Search
Now showing items 41-50 of 328
Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification
(Vanderbilt University, 2004)
Recently Chen and Fan (2003a) introduced a new class of semiparametric copula-based multivariate dynamic (SCOMDY) models. A SCOMDY model specifies the conditional mean and the conditional variance of a multivariate time ...
Efficient Estimation of Semiparametric Multivariate Copula Models
(Vanderbilt University, 2004)
We propose a sieve maximum likelihood (ML) estimation procedure for a broad class of semiparametric multivariate distribution models. A joint distribution in this class is characterized by a parametric copula function ...
Social Saving of the Panama Canal
(Vanderbilt University, 2004)
At the time when the Panama Canal was handed over to Panama, most people believed that the Canal was of little material worth to the United States. However, what was the value of this canal to the United States in the ...
A Model Selection Test for Bivariate Failure-Time Data
(Vanderbilt University, 2004)
In this paper, we address two important issues in survival model selection for censored data generated by the Archimedean copula family; method of estimating the parametric copulas and data reuse. We demonstrate that for ...
Substitution and Risk Aversion: Is Risk Aversion Important for Understanding Asset Prices?
(Vanderbilt University, 2004)
This paper uses a recursive time-non-separable expected utility function to separate between the intertemporal elasticity of substitution (IES) and a measure of relative risk aversion to bets in terms of money (RAM). Risk ...
Quantifying Inflation Pressure and Monetary Policy Response in the United States
(Vanderbilt University, 2004)
We propose a methodology for constructing operational indices of inflation pressure, the monetary authority's effort to reduce this pressure, and the degree to which inflation pressure is alleviated. We begin with model ...
Shadow Prices for a Nonconvex Public Technology in the Presence of Private Constant Returns
(Vanderbilt University, 2005)
Diamond and Mirrlees have shown that public sector shadow prices should be set equal to the private producer prices in some circumstances even if taxes are not optimal when the public production technology is convex and ...
Open-Access Scholarly Publishing: In Economic Perspective
(Vanderbilt University, 2004)
What is the prospect for migrating scholarly journals from paper to digital formats in a way that lowers university expenditures? Although many journals are published digitally, at least so far, the digital format complements ...
Wage bargaining under the National Labor Relations Act
(Vanderbilt University, 2004)
Sections 8(a)(3) and 8(a)(5) of the National Labor Relations Act prohibit a firm from unilaterally increasing the wage it pays the union during the negotiation of a new wage contract. To understand this regulation, we study ...
Implementing the Friedman Rule by a Government Loan Program: An Overlapping Generations Model
(Vanderbilt University, 2008)
The welfare gains from adopting a zero nominal interest policy depend on the implementation details. Here I argue that implementing the Friedman rule by a government loan program may be better than implementing it by ...