{"title":"A Letter to Ben Bernanke","authors":"N. Mankiw","doi":"10.2139/SSRN.884223","DOIUrl":"https://doi.org/10.2139/SSRN.884223","url":null,"abstract":"This paper discusses five questions the incoming chairman of the Federal Reserve must ponder as he assumes his new post. How important are monetary rules? Should the Fed adopt inflation targeting? Should he be free with his opinions? Should he be a high-profile public figure? Is it more important to be good or lucky?","PeriodicalId":221813,"journal":{"name":"Harvard Economics Department Working Paper Series","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126402255","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}
{"title":"Sign Tests for Dependent Observations","authors":"R. Ibragimov, Donald J. Brown","doi":"10.2139/ssrn.873469","DOIUrl":"https://doi.org/10.2139/ssrn.873469","url":null,"abstract":"The present paper introduces new sign tests for testing equality of conditional distributions of two (arbitrary) adapted processes as well as for testing conditionally symmetric martingale-difference assumptions. Our analysis is based on results that demonstrate randomization over ties in sign tests for equality of conditional distributions of two adapted sequences produces a stream of i. i. d. symmetric Bernoulli random variables. This reduces the problem of estimating the critical values of the tests to computing the quantiles or moments of Binomial or normal distributions. A similar proposition holds for randomization over zero values of three-valued random variables in a conditionally symmetric martyingale-difference sequence.","PeriodicalId":221813,"journal":{"name":"Harvard Economics Department Working Paper Series","volume":"101 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129346281","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}
{"title":"Copula-Based Dependence Characteriztions and Modeling for Time Series","authors":"R. Ibragimov","doi":"10.2139/ssrn.808024","DOIUrl":"https://doi.org/10.2139/ssrn.808024","url":null,"abstract":"This paper develops a new unified approach to copula-based modeling and characterizations for time series and stochastic processes. We obtain complete characterizations of many time series dependence structures in terms of copulas corresponding to their finite-dimensional distributions. In particular, we focus on copula- based representations for Markov chains of arbitrary order, m-dependent and r-independent time series as well as martingales and conditionally symmetric processes. Our results provide new methods for modeling time series that have prescribed dependence structures such as, for instance, higher order Markov processes as well as non-Markovian processes that nevertheless satisfy Chapman-Kolmogorov stochastic equations. We also focus on the construction and analysis of new classes of copulas that have flexibility to combine many different dependence properties for time series. Among other results, we present a study of new classes of cop- ulas based on expansions by linear functions (Eyraud-Farlie-Gumbel-Mongenstern copulas), power functions (power copulas) and Fourier polynomials (Fourier copulas) and introduce methods for modeling time series using these classes of dependence functions. We also focus on the study of weak convergence of empirical copula processes in the time series context and obtain new results on asymptotic gaussianity of such processes for a wide class of beta mixing sequences.","PeriodicalId":221813,"journal":{"name":"Harvard Economics Department Working Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114301328","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}
{"title":"Topologies on Types","authors":"Eddie Dekel, D. Fudenberg, S. Morris","doi":"10.2139/ssrn.798944","DOIUrl":"https://doi.org/10.2139/ssrn.798944","url":null,"abstract":"We de…ne and analyze a \"strategic topology\" on types in the Harsanyi-Mertens- Zamir universal type space, where two types are close if their strategic behavior is similar in all strategic situations. For a …xed game and action de…ne the distance be- tween a pair of types as the dierence between the smallest \" for which the action is \" interim correlated rationalizable. We de…ne a strategic topology in which a sequence of types converges if and only if this distance tends to zero for any action and game. Thus a sequence of types converges in the strategic topology if that smallest \" does not jump either up or down in the limit. As applied to sequences, the upper-semicontinuity prop- erty is equivalent to convergence in the product topology, but the lower-semicontinuity property is a strictly stronger requirement, as shown by the electronic mail game. In the strategic topology, the set of \"…nite types\" (types describable by …nite type spaces) is dense but the set of …nite common-prior types is not. JEL classi…cation and keywords: C70, C72, rationalizability, incomplete informa- tion, common knowledge, universal type space, strategic topology.","PeriodicalId":221813,"journal":{"name":"Harvard Economics Department Working Paper Series","volume":"62 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116789660","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}
{"title":"On Efficiencey of Linear Estimators Under Heavy-Tailedness","authors":"R. Ibragimov","doi":"10.2139/ssrn.774865","DOIUrl":"https://doi.org/10.2139/ssrn.774865","url":null,"abstract":"The present paper develops a new unified approach to the analysis of efficiency, peakedness and majorization properties of linear estimators. It further studies the robustness of these properties to heavy-tailedness assumptions. the main results show that peakedness and majorization phenomena for random samples from log-concavely distributed populations established in the seminal work by Proschan (1965) continue to hold for not extremely thick- tailed distributions. However, these phenomena are reversed in the case of populations with extremely heavy-tailed densities. Among other results, we show that the sample mean is the best linear unbiased estimator of the population mean for not extremely heavy-tailed populations in the sense of its peakedness properties. Moreover, in such a case, the sample mean exhibits the important property of monotone consistency