an integrated likelihood function. It depends upon the observation only through the maximal invariant statistic. We use the maximal invariant statistic to construct a marginal likelihood function, so we can eliminate omega by integration with respect to the invariant prior distribution or by working with the marginal likelihood function. The two approaches coincide. Copyright 2009 The Econometric Society.
1
2009
77
01
Econometrica
107
133
http://hdl.handle.net/10.3982/ECTA6869
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Gary Chamberlain
Marcelo J. Moreira
oai:RePEc:ecm:emetrp:v:50:y:1982:i:4:p:1009-272013-03-04RePEc:ecm:emetrp
article
Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator.
4
1982
50
July
Econometrica
1009
27
http://links.jstor.org/sici?sici=0012-9682%28198207%2950%3A4%3C1009%3AEOTDFO%3E2.0.CO%3B2-%23&origin=repec
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Anderson, T W
Kunitomo, Naoto
Sawa, Takamitsu
oai:RePEc:ecm:emetrp:v:44:y:1976:i:4:p:829-302013-03-04RePEc:ecm:emetrp
article
Existence of Approximate Cores with Incomplete Preferences.
4
1976
44
July
Econometrica
829
30
http://links.jstor.org/sici?sici=0012-9682%28197607%2944%3A4%3C829%3AEOACWI%3E2.0.CO%3B2-Z&origin=repec
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Grodal, Birgit
oai:RePEc:ecm:emetrp:v:73:y:2005:i:5:p:1587-16212013-03-04RePEc:ecm:emetrp
article
Zero Expected Wealth Taxes: A Mirrlees Approach to Dynamic Optimal Taxation
In this paper, I consider a dynamic economy in which a government needs to finance a stochastic process of purchases. The agents in the economy are privately informed about their skills, which evolve stochastically over time; I impose no restriction on the stochastic evolution of skills. I construct a tax system that implements a symmetric constrained Pareto optimal allocation. The tax system is constrained to be linear in an agent's wealth, but can be arbitrarily nonlinear in his current and past labor incomes. I find that wealth taxes in a given period depend on the individual's labor income in that period and previous ones. However, in any period, the expectation of an agent's wealth tax rate in the following period is zero. As well, the government never collects any net revenue from wealth taxes. Copyright The Econometric Society 2005.
5
2005
73
09
Econometrica
1587
1621
http://hdl.handle.net/10.1111/j.1468-0262.2005.00630.x
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Narayana R. Kocherlakota
oai:RePEc:ecm:emetrp:v:54:y:1986:i:1:p:153-692013-03-04RePEc:ecm:emetrp
article
Simultaneity of Issues and Additivity in Bargaining.
1
1986
54
January
Econometrica
153
69
http://links.jstor.org/sici?sici=0012-9682%28198601%2954%3A1%3C153%3ASOIAAI%3E2.0.CO%3B2-P&origin=repec
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Peters, Hans J M
oai:RePEc:ecm:emetrp:v:45:y:1977:i:6:p:1365-762013-03-04RePEc:ecm:emetrp
article
The Continuity of Optimal Dynamic Decision Rules.
6
1977
45
Sept.
Econometrica
1365
76
http://links.jstor.org/sici?sici=0012-9682%28197709%2945%3A6%3C1365%3ATCOODD%3E2.0.CO%3B2-N&origin=repec
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Jordan, J S
oai:RePEc:ecm:emetrp:v:42:y:1974:i:1:p:169-762013-03-04RePEc:ecm:emetrp
article
The Validity of Nagar's Expansion for the Moments of Econometric Estimators.
1
1974
42
Jan.
Econometrica
169
76
http://links.jstor.org/sici?sici=0012-9682%28197401%2942%3A1%3C169%3ATVONEF%3E2.0.CO%3B2-3&origin=repec
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Sargan, J D
oai:RePEc:ecm:emetrp:v:44:y:1976:i:6:p:1239-512013-03-04RePEc:ecm:emetrp
article
Social Welfare and Income Distribution.
6
1976
44
Nov.
Econometrica
1239
51
http://links.jstor.org/sici?sici=0012-9682%28197611%2944%3A6%3C1239%3ASWAID%3E2.0.CO%3B2-C&origin=repec
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Sadka, Efraim
oai:RePEc:ecm:emetrp:v:38:y:1970:i:6:p:927-292013-03-04RePEc:ecm:emetrp
article
An Axiomatic Basis for the Ramsey- Weizsacker Overtaking Criterion.
6
1970
38
Nov.
Econometrica
927
29
http://links.jstor.org/sici?sici=0012-9682%28197011%2938%3A6%3C927%3AAABFTR%3E2.0.CO%3B2-6&origin=repec
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Brock, William A
oai:RePEc:ecm:emetrp:v:67:y:1999:i:1:p:1-202013-03-04RePEc:ecm:emetrp
article
The Democratic Political Economy of Progressive Income Taxation
Why do both left and right political parties typically propose progressive income taxation schemes in political competition? Analysis of this problem has been hindered by the two-dimensionality space of admissible tax policies: Nash equilibria in pure strategies of the usual political game generically fail to exist. A new equilibrium concept, based on the fact of factional conflict within parties, is introduced. Each party has incomplete preference orders on the strategy space, formed as the intersection of the complete preference orders of its factions. Nash equilibria of the two-party game, so construed, do exist and, in such equilibria, both parties propose progressive income taxation.
1
1999
67
January
Econometrica
1
20
John E. Roemer
oai:RePEc:ecm:emetrp:v:41:y:1973:i:6:p:1203-062013-03-04RePEc:ecm:emetrp
article
Wallace's Weak Mean Square Error Criterion for Testing Linear Restrictions in Regression: A Tighter Bound.
6
1973
41
Nov.
Econometrica
1203
06
http://links.jstor.org/sici?sici=0012-9682%28197311%2941%3A6%3C1203%3AWWMSEC%3E2.0.CO%3B2-V&origin=repec
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Yancey, T A
Judge, G G
Bock, M E
oai:RePEc:ecm:emetrp:v:42:y:1974:i:1:p:147-672013-03-04RePEc:ecm:emetrp
article
Quality, Commodity Hierarchies, and Housing Markets.
1
1974
42
Jan.
Econometrica
147
67
http://links.jstor.org/sici?sici=0012-9682%28197401%2942%3A1%3C147%3AQCHAHM%3E2.0.CO%3B2-J&origin=repec
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Sweeney, James L
oai:RePEc:ecm:emetrp:v:40:y:1972:i:6:p:1121-352013-03-04RePEc:ecm:emetrp
article
Transitive Multi-Stage Majority Decisions with Quasi-Transitive Individual Preferences.
6
1972
40
Nov.
Econometrica
1121
35
http://links.jstor.org/sici?sici=0012-9682%28197211%2940%3A6%3C1121%3ATMMDWQ%3E2.0.CO%3B2-D&origin=repec
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Batra, Raveendra N
Pattanaik, Prasanta K
oai:RePEc:ecm:emetrp:v:71:y:2003:i:5:p:1339-13752013-03-04RePEc:ecm:emetrp
article
Nonparametric Estimation of Nonadditive Random Functions
We present estimators for nonparametric functions that are nonadditive in unobservable random terms. The distributions of the unobservable random terms are assumed to be unknown. We show that when a nonadditive, nonparametric function is strictly monotone in an unobservable random term, and it satisfies some other properties that may be implied by economic theory, such as homogeneity of degree one or separability, the function and the distribution of the unobservable random term are identified. We also present convenient normalizations, to use when the properties of the function, other than strict monotonicity in the unobservable random term, are unknown. The estimators for the nonparametric function and for the distribution of the unobservable random term are shown to be consistent and asymptotically normal. We extend the results to functions that depend on a multivariate random term. The results of a limited simulation study are presented. Copyright The Econometric Society 2003.
5
2003
71
09
Econometrica
1339
1375
Rosa L. Matzkin
oai:RePEc:ecm:emetrp:v:46:y:1978:i:4:p:835-412013-03-04RePEc:ecm:emetrp
article
Advantageous Reallocations of Initial Resources.
4
1978
46
July
Econometrica
835
41
http://links.jstor.org/sici?sici=0012-9682%28197807%2946%3A4%3C835%3AAROIR%3E2.0.CO%3B2-Y&origin=repec
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Guesnerie, Roger
Laffont, Jean-Jacques
oai:RePEc:ecm:emetrp:v:49:y:1981:i:5:p:1245-602013-03-04RePEc:ecm:emetrp
article
Optimal Taxes and the Structure of Preferences.
5
1981
49
Sept.
Econometrica
1245
60
http://links.jstor.org/sici?sici=0012-9682%28198109%2949%3A5%3C1245%3AOTATSO%3E2.0.CO%3B2-3&origin=repec
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Deaton, Angus
oai:RePEc:ecm:emetrp:v:40:y:1972:i:2:p:371-852013-03-04RePEc:ecm:emetrp
article
Assets, Contingent Commodities, and the Slutsky Equations.
2
1972
40
March
Econometrica
371
85
http://links.jstor.org/sici?sici=0012-9682%28197203%2940%3A2%3C371%3AACCATS%3E2.0.CO%3B2-6&origin=repec
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Fischer, Stanley
oai:RePEc:ecm:emetrp:v:70:y:2002:i:4:p:1583-16122013-03-04RePEc:ecm:emetrp
article
Inference on the Quantile Regression Process
Tests based on the quantile regression process can be formulated like the classical Kolmogorov-Smirnov and Cramer-von-Mises tests of goodness-of-fit employing the theory of Bessel processes as in Kiefer (1959). However, it is frequently desirable to formulate hypotheses involving unknown nuisance parameters, thereby jeopardizing the distribution free character of these tests. We characterize this situation as "the Durbin problem" since it was posed in Durbin (1973), for parametric empirical processes. In this paper we consider an approach to the Durbin problem involving a martingale transformation of the parametric empirical process suggested by Khmaladze (1981) and show that it can be adapted to a wide variety of inference problems involving the quantile regression process. In particular, we suggest new tests of the location shift and location-scale shift models that underlie much of classical econometric inference. The methods are illustrated with a reanalysis of data on unemployment durations from the Pennsylvania Reemployment Bonus Experiments. The Pennsylvania experiments, conducted in 1988-89, were designed to test the efficacy of cash bonuses paid for early reemployment in shortening the duration of insured unemployment spells. Copyright The Econometric Society 2002.
4
2002
70
July
Econometrica
1583
1612
Roger Koenker
roger@ysidro.econ.uiuc.edu
University of Illinois, U.S.A.
Zhijie Xiao
zxiao@uiuc.edu
University of Illinois, U.S.A
oai:RePEc:ecm:emetrp:v:57:y:1989:i:2:p:385-4092013-03-04RePEc:ecm:emetrp
article
Estimating the Value of an In-Kind Transfer: The Case of Food Stamps.
The value of one in-kind transfer, food stamps, is estimated by evaluating the experience of an actual conversion from stamps to cash in Puerto Rico in 1982. The evidence indicates that the cashout of the stamps had no detectable influence on food expenditures. The explanation partly lies in the distribution of expenditures, for the stamps were inframarginal for most recipients. However, some evidence indicates that trafficking in stamps was widespread as well, including indirect evidence from estimation of the piecewise-linear constraint model. Copyright 1989 by The Econometric Society.
2
1989
57
March
Econometrica
385
409
http://links.jstor.org/sici?sici=0012-9682%28198903%2957%3A2%3C385%3AETVOAI%3E2.0.CO%3B2-B&origin=repec
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Moffitt, Robert
oai:RePEc:ecm:emetrp:v:44:y:1976:i:4:p:713-232013-03-04RePEc:ecm:emetrp
article
The Identification and Parameterization of ARMAX and State Space Forms.
4
1976
44
July
Econometrica
713
23
http://links.jstor.org/sici?sici=0012-9682%28197607%2944%3A4%3C713%3ATIAPOA%3E2.0.CO%3B2-4&origin=repec
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Hannan, E J
oai:RePEc:ecm:emetrp:v:41:y:1973:i:3:p:383-4102013-03-04RePEc:ecm:emetrp
article
Markets for an Exchange Economy with Individual Risks.
3
1973
41
May
Econometrica
383
410
http://links.jstor.org/sici?sici=0012-9682%28197305%2941%3A3%3C383%3AMFAEEW%3E2.0.CO%3B2-%23&origin=repec
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Malinvaud, E
oai:RePEc:ecm:emetrp:v:59:y:1991:i:4:p:1023-392013-03-04RePEc:ecm:emetrp
article
Fair Allocation of Indivisible Goods and Criteria of Justice.
A set of n objects and an amount M of money is to be distributed among m people. Example: the objects are tasks and the money is compensation from a fixed budget. An elementary argument via constrained optimization shows that for M sufficiently large the set of efficient, envy free allocations is nonempty and has a nice structure. In particular, various criteria of justice lead to unique best fair allocations that are well behaved with respect to changes of M. This is in sharp contrast to the usual fair division theory with divisible goods. Copyright 1991 by The Econometric Society.
4
1991
59
July
Econometrica
1023
39
http://links.jstor.org/sici?sici=0012-9682%28199107%2959%3A4%3C1023%3AFAOIGA%3E2.0.CO%3B2-5&origin=repec
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Alkan, Ahmet
Demange, Gabrielle
Gale, David
oai:RePEc:ecm:emetrp:v:59:y:1991:i:5:p:1497-5082013-03-04RePEc:ecm:emetrp
article
A Generalization of Hicksian q Substitutes and Complements with Application to Demand Rationing.
5
1991
59
September
Econometrica
1497
508
http://links.jstor.org/sici?sici=0012-9682%28199109%2959%3A5%3C1497%3AAGOHSA%3E2.0.CO%3B2-N&origin=repec
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Madden, Paul
oai:RePEc:ecm:emetrp:v:51:y:1983:i:1:p:153-742013-03-04RePEc:ecm:emetrp
article
Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk.
1
1983
51
January
Econometrica
153
74
http://links.jstor.org/sici?sici=0012-9682%28198301%2951%3A1%3C153%3ATRFLSR%3E2.0.CO%3B2-Q&origin=repec
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Sargan, John Denis
Bhargava, Alok
oai:RePEc:ecm:emetrp:v:54:y:1986:i:4:p:785-8062013-03-04RePEc:ecm:emetrp
article
Bargaining and Competition Part I: Characterization.
4
1986
54
July
Econometrica
785
806
http://links.jstor.org/sici?sici=0012-9682%28198607%2954%3A4%3C785%3ABACPIC%3E2.0.CO%3B2-H&origin=repec
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Gale, Douglas M
oai:RePEc:ecm:emetrp:v:74:y:2006:i:5:p:1191-12302013-03-04RePEc:ecm:emetrp
article
The Effect of School Choice on Participants: Evidence from Randomized Lotteries
School choice has become an increasingly prominent strategy for enhancing academic achievement. To evaluate the impact on participants, we exploit randomized lotteries that determine high school admission in the Chicago Public Schools. Compared to those students who lose lotteries, students who win attend high schools that are better in a number of dimensions, including peer achievement and attainment levels. Nonetheless, we find little evidence that winning a lottery provides any systematic benefit across a wide variety of traditional academic measures. Lottery winners do, however, experience improvements on a subset of nontraditional outcome measures, such as self-reported disciplinary incidents and arrest rates. Copyright The Econometric Society 2006.
5
2006
74
09
Econometrica
1191
1230
http://hdl.handle.net/10.1111/j.1468-0262.2006.00702.x
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link to full text
Julie Berry Cullen
Brian A Jacob
Steven Levitt
oai:RePEc:ecm:emetrp:v:45:y:1977:i:1:p:133-462013-03-04RePEc:ecm:emetrp
article
Ray-Homothetic Production Functions.
