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Optimal Stopping Under Ambiguity 模糊情况下最优停车
ERN: Econometric Modeling in Microeconomics (Topic) Pub Date : 2006-10-01 DOI: 10.2139/ssrn.1013276
F. Riedel
{"title":"Optimal Stopping Under Ambiguity","authors":"F. Riedel","doi":"10.2139/ssrn.1013276","DOIUrl":"https://doi.org/10.2139/ssrn.1013276","url":null,"abstract":"We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward induction fails. If, however, the class of priors is time-consistent, we establish a generalization of the classical theory of optimal stopping. To this end, we develop first steps of a martingale theory for multiple priors. We define minimax (super)martingales, provide a Doob-Meyer decomposition, and characterize minimax martingales. This allows us to extend the standard backward induction procedure to ambiguous, time-consistent preferences. The value function is the smallest process that is a minimax supermartingale and dominates the payoff process. It is optimal to stop when the current payoff is equal to the value function. Moving on, we study the infinite horizon case. We show that the value process satisfies the same backward recursion (Bellman equation) as in the finite horizon case. The finite horizon solutions converge to the infinite horizon solution. Finally, we characterize completely the set of time-consistent multiple priors in the binomial tree. We solve two classes of examples: the so-called independent and indistinguishable case (the parking problem) and the case of American Options (Cox-Ross-Rubinstein model).","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125252819","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Lattice Programming and Consumer Theory Part I: Method and Applications to Two Goods 格规划与消费者理论第一部分:两种商品的方法与应用
ERN: Econometric Modeling in Microeconomics (Topic) Pub Date : 2004-06-15 DOI: 10.2139/ssrn.1370392
E. Antoniadou
{"title":"Lattice Programming and Consumer Theory Part I: Method and Applications to Two Goods","authors":"E. Antoniadou","doi":"10.2139/ssrn.1370392","DOIUrl":"https://doi.org/10.2139/ssrn.1370392","url":null,"abstract":"This paper recasts the consumer utility maximization comparative statics problem in an order/lattice theoretic framework. It argues that it is not possible to do so while maintaining reliance on the Euclidean lattice, and shows how order/lattice structures appropriate for income and price effects can be constructed using the revealed preference restrictions implied by each comparative statics problem. The former define what are called value orders. The class of direct value orders, is used to carry out comparative statics analysis in the two good case. The results do not rely either on topological assumptions, continuity and differentiability, or on convexity assumptions. The analysis is global, and it allows for indivisibilities, discrete changes and non-binding budget constraints.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122364133","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Unit Roots and the Demand for Cigarettes in Turkey: Pitfalls and Possibilities 土耳其的单位根和香烟需求:陷阱和可能性
ERN: Econometric Modeling in Microeconomics (Topic) Pub Date : 2001-01-21 DOI: 10.2139/ssrn.1791676
K. Juselius
{"title":"Unit Roots and the Demand for Cigarettes in Turkey: Pitfalls and Possibilities","authors":"K. Juselius","doi":"10.2139/ssrn.1791676","DOIUrl":"https://doi.org/10.2139/ssrn.1791676","url":null,"abstract":"The partial adjustment model for cigarette demand in Tansel (1993) is formulated as a restriction on the more general VAR model. The question whether the Tansel estimation results are spurious as claimed by Cameron and Collins (1998) is addressed in this framework. The role of intervention dummies and data transformations for the cointegration results is discussed in some detail. Finally, a more general model is estimated and two steady-state relations measuring demand and supply behaviour in the cigarette market are identified.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127667203","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Selection of Equilibrium in a Dynamic Oligopoly with Cost-Reducing Investments 具有成本降低投资的动态寡头垄断均衡选择
ERN: Econometric Modeling in Microeconomics (Topic) Pub Date : 1997-06-01 DOI: 10.2139/ssrn.1540892
Milan Horniacek
{"title":"Selection of Equilibrium in a Dynamic Oligopoly with Cost-Reducing Investments","authors":"Milan Horniacek","doi":"10.2139/ssrn.1540892","DOIUrl":"https://doi.org/10.2139/ssrn.1540892","url":null,"abstract":"In this paper we analyze an infinite horizon dynamic oligopoly, producing a homogeneous good, with costly changes of output between the periods, and investments affecting marginal costs. The requirement of continuity of strategies and the weakest possible criterion of renegotiation-proofness, called renegotiation-quasi-proofness, are used to select a subset of Markov perfect equilibria with a common limit of continuation equilibrium paths. In each renegotiation-quasi-proof continuous strategy Markov perfect equilibrium, each firm's price and marginal costs converge to common levels that would maximize net profit of each firm if they were infinitely repeated.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1997-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130433753","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Pet Econometrics: Ownership of Cats and Dogs 宠物计量经济学:猫和狗的所有权
ERN: Econometric Modeling in Microeconomics (Topic) Pub Date : 1997-01-01 DOI: 10.2139/SSRN.1861365
Patrali Chatterjee, J. S. Butler
{"title":"Pet Econometrics: Ownership of Cats and Dogs","authors":"Patrali Chatterjee, J. S. Butler","doi":"10.2139/SSRN.1861365","DOIUrl":"https://doi.org/10.2139/SSRN.1861365","url":null,"abstract":"Using a bivariate ordered probit model, this paper examines the effects of house ownership, housing tenure, income, household size and composition, and the occupation and education of the make and female head of household on ownership of cats and dogs. Large households have more of both, but other factors differ between cat and dog ownership. Women's opportunity costs and missing female adults encourage cat ownership. Cats and dogs are slightly complementary. A GMM demographic specification test does not reject normality. The data are taken from a demographic scanner panel data set developed for a marketing study.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1997-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131221812","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Rail Costs and Capital Adjustments in a Quasi-Regulated Environment 准管制环境下的铁路成本和资本调整
ERN: Econometric Modeling in Microeconomics (Topic) Pub Date : 1991-09-01 DOI: 10.3386/W3841
