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Chen, Xiaohong; Hansen, Lars P.; Carrasco, Marine - Cowles Foundation for Research in Economics, Yale University - 2008

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We study this link using two notions of temporal dependence: beta-mixing and rho-mixing. We show that beta-mixing and rho-mixing with exponential decay are essentially equivalent...

Persistent link: https://www.econbiz.de/10005087377

Challenges of Trending Time Series Econometrics

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2004

We discuss some challenges presented by trending data in time series econometrics. To the empirical economist there is little guidance from theory about the source of trend behavior and even less guidance about practical formulations. Moreover, recent proximity theorems reveal that trends are...

Persistent link: https://www.econbiz.de/10005762691

Nonlinearity and Temporal Dependence

Chen, Xiaohong; Hansen, Lars P.; Carrasco, Marine - Cowles Foundation for Research in Economics, Yale University - 2009

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in diffusion models. We study this link using three measures of temporal dependence: rho-mixing, beta-mixing and alpha-mixing. Stationary diffusions that are rho-mixing have mixing coefficients that decay...

Persistent link: https://www.econbiz.de/10008533975

Can One Estimate the Conditional Distribution of Post-Model-Selection Estimators?

Leeb, Hannes; Potscher, Benedikt M. - Cowles Foundation for Research in Economics, Yale University - 2003

We consider the problem of estimating the conditional distribution of a post-model-selection estimator where the conditioning is on the selected model. The notion of a post-model-selection estimator here refers to the combined procedure resulting from first selecting a model (e.g., by a model...

Persistent link: https://www.econbiz.de/10005593431

Laws and Limits of Econometrics

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2003

We start by discussing some general weaknesses and limitations of the econometric approach. A template from sociology is used to formulate six laws that characterize mainstream activities of econometrics and the scientific limits of those activities, we discuss some proximity theorems that...

Persistent link: https://www.econbiz.de/10004990687

Automated Discovery in Econometrics

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2004

Our subject is the notion of automated discovery in econometrics. Advances in computer power, electronic communication, and data collection processes have all changed the way econometrics is conducted. These advances have helped to elevate the status of empirical research within the economics...

Persistent link: https://www.econbiz.de/10004990775

Mismatch, Sorting and Wage Dynamics

Lise, Jeremy; Meghir, Costas; Robin, Jean-Marc - Cowles Foundation for Research in Economics, Yale University - 2013

We develop an empirical search-matching model which is suitable for analyzing the wage, employment and welfare impact … wage determination and employment which extends the current literature on equilibrium wage determination with matching and … of assortative matching between workers and jobs due to complementarities between worker and job characteristics. We use …

Persistent link: https://www.econbiz.de/10010939081

Investment and Competitive Matching

Noldeke, Georg; Samuelson, Larry - Cowles Foundation for Research in Economics, Yale University - 2014

. Equilibrium investments and the equilibrium matching will be efficient if agents can simultaneously negotiate investments and … matches, but we focus on markets in which agents must first sink their investments before matching. Additional equilibria may … arise in this sunk-investment setting, even though our matching market is competitive. These equilibria exhibit …

Persistent link: https://www.econbiz.de/10010942841

Pricing and Investments in Matching Markets

Mailath, George J.; Postlewaite, Andrew; Samuelson, Larry - Cowles Foundation for Research in Economics, Yale University - 2011

make investments before matching in a competitive market. We introduce the notion of premuneration values -- the values to …

Persistent link: https://www.econbiz.de/10009221543

Pricing in Matching Markets

Mailath, George J.; Postlewaite, Andrew; Samuelson, Larry - Cowles Foundation for Research in Economics, Yale University - 2010

Different markets are cleared by different types of prices -- a universal price for all buyers and sellers in some markets, seller-specific prices that are uniform across buyers in others, and personalized prices tailored to both the buyer and the seller in yet others. We introduce the notion of...

Persistent link: https://www.econbiz.de/10008545756

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