1
1977
45
Jan.
Econometrica
133
46
http://links.jstor.org/sici?sici=0012-9682%28197701%2945%3A1%3C133%3ARPF%3E2.0.CO%3B2-9&origin=repec
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Fare, Rolf
Shephard, Ronald W
oai:RePEc:ecm:emetrp:v:56:y:1988:i:6:p:1371-952013-03-04RePEc:ecm:emetrp
article
Estimating Vector Autoregressions with Panel Data.
This paper considers estimation and testing of vector autoregressio n coefficients in panel data, and applies the techniques to analyze the dynamic relationships between wages an d hours worked in two samples of American males. The model allows for nonstationary individual effects and is estimated by applying instrumental variables to the quasi-differenced autoregressive equations. The empirical results suggest the absence of lagged hours in the wage forecasting equation. The results also show that lagged hours is important in the hours equation. Copyright 1988 by The Econometric Society.
6
1988
56
November
Econometrica
1371
95
http://links.jstor.org/sici?sici=0012-9682%28198811%2956%3A6%3C1371%3AEVAWPD%3E2.0.CO%3B2-V&origin=repec
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Holtz-Eakin, Douglas
Newey, Whitney
Rosen, Harvey S
oai:RePEc:ecm:emetrp:v:38:y:1970:i:5:p:7722013-03-04RePEc:ecm:emetrp
article
The Asymptotic Unbiasedness of Two- Stage Least Squares.
5
1970
38
Sept.
Econometrica
772
772
Richardson, David H
oai:RePEc:ecm:emetrp:v:43:y:1975:i:1:p:177-782013-03-04RePEc:ecm:emetrp
article
A Program for Estimating Econometric Models-ECOMP 3.
1
1975
43
Jan.
Econometrica
177
78
http://links.jstor.org/sici?sici=0012-9682%28197501%2943%3A1%3C177%3AAPFEEM%3E2.0.CO%3B2-D&origin=repec
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Richardson, D H
Rohr, R J
oai:RePEc:ecm:emetrp:v:67:y:1999:i:5:p:1113-11562013-03-04RePEc:ecm:emetrp
article
Error Bands for Impulse Responses
We show how to correctly extend known methods for generating error bands in reduced form VAR's to overidentified models. We argue that the conventional pointwise bands common in the literature should be supplemented with measures of shape uncertainty, and we show how to generate such measures. We focus on bands that characterize the shape of the likelihood. Such bands are not classical confidence regions. We explain that classical confidence regions mix information about parameter location with information about model fit, and hence can be misleading as summaries of the implications of the data for the location of parameters.
5
1999
67
September
Econometrica
1113
1156
Christopher A. Sims
Tao Zha
oai:RePEc:ecm:emetrp:v:41:y:1973:i:5:p:817-282013-03-04RePEc:ecm:emetrp
article
On the Uniqueness of Competitive Equilibrium: Part I, Unbounded Demand.
5
1973
41
Sept.
Econometrica
817
28
http://links.jstor.org/sici?sici=0012-9682%28197309%2941%3A5%3C817%3AOTUOCE%3E2.0.CO%3B2-X&origin=repec
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Pearce, I F
Wise, J
oai:RePEc:ecm:emetrp:v:46:y:1978:i:6:p:1303-102013-03-04RePEc:ecm:emetrp
article
Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables.
6
1978
46
Nov.
Econometrica
1303
10
http://links.jstor.org/sici?sici=0012-9682%28197811%2946%3A6%3C1303%3ATFHOSC%3E2.0.CO%3B2-U&origin=repec
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Godfrey, Leslie G
oai:RePEc:ecm:emetrp:v:44:y:1976:i:4:p:819-212013-03-04RePEc:ecm:emetrp
article
The Relative Factor Intensities of Investment-and Consumer-Goods Industries: A Note.
4
1976
44
July
Econometrica
819
21
http://links.jstor.org/sici?sici=0012-9682%28197607%2944%3A4%3C819%3ATRFIOI%3E2.0.CO%3B2-%23&origin=repec
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Sutton, John
oai:RePEc:ecm:emetrp:v:52:y:1984:i:1:p:59-862013-03-04RePEc:ecm:emetrp
article
Effective Policy Tools and Quantity Controls.
1
1984
52
January
Econometrica
59
86
http://links.jstor.org/sici?sici=0012-9682%28198401%2952%3A1%3C59%3AEPTAQC%3E2.0.CO%3B2-P&origin=repec
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Guesnerie, Roger
Roberts, Kevin
oai:RePEc:ecm:emetrp:v:55:y:1987:i:5:p:1211-152013-03-04RePEc:ecm:emetrp
article
Testing Regression Equality with Unequal Variances.
5
1987
55
September
Econometrica
1211
15
http://links.jstor.org/sici?sici=0012-9682%28198709%2955%3A5%3C1211%3ATREWUV%3E2.0.CO%3B2-N&origin=repec
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Weerahandi, Samaradasa
oai:RePEc:ecm:emetrp:v:60:y:1992:i:5:p:1215-262013-03-04RePEc:ecm:emetrp
article
When Are Variance Ratio Tests for Serial Dependence Optimal?
This paper considers a class of statistics that can be written as the ratio of the sample variance of a filtered time series to the sample variance of the original series. Any such statistic is shown to be optimal under normality for testing a null of white noise against some class of serially dependent alternatives. A simple characterization of the alternative class is provided. The results are used to show that a variance ratio test for mean reversion is an optimal test and to illustrate the forms of mean reversion it is best at detecting. Copyright 1992 by The Econometric Society.
5
1992
60
September
Econometrica
1215
26
http://links.jstor.org/sici?sici=0012-9682%28199209%2960%3A5%3C1215%3AWAVRTF%3E2.0.CO%3B2-J&origin=repec
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Faust, Jon
oai:RePEc:ecm:emetrp:v:74:y:2006:i:6:p:1675-16982013-03-04RePEc:ecm:emetrp
article
Bounds in Competing Risks Models and the War on Cancer
In 1971, President Nixon declared war on cancer. Thirty years later, many declared this war a failure: the age-adjusted mortality rate from cancer in 2000 was essentially the same as in the early 1970s. Meanwhile the age-adjusted mortality rate from cardiovascular disease fell dramatically. Since the causes that underlie cancer and cardiovascular disease are likely dependent, the decline in mortality rates from cardiovascular disease may partially explain the lack of progress in cancer mortality. Because competing risks models (used to model mortality from multiple causes) are fundamentally unidentified, it is difficult to estimate cancer trends. We derive bounds for aspects of the underlying distributions without assuming that the underlying risks are independent. We then estimate changes in cancer and cardiovascular mortality since 1970. The bounds for the change in duration until death for either cause are fairly tight and suggest much larger improvements in cancer than previously estimated. Copyright The Econometric Society 2006.
6
2006
74
11
Econometrica
1675
1698
http://hdl.handle.net/10.1111/j.1468-0262.2006.00722.x
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Bo E. Honoré
Adriana Lleras-Muney
oai:RePEc:ecm:emetrp:v:45:y:1977:i:7:p:1657-802013-03-04RePEc:ecm:emetrp
article
Trade and Prices in a Closed Economy with Exogeneous Uncertainty, Different Levels of Information, Money and Compound Futures Markets.
7
1977
45
Oct.
Econometrica
1657
80
http://links.jstor.org/sici?sici=0012-9682%28197710%2945%3A7%3C1657%3ATAPIAC%3E2.0.CO%3B2-G&origin=repec
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Dubey, Pradeep
Shubik, Martin
oai:RePEc:ecm:emetrp:v:49:y:1981:i:2:p:279-3172013-03-04RePEc:ecm:emetrp
article
Stability, Disequilibrium Awareness, and the Perception of New Opportunities.
2
1981
49
March
Econometrica
279
317
http://links.jstor.org/sici?sici=0012-9682%28198103%2949%3A2%3C279%3ASDAATP%3E2.0.CO%3B2-J&origin=repec
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Fisher, Franklin M
oai:RePEc:ecm:emetrp:v:51:y:1983:i:5:p:1505-252013-03-04RePEc:ecm:emetrp
article
ERAs: A New Approach to Small Sample Theory.
5
1983
51
September
Econometrica
1505
25
http://links.jstor.org/sici?sici=0012-9682%28198309%2951%3A5%3C1505%3AEANATS%3E2.0.CO%3B2-K&origin=repec
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Phillips, Peter C B
oai:RePEc:ecm:emetrp:v:72:y:2004:i:1:p:159-2172013-03-04RePEc:ecm:emetrp
article
Worms: Identifying Impacts on Education and Health in the Presence of Treatment Externalities
Intestinal helminths-including hookworm, roundworm, whipworm, and schistosomiasis-infect more than one-quarter of the world's population. Studies in which medical treatment is randomized at the individual level potentially doubly underestimate the benefits of treatment, missing externality benefits to the comparison group from reduced disease transmission, and therefore also underestimating benefits for the treatment group. We evaluate a Kenyan project in which school-based mass treatment with deworming drugs was randomly phased into schools, rather than to individuals, allowing estimation of overall program effects. The program reduced school absenteeism in treatment schools by one-quarter, and was far cheaper than alternative ways of boosting school participation. Deworming substantially improved health and school participation among untreated children in both treatment schools and neighboring schools, and these externalities are large enough to justify fully subsidizing treatment. Yet we do not find evidence that deworming improved academic test scores. Copyright Econometric Society 2004.
1
2004
72
01
Econometrica
159
217
http://hdl.handle.net/10.1111/j.1468-0262.2004.00481.x
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Edward Miguel
Michael Kremer
oai:RePEc:ecm:emetrp:v:66:y:1998:i:3:p:673-6882013-03-04RePEc:ecm:emetrp
article
Instrumental Models and Indirect Encompassing
Methods of indirect, simulation-based inference for nested and nonnested hypotheses are developed. The methods make use of instrumental models and are applicable in cases where likelihood-based inference is numerically unfeasible. The asymptotic normality of an indirect Wald vector is shown and the implicit null hypotheses of the proposed tests are characterized as generalizations of the standard encompassing hypothesis. Some of the tests generalize well-known instrumental variable methods and Hausman-Wu specification tests.
3
1998
66
May
Econometrica
673
688
Geert Dhaene
Christian Gourieroux
Olivier Scaillet
oai:RePEc:ecm:emetrp:v:51:y:1983:i:4:p:1187-2072013-03-04RePEc:ecm:emetrp
article
The Properties of the Parameterization of ARMAX Systems and Their Relevance for Structural Estimation and Dynamic Specification.
4
1983
51
July
Econometrica
1187
207
http://links.jstor.org/sici?sici=0012-9682%28198307%2951%3A4%3C1187%3ATPOTPO%3E2.0.CO%3B2-C&origin=repec
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Deistler, Manfred
oai:RePEc:ecm:emetrp:v:44:y:1976:i:2:p:391-992013-03-04RePEc:ecm:emetrp
article
The Distributional Implications of Public Goods.
2
1976
44
March
Econometrica
391
99
http://links.jstor.org/sici?sici=0012-9682%28197603%2944%3A2%3C391%3ATDIOPG%3E2.0.CO%3B2-S&origin=repec
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Brennan, Geoffrey
oai:RePEc:ecm:emetrp:v:76:y:2008:i:2:p:307-3522013-03-04RePEc:ecm:emetrp
article
Admissibility in Games
Suppose that each player in a game is rational, each player thinks the other players are rational, and so on. Also, suppose that rationality is taken to incorporate an admissibility requirement-that is, the avoidance of weakly dominated strategies. Which strategies can be played? We provide an epistemic framework in which to address this question. Specifically, we formulate conditions of rationality and mth-order assumption of rationality (RmAR) and rationality and common assumption of rationality (RCAR). We show that (i) RCAR is characterized by a solution concept we call a "self-admissible set"; (ii) in a "complete" type structure, RmAR is characterized by the set of strategies that survive m+1 rounds of elimination of inadmissible strategies; (iii) under certain conditions, RCAR is impossible in a complete structure. Copyright The Econometric Society 2008.
2
2008
76
03
Econometrica
307
352
http://hdl.handle.net/10.1111/j.0012-9682.2008.00835.x
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Adam Brandenburger
Amanda Friedenberg
H. Jerome Keisler
oai:RePEc:ecm:emetrp:v:50:y:1982:i:2:p:409-252013-03-04RePEc:ecm:emetrp
article
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions.
2
1982
50
March
Econometrica
409
25
http://links.jstor.org/sici?sici=0012-9682%28198203%2950%3A2%3C409%3AREIDLM%3E2.0.CO%3B2-2&origin=repec
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Gourieroux, C
Laffont, J J
Monfort, Alain
oai:RePEc:ecm:emetrp:v:69:y:2001:i:4:p:995-10122013-03-04RePEc:ecm:emetrp
article
Necessity of Transversality Conditions for Infinite Horizon Problems.
This paper studies necessity of transversality conditions for the continuous time, reduced form model. By generalizing Benveniste and Scheinkman's (1982) "envelope" condition and Michel's (1990) version of the squeezing argument, we show a generalization of Michel's (1990, Theorem 1) necessity result that does not assume concavity. The generalization enables us to generalize Ekeland and Scheinkman's (1986) result as well as to establish a new result that does not require the objective functional to be finite. The new result implies that homogeneity of the return function alone is sufficient for the necessity of the most standard transversality condition. Our results are also applied to a nonstationary version of the one-sector growth model. It is shown that bubbles never arise in an equilibrium asset pricing model with a nonlinear constraint.
4
2001
69
July
Econometrica
995
1012
Kamihigashi, Takashi
oai:RePEc:ecm:emetrp:v:45:y:1977:i:6:p:1439-552013-03-04RePEc:ecm:emetrp
article
Measuring Returns to Scale in the Aggregate, and the Scale Effect of Public Goods.
6
1977
45
Sept.
Econometrica
1439
55
http://links.jstor.org/sici?sici=0012-9682%28197709%2945%3A6%3C1439%3AMRTSIT%3E2.0.CO%3B2-U&origin=repec
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Starrett, David A
oai:RePEc:ecm:emetrp:v:76:y:2008:i:3:p:493-5402013-03-04RePEc:ecm:emetrp
article
Collusion With Persistent Cost Shocks
We consider a dynamic Bertrand game in which prices are publicly observed and each firm receives a privately observed cost shock in each period. Although cost shocks are independent across firms, within a firm costs follow a first-order Markov process. We analyze the set of collusive equilibria available to firms, emphasizing the best collusive scheme for the firms at the start of the game. In general, there is a trade-off between productive efficiency, whereby the low-cost firm serves the market in a given period, and high prices. We show that when costs are perfectly correlated over time within a firm, if the distribution of costs is log-concave and firms are sufficiently patient, then the optimal collusive scheme entails price rigidity: firms set the same price and share the market equally, regardless of their respective costs. When serial correlation of costs is imperfect, partial productive efficiency is optimal. For the case of two cost types, first-best collusion is possible if the firms are patient relative to the persistence of cost shocks, but not otherwise. We present numerical examples of first-best collusive schemes. Copyright Copyright 2008 by The Econometric Society.
3
2008
76
05
Econometrica
493
540
http://hdl.handle.net/10.1111/j.1468-0262.2008.00845.x
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Susan Athey
Kyle Bagwell
oai:RePEc:ecm:emetrp:v:38:y:1970:i:2:p:361-662013-03-04RePEc:ecm:emetrp
article
Tests of Equality Between Sets of Coefficients in Two Linear Regressions: An Expository Note.
