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Wald Revisited: The Optimal Level of Experimentation

Moscarini, Giuseppe; Smith, Lones - Cowles Foundation for Research in Economics, Yale University - 1998

This paper revisits Wald's (1947) sequential experimentation paradigm, now assuming that an impatient decision maker can run variable-size experiments each period at some increasing and strictly convex cost before finally choosing an irreversible action. We translate this natural discrete time...

Persistent link: https://www.econbiz.de/10005762616

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

A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market

Jiang, Liang; Phillips, Peter C.B.; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2014

the advantage of being computationally efficient. In an empirical analysis of the methodology, we fit the model to all …

Persistent link: https://www.econbiz.de/10011096429

A Model of Modeling

Gilboa, Itzhak; Postlewaite, Andrew; Samuelson, Larry; … - Cowles Foundation for Research in Economics, Yale University - 2014

We propose a formal model of scientific modeling, geared to applications of decision theory and game theory. The model highlights the freedom that modelers have in conceptualizing social phenomena using general paradigms in these fields. It may shed some light on the distinctions between (i)...

Persistent link: https://www.econbiz.de/10010928978

Reflections on Econometric Methodology

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1988

General issues about the methodology of empirical econometric research are discussed. It is argued that the most … strengths and the weaknesses of a methodology and to codify what its prescriptions entail. The time series methodology of David … Hendry is considered in some detail. It is shown that the Hendry methodology comes remarkable close to achieving an optimal …

Persistent link: https://www.econbiz.de/10005762698

Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations

Phillips, Peter C.B.; Ploberger, Werner - Cowles Foundation for Research in Economics, Yale University - 1991

This paper offers a general approach to time series modeling that attempts to reconcile classical and methods. The central idea put forward to achieve reconciliation is that the Bayesian approach relies implicitly a frame of reference for the data generating mechanism that is quite different...

Persistent link: https://www.econbiz.de/10005087400

Forecasting New Zealand's Real GDP

Schiff, Aaron F.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2000

from fixed format models and forecasts produced by the NZIER. Two illustrations of the methodology in conditional …

Persistent link: https://www.econbiz.de/10005196023

Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables

Chao, John C.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1998

This paper analyzes the behavior of posterior distributions under the Jeffreys prior in a simultaneous equations model. The case under study is that of a general limited information setup with n + 1 endogenous variables. The Jeffreys prior is shown to give rise to a marginal posterior density...

Persistent link: https://www.econbiz.de/10005463888

Comment on 'To Criticize the Critics,' by Peter C. B. Phillips

Sims, Christopher A. - Cowles Foundation for Research in Economics, Yale University - 1991

In his paper "To Criticize the Critics" (1991), Peter Phillips discusses Bayesian methodology for time series models …

Persistent link: https://www.econbiz.de/10005463934

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