Recently, there has been a renewed interest in modeling economic time series by vectorautoregressive moving-average models. However, this class of models has been unpopularin practice because of estimation problems and the complexity of the identication stage.These disadvantages could have led to the dominant use of vector autoregressive modelsin macroeconomic research. In this paper, several simple estimation methods for vectorautoregressive moving-average models are compared among each other and with purevector autoregressive modeling using ordinary least squares by means of a Monte Carlostudy. Dierent evaluation criteria are used to judge the relative performances of the algorithms.
Retinal detachment results in visual loss and requires surgical treatment. The risk of retinal detachment depends, among other factors, on the vitreous rheology, which varies with age. To date, the viscoelasticity of the vitreous body has only been measured in cadaver eyes. However, the ex vivo and in vivo viscoelasticity may differ as a result of the effect of intravitreal membranes. Therefore, an MRI method and appropriate postprocessing tools were developed to determine the vitreous deformation and viscoelastic properties in the eyes of living humans. Nineteen subjects (eight women and 11 men; mean age, 33 years; age range, 14-62 years) gazed at a horizontal sinusoidal moving target during the segmented acquisition of complementary spatial modulation of magnetization images. The center of the lens and the scleral insertion of the optic nerve defined the imaging plane. The vitreous deformation was tracked with a dedicated algorithm and fitted with the commonly used viscoelastic model to determine the model parameters: the modified Womersley number a and the phase angle b. The vitreous deformation was successfully quantified in all 17 volunteers having a monophasic vitreous. The mean and standard deviation of the model parameters were determined to be 5.5 ± 1.3 for a and -2.3 ± 0.2 for b. The correlation coefficient (-0.76) between a and b was significant. At the eye movement frequency used, the mean storage and loss moduli of the vitreous were around 3 ± 1 hPa. For two subjects, the vitreous deformation was clearly polyphasic: some compartments of the vitreous were gel-like and others were liquefied. The borders of these compartments corresponded to reported intravitreal membrane patterns. Thus, the deformation of the vitreous can now be determined in situ, leaving the structure of the intravitreal membranes intact. Their effect on vitreous dynamics challenges actual vitreous viscoelastic models. The determination of the vitreous deformation will aid in the quantification of local vitreous stresses and their correlation with retinal detachment.
Should workers of a firm be organizationally integrated to realize benefits from benchmarking? Or should they be separated to preclude horizontal social comparisons? This paper highlights a trade-off that arises if social comparisons in firms are endogenous. We analyze a principal multi-agent model in which the principal trades off the reduction of agents' risk exposures by use of relative performance evaluation and the thereby induced social comparisons for which agents must be compensated. Contrary to standard theoretical predictions, relative performance evaluation is optimal only if the performance measures are sufficiently correlated relative to the agents' regard for others
Many statistical applications require the forecast of a random variable of interest over several periods into the future. The sequence of individual forecasts, one period at a time, is called a path forecast, where the term path refers to the sequence of individual future realizations of the random variable. The problem of constructing a corresponding joint prediction region has been rather neglected in the literature so far: such a region is supposed to contain the entire future path with a prespecified probability. We develop bootstrap methods to construct joint prediction regions. The resulting regions are proven to be asymptotically consistent under a mild high-level assumption. We compare the finitesample performance of our joint prediction regions to some previous proposals via Monte Carlo simulations. An empirical application to a real data set is also provided.
We develop a novel geometric approach to mechanism design using an important result in convex analysis: the duality between a closed convex set and its support function. By deriving the support function for the set of feasible interim values we extend the wellknown Maskin-Riley-Matthews-Border conditions for reduced-form auctions to social choice environments. We next refine the support function to include incentive constraints using a geometric characterization of incentive compatibility. Borrowing results from majorization theory that date back to the work of Hardy, Littlewood, and P�olya (1929) we elucidate the "ironing" procedure introduced by Myerson (1981) and Mussa and Rosen (1978). The inclusion of Bayesian and dominant strategy incentive constraints result in the same support function, which establishes equivalence between these implementation concepts. Using Hotelling's lemma we next derive the optimal mechanism for any social choice problem and any linear objective, including revenue and surplus maximization. We extend the approach to include general concave objectives by providing a fixed-point condition characterizing the optimal mechanism. We generalize reduced-form implementation to environments with multi-dimensional, correlated types, non-linear utilities, and interdependent values. When value interdependencies are linear we are able to include incentive constraints into the support function and provide a condition when the second-best allocation is ex post incentive compatible.