2
1970
38
March
Econometrica
361
66
http://links.jstor.org/sici?sici=0012-9682%28197003%2938%3A2%3C361%3ATOEBSO%3E2.0.CO%3B2-0&origin=repec
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Fisher, Franklin M
oai:RePEc:ecm:emetrp:v:56:y:1988:i:4:p:815-402013-03-04RePEc:ecm:emetrp
article
Arbitrage and Diversification in a General Equilibrium Asset Economy.
This paper presents a theory of equilibrium asset pricing that generalizes the recent work of G. Connor (1984). Th e model extends Connor's results to more general sets of asset return s and consumer preferences; introduces production; and provides a fra mework for analyzing exact and approximate equilibrium asset pricing. The other major contribution of the paper is the introduction of geo metric arguments that exploit the properties of induced preferences o ver assets. This method of analyzing asset pricing provides an intuit ively appealing way of analyzing equilibrium asset pricing theories. Copyright 1988 by The Econometric Society.
4
1988
56
July
Econometrica
815
40
http://links.jstor.org/sici?sici=0012-9682%28198807%2956%3A4%3C815%3AAADIAG%3E2.0.CO%3B2-9&origin=repec
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Milne, Frank
oai:RePEc:ecm:emetrp:v:69:y:2001:i:3:p:665-812013-03-04RePEc:ecm:emetrp
article
Public Disclosure and Dissimulation of Insider Trades.
Regulation requiring insiders to publicly disclose their stock trades after the fact complicates the trading decisions of informed, rent-seeking insiders. Given this requirement, we present an insider's equilibrium trading strategy in a multiperiod rational expectations framework. Relative to Kyle (1985), price discovery is accelerated and insider profits are lower. The strategy balances immediate profits from informed trades against the reduction in future profits following trade disclosure and, hence, revelation of some of the insider's information. Our results offer a novel rationale for contrarian trading: dissimulation, a phenomenon distinct from manipulation, may underlie insiders' trading decisions.
3
2001
69
May
Econometrica
665
81
Huddart, Steven
Hughes, John S
Levine, Carolyn B
oai:RePEc:ecm:emetrp:v:51:y:1983:i:3:p:537-512013-03-04RePEc:ecm:emetrp
article
A Model of Stochastic Process Switching.
3
1983
51
May
Econometrica
537
51
http://links.jstor.org/sici?sici=0012-9682%28198305%2951%3A3%3C537%3AAMOSPS%3E2.0.CO%3B2-E&origin=repec
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Flood, Robert P
Garber, Peter M
oai:RePEc:ecm:emetrp:v:70:y:2002:i:1:p:393-3962013-03-04RePEc:ecm:emetrp
article
Comment on: "Do Sunspots Matter When Spot Market Equilibria Are Unique?"
1
2002
70
January
Econometrica
393
396
Richard C. Barnett
rbarnett@mail.smu.edu
Dept. of Economics, Southern Methodist University, Dallas, U.S.A.
Eric O'N. Fisher
fisher.244@osu.edu
Dept. of Economics, The Ohio State University, U.S.A.
oai:RePEc:ecm:emetrp:v:48:y:1980:i:5:p:1301-042013-03-04RePEc:ecm:emetrp
article
The Knowledge Assumption in the Theory of Strategic Voting.
5
1980
48
July
Econometrica
1301
04
http://links.jstor.org/sici?sici=0012-9682%28198007%2948%3A5%3C1301%3ATKAITT%3E2.0.CO%3B2-Q&origin=repec
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Sengupta, Manimay
oai:RePEc:ecm:emetrp:v:45:y:1977:i:8:p:1777-962013-03-04RePEc:ecm:emetrp
article
Continuity of Equilibria for Production Economies: New Results.
8
1977
45
Nov.
Econometrica
1777
96
http://links.jstor.org/sici?sici=0012-9682%28197711%2945%3A8%3C1777%3ACOEFPE%3E2.0.CO%3B2-G&origin=repec
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Fuchs, Gerard
oai:RePEc:ecm:emetrp:v:51:y:1983:i:1:p:219-212013-03-04RePEc:ecm:emetrp
article
Ordinal Interpersonal Comparisons in Bargaining.
1
1983
51
January
Econometrica
219
21
http://links.jstor.org/sici?sici=0012-9682%28198301%2951%3A1%3C219%3AOICIB%3E2.0.CO%3B2-D&origin=repec
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Neilsen, Lars Tyge
oai:RePEc:ecm:emetrp:v:56:y:1988:i:1:p:63-902013-03-04RePEc:ecm:emetrp
article
Rational Household Labor Supply.
In this paper, household is modeled as a two-member collectivity taking Pareto-efficient decisions. The consequences of this assumption are analyze d in a three-good model, in which only total consumption and each mem ber's labor supply are observable. If the agents are assumed egoistic (i.e., they are only concerned with their own leisure and consumptio n), it is possible to derive falsifiable conditions upon household la bor supplies from both a parametric and a nonparametric viewpoint. If , alternatively, agents are altruistic, restrictions obtain in the no nparametric context; useful interpretation stems from the comparison with the characterization of aggregate demand for a private-good econ omy. Copyright 1988 by The Econometric Society.
1
1988
56
January
Econometrica
63
90
http://links.jstor.org/sici?sici=0012-9682%28198801%2956%3A1%3C63%3ARHLS%3E2.0.CO%3B2-2&origin=repec
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Chiappori, Pierre-Andre
oai:RePEc:ecm:emetrp:v:42:y:1974:i:1:p:113-342013-03-04RePEc:ecm:emetrp
article
Estimation and Prediction from Aggregate Data when Aggregates are Measured More Accurately than Their Components.
1
1974
42
Jan.
Econometrica
113
34
http://links.jstor.org/sici?sici=0012-9682%28197401%2942%3A1%3C113%3AEAPFAD%3E2.0.CO%3B2-O&origin=repec
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Aigner, Dennis J
Goldfeld, Stephen M
oai:RePEc:ecm:emetrp:v:47:y:1979:i:1:p:115-282013-03-04RePEc:ecm:emetrp
article
Efficiency of Least-Squares Estimation of Linear Trend when Residuals are Autocorrelated.
1
1979
47
Jan.
Econometrica
115
28
http://links.jstor.org/sici?sici=0012-9682%28197901%2947%3A1%3C115%3AEOLEOL%3E2.0.CO%3B2-3&origin=repec
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Chipman, John S
oai:RePEc:ecm:emetrp:v:60:y:1992:i:6:p:1351-862013-03-04RePEc:ecm:emetrp
article
A Two-Sector Overlapping-Generations Model: A Global Characterization of the Dynamical System.
This paper develops a two-sector overlapping-generations model. It characterizes the dynamical system globally and establishes sufficient conditions for the existence of a globally unique perfect-foresight equilibrium. It provides, therefore, a useful framework for global dynamic analysis of phenomena whose modeling requires a multidimensional commodity space. The analysis demonstrates that gross substitutability in consumption is not sufficient for the determinacy of equilibrium in this production economy. However, if in addition the investment good is capital intensive and second period consumption of two-period-lived individuals is a normal good, then the perfect-foresight equilibrium is globally unique. Copyright 1992 by The Econometric Society.
6
1992
60
November
Econometrica
1351
86
http://links.jstor.org/sici?sici=0012-9682%28199211%2960%3A6%3C1351%3AATOMAG%3E2.0.CO%3B2-F&origin=repec
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Galor, Oded
oai:RePEc:ecm:emetrp:v:41:y:1973:i:6:p:1183-962013-03-04RePEc:ecm:emetrp
article
Summation Social Choice Functions.
6
1973
41
Nov.
Econometrica
1183
96
http://links.jstor.org/sici?sici=0012-9682%28197311%2941%3A6%3C1183%3ASSCF%3E2.0.CO%3B2-C&origin=repec
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Fishburn, Peter C
oai:RePEc:ecm:emetrp:v:77:y:2009:i:3:p:763-7992013-03-04RePEc:ecm:emetrp
article
The Microeconomics of Efficient Group Behavior: Identification
Consider a group consisting of S members facing a common budget constraint p'xi=1: any demand vector belonging to the budget set can be (privately or publicly) consumed by the members. Although the intragroup decision process is not known, it is assumed to generate Pareto-efficient outcomes; neither individual consumptions nor intragroup transfers are observable. The paper analyzes when, to what extent, and under which conditions it is possible to recover the underlying structure-individual preferences and the decision process-from the group's aggregate behavior. We show that the general version of the model is not identified. However, a simple exclusion assumption (whereby each member does not consume at least one good) is sufficient to guarantee generic identifiability of the welfare-relevant structural concepts. Copyright 2009 The Econometric Society.
3
2009
77
05
Econometrica
763
799
http://hdl.handle.net/10.3982/ECTA5929
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P.-A. Chiappori
I. Ekeland
oai:RePEc:ecm:emetrp:v:41:y:1973:i:2:p:255-622013-03-04RePEc:ecm:emetrp
article
Errors in Variables and Serially Correlated Disturbances in Distributed Lag Models.
2
1973
41
March
Econometrica
255
62
http://links.jstor.org/sici?sici=0012-9682%28197303%2941%3A2%3C255%3AEIVASC%3E2.0.CO%3B2-D&origin=repec
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Grether, D M
Maddala, G S
oai:RePEc:ecm:emetrp:v:73:y:2005:i:2:p:571-6272013-03-04RePEc:ecm:emetrp
article
An Equilibrium Model of Health Insurance Provision and Wage Determination
We investigate the effect of employer-provided health insurance on job mobility rates and economic welfare using a search, matching, and bargaining framework. In our model, health insurance coverage decisions are made in a cooperative manner that recognizes the productivity effects of health insurance as well as its nonpecuniary value to the employee. The resulting equilibrium is one in which not all employment matches are covered by health insurance, wages at jobs providing health insurance are larger (in a stochastic sense) than those at jobs without health insurance, and workers at jobs with health insurance are less likely to leave those jobs, even after conditioning on the wage rate. We estimate the model using the 1996 panel of the Survey of Income and Program Participation, and find that the employer-provided health insurance system does not lead to any serious inefficiencies in mobility decisions. Copyright The Econometric Society 2005.
2
2005
73
03
Econometrica
571
627
http://hdl.handle.net/10.1111/j.1468-0262.2005.00588.x
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Matthew S. Dey
Christopher J. Flinn
oai:RePEc:ecm:emetrp:v:56:y:1988:i:2:p:259-932013-03-04RePEc:ecm:emetrp
article
Efficiency Wages and the Inter-industry Wage Structure.
This paper uses cross-sectional and longitudinal data to examine differences in pay for equally-skilled workers in different ind ustries. The major finding is that there is substantial dispersion in wages across industries, even after allowing for measured and unmeas ured labor quality, working conditions, fringe benefits, transitory d emand shocks, the threat of union-ization, union bargaining power, fi rm size, and other factors. In addition, evidence is presented demons trating that turnover has a negative relationship with industry wage differentials. These findings suggest that workers in high-wage indus tries receive noncompetitive rents. Copyright 1988 by The Econometric Society.
2
1988
56
March
Econometrica
259
93
http://links.jstor.org/sici?sici=0012-9682%28198803%2956%3A2%3C259%3AEWATIW%3E2.0.CO%3B2-5&origin=repec
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Krueger, Alan B
Summers, Lawrence H
oai:RePEc:ecm:emetrp:v:75:y:2007:i:4:p:1143-11742013-03-04RePEc:ecm:emetrp
article
Do Irrelevant Commodities Matter?
We study how to evaluate allocations independently of individual preferences over unavailable commodities. We prove impossibility results that suggest that such evaluations encounter serious difficulties. This is related to the well known problem of performing international comparisons of standard of living across countries with different consumption goods. We show how possibility results can be retrieved with restrictions on the domain of preferences, on the application of the independence axiom, or on the set of allocations to be ranked. Such restrictions appear more plausible when the objects of evaluation are allocations of composite commodities, characteristics, or human functionings rather than ordinary commodities. Copyright The Econometric Society 2007.
4
2007
75
07
Econometrica
1143
1174
http://hdl.handle.net/10.1111/j.1468-0262.2007.00784.x
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Marc Fleurbaey
Koichi Tadenuma
oai:RePEc:ecm:emetrp:v:54:y:1986:i:1:p:1-212013-03-04RePEc:ecm:emetrp
article
The Superneutrality of Money in the United States: An Interpretation of the Evidence.
1
1986
54
January
Econometrica
1
21
http://links.jstor.org/sici?sici=0012-9682%28198601%2954%3A1%3C1%3ATSOMIT%3E2.0.CO%3B2-L&origin=repec
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Geweke, John F
oai:RePEc:ecm:emetrp:v:76:y:2008:i:1:p:175-1942013-03-04RePEc:ecm:emetrp
article
Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
This paper considers studentized tests in time series regressions with nonparametrically autocorrelated errors. The studentization is based on robust standard errors with truncation lag M=bT for some constant b is an element of (0, 1] and sample size T. It is shown that the nonstandard fixed-b limit distributions of such nonparametrically studentized tests provide more accurate approximations to the finite sample distributions than the standard small-b limit distribution. We further show that, for typical economic time series, the optimal bandwidth that minimizes a weighted average of type I and type II errors is larger by an order of magnitude than the bandwidth that minimizes the asymptotic mean squared error of the corresponding long-run variance estimator. A plug-in procedure for implementing this optimal bandwidth is suggested and simulations (not reported here) confirm that the new plug-in procedure works well in finite samples. Copyright The Econometric Society 2008.
1
2008
76
01
Econometrica
175
194
http://hdl.handle.net/10.1111/j.1468-0262.2008.00822.x
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Yixiao Sun
Peter C. B. Phillips
Sainan Jin
oai:RePEc:ecm:emetrp:v:44:y:1976:i:1:p:149-652013-03-04RePEc:ecm:emetrp
article
Some Finite Sample Properties of Spectral Estimators of a Linear Regression.
1
1976
44
Jan.
Econometrica
149
65
http://links.jstor.org/sici?sici=0012-9682%28197601%2944%3A1%3C149%3ASFSPOS%3E2.0.CO%3B2-S&origin=repec
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Engle, Robert F
Gardner, Roy
oai:RePEc:ecm:emetrp:v:42:y:1974:i:3:p:597-6002013-03-04RePEc:ecm:emetrp
article
A Note on the Efficient Estimation of the New Measures of Income Inequality.
3
1974
42
May
Econometrica
597
600
http://links.jstor.org/sici?sici=0012-9682%28197405%2942%3A3%3C597%3AANOTEE%3E2.0.CO%3B2-6&origin=repec
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Kakwani, N C
oai:RePEc:ecm:emetrp:v:49:y:1981:i:2:p:395-4232013-03-04RePEc:ecm:emetrp
article
Production Sets with Indivisibilities-Part II: The Case of Two Activities.
2
1981
49
March
Econometrica
395
423
http://links.jstor.org/sici?sici=0012-9682%28198103%2949%3A2%3C395%3APSWIPI%3E2.0.CO%3B2-R&origin=repec
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Scarf, Herbert E
oai:RePEc:ecm:emetrp:v:48:y:1980:i:7:p:1595-16152013-03-04RePEc:ecm:emetrp
article
Computation of Competitive Equilibria by a Sequence of Linear Programs.
7
1980
48
Nov.
Econometrica
1595
1615
http://links.jstor.org/sici?sici=0012-9682%28198011%2948%3A7%3C1595%3ACOCEBA%3E2.0.CO%3B2-6&origin=repec
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Manne, Alan S
Chao, Hung-po
Wilson, Robert
oai:RePEc:ecm:emetrp:v:38:y:1970:i:2:p:368-702013-03-04RePEc:ecm:emetrp
article
Error-in-the-Variables Bias in Nonlinear Contexts.
