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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity [статья]
Опубликовано на портале: 06-04-2004Halbert L. White Econometrica. 1980. Vol. 48. No. 4. P. 817-838.
This paper presents a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic. This estimator does not depend on a formal model of the structure of the heteroskedasticity. By comparing the elements of the new estimator to those of the usual covariance estimator, one obtains a direct test for heteroskedasticity, since in the absence of heteroskedasticity, the two estimators will be approximately equal, but will generally diverge otherwise. The test has an appealing least squares interpretation.
Опубликовано на портале: 13-04-2004Donald Wilfrid Kao Andrews, J. Christopher Monahan Econometrica. 1992. Vol. 60. No. 4. P. 953-966.
This paper considers a new class of heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators. The estimators considered are prewhitened kernel estimators with vector autoregressions employed in the prewhitening stage. The paper establishes consistency, rate of convergence, and asymptotic truncated mean squared error (MSE) results for the estimators when a fixed or automatic bandwidth procedure is employed. Conditions are obtained under which prewhitening improves asymptotic truncated MSE. Monte Carlo results show that prewhitening is very effective in reducing bias, improving confidence interval coverage probabilities, and rescuing over-rejection of t-statistics constructed using kernel-HAC estimators. On the other hand, prewhitening is found to inflate variance and MSE of the kernel estimators. Since confidence interval coverage probabilities and over-rejection of t-statistics are usually of primary concern, prewhitened kernel estimators provide a significant improvement over the standard non-prewhitened kernel estimators.
Опубликовано на портале: 31-03-2003Robert C. Merton Econometrica. 1973. Vol. 41. No. 5. P. 867-87.
Develops an equilibrium model of the capital market which has the simplicity and tractability of the capital asset pricing model. Structure of the capital market; Establishment of the dynamics of the returns on assets; Dynamics of preference structure and budget equation. (Из Ebsco)
Опубликовано на портале: 18-09-2003John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross Econometrica. 1985. Vol. 53. No. 2. P. 363-84 .
Доступен в JStore.
Опубликовано на портале: 31-01-2007Motty Perry, Philip John Reny Econometrica. 1994. Vol. 62. No. 4. P. 795-817.
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.
A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix [статья]
Опубликовано на портале: 13-04-2004Whitney K. Newey, Kenneth D. West Econometrica. 1987. Vol. 55. No. 3. P. 703-708.
This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction. It also establishes consistency of the estimated covariance matrix under fairly general conditions.
Опубликовано на портале: 13-04-2004Peter Charles Bonest Phillips, Sam Ouliaris Econometrica. 1990. Vol. 58. No. 1. P. 165-193.
This paper develops an asymptotic theory for residual based tests for cointegration. Attention is given to the augmented Dickey-Fuller (ADF) test and the Z(subscript "alpha") and Z(subscript "t") unit root tests. Two new tests are also introduced. The tests are shown to be asymptotically similar, and simple representations of their limiting distributions are given and asymptotic critical values are tabulated. The ADF and Z(subscript "t") tests are asymptotically equivalent. Power properties of the test are also studied. The tests are consistent if suitably constructed, but the ADF and Z(subscript "t") tests have slower rates of divergence under cointegration than the other tests. Copyright 1990 by The Econometric Society.
Опубликовано на портале: 22-03-2007Ariel Pakes, Steven T. Berry, James A. Levinsohn Econometrica. 1995. Vol. 63. No. 4. P. 841-890.
This paper develops techniques for empirically analyzing demand and supply in differentiated product markets and then applies these techniques to the U.S. automobile industry. The authors' framework enables one to obtain estimates of demand and cost parameters for a class of oligopolistic differentiated products markets. These estimates can be obtained using only widely available product-level and aggregate consumer-level data, and they are consistent with a structural model of equilibrium in an oligopolistic industry. Applying these techniques, the authors obtain parameters for essentially all autos sold over a twenty-year period.
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation [статья]
Опубликовано на портале: 06-04-2004Robert F. Engle Econometrica. 1982. Vol. 50. No. 4. P. 987-1008.
Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) processes are introduced in this paper. These are mean zero, serially uncorrelated processes with nonconstant variances conditional on the past, but constant unconditional variances. For such processes, the recent past gives information about the one-period forecast variance. A regression model is then introduced with disturbances following an ARCH process. Maximum likelihood estimators are described and a simple scoring iteration formulated. Ordinary least squares maintains its optimality properties in this set-up, but maximum likelihood is more efficient. The relative efficiency is calculated and can be infinite. To test whether the disturbances follow an ARCH process, the Lagrange multiplier procedure is employed. The test is based simply on the autocorrelation of the squared OLS residuals. This model is used to estimate the means and variances of inflation in the U.K. The ARCH effect is found to be significant and the estimated variances increase substantially during the chaotic seventies.
