We formulate a new theory of expected utility under uncertainty based on the notion of an event-lattice, which is a natural generalization of a Savage state space. The modelling of uncertainty is based on the idea that the decision maker for each group of related decisions to be taken creates a...

We examine the properties of alternative GMM procedures for estimation of the lognormal stochastic autoregressive volatility model through a large scale Monte Carlo study. We demonstrate that there is a fundamental trade-off between the number of moments, or information, included in estimation...

This paper analyzes the structure and constancy of a model of export pricing. The empirical model allows for long-run relations between nonstationary variables and feedback from the foreign trade sector to domestic variables and the exchange rate. A conditional VAR model is derived from the...

The domestic price determination in Denmark is investigated based on three kinds of macro economic explanations: (i) internal labour market theories, describing the relation between price and wage inflation, (ii) pure monetarist theories, describing the effect of excess money on the inflation...

Estimated characteristic roots in stationary autoregressions are shown to give rather noisy information about their population equivalents. This is remarkable given the central role of the characteristic roots in the theory of autoregressive processes. In the asymptotic analysis the problems...

We use a survey of unemployed people to examine how a job loss impacts on household expenditures. The principal focus is on the effect of the level of income replacement provided by Unemployment Insurance. We restrict attention to a sub-sample of respondents who are still in their first spell of...

In the first part of the paper, we consider various QALY (quality-adjusted life year) models in situations where health varies over time, and provide a theoretical analysis of model identification and parameter estimation from time trade-off and standard gamble scores. We investigate...

The paper considers signalling games with two types of informed player. When the informed player's payoff function satisfies certain sorting and type monotonicity conditions, and when the uninformed player's response is a smooth strictly monotone mapping from posterior beliefs, the results of...

This paper examines how to harvest a biomass confronted with the threat of partial extinction. We show that the uncertainty involved gives rise to two opposing effects determining an optimal steady-state stock of the biomass. A "discount effect", leading to a smaller stock as compared to the...