2
1970
38
March
Econometrica
368
70
http://links.jstor.org/sici?sici=0012-9682%28197003%2938%3A2%3C368%3AEBINC%3E2.0.CO%3B2-1&origin=repec
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Griliches, Zvi
Ringstad, Vidar
oai:RePEc:ecm:emetrp:v:59:y:1991:i:6:p:1581-892013-03-04RePEc:ecm:emetrp
article
Robust HPD Regions in Bayesian Regression Models.
A Bayesian analysis of the linear regression model with only parts of the prior distribution specified or a robust Bayesian analysis lead to sets of posterior distributions. E. E. Leamer (1978) describes the region of posterior means for conjugate priors and varying prior covariance matrices. As an extension to Bayesian confidence sets (HPD regions) the authors introduce the concept of HiFi (high fiduciary) regions. The Hifi region is a union of HPD regions and is a tool for describing the dependence of the posterior distribution on the prior covariance. The authors assume that the prior covariance matrix varies in an interval of matrices. Copyright 1991 by The Econometric Society.
6
1991
59
November
Econometrica
1581
89
http://links.jstor.org/sici?sici=0012-9682%28199111%2959%3A6%3C1581%3ARHRIBR%3E2.0.CO%3B2-A&origin=repec
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Potzelberger, Klaus
Polasek, Wolfgang
oai:RePEc:ecm:emetrp:v:41:y:1973:i:4:p:633-422013-03-04RePEc:ecm:emetrp
article
An Econometric Analysis of Fertility in Sweden, 1870-1965.
4
1973
41
July
Econometrica
633
42
http://links.jstor.org/sici?sici=0012-9682%28197307%2941%3A4%3C633%3AAEAOFI%3E2.0.CO%3B2-U&origin=repec
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Wilkinson, Maurice
oai:RePEc:ecm:emetrp:v:73:y:2005:i:2:p:459-4802013-03-04RePEc:ecm:emetrp
article
Beliefs in Repeated Games
Consider a two-player discounted infinitely repeated game. A player's belief is a probability distribution over the opponent's repeated game strategies. This paper shows that, for a large class of repeated games, there are no beliefs that satisfy three properties: learnability, a diversity of belief condition called CSP, and consistency. Loosely, if players learn to forecast the path of play whenever each plays a strategy that the other anticipates (in the sense of being in the support of that player's belief) and if the sets of anticipated strategies are sufficiently rich, then neither anticipates any of his opponent's best responses. This generalizes results in Nachbar (1997). Copyright The Econometric Society 2005.
2
2005
73
03
Econometrica
459
480
http://hdl.handle.net/10.1111/j.1468-0262.2005.00585.x
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John H. Nachbar
oai:RePEc:ecm:emetrp:v:47:y:1979:i:3:p:603-192013-03-04RePEc:ecm:emetrp
article
Ville Axioms and Consumer Theory.
3
1979
47
May
Econometrica
603
19
http://links.jstor.org/sici?sici=0012-9682%28197905%2947%3A3%3C603%3AVAACT%3E2.0.CO%3B2-9&origin=repec
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Hurwicz, Leonid
Richter, Marcel K
oai:RePEc:ecm:emetrp:v:72:y:2004:i:5:p:1409-14432013-03-04RePEc:ecm:emetrp
article
Women as Policy Makers: Evidence from a Randomized Policy Experiment in India
This paper uses political reservations for women in India to study the impact of women's leadership on policy decisions. Since the mid-1990's, one third of Village Council head positions in India have been randomly reserved for a woman: In these councils only women could be elected to the position of head. Village Councils are responsible for the provision of many local public goods in rural areas. Using a dataset we collected on 265 Village Councils in West Bengal and Rajasthan, we compare the type of public goods provided in reserved and unreserved Village Councils. We show that the reservation of a council seat affects the types of public goods provided. Specifically, leaders invest more in infrastructure that is directly relevant to the needs of their own genders. Copyright The Econometric Society 2004.
5
2004
72
09
Econometrica
1409
1443
http://hdl.handle.net/10.1111/j.1468-0262.2004.00539.x
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Raghabendra Chattopadhyay
Esther Duflo
oai:RePEc:ecm:emetrp:v:76:y:2008:i:2:p:263-3052013-03-04RePEc:ecm:emetrp
article
Anticipating Regret: Why Fewer Options May Be Better
We study preferences over menus which can be represented as if the agent selects an alternative from a menu and experiences regret if her choice is ex post inferior. Since regret arises from comparisons between the alternative selected and the other available alternatives, our axioms reflect the agent's desire to limit her options. We prove that our representation is essentially unique. We also introduce two measures of comparative regret attitudes and relate them to our representation. Finally, we explore the formal connection between the present work and the literature on temptation. Copyright The Econometric Society 2008.
2
2008
76
03
Econometrica
263
305
http://hdl.handle.net/10.1111/j.0012-9682.2008.00834.x
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Todd Sarver
oai:RePEc:ecm:emetrp:v:48:y:1980:i:1:p:49-732013-03-04RePEc:ecm:emetrp
article
Econometric Implications of the Rational Expectations Hypothesis.
1
1980
48
Jan.
Econometrica
49
73
http://links.jstor.org/sici?sici=0012-9682%28198001%2948%3A1%3C49%3AEIOTRE%3E2.0.CO%3B2-E&origin=repec
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Wallis, Kenneth F
oai:RePEc:ecm:emetrp:v:55:y:1987:i:2:p:425-392013-03-04RePEc:ecm:emetrp
article
Market Equilibrium with Hidden Knowledge and Self-selection.
The problem of the existence of a competitive equilibrium in models with hidden knowledge and self-knowledge has been discussed previously by M. Rothschild and J. E. Stiglitz_(1976), C. A. Wilson_(1977), and J. G. Riley_(1979). Recent analyses of such models by I. Cho and D. Kreps_(1986) and Riley argue for a particular outcome - the Pareto-dominant separating, zero-profit one. The authors prove the existence of such an outcome under very general conditions and, generalizing the reactive equilibrium concept introduced by Riley, they prove this outcome is the unique reactive equilibrium. Copyright 1987 by The Econometric Society.
2
1987
55
March
Econometrica
425
39
http://links.jstor.org/sici?sici=0012-9682%28198703%2955%3A2%3C425%3AMEWHKA%3E2.0.CO%3B2-X&origin=repec
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Engers, Maxim
Fernandez, Luis F
oai:RePEc:ecm:emetrp:v:45:y:1977:i:2:p:399-4122013-03-04RePEc:ecm:emetrp
article
Rationing, Quantity Constraints, and Consumption Theory.
2
1977
45
March
Econometrica
399
412
http://links.jstor.org/sici?sici=0012-9682%28197703%2945%3A2%3C399%3ARQCACT%3E2.0.CO%3B2-1&origin=repec
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Howard, David H
oai:RePEc:ecm:emetrp:v:55:y:1987:i:6:p:1249-732013-03-04RePEc:ecm:emetrp
article
Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis.
The permanent income hypothesis implies that people save because they rationally expect their permanent income to decline; they save "for a rainy day." It follows that saving should be at l east as good a predictor of declines in labor income as any other for ecast that can be constructed from publicly available information. Th e paper tests this hitherto ignored implication of the permanent inco me hypothesis, using quarterly aggregate data for the period 1953-84 in the United States. By contrast with much of the recent literature, the results here are valid when income is stationary in first differ ences rather than levels. Copyright 1987 by The Econometric Society.
6
1987
55
November
Econometrica
1249
73
http://links.jstor.org/sici?sici=0012-9682%28198711%2955%3A6%3C1249%3ADSADLI%3E2.0.CO%3B2-J&origin=repec
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Campbell, John Y
oai:RePEc:ecm:emetrp:v:74:y:2006:i:1:p:269-2732013-03-04RePEc:ecm:emetrp
article
A Dynamic Equilibrium Model of International Portfolio Holdings: Comment
1
2006
74
01
Econometrica
269
273
http://hdl.handle.net/10.1111/j.1468-0262.2006.00656.x
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Robert Kollmann
oai:RePEc:ecm:emetrp:v:56:y:1988:i:4:p:851-762013-03-04RePEc:ecm:emetrp
article
Aggregation of Information in Large Cournot Markets.
Consider a homogeneous product market where firms have private information about an uncertain demand parameter and compete in quan tities. The author examines the convergence properties of Bayesian-Co urnot equilibria as the economy is replicated and concludes that larg e Cournot (or almost competitive) markets do not aggregate informatio n efficiently except possibly when the production technology exhibits constant returns to scale. A competitive market is nevertheless cons trained efficient when taking as given the decentralized private info rmation structure of the economy. The results are shown to be robust to the consideration of endogenous information acquisition and to the addition of extra rounds of competition. Copyright 1988 by The Econometric Society.
4
1988
56
July
Econometrica
851
76
http://links.jstor.org/sici?sici=0012-9682%28198807%2956%3A4%3C851%3AAOIILC%3E2.0.CO%3B2-T&origin=repec
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Vives, Xavier
oai:RePEc:ecm:emetrp:v:42:y:1974:i:6:p:11332013-03-04RePEc:ecm:emetrp
article
A General Formulation of the Lechatelier-Samuelson Principle: A Comment.
6
1974
42
Nov.
Econometrica
1133
1133
Watson, Donald
oai:RePEc:ecm:emetrp:v:59:y:1991:i:4:p:953-652013-03-04RePEc:ecm:emetrp
article
Spatial Patterns in Household Demand.
This paper discusses economic processes that may give rise to spatial patterns in data and explores the relative merits of alternative modeling approaches when data are spatially correlated. An estimation scheme is presented that allows for spatial random effects and attention is focused on cases in which such a framework may be preferred to the more general fixed effects framework that nests it. The models presented are used together with information on the location of households in an Indonesian socioeconomic survey to test spatial relationships in Indonesian demand for rice. Copyright 1991 by The Econometric Society.
4
1991
59
July
Econometrica
953
65
http://links.jstor.org/sici?sici=0012-9682%28199107%2959%3A4%3C953%3ASPIHD%3E2.0.CO%3B2-Z&origin=repec
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Case, Anne C
oai:RePEc:ecm:emetrp:v:44:y:1976:i:5:p:867-782013-03-04RePEc:ecm:emetrp
article
Optimal Growth in a Putty-Clay Model.
5
1976
44
Sept.
Econometrica
867
78
http://links.jstor.org/sici?sici=0012-9682%28197609%2944%3A5%3C867%3AOGIAPM%3E2.0.CO%3B2-P&origin=repec
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Calvo, Guillermo A
oai:RePEc:ecm:emetrp:v:63:y:1995:i:5:p:1195-12242013-03-04RePEc:ecm:emetrp
article
Decomposition and Characterization of Risk with a Continuum of Random Variables.
5
1995
63
September
Econometrica
1195
1224
http://links.jstor.org/sici?sici=0012-9682%28199509%2963%3A5%3C1195%3ADACORW%3E2.0.CO%3B2-J&origin=repec
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Al-Najjar, Nabil Ibraheem
oai:RePEc:ecm:emetrp:v:53:y:1985:i:1:p:157-752013-03-04RePEc:ecm:emetrp
article
A Linear Theory for Noncausality.
1
1985
53
January
Econometrica
157
75
http://links.jstor.org/sici?sici=0012-9682%28198501%2953%3A1%3C157%3AALTFN%3E2.0.CO%3B2-2&origin=repec
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Florens, Jean-Pierre
Mouchart, Michel
oai:RePEc:ecm:emetrp:v:40:y:1972:i:6:p:1155-632013-03-04RePEc:ecm:emetrp
article
The Quadratic Assignment Problem: A Note.
6
1972
40
Nov.
Econometrica
1155
63
http://links.jstor.org/sici?sici=0012-9682%28197211%2940%3A6%3C1155%3ATQAPAN%3E2.0.CO%3B2-W&origin=repec
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Heffley, Dennis R
oai:RePEc:ecm:emetrp:v:67:y:1999:i:1:p:65-1002013-03-04RePEc:ecm:emetrp
article
A Liquidity-Based Model of Security Design
The authors consider the problem of design and sale of a security backed by specified assets. Given access to higher-return investments, the issuer has an incentive to raise capital by securitizing part of these assets. At the time the security is issued, the issuer's or underwriter's private information regarding the payoff of the security may cause illiquidity in the form of a downward-sloping demand curve for the security. The authors characterize the optimal security design in several cases. They also demonstrate circumstances under which standard debt is optimal and show that the riskiness of the debt is increasing in the issuer's retention costs for assets.
1
1999
67
January
Econometrica
65
100
Peter DeMarzo
Darrell Duffie
oai:RePEc:ecm:emetrp:v:41:y:1973:i:3:p:575-792013-03-04RePEc:ecm:emetrp
article
Note on Coefficient Restrictions in Estimating Sets of Demand Relations.
3
1973
41
May
Econometrica
575
79
http://links.jstor.org/sici?sici=0012-9682%28197305%2941%3A3%3C575%3ANOCRIE%3E2.0.CO%3B2-G&origin=repec
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Bowden, Roger J
oai:RePEc:ecm:emetrp:v:41:y:1973:i:3:p:569-732013-03-04RePEc:ecm:emetrp
article
Irreducibility in the von Neumann Model.
3
1973
41
May
Econometrica
569
73
http://links.jstor.org/sici?sici=0012-9682%28197305%2941%3A3%3C569%3AIITVNM%3E2.0.CO%3B2-H&origin=repec
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Robinson, Stephen M
oai:RePEc:ecm:emetrp:v:61:y:1993:i:6:p:1367-932013-03-04RePEc:ecm:emetrp
article
Vector Autoregressions and Causality.
A limit theory for Wald tests of Granger causality in levels vector autoregressions (VAR's) and error correction models (ECM's) is developed, which allows for stochastic trends and cointegration. Earlier work is extended to the general case, thereby characterizing when these Wald tests are asymptotically valid as 'x'(superscript 2) criteria. Our results for inference from unrestricted levels VAR are not encouraging: the limit theory often involves nuisance parameters and nonstandard distributions, a situation offering no satisfactory statistical basis for these tests. Granger causality tests in ECM's also suffer from nuisance parameter dependencies asymptotically and in some cases nonstandard limit theory. Both these results are somewhat surprising in light of earlier research. Copyright 1993 by The Econometric Society.
6
1993
61
November
Econometrica
1367
93
http://links.jstor.org/sici?sici=0012-9682%28199311%2961%3A6%3C1367%3AVAAC%3E2.0.CO%3B2-T&origin=repec
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Toda, Hiro Y
Phillips, Peter C B
oai:RePEc:ecm:emetrp:v:52:y:1984:i:4:p:873-852013-03-04RePEc:ecm:emetrp
article
Local Asymptotic Specification Error Analysis.
4
1984
52
July
Econometrica
873
85
http://links.jstor.org/sici?sici=0012-9682%28198407%2952%3A4%3C873%3ALASEA%3E2.0.CO%3B2-1&origin=repec
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Kiefer, Nicholas M
Skoog, Gary R
oai:RePEc:ecm:emetrp:v:48:y:1980:i:2:p:457-652013-03-04RePEc:ecm:emetrp
article
Values for Games without Sidepayments: Some Difficulties with Current Concepts.
2
1980
48
March
Econometrica
457
65
http://links.jstor.org/sici?sici=0012-9682%28198003%2948%3A2%3C457%3AVFGWSS%3E2.0.CO%3B2-E&origin=repec
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Roth, Alvin E
oai:RePEc:ecm:emetrp:v:39:y:1971:i:1:p:179-852013-03-04RePEc:ecm:emetrp
article
Uncertainty and Optimal Consumption Decisions.
1
1971
39
Jan.