Опубликовано на портале: 30-01-2007Muhamet Yildiz Econometrica. 2003. Vol. 71. No. 3. P. 793-811.
In sequential bargaining models without outside options, each player's bargaining power is ultimately determined by which player will make an offer and when. This paper analyzes a sequential bargaining model in which players may hold different beliefs about which player will make an offer and when. Excessive optimism about making offers in the future can cause delays in agreement. The main result states that, despite this, if players will remain sufficiently optimistic for a sufficiently long future, then in equilibrium they will agree immediately. This result is also extended to other canonical models of optimism.
Опубликовано на портале: 13-04-2004Donald Wilfrid Kao Andrews Econometrica. 1988. Vol. 56. No. 6. P. 1419-1453.
This paper extends the Pearson chi-square testing method to nondynamic parametric econometric models, in particular, to models with covariates. The paper establishes the asymptotic distribution of the test statistic under the null and local alternatives when the test statistic is based on data-dependent random cells of a general form and on an arbitrary asymptotically normal estimator. These results are attained by extending recent probabilistic results for the weak convergence of empirical processes indexed by sets. The chi-square test that is introduced can be used to test goodness-of-fit of a parametric model, as well as to test particular aspects of the parametric model that are of interest.
Опубликовано на портале: 06-04-2004Robert F. Engle, Clive W. J. Granger Econometrica. 1987. Vol. 55. No. 2. P. 251-276.
The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples. If each element of a vector of time series x first achieves stationarity after differencing, but a linear combination a'x is already stationary, the time series x are said to be co-integrated with co-integrating vector a. There may be several such co-integrating vectors so that a becomes a matrix. Interpreting a'x,= 0 as a long run equilibrium, co-integration implies that deviations from equilibrium are stationary, with finite variance, even though the series themselves are nonstationary and have infinite variance. The paper presents a representation theorem based on Granger (1983), which connects the moving average, autoregressive, and error correction representations for co-integrated systems. A vector autoregression in differenced variables is incompatible with these representations. Estimation of these models is discussed and a simple but asymptotically efficient two-step estimator is proposed. Testing for co-integration combines the problems of unit root tests and tests with parameters unidentified under the null. Seven statistics are formulated and analyzed. The critical values of these statistics are calculated based on a Monte Carlo simulation. Using these critical values, the power properties of the tests are examined and one test procedure is recommended for application. In a series of examples it is found that consumption and income are co-integrated, wages and prices are not, short and long interest rates are, and nominal GNP is co-integrated with M2, but not M1, M3, or aggregate liquid assets.
Common Agency [статья]
Опубликовано на портале: 31-01-2007B. Douglas Bernheim, Michael D. Whinston Econometrica. 1986. Vol. 54. No. 4. P. 923-942.
We extend the principal-agent framework with risk-neutral principals to situations in which several principals simultaneously and independently attempt to influence a common agent. We show that implementation is, in the aggregate, always efficient (cost-minimizing), and that noncooperative behavior induces an efficient (potentially second-best) action choice if and only if collusion among the principals would implement the first-best action at the first-best level of cost. We also investigate the existence of equilibria, the distribution of net rewards among principals, the characteristics of actions chosen in inefficient equilibria, and potential institutional remedies for welfare losses induced by noncooperative behavior.
Опубликовано на портале: 06-04-2004Daniel B. Nelson Econometrica. 1991. Vol. 59. No. 2. P. 347-370.
This paper introduces an ARCH model (exponential ARCH) that (1) allows correlation between returns and volatility innovations (an important feature of stock market volatility changes), (2) eliminates the need for inequality constraints on parameters, and (3) allows for a straightforward interpretation of the "persistence" of shocks to volatility. In the above respects, it is an improvement over the widely-used GARCH model. The model is applied to study volatility changes and the risk premium on the CRSP Value-Weighted Market Index from 1962 to 1987. Copyright 1991 by The Econometric Society.
Corporate Governance [статья]
Опубликовано на портале: 22-03-2007Jean Tirole Econometrica. 2001. Vol. 69. No. 1. P. 1-35.
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.