In this paper, I analyze the determinants of college enrolment and the changes in these determinants over time. I propose a quantitative life-cycle model with college enrolment. Altruistic parents provide financial support to their children. Using counterfactual experiments, I find that 24 percent of all households are financially constrained in their college decision. Constraints become more severe over time. I show that my model is consistent with a narrow college enrolment gap between students from rich and poor families, as previously reported in the empirical literature. The estimation of enrolment gaps is a popular reduced-form approach for measuring the fraction of constrained households. My results suggest that these reduced-form estimates are misleading, and that a structural model of parental transfers is needed to correctly identify constrained households. Further, I show that parental transfers are an important driver behind the changing role of family income as a determinant of college entry, a fact that is well documented for the US economy.
A strategy profile of a game is called robustly stochastically stable if it is stochastically stable for a given behavioral model independently of the specification of revision opportunities and tie-breaking assumptions in the dynamics. We provide a simple radius–coradius result for robust stochastic stability and examine several applications. For the logit-response dynamics, the selection of potential maximizers is robust for the subclass of supermodular symmetric binary action games. For the mistakes model, the weaker property of strategic complementarity suffices for robustness in this class of games. We also investigate the robustness of the selection of risk-dominant strategies in coordination games under best-reply and the selection of Walrasian strategies in aggregative games under imitation.
Heterogeneity in size and productivity is central to models that explain which manufacturing firms export. This study presents descriptive evidence on similar heterogeneity among international banks as financial services providers. A novel and detailed bank-level data set reveals the volume and mode of international activities for all German banks. Only a few, large banks have a commercial presence abroad, consistent with the size pecking order documented for manufacturing firms. However, the relationship between internationalization and productivity also yields two inconsistencies with recent trade models. First, virtually all banks hold at least some foreign assets, irrespective of size or productivity. Second, some fairly unproductive banks maintain commercial presences abroad.
We study the effect of civil conflict on social capital, focusing on the experience of Ugandaduring the last decade. Using individual and county-level data, we document large causal effects on trust and ethnic identity of an exogenous outburst of ethnic conflicts in 2002-05. We exploit two waves of survey data from Afrobarometer 2000 and 2008, including information on socioeconomic characteristics at the individual level, and geo-referenced measures of fi ghting events from ACLED.Our identifi cation strategy exploits variations in the intensity of fighting both in the spatial and cross-ethnic dimensions. We fi nd that more intense fighting decreases generalized trust and increases ethnic identity. The effects are quantitatively large and robust to a number of control variables, alternative measures of violence, and different statistical techniques involving ethnic and spatial fi xed effects and instrumental variables. Controlling for the intensity of violence during the conflict, we also document that post-conflict economic recovery is slower in ethnically fractionalized counties.Our findings are consistent with the existence of a self-reinforcing process between conflicts and ethnic cleavages.
Is financial globalization associated with improved international consumption
risk sharing? We focus on the long-term (i.e. low frequency) comovement
of consumption and output in answering this question. Theoretically,
the impact of financial globalization should show up first and most robustly
in the lower frequencies of the data. We show that this is the case
empirically: by the end of our sample period (1960-2007) up to 40 percent
of long-term idiosyncratic consumption risk get shared between industrialized
countries – as compared to less than 10 percent before 1990. This
dramatic increase is associated with a huge increase in international capital
income flows: while capital income flows remain relatively limited as
a channel of risk sharing at business cycle horizons, their contribution to
international risk sharing at longer horizons has increased substantially.
Much of this increase can be attributed to the growth in international asset
positions over the recent globalization period.