Econometrica
179
85
http://links.jstor.org/sici?sici=0012-9682%28197101%2939%3A1%3C179%3AUAOCD%3E2.0.CO%3B2-L&origin=repec
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Mirman, Leonard J
oai:RePEc:ecm:emetrp:v:56:y:1988:i:6:p:1247-572013-03-04RePEc:ecm:emetrp
article
Full Extraction of the Surplus in Bayesian and Dominant Strategy Auctions.
The authors consider auctions for a single indivisible object when bidders have information about each other that is unavailable to the seller. They show that the seller can use this information to his own benefit, and they characterize th e environments in which a well-chosen auction gives him the same expected payoff as that obtainable were he able to see the object und er full information. This hinges on the possibility of constructing lotteries with the correct properties. The authors study the problem for auctions where the bidders have dominant strategies and those where the relevant equilibrium concept is Bayesian-Nash. Copyright 1988 by The Econometric Society.
6
1988
56
November
Econometrica
1247
57
http://links.jstor.org/sici?sici=0012-9682%28198811%2956%3A6%3C1247%3AFEOTSI%3E2.0.CO%3B2-P&origin=repec
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Cremer, Jacques
McLean, Richard P
oai:RePEc:ecm:emetrp:v:45:y:1977:i:3:p:737-442013-03-04RePEc:ecm:emetrp
article
A Note on Trend Removal Methods: The Case of Polynomial Regression versus Variate Differencing.
3
1977
45
April
Econometrica
737
44
http://links.jstor.org/sici?sici=0012-9682%28197704%2945%3A3%3C737%3AANOTRM%3E2.0.CO%3B2-D&origin=repec
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Chan, K Hung
Hayya, Jack C
Ord, J Keith
oai:RePEc:ecm:emetrp:v:69:y:2001:i:6:p:1437-14652013-03-04RePEc:ecm:emetrp
article
Interjurisdictional Sorting and Majority Rule: An Empirical Analysis
The goal of this paper is to provide a comprehensive empirical analysis of majority rule and Tiebout sorting within a system of local jurisdictions. The idea behind the estimation procedure is to investigate whether observed levels of public expenditures satisfy necessary conditions implied by majority rule in a general equilibrium model of residential choice. The estimator controls for observed and unobserved heterogeneity among households, observed and unobserved characteristics of communities, and the potential endogeneity of prices and expenditures, as well as the self-selection of households into communities of their choice. We estimate the structural parameters of the model using data from the Boston Metropolitan Area. The empirical findings reject myopic voting models. More sophisticated voting models based on utility-taking provide a potential explanation of the main empirical regularities. Copyright The Econometric Society.
6
2001
69
November
Econometrica
1437
1465
Dennis Epple
Thomas Romer
Holger Sieg
oai:RePEc:ecm:emetrp:v:53:y:1985:i:6:p:1445-502013-03-04RePEc:ecm:emetrp
article
Nontransferable Utility Games and Markets: Some Examples and the Harsanyi Solution.
6
1985
53
November
Econometrica
1445
50
http://links.jstor.org/sici?sici=0012-9682%28198511%2953%3A6%3C1445%3ANUGAMS%3E2.0.CO%3B2-M&origin=repec
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Hart, Sergiu
oai:RePEc:ecm:emetrp:v:52:y:1984:i:2:p:461-872013-03-04RePEc:ecm:emetrp
article
Two-Person Bargaining Problems with Incomplete Information.
2
1984
52
March
Econometrica
461
87
http://links.jstor.org/sici?sici=0012-9682%28198403%2952%3A2%3C461%3ATBPWII%3E2.0.CO%3B2-G&origin=repec
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Myerson, Roger B
oai:RePEc:ecm:emetrp:v:69:y:2001:i:4:p:1077-982013-03-04RePEc:ecm:emetrp
article
Contracting with Imperfect Commitment and the Revelation Principle: The Single Agent Case.
This paper extends the revelation principle to environments in which the mechanism designer cannot fully commit to the outcome induced by the mechanism. We show that he may optimally use a direct mechanism under which truthful revelation is an optimal strategy for the agent. In contrast with the conventional revelation principle, however, the agent may not use this strategy with probability one. Our results apply to contracting problems between a principal and a single agent. By reducing such problems to well-defined programming problems they provide a basic tool for studying imperfect commitment.
4
2001
69
July
Econometrica
1077
98
Bester, Helmut
Strausz, Roland
oai:RePEc:ecm:emetrp:v:57:y:1989:i:2:p:357-842013-03-04RePEc:ecm:emetrp
article
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.
This paper models occasional, discrete shifts in the growth rate of a nonstationary series. Algorithms for inferring these unobserved shifts are presented, a byproduct of which permits estimation of parameters by maximum likelihood. An empirical application of this technique suggests that the periodic shift from a positive growth rate to a negative growth rate is a recurrent feature of the U.S. business cycle, and indeed could be used as an objective criterion for defining and measuring economic recessions. The estimated parameter values suggest that a typical economic recession is associated with a 3 percent permanent drop in the level of GNP. Copyright 1989 by The Econometric Society.
2
1989
57
March
Econometrica
357
84
http://links.jstor.org/sici?sici=0012-9682%28198903%2957%3A2%3C357%3AANATTE%3E2.0.CO%3B2-2&origin=repec
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Hamilton, James D
oai:RePEc:ecm:emetrp:v:70:y:2002:i:6:p:2489-24972013-03-04RePEc:ecm:emetrp
article
Efficient Resource Allocation on the Basis of Priorities
6
2002
70
November
Econometrica
2489
2497
Haluk I. Ergin
hergin@princeton.edu
Princeton University
oai:RePEc:ecm:emetrp:v:58:y:1990:i:2:p:475-942013-03-04RePEc:ecm:emetrp
article
Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors.
This article proposes a general method to build exact tests and confidence sets in linear regressions with first-order autoregressive Gaussian disturbances. Because of a nuisance parameter problem, we argue that generalized bounds tests and conservative confidence sets provide natural inference procedures in such a context. Given an exact confidence set for the autocorrelation coefficient, we describe how to obtain a similar simultaneous confidence set for the autocorrelation coefficient and any subvector of regression coefficient. Conservative confidence sets for the regression coefficients are then deduced by a projection method. For any hypothesis that specifies jointly the value of the autocorrelation coefficient and any set of linear restrictions on the regression coefficients, we get exact similar tests. For tesing linear hypotheses about the regression coefficients only, we suggest bounds-type procedures. Exact confidence sets for the autocorrelation coefficient are built by "inverting" autocorrelation tests. The method is illustrated with two examples. Copyright 1990 by The Econometric Society.
2
1990
58
March
Econometrica
475
94
http://links.jstor.org/sici?sici=0012-9682%28199003%2958%3A2%3C475%3AETACSI%3E2.0.CO%3B2-3&origin=repec
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Dufour, Jean-Marie
oai:RePEc:ecm:emetrp:v:39:y:1971:i:1:p:119-292013-03-04RePEc:ecm:emetrp
article
Optimal Production, Investment, and Output Price Controls for a Monopoly Firm of the Evans' Type.
1
1971
39
Jan.
Econometrica
119
29
http://links.jstor.org/sici?sici=0012-9682%28197101%2939%3A1%3C119%3AOPIAOP%3E2.0.CO%3B2-E&origin=repec
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Thompson, Russell G, et al
oai:RePEc:ecm:emetrp:v:76:y:2008:i:4:p:841-9072013-03-04RePEc:ecm:emetrp
article
Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets
We prove existence of equilibrium in a continuous-time securities market in which the securities are potentially dynamically complete: the number of securities is at least one more than the number of independent sources of uncertainty. We prove that dynamic completeness of the candidate equilibrium price process follows from mild exogenous assumptions on the economic primitives of the model. Our result is universal, rather than generic: dynamic completeness of the candidate equilibrium price process and existence of equilibrium follow from the way information is revealed in a Brownian filtration, and from a mild exogenous nondegeneracy condition on the terminal security dividends. The nondegeneracy condition, which requires that finding one point at which a determinant of a Jacobian matrix of dividends is nonzero, is very easy to check. We find that the equilibrium prices, consumptions, and trading strategies are well-behaved functions of the stochastic process describing the evolution of information. We prove that equilibria of discrete approximations converge to equilibria of the continuous-time economy. Copyright Copyright 2008 by The Econometric Society.
4
2008
76
07
Econometrica
841
907
http://hdl.handle.net/10.1111/j.1468-0262.2008.00861.x
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Robert M. Anderson
Roberto C. Raimondo
oai:RePEc:ecm:emetrp:v:71:y:2003:i:1:p:377-3832013-03-04RePEc:ecm:emetrp
article
The Influence of Var Dimensions on Estimator Biases: Comment
1
2003
71
January
Econometrica
377
383
Jurgen A. Doornik
pekr@troi.cc.rochester.edu
University of Rochester, NY, U.S.A., and Centre for Economic Policy Research, and the Institute for International Economic Studies
Bent Nielsen
smithaa@andrew.cmu.edu
Carnegie Mellon University Pittsburgh, U.S.A.
Thomas J. Rothenberg
planjouw@worldbank.org
The World Bank, Washington, U.S.A
oai:RePEc:ecm:emetrp:v:55:y:1987:i:5:p:1231-352013-03-04RePEc:ecm:emetrp
article
The Paradox of Thrift, Liquidity Preference and Animal Spirits.
5
1987
55
September
Econometrica
1231
35
http://links.jstor.org/sici?sici=0012-9682%28198709%2955%3A5%3C1231%3ATPOTLP%3E2.0.CO%3B2-C&origin=repec
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Bryant, John
oai:RePEc:ecm:emetrp:v:40:y:1972:i:4:p:759-612013-03-04RePEc:ecm:emetrp
article
A Note on the Use of Proxy Variables.
4
1972
40
July
Econometrica
759
61
http://links.jstor.org/sici?sici=0012-9682%28197207%2940%3A4%3C759%3AANOTUO%3E2.0.CO%3B2-6&origin=repec
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Wickens, Michael R
oai:RePEc:ecm:emetrp:v:52:y:1984:i:4:p:843-632013-03-04RePEc:ecm:emetrp
article
Tests for the Bivariate Normal Distribution in Econometric Models with Selectivity.
4
1984
52
July
Econometrica
843
63
http://links.jstor.org/sici?sici=0012-9682%28198407%2952%3A4%3C843%3ATFTBND%3E2.0.CO%3B2-M&origin=repec
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Lee, Lung-Fei
oai:RePEc:ecm:emetrp:v:40:y:1972:i:5:p:9092013-03-04RePEc:ecm:emetrp
article
A Comment on Estimating a Structural Equation in a Large System: Reply.
5
1972
40
Sept.
Econometrica
909
909
Fisher, Walter D
Wadycki, Walter J
oai:RePEc:ecm:emetrp:v:64:y:1996:i:3:p:597-6222013-03-04RePEc:ecm:emetrp
article
Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach.
This paper proposes some tests for parameter constancy in linear regressions. The tests use weighted empirical distribution functions of estimated residuals and are asymptotically distribution free. The proposed tests have nontrivial local power against a wide range of alternatives. In particular, the tests are capable of detecting error heterogeneity that is not necessarily manifested in the form of changing variances. The model allows for both dynamic and trending regressors. As an intermediate result, some weak convergence for (stochastically) weighted sequential empirical processes is established. Copyright 1996 by The Econometric Society.
3
1996
64
May
Econometrica
597
622
http://links.jstor.org/sici?sici=0012-9682%28199605%2964%3A3%3C597%3ATFPCIL%3E2.0.CO%3B2-K&origin=repec
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Bai, Jushan
oai:RePEc:ecm:emetrp:v:73:y:2005:i:6:p:1977-20162013-03-04RePEc:ecm:emetrp
article
Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
We derive a lower bound for the volatility of the permanent component of investors' marginal utility of wealth or, more generally, asset pricing kernels. The bound is based on return properties of long-term zero-coupon bonds, risk-free bonds, and other risky securities. We find the permanent component of the pricing kernel to be very volatile; its volatility is about at least as large as the volatility of the stochastic discount factor. A related measure for the transitory component suggest it to be considerably less important. We also show that, for many cases where the pricing kernel is a function of consumption, innovations to consumption need to have permanent effects. Copyright The Econometric Society 2005.
6
2005
73
11
Econometrica
1977
2016
http://hdl.handle.net/10.1111/j.1468-0262.2005.00643.x
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Fernando Alvarez
Urban J. Jermann
oai:RePEc:ecm:emetrp:v:43:y:1975:i:2:p:347-592013-03-04RePEc:ecm:emetrp
article
On the Interest Rate Theorems of Malinvaud and Starrett.
2
1975
43
March
Econometrica
347
59
http://links.jstor.org/sici?sici=0012-9682%28197503%2943%3A2%3C347%3AOTIRTO%3E2.0.CO%3B2-Z&origin=repec
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Gale, David
Rockwell, Richard
oai:RePEc:ecm:emetrp:v:64:y:1996:i:6:p:1299-13102013-03-04RePEc:ecm:emetrp
article
Learning by Doing and the Choice of Technology.
In a Bayesian model of learning, the more an agent uses a technology, the better he learns its parameters. This expertise is a form of human capital. Switching to a new technology temporarily reduces expertise: the bigger the leap, the bigger the loss. This may prevent the agent from climbing the technological ladder too fast. Someone skilled may want to stick to his technology and experience no growth in the long run. But someone less skilled may want to switch technologies over and over again and, therefore, enjoy long-run growth in output. Thus, the model can give rise to overtaking. Copyright 1996 by The Econometric Society.
6
1996
64
November
Econometrica
1299
1310
http://links.jstor.org/sici?sici=0012-9682%28199611%2964%3A6%3C1299%3ALBDATC%3E2.0.CO%3B2-Q&origin=repec
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Jovanovic, Boyan
Nyarko, Yaw
oai:RePEc:ecm:emetrp:v:76:y:2008:i:2:p:353-3942013-03-04RePEc:ecm:emetrp
article
Limited Rationality and Strategic Interaction: The Impact of the Strategic Environment on Nominal Inertia
Much evidence suggests that people are heterogeneous with regard to their abilities to make rational, forward-looking decisions. This raises the question as to when the rational types are decisive for aggregate outcomes and when the boundedly rational types shape aggregate results. We examine this question in the context of a long-standing and important economic problem: the adjustment of nominal prices after an anticipated monetary shock. Our experiments suggest that two types of bounded rationality-money illusion and anchoring-are important behavioral forces behind nominal inertia. However, depending on the strategic environment, bounded rationality has vastly different effects on aggregate price adjustment. If agents' actions are strategic substitutes, adjustment to the new equilibrium is extremely quick, whereas under strategic complementarity, adjustment is both very slow and associated with relatively large real effects. This adjustment difference is driven by price expectations, which are very flexible and forward-looking under substitutability but adaptive and sticky under complementarity. Moreover, subjects' expectations are also considerably more rational under substitutability. Copyright The Econometric Society 2008.
2
2008
76
03
Econometrica
353
394
http://hdl.handle.net/10.1111/j.0012-9682.2008.00836.x
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Ernst Fehr
Jean-Robert Tyran
oai:RePEc:ecm:emetrp:v:38:y:1970:i:1:p:153-642013-03-04RePEc:ecm:emetrp
article
Impact, Pattern, and Duration of New Orders for Defense Products.
1
1970
38
Jan.
Econometrica
153
64
Lee, Maw Lin
oai:RePEc:ecm:emetrp:v:45:y:1977:i:7:p:17412013-03-04RePEc:ecm:emetrp
article
A Computer Program for Box-Cox Transformation and Estimation Technique.
7
1977
45
Oct.
