[Market determination of the value in exchange (price) of money is considered in a general equilibrium finite horizon model. The possibility of the price of money being zero in equilibrium and the role of taxes (payable in money) in preventing a zero price are considered.]
This paper presents a comparison of three distributed lag estimators: OLS, the Almon procedure, and the Hannan inefficient method. Each method is compared for sample sizes of 50 and 100 for several alternative distributed lag shapes and residual process structures. The results not only reveal the relative performance of these estimators, but also provide evidence on each method's performance under misspecification with respect to lag length and the residual process.
[We study an economic model where one group of agents is guided by different prices from those of another group. This situation arises, e.g., in the case of excise taxes, subsidies, and import and export tariffs in international trade. It is established that a decrease in the specified divergence between the equilibrium price vectors implies an increase in welfare in a certain natural sense. The result broadens a conclusion of a classical theorem of welfare economics and answers a question of Foster and Sonnenschein [6]. It also has some bearing on the theory of second best.]
The durabilities of a consumption good produced in a perfectly competitive market or by a monopoly are compared. The analysis is conducted in terms of firm profit maximization in a Cournot industry. Conclusions are based on the properties of the entire optimal path rather than on the steady state alone.
I N 1956 Gale [4] considered a general model of balanced growth and asserted the existence of price vectors which equate the economic growth with the technological growth rate. This model of Gale was an extension of fundamental results earlier proven by von Neumann for the case in which the production space was polyhedral. Recently Hulsmann and Steinmetz [6] demonstrated that Gale's theorem was not true by constructing a counterexample. In this paper we shall prove that Gale's theorem in a modified form is true and with a certain regularization the original theorem of Gale is valid. This regularization will be automatically satisfied by polyhedral production spaces so that as a corollary the proof for the polyhedral version of Gale's theorem will be attained. Finally we show that the counterexample of Hulsmann and Steinmetz [6] does not satisfy this regularization.
When a continuous time model is estimated from its non-recursive discrete approximation, the presence of identities and exogenous variables in the system does not preclude the use of standard procedures. However, if we wish to use the exact discrete model for estimation purposes, the treatment of identities and exogenous variables is not so straightforward. It is found that the procedure based on the exact discrete model is unlikely to be affected by the presence of identities, but when exogenous variables occur in the system some sort of approximation is usually necessary before the model can be estimated with discrete data. An approximate model is constructed to deal with the latter case and the asymptotic properties of estimators derived from this model are investigated. UNDER CERTAIN CONDITIONS, a stochastic model represented by a system of continuously distributed lags can be regarded as the solution of a system,of linear stochastic differential equations. Two general approaches are available if we wish to estimate the parameters of such a system by conventional methods and with discrete data.2 The first approach (see [1 and 2]) is to take a discrete approximation to the model and estimate the approximate model by standard methods. The second approach makes use of the discrete model which is known to correspond to the continuous time model in the sense that observations at equidistant points in time that are generated by the latter system also satisfy the former. The main advantage of the second approach is that no specification error is involved, so that it is possible in some cases to obtain consistent and asymptotically efficient estimators of the parameters in the model. In addition to the arguments of asymptotic theory, the results of a previous study [8] have given some recommendation to the second approach on the basis of small sampling performance. However, the model used in the sampling experiment of this study was relatively simple and it is the aim of the present paper to discuss the use of the second approach in more complicated models. The complications with which we will be concerned are the presence of identities and exogenous variables; both these complications may be expected to occur in more realistic economic, models. Before the procedure is viable when there are identities in the model, we must ascertain whether the disturbance in the exact discrete model has a non-singular
[This paper investigates various properties of a two-sector putty-clay model in which physical durability of capital as well as its economic lifetime is a choice variable. Our model adopts Wicksell-Åkerman's hypothesis that the production of capital goods of greater durability can be accomplished only by incurring greater costs per unit of capital produced. Thus it is a synthesis of Wicksell's durability and putty-clay models. The case in which all capital goods are infinitely durable and are scrapped solely by obsolescence (i.e., pure obsolescence case) will appear as a special case of our model.]
THE CLASSIC PAPER by Grunfeld and Griliches [3] contains many instructive insights into question of circumstances under which an aggregate dependent variable may be forecasted more precisely with a model based on aggregate variables as opposed to an aggregate of forecasts from individual equations. The statistical model they employ is standard regression framework, a single at macro level and a set of seemingly unrelated regressions (to use Zellner's term) at level. Under assumptions of perfect model specification and nonstochastic regressors, a result of Theil's supports superiority of equations. It is Grunfeld and Griliches' main contention, however, that equations are likely to be more poorly specified than is macro equation. Perhaps, therefore, an aggregation will be realized in prediction of aggregate dependent variable by use of macro equation. While intuitively appealing, one soon finds that to articulate notion that micro equations are likely to be more poorly specified than is macro equation is difficult. Grunfeld and Griliches provide an illustration [3, pp. 7-9] that more than anything else points up elusive character of this notion. Recently, Orcutt, Watts, and Edwards [7] and Edwards and Orcutt [2] published papers that ostensibly support prediction from disaggregated data. Edwards and Orcutt note that a more basic difficulty with equations is that suitable data are scarce. Grunfeld and Griliches had earlier observed in passing that the poor quality of data may be another source of aggregation gain [3, p. 10]. It is precisely this consideration which we propose to examine in present paper. More particularly, we examine virtues of estimating or macro equations when independent variables in equations are observed with error, but corresponding aggregate variables have a smaller (or possibly no) observation error. There are many economic applications in which such offsetting errors may be plausibly hypothesized. For example, there may be some arbitrariness in classification of products (or industrial breakdown), so that while total sales figures for a given firm may be well established, their components may be subject to error. Alternatively, we may have common situation in which an aggregate figure is collected on a regular basis from a relatively complete sample, but components are calculated from benchmarks provided from a smaller or an older sample.
[This paper investigates the possibility of arriving at the mixed-strategy solution of a zero-sum two-person game through an iterative learning process. Learning takes place during repeated play of the game, in which the players have no direct knowledge of the payoff matrix but are allowed to record what happens during play. In this context, all members of a wide class of behaviorally plausible learning mechanisms are shown to be locally unstable for "almost all" zero-sum two-person games with mixed-strategy solutions.]
[An eight equation dynamic model of aggregate demand in the United Kingdom is estimated by a variety of methods which make different assumptions about, and provide different treatments of, the problems of simultaneity and serial correlation, the latter being both within and between equations. Although the system appears to perform quite well on conventional criteria, the alternative estimators reveal a number of misspecifications and demonstrate the sensitivity of the results to estimators choice. The paper also considers the methodological problems involved in estimating dynamic simultaneous equation models with possibly auto-correlated errors using seasonally unadjusted quarterly data.]