Knowledge that Transforms

Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. We show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method of moments estimators and tests can be constructed using these moment conditions. The resulting econometric methods are designed to be applied to discrete-time data obtained by sampling continuous-time Markov processes.

Competing Vertical Structures: Preconmitment and Renegotiation

Different information systems are compared in terms of their relative efficiencies in an agency model. The mean preserving spread relation between the likelihood ratio distributions derived from the original information systems is found to be sufficient to rank information systems under quite general assumptions about the agent's utility function. Furthermore, it is shown that the mean preserving spread criterion can be applied to a broader set of information systems than Holmstrom's informativeness criterion and Blackwell's theorem

[This paper describes the U.S. offshore oil and gas lease sales conducted by the Department of the Interior since 1954. Several decisions are discussed, including bidding for leases, the government's decision whether to accept the highest bid, the incidence and timing of exploratory drilling, and the formation of bidding consortia. Equilibrium models of these decisions that emphasize informational and strategic issues and that account for institutional features of the leasing program are analyzed, and their predictions compared to outcomes in the data.]

With the same normalization as that for standard parametric statistics, and centered at a parameter of interest, many semiparametric estimates based on n observations have been shown to be root-n-consistent and asymptotically normal. In the context of semiparametric averaged derivative estimates, the author goes further by showing that the rate of convergence of the finite-sample distribution to the normal limit distribution can equal that of standard parametric statistics.

This paper investigates stability properties of evolutionary selection dynamics in normal-form games. The analysis is focused on deterministic dynamics in continuous time and on asymptotic stability of sets of population states, more precisely of faces of the mixed-strategy space. The main result is a characterization of those faces which are asymptotically stable in all dynamics from a certain class, and we show that every such face contains an essential component of the set of Nash equilibria, and hence a strategically stable set in the sense of Kohlberg and Mertens (1986).

In this paper I study a model of life-cycle consumption in which individuals react optimally to their own income process but ignore economy wide information. Since individual income is less persistent than aggregate income consumers will react too little to aggregate income variation. Aggregate consumption will be excessively smooth. Since aggregate information is slowly incorporated into consumption, aggregate consumption will be autocorrelated and correlated with lagged income. The second part of the paper provides empirical evidence on individual and aggregate income processes and calibrates the model using the estimated parameters. The mode predictions roughly correspond to the empirical findings for aggregate consumption data. Allowing for the existence of measurement error in micro income, durables, finite lifetimes of consumers, and advance information improves the predictions of the model.

"This paper considers the problem of social evaluation in a model where population size, individual lifetime utilities, lengths of life, and birth dates vary across states. In an intertemporal framework, we investigate principles for social evaluation that allow history to matter to some extent. Using an axiom called independence of the utilities of the dead, we provide a characterization of critical-level generalized utilitarian rules. As a by-product of our analysis, we show that social discounting is ruled out in an intertemporal welfarist environment. A simple population-planning example is also discussed."

This paper models and estimates congestion prices and capacity for large hub airports with stochastic queues, time-varying traffic rates, and endogenous intertemporal adjustment of traffic in response to queuing delay and fees. Relative costs of queuing and schedule delays are estimated using data from Minneapolis-St. Paul. Simulations calculate equilibrium traffic patterns, queuing delays, schedule delays, congestion fees, airport revenues, airport capacity, and efficiency gains. The paper also investigates whether a dominant airline internalizes delays its aircraft impose. It tests game-theoretic specifications with atomistic, Nash-dominant, Stackelberg-dominant, and collusive-airline traffic.