In this paper, we discuss a scaling approach to business fluctuations. Our starting point consists in recognizing that concepts and methods derived from physics have allowed economists to (re)discover a set of stylized ...
Keane, Michael(Federal Reserve Bank of Minneapolis, 1995)
This article analyzes several proposals to build work incentives into the U.S. welfare system. It concludes that the most cost effective way to do that is to offer a work subsidy to all low-income single parents?in other ...
The frequency of financial crises in the last 20 years can be attributed to the lack of a comprehensive theory of financial regulation to guide policy makers. Existing theories fail to define the range of regulatory ...
This paper deals with a general version of a two-stage model of R&D and product market competition. We provide a thorough generalization of previous results on the comparative performance of noncooperative and cooperative ...
Discrete choice experiments are widely used to learn about the distribution of individual preferences for product attributes. Such experiments are often designed and conducted deliberately for the purpose of designing new ...
Abstract: In a standard environment for choice under uncertainty with constant relative risk aversion (CRRA), the existence of expected utility is fragile with respect to changes in the distributions of random variables, ...
THIS NOTE SUGGESTS that the components models employed in [2, 3, 10, 11, 12 and 17] may be usefully analyzed within the state space framework found in the literature of control engineering. Such a formulation has the ...
Registered nurses (RNs) working in the NSW public sector in 1996 are matched to the hospital in which they work. We analyse their annual retention probability using personal and job characteristics along with hospital ...
Our goal is inference for shape-restricted functions. Our functional form consists of finite linear combinations of basis functions. Prior elicitation is difficult due to the irregular shape of the parameter space. We show ...
The set of incentive-feasible allocations is examined in a dynamic quasi-linear environment where agents lack commitment and have private information over their idiosyncratic characteristics. When record-keeping is available, ...
We consider a two-period duopoly characterized by a one-way spillover structure in process R&D and a very broad specification of product market competition. We show that a priori identical firms always engage in different ...
We consider a standard social choice environment with linear utilities and independent, one-dimensional, private types. We prove that for any Bayesian incentive compatible mechanism there exists an equivalent dominant ...
We study equilibrium and maximin play in supergames consisting of the sequential play of a finite collection of stage games, where each stage game has two outcomes for each player. We show that for two-player supergames ...
While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional volatility, the volatility feedback theory implies a channel that allows the conditional volatility ...
The paper discusses various roles that the growth optimal portfolio (GOP) plays in finance. For the case of a continuous market we show how the GOP can be interpreted as a fundamental building block in financial market ...
Geweke, John; Amisano, Gianni(Elsevier Science Sa, 2011)
We consider the properties of weighted linear combinations of prediction models, or linear pools, evaluated using the log predictive scoring rule. Although exactly one model has limiting posterior probability, an optimal ...
If a probability distribution is sufficiently close to a normal distribution, its density can be approximated by a Gram/Charlier Series A expansion. In option pricing, this has been used to fit risk-neutral asset price ...