Econometrica
1741
1741
Chang, Hui Shyong
oai:RePEc:ecm:emetrp:v:37:y:1969:i:4:p:732-362013-03-04RePEc:ecm:emetrp
article
Estimation of Joint Production Functions.
4
1969
37
Oct.
Econometrica
732
36
http://links.jstor.org/sici?sici=0012-9682%28196910%2937%3A4%3C732%3AEOJPF%3E2.0.CO%3B2-B&origin=repec
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Dhrymes, Phoebus J
Mitchell, B M
oai:RePEc:ecm:emetrp:v:38:y:1970:i:2:p:331-442013-03-04RePEc:ecm:emetrp
article
Optimal Growth with Irreversible Investment in a Ramsey Model.
2
1970
38
March
Econometrica
331
44
http://links.jstor.org/sici?sici=0012-9682%28197003%2938%3A2%3C331%3AOGWIII%3E2.0.CO%3B2-R&origin=repec
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Arrow, Kenneth J
Kurz, Mordecai
oai:RePEc:ecm:emetrp:v:68:y:2000:i:4:p:839-8742013-03-04RePEc:ecm:emetrp
article
Panel Data Discrete Choice Models with Lagged Dependent Variables
4
2000
68
July
Econometrica
839
874
Bo E. Honoré
Ekaterini Kyriazidou
oai:RePEc:ecm:emetrp:v:65:y:1997:i:3:p:681-6862013-03-04RePEc:ecm:emetrp
article
The Nash Bargaining Theory with Non-Convex Problems
3
1997
65
May
Econometrica
681
686
Lin Zhou
oai:RePEc:ecm:emetrp:v:52:y:1984:i:1:p:21-452013-03-04RePEc:ecm:emetrp
article
Pareto Optima and Competitive Equilibria with Adverse Selection and Moral Hazard.
1
1984
52
January
Econometrica
21
45
http://links.jstor.org/sici?sici=0012-9682%28198401%2952%3A1%3C21%3APOACEW%3E2.0.CO%3B2-%23&origin=repec
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Prescott, Edward C
Townsend, Robert M
oai:RePEc:ecm:emetrp:v:73:y:2005:i:6:p:1723-17702013-03-04RePEc:ecm:emetrp
article
Estimating the Effects of a Time-Limited Earnings Subsidy for Welfare-Leavers
In the Self Sufficiency Project (SSP) welfare demonstration, members of a randomly assigned treatment group could receive a subsidy for full-time work. The subsidy was available for 3 years, but only to people who began working full time within 12 months of random assignment. A simple optimizing model suggests that the eligibility rules created an "establishment" incentive to find a job and leave welfare within a year of random assignment, and an "entitlement" incentive to choose work over welfare once eligibility was established. Building on this insight, we develop an econometric model of welfare participation that allows us to separate the two effects and estimate the impact of the earnings subsidy on welfare entry and exit rates among those who achieved eligibility. The combination of the two incentives explains the time profile of the experimental impacts, which peaked 15 months after random assignment and faded relatively quickly. Our findings suggest that about half of the peak impact of SSP was attributable to the establishment incentive. Despite the extra work effort generated by SSP, the program had no lasting impact on wages and little or no long-run effect on welfare participation. Copyright The Econometric Society 2005.
6
2005
73
11
Econometrica
1723
1770
http://hdl.handle.net/10.1111/j.1468-0262.2005.00637.x
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David Card
Dean R. Hyslop
oai:RePEc:ecm:emetrp:v:40:y:1972:i:3:p:455-622013-03-04RePEc:ecm:emetrp
article
Qualitative and Limited Dependent Variables in Economic Relationships.
3
1972
40
May
Econometrica
455
62
http://links.jstor.org/sici?sici=0012-9682%28197205%2940%3A3%3C455%3AQALDVI%3E2.0.CO%3B2-0&origin=repec
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Johnson, Thomas
oai:RePEc:ecm:emetrp:v:55:y:1987:i:2:p:251-762013-03-04RePEc:ecm:emetrp
article
Co-integration and Error Correction: Representation, Estimation, and Testing.
The relationship between cointegration and error correction models, first suggested by Granger, is here extended and used to develop estimation procedures, tests, and empirical examples. A vector of time series is said to be cointegrated with cointegrating vector a if each element is stationary only after differencing while linear combinations a8xt are themselves stationary. A representation theorem connects the moving average , autoregressive, and error correction representations for cointegrated systems. A simple but asymptotically efficient two-step estimator is proposed and applied. Tests for cointegration are suggested and examined by Monte Carlo simulation. A series of examples are presented. Copyright 1987 by The Econometric Society.
2
1987
55
March
Econometrica
251
76
http://links.jstor.org/sici?sici=0012-9682%28198703%2955%3A2%3C251%3ACAECRE%3E2.0.CO%3B2-T&origin=repec
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Engle, Robert F
Granger, Clive W J
oai:RePEc:ecm:emetrp:v:54:y:1986:i:3:p:623-402013-03-04RePEc:ecm:emetrp
article
Competition of Firms: Discriminatory Pricing and Location.
3
1986
54
May
Econometrica
623
40
http://links.jstor.org/sici?sici=0012-9682%28198605%2954%3A3%3C623%3ACOFDPA%3E2.0.CO%3B2-Y&origin=repec
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Lederer, Phillip J
Hurter, Arthur P, Jr
oai:RePEc:ecm:emetrp:v:71:y:2003:i:1:p:391-3932013-03-04RePEc:ecm:emetrp
article
Optimal Contracts when Enforcement is a Decision Variable: A Reply
1
2003
71
January
Econometrica
391
393
Stefan Krasa
Instituto Tecnologico Autonomo de Mexico, Mexico
Anne P. Villamil
avillami@uiuc.edu
University of Illinois, Champaign, USA
oai:RePEc:ecm:emetrp:v:38:y:1970:i:2:p:187-2122013-03-04RePEc:ecm:emetrp
article
A Comparison of Alternative Econometric Models of Qtrly Investment Behavior.
2
1970
38
March
Econometrica
187
212
http://links.jstor.org/sici?sici=0012-9682%28197003%2938%3A2%3C187%3AACOAEM%3E2.0.CO%3B2-L&origin=repec
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Jorgenson, Dale W
Hunter, Jerald
Nadiri, M Ishaq
oai:RePEc:ecm:emetrp:v:76:y:2008:i:2:p:443-4502013-03-04RePEc:ecm:emetrp
article
Computing the Distributions of Economic Models via Simulation
We study a Monte Carlo algorithm for computing marginal and stationary densities of stochastic models with the Markov property, establishing global asymptotic normality and O(n^(1/2)) convergence. Asymptotic normality is used to derive error bounds in terms of the distribution of the norm deviation. Copyright The Econometric Society 2008.
2
2008
76
03
Econometrica
443
450
http://hdl.handle.net/10.1111/j.0012-9682.2008.00839.x
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John Stachurski
Vance Martin
oai:RePEc:ecm:emetrp:v:44:y:1976:i:1:p:67-782013-03-04RePEc:ecm:emetrp
article
On the Role of Separability Assumptions in Determining Impatience Implications.
1
1976
44
Jan.
Econometrica
67
78
http://links.jstor.org/sici?sici=0012-9682%28197601%2944%3A1%3C67%3AOTROSA%3E2.0.CO%3B2-%23&origin=repec
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Burness, H Stuart
oai:RePEc:ecm:emetrp:v:37:y:1969:i:2:p:307-232013-03-04RePEc:ecm:emetrp
article
Contribution a l'Etude du Role des Administrations dans la Theorie Mathematique de l'Equilibre et de l'Optimum. (With English summary.)
2
1969
37
April
Econometrica
307
23
http://links.jstor.org/sici?sici=0012-9682%28196904%2937%3A2%3C307%3ACALDRD%3E2.0.CO%3B2-R&origin=repec
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Fourgeaud, Claude
oai:RePEc:ecm:emetrp:v:38:y:1970:i:6:p:856-642013-03-04RePEc:ecm:emetrp
article
Economies of Scale in Financial Institutions: A Study in Life Insurance.
6
1970
38
Nov.
Econometrica
856
64
http://links.jstor.org/sici?sici=0012-9682%28197011%2938%3A6%3C856%3AEOSIFI%3E2.0.CO%3B2-5&origin=repec
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Houston, David B
Simon, Richard M
oai:RePEc:ecm:emetrp:v:49:y:1981:i:5:p:1331-372013-03-04RePEc:ecm:emetrp
article
Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors.
5
1981
49
Sept.
Econometrica
1331
37
http://links.jstor.org/sici?sici=0012-9682%28198109%2949%3A5%3C1331%3APFTDSE%3E2.0.CO%3B2-Z&origin=repec
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Baillie, Richard T
oai:RePEc:ecm:emetrp:v:43:y:1975:i:3:p:455-682013-03-04RePEc:ecm:emetrp
article
Comparative Advantage and the Distributions of Earnings and Abilities.
3
1975
43
May
Econometrica
455
68
http://links.jstor.org/sici?sici=0012-9682%28197505%2943%3A3%3C455%3ACAATDO%3E2.0.CO%3B2-2&origin=repec
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Sattinger, Michael
oai:RePEc:ecm:emetrp:v:51:y:1983:i:4:p:1209-192013-03-04RePEc:ecm:emetrp
article
Specification Error Analysis with Stochastic Regressors.
4
1983
51
July
Econometrica
1209
19
http://links.jstor.org/sici?sici=0012-9682%28198307%2951%3A4%3C1209%3ASEAWSR%3E2.0.CO%3B2-N&origin=repec
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Kinal, Terrence
Lahiri, Kajal
oai:RePEc:ecm:emetrp:v:51:y:1983:i:4:p:1121-442013-03-04RePEc:ecm:emetrp
article
Investment Selection with Imperfect Capital Markets.
4
1983
51
July
Econometrica
1121
44
http://links.jstor.org/sici?sici=0012-9682%28198307%2951%3A4%3C1121%3AISWICM%3E2.0.CO%3B2-8&origin=repec
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Cantor, David G
Lippman, Steven A
oai:RePEc:ecm:emetrp:v:65:y:1997:i:4:p:781-8322013-03-04RePEc:ecm:emetrp
article
How Social Security and Medicare Affect Retirement Behavior in a World of Incomplete Markets
This paper provides an empirical analysis of how the U.S. Social Security and Medicare system affects the labor supply of older males in the presence of incomplete markets. The authors estimate a dynamic programming model of the joint labor supply and Social Security acceptance decision. The model is able to account for a wide variety of phenomena observed in the data, including the pronounced peaks in the distribution of retirement ages at sixty-two and sixty-five. Overall, the authors' model suggests that several puzzling aspects of retirement behavior can be viewed as artifacts of particular details of the Social Security rules.
4
1997
65
July
Econometrica
781
832
John Rust
Christopher Phelan
oai:RePEc:ecm:emetrp:v:59:y:1991:i:2:p:461-772013-03-04RePEc:ecm:emetrp
article
Bayesian Implementation.
The decentralization of decision-making is analyzed when agents may have information that is incomplete and possibly exclusive. Theorems provide conditions under which there exists a mechanism whose Bayesian equilibria coincide with a desired collection of social choice functions. The first theorem characterizes Bayesian implementation in economic environments with three or more individuals. The second theorem extends the analysis to noneconomic environments. An example exhibits differences between Bayesian implementation and Nash implementation. Copyright 1991 by The Econometric Society.
2
1991
59
March
Econometrica
461
77
http://links.jstor.org/sici?sici=0012-9682%28199103%2959%3A2%3C461%3ABI%3E2.0.CO%3B2-M&origin=repec
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Jackson, Matthew O
oai:RePEc:ecm:emetrp:v:45:y:1977:i:5:p:1291-922013-03-04RePEc:ecm:emetrp
article
Tests of Equality between Sets of Coefficients in Two Linear Regressions when Disturbance Variances Are Unequal.
5
1977
45
July
Econometrica
1291
92
http://links.jstor.org/sici?sici=0012-9682%28197707%2945%3A5%3C1291%3ATOEBSO%3E2.0.CO%3B2-Q&origin=repec
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Jayatissa, W A
oai:RePEc:ecm:emetrp:v:45:y:1977:i:7:p:1631-372013-03-04RePEc:ecm:emetrp
article
Two-Person Bargaining Problems and Comparable Utility.
7
1977
45
Oct.
Econometrica
1631
37
http://links.jstor.org/sici?sici=0012-9682%28197710%2945%3A7%3C1631%3ATBPACU%3E2.0.CO%3B2-U&origin=repec
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Myerson, Roger B
oai:RePEc:ecm:emetrp:v:53:y:1985:i:5:p:995-10452013-03-04RePEc:ecm:emetrp
article
On Endogenous Competitive Business Cycles.
5
1985
53
September
Econometrica
995
1045
http://links.jstor.org/sici?sici=0012-9682%28198509%2953%3A5%3C995%3AOECBC%3E2.0.CO%3B2-D&origin=repec
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Grandmont, Jean-Michel
oai:RePEc:ecm:emetrp:v:41:y:1973:i:4:p:617-312013-03-04RePEc:ecm:emetrp
article
Incentives in Teams.
4
1973
41
July
Econometrica
617
31
http://links.jstor.org/sici?sici=0012-9682%28197307%2941%3A4%3C617%3AIIT%3E2.0.CO%3B2-E&origin=repec
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Groves, Theodore
oai:RePEc:ecm:emetrp:v:55:y:1987:i:5:p:1165-852013-03-04RePEc:ecm:emetrp
article
Comparative Static Properties of Optimal Nonlinear Income Taxes.
Comparative static properties of optimal nonlinear income taxes are obtained for a finite population version o f the Mirrlees income-tax model with a weighted utilitarian social we lfare function and quasilinear preferences. The parameters which are varied are the weights in the welfare function, the slope of the prod uction constraint, and a parameter in the utility function. The endog enous variables are the consumers' consumption levels, pretax incomes (labor supplies in efficiency units), utility levels, and marginal t ax rates. Copyright 1987 by The Econometric Society.
5
1987
55
September
Econometrica
1165
85
http://links.jstor.org/sici?sici=0012-9682%28198709%2955%3A5%3C1165%3ACSPOON%3E2.0.CO%3B2-P&origin=repec
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Weymark, John A
oai:RePEc:ecm:emetrp:v:64:y:1996:i:5:p:1001-442013-03-04RePEc:ecm:emetrp
article
Labor Market Institutions and the Distribution of Wages, 1973-1992: A Semiparametric Approach.
This paper provides evidence that the decline in the real value of the minimum wage and in the rate of unionization account for a significant share of the increase in wage inequality in the United States between 1979 and 1988. The role of the minimum wage is particularly important for women, while deunionization has the largest impact on men. The authors develop a semiparametric procedure that applies kernel density methods to appropriately weighted samples. The procedure provides a visually clear representation of where in the density of wages institutional and labor market forces exert the greatest impact. Copyright 1996 by The Econometric Society.
5
1996
64
September
Econometrica
1001
44
http://links.jstor.org/sici?sici=0012-9682%28199609%2964%3A5%3C1001%3ALMIATD%3E2.0.CO%3B2-K&origin=repec
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DiNardo, John
Fortin, Nicole M
Lemieux, Thomas
oai:RePEc:ecm:emetrp:v:57:y:1989:i:2:p:307-332013-03-04RePEc:ecm:emetrp
article
Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses.
Using the Kullback-Leibler information criterion to measure the closeness of a model to the truth, the author proposes new likelihood-ratio-based statistics for testing the null hypothesis that the competing models are as close to the true data generating process against the alternative hypothesis that one model is closer. The tests are directional and are derived for the cases where the competing models are non-nested, overlapping, or nested and whether both, one, or neither is misspecified. As a prerequisite, the author fully characterizes the asymptotic distribution of the likelihood ratio statistic under the most general conditions. Copyright 1989 by The Econometric Society.
