-
作者：Andrews, DWK; Sun, YX
作者单位：Yale University; University of California System; University of California San Diego
摘要：The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Kunsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to circumvent these problems. Instead of approximating the short-run component of the spectrum, phi(lambda), by a. constant in a shrinking neighborhood of frequency zero, we approximate its logarithm by a polynom...
-
作者：Hong, YM; Kao, CW
作者单位：Cornell University; Cornell University; Tsinghua University; Syracuse University; Syracuse University
摘要：Wavelet analysis is a new mathematical method developed as a unified field of science over the last decade or so. As a spatially adaptive analytic tool, wavelets are useful for capturing serial correlation where the spectrum has peaks or kinks, as can arise from persistent dependence, seasonality, and other kinds of periodicity. This paper proposes a new class of generally applicable wavelet-based tests for serial correlation of unknown form in the estimated residuals of a panel regression mod...
-
作者：Cripps, MW; Mailath, GJ; Samuelson, L
作者单位：Washington University (WUSTL); University of Pennsylvania; University of Wisconsin System; University of Wisconsin Madison
摘要：We study the long-run sustainability of reputations in games with imperfect public monitoring. It is impossible to maintain a permanent reputation for playing a strategy that does not play an equilibrium of the game without uncertainty about types. Thus, a player cannot indefinitely sustain a reputation for noncredible behavior in the presence of imperfect monitoring.
-
作者：Collin-Dufresne, P; Goldstein, R; Hugonnier, J
作者单位：University of California System; University of California Berkeley; University of Minnesota System; University of Minnesota Twin Cities; University of Lausanne
摘要：Previous research has shown that under a suitable no-jump condition, the price of a defaultable security is equal to its risk-neutral expected discounted cash flows if a modified discount rate is introduced to account for the possibility of default. Below, we generalize this result by demonstrating that one can always value defaultable claims using expected risk-adjusted discounting provided that the expectation is taken under a slightly modified probability measure. This new probability measu...
-
作者：Horowitz, JL
作者单位：Northwestern University
摘要：The block bootstrap is the best known bootstrap method for time-series data when the analyst does not have a parametric model that reduces the data generation process to simple random sampling. However, the errors made by the block bootstrap converge to zero only slightly faster than those made by first-order asymptotic approximations. This paper describes a bootstrap procedure for data that are generated by a Markov process or a process that can be approximated by a Markov process with suffic...
-
作者：Kubler, F; Schmedders, K
作者单位：Stanford University; Northwestern University
摘要：We consider an infinite-horizon exchange economy with incomplete markets and collateral constraints. As in the two-period model of Geanakoplos and Zame (2002), households can default on their liabilities at any time, and financial securities are only traded if the promises associated with these securities are backed by collateral. We examine an economy with a single perishable consumption good, where the only collateral available consists of productive assets. In this model, competitive equili...
-
作者：Burdett, K; Coles, M
作者单位：University of Essex; University of Pennsylvania; Consejo Superior de Investigaciones Cientificas (CSIC); CSIC - Institut d'Analisi Economica (IAE)
摘要：In this study we consider a labor market matching model where firms post wage-tenure contracts and workers, both employed and unemployed, search for new job opportunities. Given workers are risk averse, we establish there is a unique equilibrium in the environment considered. Although firms in the market make different offers in equilibrium, all post a wage-tenure contract that implies a worker's wage increases smoothly with tenure at the firm. As firms make different offers, there is job turn...
-
作者：Ruszczynski, A; Vanderbei, RJ
作者单位：Rutgers University System; Rutgers University New Brunswick; Princeton University
摘要：We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose mean-risk models that are solvable by linear programming and generate portfolios whose returns are nondominated in the sense of second-order stochastic dominance. Next, we develop a specialized parametric method for recovering the entire mean-risk efficient frontiers of these models and we illustrate its operation on a large data set involving tho...
-
作者：Robinson, PM; Hualde, J
摘要：Cointegrated bivariate nonstationary time series are considered in a fractional context, without allowance for deterministic trends. Both the observable series and the cointegrating error can be fractional processes. The familiar situation in which the respective integration orders are I and 0 is nested, but these values have typically been assumed known. We allow one or more of them to be unknown real values, in which case Robinson and Marinucci (2001, 2003) have justified least squares estim...
-
作者：Ai, CR; Chen, XH
作者单位：State University System of Florida; University of Florida; New York University
摘要：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(-1/4) under certain metric; (ii) the estimator of theta is rootn consistent and asy...
