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Measurement Theory and the Foundations of Utilitarianism

Weymark, John a. - Econometric Society - 2004

Harsanyi used expected utility theory to provide two axiomatizations of weighted utilitarian rules. Sen (and later, Weymark) has argued that Harsanyi has not, in fact, axiomatized utilitarianism because he has misapplied expected utility theory. Specifically, Sen and Weymark have argued that von...

Persistent link: https://www.econbiz.de/10005063707

Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management

Shapiro, Alex; Basak, Suleyman; Pavlova, Anna - Econometric Society - 2004

-performance relationship by manipulating her risk exposure. In a dynamic asset allocation framework, we show that as the year-end approaches … chooses to deviate from the index by either increasing or decreasing the volatility of her portfolio. The maximum deviation is … risky asset despite its positive risk premium. Under multiple sources of risk, with both systematic and idiosyncratic risks …

Persistent link: https://www.econbiz.de/10005699668

Are there restrictions to consumption smoothing in Latin American countries? Differences between OLS and GLS estimation

Teixeira, Humberto Carlos Faria; Issler, Joao Victor - Econometric Society - 2004

We study empirically how close consumption-smoothing models employing present-value relationships fit data for Latin-American countries, either in an open-economy or closed-economy environment. Bivariate VARS are estimated using either individual-system or a joint-system techniques (OLS or GLS -...

Persistent link: https://www.econbiz.de/10005129765

A simple estimation method and finite-sample inference for a stochastic volatility model

VALERY, Pascale - Econometric Society - 2004

The aim of the paper is to fulfill the gap for testing hypotheses on parameters of the log-normal stochastic volatility … that of the proposed test statistics for testing the null hypothesis of no persistence in the volatility. We then compare …

Persistent link: https://www.econbiz.de/10005130214

Interpreting Permanent and Transitory Shocks to Output When Aggregate Demand May Not Be Neutral in the Long-run

Keating, John - Econometric Society - 2004

I examine the statistical model of permanent and transitory shocks to output under the following structural assumptions: An aggregate supply shock that raises output will cause the price level to fall and an aggregate demand shock that initially raises output will cause the price level to rise....

Persistent link: https://www.econbiz.de/10005130221

Duration and Order Type Clusters

NG, Wing Lon - Econometric Society - 2004

This paper introduces a new bivariate autoregressive conditional framework (ACD×ACL) for modelling the arrival process of buy and sell orders in a limit order book. The model contains two dynamic components to describe the observed clustering of durations and order types: a duration process to...

Persistent link: https://www.econbiz.de/10005130252

Are VAR Models Good Enough?

Vahid, Farshid; Athanasopoulos, George - Econometric Society - 2004

VAR models are used in practice in preference to VARMA models due to the difficult issues involved in the identification and estimation of VARMA models. This paper examines if VAR models are good enough for forecasting macroeconomic variables. To answer this question, we extend the Tiao and Tsay...

Persistent link: https://www.econbiz.de/10005342142

Dead Man Walking: An Empirical Reassessment of the Deterrent Effect of Capital Punishment Using the Bounds Testing Approach to Cointegration

Smyth, Russell; Narayan, Paresh Kumar - Econometric Society - 2004

This paper empirically estimates a murder supply equation for the United States from 1965 to 2001 within a cointegration and error correction framework. Our findings suggest that any support for the deterrence hypothesis is sensitive to the inclusion of variables for the effect of guns and other...

Persistent link: https://www.econbiz.de/10005342164

Do Technology Shocks Drive Hours Up or Down?

Rossi, Barbara; Pesavento, Elena - Econometric Society - 2004

This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic procedure in which the researcher does not have to...

Persistent link: https://www.econbiz.de/10005342192

What Explains the Varying Monetary Response to Technology SHocks in G7-Countries

Theodorou, Athena T.; Francis, Neville R.; Owyang, … - Econometric Society - 2004

Structural vector autoregressions (SVARs) have become a standard tool used to determine the roles of monetary policy shocks in generating cyclical fluctuations in the United States. Using both long- and short-run identifying restrictions, various authors have explored the empirical response of...

Persistent link: https://www.econbiz.de/10005342196