In this paper we address the issue of the efficient estimation of the cointegrating vector in linear regression models with variables that follow general (higher order and fractionally) integrated processes.

In this paper I consider social choices under uncertainty. I prove that any social choice rule that satisfies independence of irrelevant alternatives, translation invariance, and weak anonymity is consistent with ex post Bayesian utilitarianism.

Bootstrap tests are tests for which the significance level is calculated by some sort of bootstrap procedure, which may be parametric or nonparametric. We provide a theoretical framework in which to study the size distorsions of bootstrap P values. We show that, in many circumstances, the size...

In addition to showing the connection between parallel contingent and noncontingent risk comparison problems, we articulate a method for solving both kinds of problems using the "basis" approach. The basis approach has often been used implicitly, but we argue that there is value to making its...

In this paper, we compare the attitude towards current risk of two expected-utility-maximizing investors that are identical except that the first investor will live longer than the second one.