A. Friedlaender, E. Berndt, J. S. W. Chiang, k H. Showalter, Christopher A. Vellturo
{"title":"Rail Costs and Capital Adjustments in a Quasi-Regulated Environment","authors":"A. Friedlaender, E. Berndt, J. S. W. Chiang, k H. Showalter, Christopher A. Vellturo","doi":"10.3386/W3841","DOIUrl":"https://doi.org/10.3386/W3841","url":null,"abstract":"This paper reports on results obtained from the estimation of a rail cost function using a pooled-time series, cross section of Class I railroads for the period 1974-1986. An analysis is performed of short-run and long-run returns to scale, the extent of capital disequilibrium, and adjustments to way and structures capital in the heavily regulated and quasi-regulated environments before and after the passage of the Staggers Act in 1980. In general, it is found that there is considerable overcapitalization in the rail industry and that this has persisted in spite of the regulatory freedom provided by the Staggers Act.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1991-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129866185","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 89
A Goodness of Fit Test of Dual Labor Market Theory 二元劳动力市场理论的拟合优度检验
ERN: Econometric Modeling in Microeconomics (Topic) Pub Date : 1987-08-01 DOI: 10.3386/W2350
W. Dickens, K. Lang
{"title":"A Goodness of Fit Test of Dual Labor Market Theory","authors":"W. Dickens, K. Lang","doi":"10.3386/W2350","DOIUrl":"https://doi.org/10.3386/W2350","url":null,"abstract":"We subject our dual labor market model to a goodness of test fit and compare the results with those obtained using a single equation model with a complex error structure. The dual labor market does an excellent job of predicting the wage distribution except for failing to explain bunching at $7.50 and $10.00 per hour. The null hypothesis that the model is correct cannot be rejected at the .05 level. In contrast, the wage distribution predicted by the single labor market model differs significantly from the observed distribution.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"120 1-2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1987-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116702381","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Inflation, Taxes, and Optimal Inventory Policies 通货膨胀、税收和最优库存政策
ERN: Econometric Modeling in Microeconomics (Topic) Pub Date : 1985-02-20 DOI: 10.2307/2490907
Gary C. Biddle, Kipp Martin
{"title":"Inflation, Taxes, and Optimal Inventory Policies","authors":"Gary C. Biddle, Kipp Martin","doi":"10.2307/2490907","DOIUrl":"https://doi.org/10.2307/2490907","url":null,"abstract":"This study employs an alternative stochastic model which offers important advantages over those proposed by Cohen and Pekelman, and Biddle and Martin. Rather than optimizing with respect to a single order-up-to level determined at the start of each year, the model permits a second order at year-end. This achieves greater descriptive validity by allowing intrayear (as well as interyear) cost changes and additional purchases after demand has been assessed. More important, there is a greater sensitivity to the effects of tax incentives on year-end procurement decisions and a smaller likelihood of year-end stockouts (which unrealistically affect tax incentives by drastically altering inventory cost structures). As a result, the model is uniquely suited for an examination of optimal choices among alternative inventory costing methods and the optimal ordering policies under each. In this study we extend the model to include not only LIFO and FIFO but also AC, a method not previously considered in order quantity models.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1985-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134450616","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 16
Econometric Models for Count Data with an Application to the Patents-R&D Relationship 计数数据的计量经济模型及其在专利-研发关系中的应用
ERN: Econometric Modeling in Microeconomics (Topic) Pub Date : 1984-10-01 DOI: 10.3386/T0017
J. Hausman, Bronwyn H Hall, Z. Griliches
{"title":"Econometric Models for Count Data with an Application to the Patents-R&D Relationship","authors":"J. Hausman, Bronwyn H Hall, Z. Griliches","doi":"10.3386/T0017","DOIUrl":"https://doi.org/10.3386/T0017","url":null,"abstract":"This paper focuses on developing and adapting statistical models of counts (non-negative integers) in the context of panel data and using them to analyze the relationship between patents and RD persistent individual (fixed or random) effects, and \"noise\" or randomness in the Poisson probability function. We apply our models to a data set previously analyzed by Pakes and Griliches using observations on 128 firms for seven years, 1968-74. Our statistical results indicate clearly that to rationalize the data, we need both a disturbance in the conditional within dimension and a different one, with a different variance, in the marginal (between) dimension. Adding firm specific variables, log book value and a scientific industry dummy, removes most of the positive correlation between the individual firm propensity to patent and its R&D intensity. The other new finding is that there is an interactive negative trend in the patents - R&D relationship, that is, firms are getting less patents from their more recent R&D investments, implying a decline in the \"effectiveness\" or productivity of R&D.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"132 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1984-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114169033","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4103
Group Actions on Spin Manifolds 自旋流形上的群作用
ERN: Econometric Modeling in Microeconomics (Topic) Pub Date : 1972-10-01 DOI: 10.2139/SSRN.1366826
G. Chichilnisky
{"title":"Group Actions on Spin Manifolds","authors":"G. Chichilnisky","doi":"10.2139/SSRN.1366826","DOIUrl":"https://doi.org/10.2139/SSRN.1366826","url":null,"abstract":"A generalization of the theorem of V. Bargmann concerning unitary and ray representations is obtained and is applied to the general problem of lifting group actions associated to the extension of structure of a bundle. In particular this is applied to the Poincare group 'P' of a Lorentz manifold 'M'. It is shown that the topological restrictions needed to lift an action in 'P' are more stringent than for actions in the proper Poincare group 'P'. Similar results hold for the Euclidean group of a Riemannian manifold.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1972-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114510578","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
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