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Morris, Stephen; Shin, Hyun Song - Cowles Foundation for Research in Economics, Yale University - 2003

In a simple model of currency crises caused by creditor coordination failure, we show that bailouts that reduce ex post inefficiency will sometimes create ex ante moral hazard but will sometimes enhance the incentives for governments to take preventative actions. This model helps us understand a...

Persistent link: https://www.econbiz.de/10005087386

Sequential Equilibria in Bayesian Games with Communication

Gerardi, Dino; Myerson, Roger B. - Cowles Foundation for Research in Economics, Yale University - 2005

We study the effects of communication in Bayesian games when the players are sequentially rational but some … combinations of types have zero probability. Not all communication equilibria can be implemented as sequential equilibria. We … communication equilibrium (SCE) defined by Myerson (1986) in that SCE allows the possibility of trembles by the mediator. We show …

Persistent link: https://www.econbiz.de/10005762852

GMM Estimation of Autoregressive Roots Near Unity with Panel Data

Moon, Hyungsik Roger; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2000

This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near unity with panel data. The two moment conditions studied are obtained by constructing bias corrections to the score functions under OLS and GLS detrending, respectively. It is...

Persistent link: https://www.econbiz.de/10005593386

Estimation of Autoregressive Roots Near Unity Using Panel Data

Moon, Hyungsik R.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1999

Time series data are often well modelled by using the device of an autoregressive root that is local to unity. Unfortunately, the localizing parameter (c) is not consistently estimable using existing time series econometric techniques and the lack of a consistent estimator complicates inference....

Persistent link: https://www.econbiz.de/10005593554

GMM Estimation of Autoregressive Roots Near Unity with Panel Data

Moon, Hyungsik Roger; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2003

This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near unity with panel data and incidental deterministic trends. Such models arise in empirical econometric studies of firm size and in dynamic panel data modeling with weak...

Persistent link: https://www.econbiz.de/10005463904

Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects

Zhang, Yonghui; Su, Liangjun; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2011

This paper proposes a nonparametric test for common trends in semiparametric panel data models with fixed effects based on a measure of nonparametric goodness-of-fit (R^2). We first estimate the model under the null hypothesis of common trends by the method of profile least squares, and obtain...

Persistent link: https://www.econbiz.de/10009358886

International Currency Regimes, Capital Mobility, and Macroeconomic Policy

Tobin, James - Cowles Foundation for Research in Economics, Yale University - 1991

The structure of the international monetary system is once again a topic of great interest and controversy -- among economists, business managers, financiers, and government leaders. Many members of all these groups are acutely dissatisfied with the floating exchange rate regime that succeeded...

Persistent link: https://www.econbiz.de/10005762814

A Note on Fairness, Power, Property, and Behind the Veil

Shubik, Martin - Cowles Foundation for Research in Economics, Yale University - 2006

An Axiomatization for Power and for Equity differ only in the addition of a Behind the Veil Axiom.

Persistent link: https://www.econbiz.de/10005593512

Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution

Muller, Nicholas Z.; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2006

This paper demonstrates how parsimonious models of sinusoidal functions can be used to fit spatially variant time series in which there is considerable variation of a periodic type. A typical shortcoming of such tools relates to the difficulty in capturing idiosyncratic variation in periodic...

Persistent link: https://www.econbiz.de/10005593285

GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity

Han, Chirok; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2007

This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and incidental trends. A simple consistent GMM estimation method is proposed that avoids the weak moment condition problem that is known to affect conventional GMM estimation when the...

Persistent link: https://www.econbiz.de/10005762655