and, thus, an increase in the sample size always improves its performance. However, as we demonstrate, efficiency of the sample mean in the sense of its peakedness decreases with the sample size if the sample mean is used to estimate the population center under extreme thick-tailedness. We also provide applications of the main efficiency and majorization comparison results in the study of concentration inequalities for linear estimators as well as their extensions to the case of wide classes of dependent data. The main results obtained in the paper provide the basis for the analysis of many problems in a number of other areas, in addition to econometrics and statistics, and, in particular, have applications in the study of robustness of model of firm growth for firms that can invest into information about their markets, value at risk analysis, optimal strategies for a multiproduct monopolist as well that of inheritance models in mathematical evolutionary theory.","PeriodicalId":221813,"journal":{"name":"Harvard Economics Department Working Paper Series","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121803572","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}
{"title":"Interim Rationalizability","authors":"D. Fudenberg, Eddie Dekel, S. Morris","doi":"10.2139/ssrn.676672","DOIUrl":"https://doi.org/10.2139/ssrn.676672","url":null,"abstract":"This paper proposes the solution concept of interim rationalizability, and shows that all type spaces that have the same hierarchies of beliefs have the same set of interim rationalization outcomes. This solution concept characterizes common knowledge of rationality in the universal type space.","PeriodicalId":221813,"journal":{"name":"Harvard Economics Department Working Paper Series","volume":"122 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134293070","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}
{"title":"Location Choice in Two-Sided Markets with Indivisible Agents","authors":"R. Anderson, Glenn Ellison, D. Fudenberg","doi":"10.2139/ssrn.646702","DOIUrl":"https://doi.org/10.2139/ssrn.646702","url":null,"abstract":"Consider a model of location choice by two sorts of agents, called \"buyers\" and \"sellers\": In the first period agents simultaneously choose between two identical possible locations; following this, the agents at each location play some sort of game with the other agents there. Buyers prefer locations with fewer other buyers and more sellers, and sellers have the reverse preferences. We study the set of possible equilibrium sizes for the two markets, and show that two markets of very different sizes can co-exist even if larger markets are more efficient. This extends the analysis of Ellison and Fudenberg [2003. Quart. J. Econ. 118, 1249-1278], who ignored the constraint that the number of agents of each type in each market should be an integer, and instead analyzed the \"quasi-equilibria\" where agents are treated as infinitely divisible.","PeriodicalId":221813,"journal":{"name":"Harvard Economics Department Working Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129666707","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}
{"title":"Child Labor and the Law: Notes on Possible Pathologies","authors":"K. Basu","doi":"10.2139/ssrn.631173","DOIUrl":"https://doi.org/10.2139/ssrn.631173","url":null,"abstract":"The paper demonstrates that the standard policy for controlling child labor imposing a fine on firms caught employing children can cause child labor to rise. This pathological’ reaction is, however, reversed as the size of the fine increases.","PeriodicalId":221813,"journal":{"name":"Harvard Economics Department Working Paper Series","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133747713","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}
{"title":"Imitation Processes with Small Mutations","authors":"D. Fudenberg, L. Imhof","doi":"10.2139/ssrn.619203","DOIUrl":"https://doi.org/10.2139/ssrn.619203","url":null,"abstract":"This note characterizes the impact of adding rare stochastic mutations to an “imitation dynamic,†meaning a process with the properties that absent strategies remain absent, and non-homogeneous states are transient. The resulting system will spend almost all of its time at the absorbing states of the no-mutation process. The work of Freidlin and Wentzell [Random Perturbations of Dynamical Systems, Springer, New York, 1984] and its extensions provide a general algorithm for calculating the limit distribution, but this algorithm can be complicated to apply. This note provides a simpler and more intuitive algorithm. Loosely speaking, in a process with K strategies, it is sufficient to find the invariant distribution of a KA—K Markov matrix on the K homogeneous states, where the probability of a transit from “all play i†to “all play j†is the probability of a transition from the state “all agents but 1 play i, 1 plays j†to the state “all play j†.","PeriodicalId":221813,"journal":{"name":"Harvard Economics Department Working Paper Series","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129965981","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}
{"title":"A Dual Self Model of Impulse Control","authors":"D. Fudenberg, D. Levine","doi":"10.2139/ssrn.617522","DOIUrl":"https://doi.org/10.2139/ssrn.617522","url":null,"abstract":"We propose that a simple \"dual-self\" model gives a unified explanation for several empirical regularities, including the apparent time inconsistency that has motivated models of quasi-hyperbolic discounting and Rabin’s paradox of risk aversion in the large and small. The model also implies that self-control costs imply excess delay, as in the O'Donoghue and Rabin models of quasi-hyperbolic utility, and it explains experimental evidence that increased cognitive load makes temptations harder to resist. The base version of our model is consistent with the Gul-Pesendorfer axioms, but we argue that these axioms must be relaxed to account for the effect of cognitive load.","PeriodicalId":221813,"journal":{"name":"Harvard Economics Department Working Paper Series","volume":"310 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116756724","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}
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