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News About News : Information Arrival and Irreversible Investment

Drazen, Allan - 1999

-expected utility theory. Our framework allows us to study irreversible investment projects whose value has a time-variable volatility …We analyze how uncertainty about when information about future returns to a project may be revealed affects investment …. While 'good news' about future returns boosts investment, 'good news about news' (that is news that information may arrive …

Persistent link: https://www.econbiz.de/10012471511

From Each According to His Surplus : Equi-Proportionate Sharing of Commodity Tax Burdens

Hines, James R, Jr - 1996

This paper examines the incidence of commodity taxes, finding that, when demand and marginal cost schedules are linear. the burden of commodity taxation is distributed between buyers and sellers so that each suffers the same percentage reduction on pre-tax surplus. This equiproportionate...

Persistent link: https://www.econbiz.de/10012473337

Welfare Analysis of Tax Reforms Using Household Data

King, Mervyn A. - 1981

The paper discusses a methodology for calculating the distribution of gains and losses from a policy change using data for a large sample of households. Estimates are based on the equivalent income function, which is money metric utility defined over observable variables. This enables...

Persistent link: https://www.econbiz.de/10012478410

A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation

Ackerberg, Daniel A. - 2001

Method of Simulated Moments (MSM) estimators introduced by McFadden (1989)and Pakes and Pollard (1989) are of great use to applied economists. They are relatively easy to use even for estimating very complicated economic models. One simply needs to generate simulated data according to the model...

Persistent link: https://www.econbiz.de/10012470372

Using Weights to Adjust for Sample Selection When Auxiliary Information is Available

Nevo, Aviv - 2001

In this paper I analyze GMM estimation when the sample is not a random draw from the population of interest. I exploit auxiliary information, in the form of moments from the population of interest, in order to compute weights that are proportional to the inverse probability of selection. The...

Persistent link: https://www.econbiz.de/10012470143

Combining Panel Data Sets with Attrition and Refreshment Samples

Hirano, Keisuke - 1998

In many fields researchers wish to consider statistical models that allow for more complex relationships than can be inferred using only cross-sectional data. Panel or longitudinal data where the same units are observed repeatedly at different points in time can often provide the richer data...

Persistent link: https://www.econbiz.de/10012472315

Exchange-Rate Dynamics and Optimal Asset Accumulation Revisited

Obstfeld, Maurice - 1988

It has recently been observed that when equations of motion for state variables are nonautonomous, optimal control problems involving Uzawa's endogenous rate of time preference cannot be solved using the change-of-variables method common in the literature. Instead, the problem must be solved by...

Persistent link: https://www.econbiz.de/10012476565

Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets

Brandt, Michael W. - 2001

We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new...

Persistent link: https://www.econbiz.de/10012470313

A Utility Based Comparison of Some Models of Exchange Rate Volatility

West, Kenneth D. - 1992

When estimates of variances are used to make asset allocation decisions, underestimates of population variances lead to lower expected utility than equivalent overestimates: a utility based criterion is asymmetric, unlike standard criteria such as mean squared error. To illustrate how to...

Persistent link: https://www.econbiz.de/10012474761

Technical Progress in U.S. Manufacturing Sectors, 1948-1973 : An Application of Lie Groups

Sato, Ryuzo - 1985

The purpose of this paper is to apply the theory of Lie transformation groups as developed by the first author, and … economics to incorporate the theory of Lie transformation groups, so the results are new, but they are also interesting. Using …

Persistent link: https://www.econbiz.de/10012477468