2
1989
57
March
Econometrica
307
33
http://links.jstor.org/sici?sici=0012-9682%28198903%2957%3A2%3C307%3ALRTFMS%3E2.0.CO%3B2-J&origin=repec
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Vuong, Quang H
oai:RePEc:ecm:emetrp:v:52:y:1984:i:5:p:1191-982013-03-04RePEc:ecm:emetrp
article
Investment in Human and Nonhuman Capital, Transfers among Siblings, and the Role of Government.
5
1984
52
September
Econometrica
1191
98
http://links.jstor.org/sici?sici=0012-9682%28198409%2952%3A5%3C1191%3AIIHANC%3E2.0.CO%3B2-T&origin=repec
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Nerlove, Marc
Razin, Assaf
Sadka, Efraim
oai:RePEc:ecm:emetrp:v:46:y:1978:i:3:p:631-412013-03-04RePEc:ecm:emetrp
article
Simultaneity in the Birth Rate Equation: The Effects of Education, Labor Force Participation, Income and Health.
3
1978
46
May
Econometrica
631
41
http://links.jstor.org/sici?sici=0012-9682%28197805%2946%3A3%3C631%3ASITBRE%3E2.0.CO%3B2-9&origin=repec
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Conger, Darius J
Campbell, John M, Jr
oai:RePEc:ecm:emetrp:v:77:y:2009:i:3:p:953-9732013-03-04RePEc:ecm:emetrp
article
Unconditional Quantile Regressions
We propose a new regression method to evaluate the impact of changes in the distribution of the explanatory variables on quantiles of the unconditional (marginal) distribution of an outcome variable. The proposed method consists of running a regression of the (recentered) influence function (RIF) of the unconditional quantile on the explanatory variables. The influence function, a widely used tool in robust estimation, is easily computed for quantiles, as well as for other distributional statistics. Our approach, thus, can be readily generalized to other distributional statistics. Copyright 2009 The Econometric Society.
3
2009
77
05
Econometrica
953
973
http://hdl.handle.net/10.3982/ECTA6822
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Sergio Firpo
Nicole M. Fortin
Thomas Lemieux
oai:RePEc:ecm:emetrp:v:49:y:1981:i:3:p:713-402013-03-04RePEc:ecm:emetrp
article
A Critique of Tiebout's Theory of Local Public Expenditures.
3
1981
49
May
Econometrica
713
40
http://links.jstor.org/sici?sici=0012-9682%28198105%2949%3A3%3C713%3AACOTTO%3E2.0.CO%3B2-L&origin=repec
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Bewley, Truman F
oai:RePEc:ecm:emetrp:v:55:y:1987:i:4:p:935-612013-03-04RePEc:ecm:emetrp
article
Stability and Collective Rationality.
A collective choice problem involves a set of agents and a set of feasi ble utility vectors. Many solutions to the collective choice problem (e.g., the Nash solution) are collectively rational, i.e., consistent with the maximization of some ordering of utility space. In this pap er, a stability condition due to J. C. Harsanyi is used to obtain the following integrability result: any solution satisfying Pareto optim ality, continuity, and bilateral stability can be represented by an a dditively separable Bergson-Samuelson social welfare function. Copyright 1987 by The Econometric Society.
4
1987
55
July
Econometrica
935
61
http://links.jstor.org/sici?sici=0012-9682%28198707%2955%3A4%3C935%3ASACR%3E2.0.CO%3B2-K&origin=repec
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Lensberg, Terje
oai:RePEc:ecm:emetrp:v:61:y:1993:i:3:p:657-862013-03-04RePEc:ecm:emetrp
article
Informative Price Advertising in a Sequential Search Model.
This paper studies the role and implications of price advertising when shopping trips are costly to consumers. The authors present a model where consumers search sequentially and where stores advertise the price. Their model has a unique equilibrium exhibiting price dispersion. The model generates predictions about the shape of the price distribution and firms' advertising behavior. Also when the initial advertising costs are precisely zero, entry drives the equilibrium to the perfectly competitive outcome; while otherwise entry drives prices higher. Finally, when advertising costs shrink, prices become competitive; however, when search costs shrink, prices remain bounded above marginal production costs. Copyright 1993 by The Econometric Society.
3
1993
61
May
Econometrica
657
86
http://links.jstor.org/sici?sici=0012-9682%28199305%2961%3A3%3C657%3AIPAIAS%3E2.0.CO%3B2-8&origin=repec
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Robert, Jacques
Stahl, Dale O, II
oai:RePEc:ecm:emetrp:v:37:y:1969:i:3:p:507-272013-03-04RePEc:ecm:emetrp
article
The Symmetric Formulation of the Simplex Method for Quadratic Programming.
3
1969
37
July
Econometrica
507
27
http://links.jstor.org/sici?sici=0012-9682%28196908%2937%3A3%3C507%3ATSFOTS%3E2.0.CO%3B2-F&origin=repec
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De Panne, C
Whinston, Andrew
oai:RePEc:ecm:emetrp:v:71:y:2003:i:2:p:713-7212013-03-04RePEc:ecm:emetrp
article
The Law of Demand and Risk Aversion
This note proposes a necessary and sufficient condition on a utility function to guarantee that it generates a demand function satisfying the law of demand. This condition can be interpreted in terms of an agent's attitude towards lotteries in commodity space. As an application, we show that when an agent has an expected utility function, her demand for securities satisfies the law of demand if her coefficient of relative risk aversion does not vary by more than 4. Copyright The Econometric Society 2003.
2
2003
71
March
Econometrica
713
721
John K.H. Quah
john.quah@economics.ox.ac.uk
St Hugh's College, Oxford, United Kingdom
oai:RePEc:ecm:emetrp:v:42:y:1974:i:3:p:593-962013-03-04RePEc:ecm:emetrp
article
Saddlepoint in Homogeneous Programming without Slater Condition.
3
1974
42
May
Econometrica
593
96
http://links.jstor.org/sici?sici=0012-9682%28197405%2942%3A3%3C593%3ASIHPWS%3E2.0.CO%3B2-3&origin=repec
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Van Moeseke, Paul
oai:RePEc:ecm:emetrp:v:51:y:1983:i:1:p:197-2182013-03-04RePEc:ecm:emetrp
article
The Structure of Qualitatively Determinate Relationships.
1
1983
51
January
Econometrica
197
218
http://links.jstor.org/sici?sici=0012-9682%28198301%2951%3A1%3C197%3ATSOQDR%3E2.0.CO%3B2-Z&origin=repec
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Lady, George M
oai:RePEc:ecm:emetrp:v:59:y:1991:i:3:p:817-582013-03-04RePEc:ecm:emetrp
article
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation.
This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and autocorrelation of unknown forms. Currently available estimators that are designed for this context depend upon the choice of a lag truncation parameter and a weighting scheme. No results are available regarding the choice of lag truncation parameter for a fixed sample size, regarding data-dependent automatic lag truncation parameters, or regarding the choice of weighting scheme. This paper addresses these problems. Asymptotically optimal kernel/weighting scheme and bandwidth/lag truncation parameters are obtained. Using these results, data-dependent automatic bandwidth/lag truncation parameters are introduced. Copyright 1991 by The Econometric Society.
3
1991
59
May
Econometrica
817
58
http://links.jstor.org/sici?sici=0012-9682%28199105%2959%3A3%3C817%3AHAACCM%3E2.0.CO%3B2-P&origin=repec
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Andrews, Donald W K
oai:RePEc:ecm:emetrp:v:46:y:1978:i:2:p:269-842013-03-04RePEc:ecm:emetrp
article
Efficiency in the Optimum Supply of Public Goods.
2
1978
46
March
Econometrica
269
84
http://links.jstor.org/sici?sici=0012-9682%28197803%2946%3A2%3C269%3AEITOSO%3E2.0.CO%3B2-L&origin=repec
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Lau, Lawrence J
Sheshinski, Eytan
Stiglitz, Joseph E
oai:RePEc:ecm:emetrp:v:52:y:1984:i:5:p:1241-692013-03-04RePEc:ecm:emetrp
article
Testing for Unit Roots: 2.
5
1984
52
September
Econometrica
1241
69
http://links.jstor.org/sici?sici=0012-9682%28198409%2952%3A5%3C1241%3ATFUR2%3E2.0.CO%3B2-W&origin=repec
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Evans, G B A
Savin, N E
oai:RePEc:ecm:emetrp:v:47:y:1979:i:5:p:1295-13042013-03-04RePEc:ecm:emetrp
article
Identification Results for ARMAX Structures.
5
1979
47
Sept.
Econometrica
1295
1304
http://links.jstor.org/sici?sici=0012-9682%28197909%2947%3A5%3C1295%3AIRFAS%3E2.0.CO%3B2-4&origin=repec
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Kohn, R
oai:RePEc:ecm:emetrp:v:72:y:2004:i:1:p:1-322013-03-04RePEc:ecm:emetrp
article
Income Variance Dynamics and Heterogeneity
Recent theoretical work has shown the importance of measuring microeconomic uncertainty for models of both general and partial equilibrium under imperfect insurance. In this paper the assumption of i.i.d. income innovations used in previous empirical studies is removed and the focus of the analysis is placed on models for the conditional variance of income shocks, which is related to the measure of risk emphasized by the theory. We first discriminate amongst various models of earnings determination that separate income shocks into idiosyncratic transitory and permanent components. We allow for education- and time-specific differences in the stochastic process for earnings and for measurement error. The conditional variance of the income shocks is modelled as a parsimonious ARCH process with both observable and unobserved heterogeneity. The empirical analysis is conducted on data drawn from the 1967-1992 Panel Study of Income Dynamics. We find strong evidence of sizeable ARCH effects as well as evidence of unobserved heterogeneity in the variances. Copyright Econometric Society 2004.
1
2004
72
01
Econometrica
1
32
http://hdl.handle.net/10.1111/j.1468-0262.2004.00476.x
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Costas Meghir
Luigi Pistaferri
oai:RePEc:ecm:emetrp:v:72:y:2004:i:1:p:336-3382013-03-04RePEc:ecm:emetrp
article
The Econometric Society Annual Reports Report of the Editors 2002-2003
1
2004
72
01
Econometrica
336
338
http://hdl.handle.net/10.1111/j.1468-0262.2004.00490.x
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Eddie Dekel
Glenn Ellison
Joel Horowitz
Costas Meghir
Andrew Postlewaite
oai:RePEc:ecm:emetrp:v:70:y:2002:i:6:p:2107-21402013-03-04RePEc:ecm:emetrp
article
Identification of Standard Auction Models
This paper presents new identification results for models of first-price, second-price, ascending (English), and descending (Dutch) auctions. We consider a general specification of the latent demand and information structure, nesting both private values and common values models, and allowing correlated types as well as ex ante asymmetry. We address identification of a series of nested models and derive testable restrictions enabling discrimination between models on the basis of observed data. The simplest model--symmetric independent private values--is nonparametrically identified even if only the transaction price from each auction is observed. For richer models, identification and testable restrictions may be obtained when additional information of one or more of the following types is available: (i) the identity of the winning bidder or other bidders; (ii) one or more bids in addition to the transaction price; (iii) exogenous variation in the number of bidders; (iv) bidder-specific covariates. While many private values (PV) models are nonparametrically identified and testable with commonly available data, identification of common values (CV) models requires stringent assumptions. Nonetheless, the PV model can be tested against the CV alternative, even when neither model is identified. Copyright The Econometric Society 2002.
6
2002
70
November
Econometrica
2107
2140
Susan Athey
athey@stanford.edu
Stanford University
Philip A. Haile
pahaile@facstaff.wisc.edu
University of Wisconsin
oai:RePEc:ecm:emetrp:v:45:y:1977:i:4:p:811-202013-03-04RePEc:ecm:emetrp
article
Necessary and Sufficient Conditions for a Pareto Optimum in Convex Programming.
4
1977
45
May
Econometrica
811
20
http://links.jstor.org/sici?sici=0012-9682%28197705%2945%3A4%3C811%3ANASCFA%3E2.0.CO%3B2-U&origin=repec
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Ben-Israel, A
Ben-Tal, A
Charnes, A
oai:RePEc:ecm:emetrp:v:77:y:2009:i:1:p:177-2342013-03-04RePEc:ecm:emetrp
article
Long-Term Risk: An Operator Approach
We create an analytical structure that reveals the long-run risk-return relationship for nonlinear continuous-time Markov environments. We do so by studying an eigenvalue problem associated with a positive eigenfunction for a conveniently chosen family of valuation operators. The members of this family are indexed by the elapsed time between payoff and valuation dates, and they are necessarily related via a mathematical structure called a semigroup. We represent the semigroup using a positive process with three components: an exponential term constructed from the eigenvalue, a martingale, and a transient eigenfunction term. The eigenvalue encodes the risk adjustment, the martingale alters the probability measure to capture long-run approximation, and the eigenfunction gives the long-run dependence on the Markov state. We discuss sufficient conditions for the existence and uniqueness of the relevant eigenvalue and eigenfunction. By showing how changes in the stochastic growth components of cash flows induce changes in the corresponding eigenvalues and eigenfunctions, we reveal a long-run risk-return trade-off. Copyright 2009 The Econometric Society.
1
2009
77
01
Econometrica
177
234
http://hdl.handle.net/10.3982/ECTA6761
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Lars Peter Hansen
José A. Scheinkman
oai:RePEc:ecm:emetrp:v:67:y:1999:i:4:p:875-8942013-03-04RePEc:ecm:emetrp
article
Bayesian Representation of Stochastic Processes under Learning: de Finetti Revisited
A probability distribution governing the evolution of a stochastic process has infinitely many Bayesian representations of the form mu = integral operator [subscript theta] mu[subscript theta] delta lambda (theta). Among these, a natural representation is one whose components (mu[subscript theta]'s) are 'learnable' (one can approximate mu[subscript theta] by conditioning mu on observation of the process) and 'sufficient for prediction' (mu[subscript theta]'s predictions are not aided by conditioning on observation of the process). The authors show the existence and uniqueness of such a representation under a suitable asymptotic mixing condition on the process. This representation can be obtained by conditioning on the tail-field of the process, and any learnable representation that is sufficient for prediction is asymptotically like the tail-field representation. This result is related to the celebrated de Finetti theorem, but with exchangeability weakened to an asymptotic mixing condition, and with his conclusion of a decomposition into i.i.d. component distributions weakened to components that are learnable and sufficient for prediction.
4
1999
67
July
Econometrica
875
894
Matthew O. Jackson
Ehud Kalai
Rann Smorodinsky
oai:RePEc:ecm:emetrp:v:47:y:1979:i:6:p:1421-322013-03-04RePEc:ecm:emetrp
article
The Ergodic Behavior of Stochastic Processes of Economic Equilibria.
6
1979
47
Nov.
Econometrica
1421
32
http://links.jstor.org/sici?sici=0012-9682%28197911%2947%3A6%3C1421%3ATEBOSP%3E2.0.CO%3B2-S&origin=repec
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Blume, Lawrence E
oai:RePEc:ecm:emetrp:v:61:y:1993:i:1:p:57-842013-03-04RePEc:ecm:emetrp
article
The Evolution of Conventions.
The author shows how a group of individuals can learn to play a coordination game without any common knowledge and with only a small amount of rationality. The game is repeated many times by different players. Each player chooses an optimal reply based on incomplete information about what other players have done in the past. Occasionally they make mistakes. When the likelihood of mistakes is very small, typically one coordination equilibrium will be played almost all of the time over the long run. This stochastically stable equilibrium can be computed analytically using a general theorem the author proves on perturbed Markov processes. Copyright 1993 by The Econometric Society.
1
1993
61
January
Econometrica
57
84
http://links.jstor.org/sici?sici=0012-9682%28199301%2961%3A1%3C57%3ATEOC%3E2.0.CO%3B2-W&origin=repec
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Young, H Peyton
oai:RePEc:ecm:emetrp:v:60:y:1992:i:1:p:43-562013-03-04RePEc:ecm:emetrp
article
Implementation via Nash Equilibria.
This paper is concerned with a problem of implementation of a given social choice correspondence. The authors introduces an essential monotonicity condition and show that any implementable social choice correspondence satisfies this condition. Conversely, in a case of three or more participants, any essentially monotone social choice correspondence is implementable. In a case of two participants, the essential monotonicity condition must be completed by a requirement that the social choice correspondence is close to an individually rational correspondence. Copyright 1992 by The Econometric Society.
1
1992
60
January
Econometrica
43
56
http://links.jstor.org/sici?sici=0012-9682%28199201%2960%3A1%3C43%3AIVNE%3E2.0.CO%3B2-Z&origin=repec
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Danilov, Vladimir
oai:RePEc:ecm:emetrp:v:51:y:1983:i:5:p:1583-912013-03-04RePEc:ecm:emetrp
article
Dynamic Effects of a Shift in Savings; The Role of Firms.
5
1983
51
September
Econometrica
1583
91
http://links.jstor.org/sici?sici=0012-9682%28198309%2951%3A5%3C1583%3ADEOASI%3E2.0.CO%3B2-H&origin=repec
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Blanchard, Olivier J
oai:RePEc:ecm:emetrp:v:72:y:2004:i:6:p:1927-19292013-03-04RePEc:ecm:emetrp
article
Corrigendum to "Communication and Equilibrium in Discontinuous Games of Incomplete Information"
6
2004
72
11
Econometrica
1927
1929
http://hdl.handle.net/10.1111/j.1468-0262.2004.00559.x
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Matthew O. Jackson
Leo K. Simon
Jeroen M. Swinkels
William R. Zame
oai:RePEc:ecm:emetrp:v:40:y:1972:i:1:p:19-262013-03-04RePEc:ecm:emetrp
article
Information Lost in Aggregation: A Bayesian Approach.
1
1972
40
Jan.
Econometrica
19
26
http://links.jstor.org/sici?sici=0012-9682%28197201%2940%3A1%3C19%3AILIAAB%3E2.0.CO%3B2-D&origin=repec
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Kelejian, H H
oai:RePEc:ecm:emetrp:v:79:y:2011:i:6:p:1995-20322013-03-04RePEc:ecm:emetrp
article
Dynamic Identification of Dynamic Stochastic General Equilibrium Models
6
2011
79
11
Econometrica
1995
2032
http://hdl.handle.net/10.3982/ECTA8916
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Ivana Komunjer
Serena Ng
oai:RePEc:ecm:emetrp:v:50:y:1982:i:6:p:1415-302013-03-04RePEc:ecm:emetrp
article
Information Acquisition in a Noisy Rational Expectations Economy.
6
1982
50
November
Econometrica
1415
30
http://links.jstor.org/sici?sici=0012-9682%28198211%2950%3A6%3C1415%3AIAIANR%3E2.0.CO%3B2-Y&origin=repec
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Verrecchia, Robert E
oai:RePEc:ecm:emetrp:v:72:y:2004:i:3:p:937-9462013-03-04RePEc:ecm:emetrp
article
The Error in Rejection Probability of Simple Autocorrelation Robust Tests
A new class of autocorrelation robust test statistics is introduced. The class of tests generalizes the Kiefer, Vogelsang, and Bunzel (2000) test in a manner analogous to Anderson and Darling's (1952) generalization of the Cramér-von Mises goodness of fit test. In a Gaussian location model, the error in rejection probability of the new tests is found to be O(T-super--1logT), where T denotes the sample size. Copyright The Econometric Society 2004.
3
2004
72
05
Econometrica
937
946
http://hdl.handle.net/10.1111/j.1468-0262.2004.00517.x
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Michael Jansson
oai:RePEc:ecm:emetrp:v:58:y:1990:i:3:p:571-952013-03-04RePEc:ecm:emetrp
article
Learning How to Cooperate: Optimal Play in Repeated Coordination Games.
This paper proposes a characterization of optimal strategies for playing certain repeated coordination games whose players have identical preferences. Players' optimal coordination strategies reflect their uncertainty about how their partners will respond to multiple-equilibrium problems; this uncertainty constrains the statistical relationships between their strategy choices players can bring about. The authors show that optimality is nevertheless consistent with subgame-perfect equilibrium. Examples are analyzed in which players use precedents as focal points to achieve and maintain coordination, and in which they play dominated strategies with positive probability in early stages in the hope of generating a useful precedent. Copyright 1990 by The Econometric Society.
3
1990
58
May
Econometrica
571
95
http://links.jstor.org/sici?sici=0012-9682%28199005%2958%3A3%3C571%3ALHTCOP%3E2.0.CO%3B2-T&origin=repec
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Crawford, Vincent P
Haller, Hans
oai:RePEc:ecm:emetrp:v:75:y:2007:i:1:p:259-2762013-03-04RePEc:ecm:emetrp
article
Efficient Semiparametric Estimation of Quantile Treatment Effects
This paper develops estimators for quantile treatment effects under the identifying restriction that selection to treatment is based on observable characteristics. Identification is achieved without requiring computation of the conditional quantiles of the potential outcomes. Instead, the identification results for the marginal quantiles lead to an estimation procedure for the quantile treatment effect parameters that has two steps: nonparametric estimation of the propensity score and computation of the difference between the solutions of two separate minimization problems. Root-N consistency, asymptotic normality, and achievement of the semiparametric efficiency bound are shown for that estimator. A consistent estimation procedure for the variance is also presented. Finally, the method developed here is applied to evaluation of a job training program and to a Monte Carlo exercise. Results from the empirical application indicate that the method works relatively well even for a data set with limited overlap between treated and controls in the support of covariates. The Monte Carlo study shows that, for a relatively small sample size, the method produces estimates with good precision and low bias, especially for middle quantiles. Copyright The Econometric Society 2007.
1
2007
75
01
Econometrica
259
276
http://hdl.handle.net/10.1111/j.1468-0262.2007.00738.x
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Sergio Firpo
oai:RePEc:ecm:emetrp:v:71:y:2003:i:1:p:71-1042013-03-04RePEc:ecm:emetrp
article
Consistent Tests for Stochastic Dominance
Methods are proposed for testing stochastic dominance of any pre--specified order, with primary interest in the distributions of income. We consider consistent tests, that are similar to Kolmogorov--Smirnov tests, of the complete set of restrictions that relate to the various forms of stochastic dominance. For such tests, in the case of tests for stochastic dominance beyond first order, we propose and justify a variety of approaches to inference based on simulation and the bootstrap. We compare these approaches to one another and to alternative approaches based on multiple comparisons in the context of a Monte Carlo experiment and an empirical example. Copyright The Econometric Society 2003.
1
2003
71
January
Econometrica
71
104
Garry F. Barrett
g.barrett@unsw.edu.au
University of New South Wales, Sydney, Australia
Stephen G. Donald
donald@eco.utexas.edu
University of Texas at Austin, U.S.A.
oai:RePEc:ecm:emetrp:v:69:y:2001:i:4:p:861-892013-03-04RePEc:ecm:emetrp
article
Single Crossing Properties and the Existence of Pure Strategy Equilibria in Games of Incomplete Information.
This paper analyzes a class of games of incomplete information where each agent has private information about her own type, and the types are drawn from an atomless joint probability distribution. The main result establishes existence of pure strategy Nash equilibria (PSNE) under a condition we call the single crossing condition (SCC), roughly described as follows: whenever each opponent uses a nondecreasing strategy (in the sense that higher types choose higher actions), a player's best response strategy is also nondecreasing. When the SCC holds, a PSNE exists in every finite-action game. Further, for games with continuous payoffs and a continuum of actions, there exists a sequence of PSNE to finite-action games that converges to a PSNE of the continuum-action game. These convergence and existence results also extend to some classes of games with discontinuous payoffs, such as first-price auctions, where bidders may be heterogeneous and reserve prices are permitted. Finally, the paper characterizes the SCC based on properties of utility functions and probability distributions over types. Applications include first-price, multi-unit, and all-pay auctions; pricing games with incomplete information about costs; and noisy signaling games.
4
2001
69
July
Econometrica
861
89
Athey, Susan
oai:RePEc:ecm:emetrp:v:51:y:1983:i:2:p:389-4012013-03-04RePEc:ecm:emetrp
article
Individual Monotonicity and Lexicographic Maxmin Solution.
2
1983
51
March
Econometrica
389
401
http://links.jstor.org/sici?sici=0012-9682%28198303%2951%3A2%3C389%3AIMALMS%3E2.0.CO%3B2-%23&origin=repec
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Imai, Haruo
oai:RePEc:ecm:emetrp:v:39:y:1971:i:6:p:1043-472013-03-04RePEc:ecm:emetrp
article
A Note on Distributed Lags with Rational Polynomial Generating Functions.
6
1971
39
Nov.
Econometrica
1043
47
http://links.jstor.org/sici?sici=0012-9682%28197111%2939%3A6%3C1043%3AANODLW%3E2.0.CO%3B2-P&origin=repec
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Hause, John C
oai:RePEc:ecm:emetrp:v:51:y:1983:i:4:p:1233-422013-03-04RePEc:ecm:emetrp
article
Heteroscedasticity in Models with Lagged Dependent Variables.
4
1983
51
July
Econometrica
1233
42
http://links.jstor.org/sici?sici=0012-9682%28198307%2951%3A4%3C1233%3AHIMWLD%3E2.0.CO%3B2-J&origin=repec
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Nicholls, D F
Pagan, A R
oai:RePEc:ecm:emetrp:v:47:y:1979:i:1:p:209-102013-03-04RePEc:ecm:emetrp
article
A Grouping Test for Misspecification.
1
1979
47
Jan.
Econometrica
209
10
http://links.jstor.org/sici?sici=0012-9682%28197901%2947%3A1%3C209%3AAGTFM%3E2.0.CO%3B2-V&origin=repec
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Farebrother, R W
oai:RePEc:ecm:emetrp:v:51:y:1983:i:4:p:1093-1082013-03-04RePEc:ecm:emetrp
article
The Influence of Classification and Observation Errors on the Measurement of Income Inequality.
4
1983
51
July
Econometrica
1093
108
http://links.jstor.org/sici?sici=0012-9682%28198307%2951%3A4%3C1093%3ATIOCAO%3E2.0.CO%3B2-R&origin=repec
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van Praag, Bernard M S
Hagenaars, Aldi J M
van Eck, Wim
oai:RePEc:ecm:emetrp:v:43:y:1975:i:1:p:57-642013-03-04RePEc:ecm:emetrp
article
The Samuelson Nonsubstitution Theorem and the Computation of Equilibrium Prices.
1
1975
43
Jan.
Econometrica
57
64
http://links.jstor.org/sici?sici=0012-9682%28197501%2943%3A1%3C57%3ATSNTAT%3E2.0.CO%3B2-S&origin=repec
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Diewert, W E
oai:RePEc:ecm:emetrp:v:70:y:2002:i:4:p:1683-16972013-03-04RePEc:ecm:emetrp
article
Rank Estimation of Transformation Models
4
2002
70
July
Econometrica
1683
1697
Songnian Chen
snchen@ust.hk
The Hong Kong University of Science and Technology, Kowloon, Hong Kong
oai:RePEc:ecm:emetrp:v:55:y:1987:i:4:p:801-172013-03-04RePEc:ecm:emetrp
article
Estimating a Structural Search Model: The Transition from School to Work.
This paper presents a finite-horizon search model that is econometrically implemented using all of the restrictions impli ed by the theory. Following a sample of male high school graduates fr om the youth cohort of the National Longitudinal Surveys from graduat ion to employment, search parameters are estimated. Reservation wages and offer probabilities are estimated to be quite low. Simulations a re performed of the impact of changing the parameters on the expected duration of unemployment. Copyright 1987 by The Econometric Society.
4
1987
55
July
Econometrica
801
17
http://links.jstor.org/sici?sici=0012-9682%28198707%2955%3A4%3C801%3AEASSMT%3E2.0.CO%3B2-V&origin=repec
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Wolpin, Kenneth I
oai:RePEc:ecm:emetrp:v:69:y:2001:i:5:p:1283-13142013-03-04RePEc:ecm:emetrp
article
Subsampling Intervals in Autoregressive Models with Linear Time Trend.
A new method is proposed for constructing confidence intervals in autoregressive models with linear time trend. Interest focuses on the sum of the autoregressive coefficients because this parameter provides a useful scalar measure of the long-run persistence properties of an economic time series. Since the type of the limiting distribution of the corresponding OLS estimator, as well as the rate of its convergence, depend in a discontinuous fashion upon whether the true parameter is less than one or equal to one (that is, trend-stationary case or unit root case), the construction of confidence intervals is notoriously difficult. The crux of our method is to recompute the OLS estimator on smaller blocks of the observed data, according to the general subsampling idea of Politis and Romano (1994), although some extensions of the standard theory are needed. The method is more general than previous approaches in that it works for arbitrary parameter values, but also because it allows the innovations to be a martingale difference sequence rather than i.i.d. Some simulation studies examine the finite sample performance.
5
2001
69
September
Econometrica
1283
1314
Romano, Joseph P
Wolf, Michael
oai:RePEc:ecm:emetrp:v:52:y:1984:i:2:p:507-302013-03-04RePEc:ecm:emetrp
article
A Competitive Model of Commodity Differentiation.
2
1984
52
March
Econometrica
507
30
http://links.jstor.org/sici?sici=0012-9682%28198403%2952%3A2%3C507%3AACMOCD%3E2.0.CO%3B2-H&origin=repec
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Jones, Larry E
oai:RePEc:ecm:emetrp:v:72:y:2004:i:4:p:1221-12462013-03-04RePEc:ecm:emetrp
article
Statistical Treatment Rules for Heterogeneous Populations
An important objective of empirical research on treatment response is to provide decision makers with information useful in choosing treatments. This paper studies minimax-regret treatment choice using the sample data generated by a classical randomized experiment. Consider a utilitarian social planner who must choose among the feasible statistical treatment rules, these being functions that map the sample data and observed covariates of population members into a treatment allocation. If the planner knew the population distribution of treatment response, the optimal treatment rule would maximize mean welfare conditional on all observed covariates. The appropriate use of covariate information is a more subtle matter when only sample data on treatment response are available. I consider the class of conditional empirical success rules; that is, rules assigning persons to treatments that yield the best experimental outcomes conditional on alternative subsets of the observed covariates. I derive a closed-form bound on the maximum regret of any such rule. Comparison of the bounds for rules that condition on smaller and larger subsets of the covariates yields sufficient sample sizes for productive use of covariate information. When the available sample size exceeds the sufficiency boundary, a planner can be certain that conditioning treatment choice on more covariates is preferable (in terms of minimax regret) to conditioning on fewer covariates. Copyright The Econometric Society 2004.
4
2004
72
07
Econometrica
1221
1246
http://hdl.handle.net/10.1111/j.1468-0262.2004.00530.x
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Charles F. Manski
oai:RePEc:ecm:emetrp:v:53:y:1985:i:4:p:963-762013-03-04RePEc:ecm:emetrp
article
The Symmetric Linear Rational Expectations Model.
4
1985
53
July
Econometrica