For conditional heteroskedasticity models, the authors study the identification condition that is required for consistency of a non-Gaussian quasi-maximum-likelihood estimator. They show that, if the conditional mean is zero or if a symmetry condition is satisfied, then the identification condition is satisfied. Without symmetry, an additional parameter, for the location of the innovation density, must be added for identification. For the conditional variance parameters of a GARCH process, there is no efficiency loss from adding the parameter under symmetry, when the parameter is not needed.
This paper proposes a Bayesian approach t o a v ector autoregression with stochastic volatility, where the multiplicative e v olution of the precision matrix is driven by a m ultivariate beta variate.Exact updating formulas are given to the nonlinear ltering of the precision matrix.Estimation of the autoregressive parameters requires numerical methods: an importance-sampling based approach is explained here.i
THE REQUIREMENT OF NO-ENVY is at the heart of recent equity theory. An allocation is free from envy if no agent strictly prefers the bundle of goods which is assigned to another agent to the one she/he gets. An allocation rule satisfies No-Envy if it only selects envy-free allocations. In this paper, we examine the relationship between No-Envy and implementability in a general model. Our main result is that in monotonically closed domains the No-Envy property is satisfied by any allocation rule which is both horizontally equitable and Nash Implementable. The requirement of horizontal equity, called Equal Treatment of Equals, simply states that two agents having the same preferences should be treated equally, i.e., should be assigned the same welfare level. The monotonic closedness condition on the domain of admissible preferences is satisfied in many private and/or public good environments, as discussed below. Quasi-linear domains, however, are examples of nonmonotonically closed domains. Our result confirms the widespread intuition that the No-Envy requirement is justified not only from an equity point of view but also from an implementation standpoint (see Hammond (1979) and Champsaur and Laroque (1981)). Moreover, it throws some light on several previous results where specific allocation rules defined over monotonically closed domains are characterized by Nash Implementability among other axioms. As a consequence of our analysis, No-Envy can be weakened into Equal Treatment of Equals in these characterizations (see, e.g., Thomson (1990) and Nagahisa and Suh (1995)). Similar arguments apply to decentralization problems where informational efficiency is the primary concern. For instance, Calsamiglia and Kirman (1993) characterized the Equal Income Walrasian rule on the basis of informational efficiency, Pareto Optimality, and No-Envy. Again, No-Envy can be replaced by Equal Treatment of Equals in this result.2 On the other hand, our result also explains why Nash Implementable allocation rules violating No-Envy over monotonically closed domains all fail to satisfy Equal Treatment of Equals. Examples include the Lindahl solution, the ratio equilibrium solution (Kaneko (1977)) and the balanced linear cost share solution (Mas-Colell and Silvestre (1989)); see Corchon (1989) and Wilkie (1990). At the end of the paper, we show that if we restrict ourselves to allocation functions (that is, allocation rules selecting one and only one allocation per economy), then a similar result holds for Strategy-Proofness, provided the Satterthwaite-Sonnenschein (1981) property of Non-Bossiness is also imposed. That is, in monotonically closed
A model of social distance is presented that is useful for understanding social decisions. An example is constructed of class stability. Agents who are initially close interact strongly while those who are socially distant have little interaction. In this example, inherited social position, which may be interpreted as social class, plays a dominant role. The relevance of this model to social decisions, such as the choice of educational attainment and childbearing, is discussed in the context of specific ethnographic examples. Class position may play a dominant role in these decisions.
THIS ARTICLE EXPLAINS current editorial procedures and policies of Econometrica; it is primarily addressed to authors who plan to submit manuscripts to the journal. Section 2 deals briefly with clarity in writing and exposition. Section 3 explains our organization and how submissions are handled. Details concerning the preparation of manuscripts are covered in Section 4; Section 5 discusses the submission of Announcements and News Notes. purpose of the Econometric Society is defined in Section 1 of our Constitution: The Econometric Society is an international society for the advancement of economic theory in its relation to statistics and mathematics.... Its main object is to promote studies that aim at the unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems and that are penetrated by constructive and rigorous thinking. Econometrica has no tightly controlled policy towards subject matter. No paper is rejected because it is or too quantitative, but because our membership includes economists with a variety of research interests, it is necessary that full-length contributions be prepared so that the nonspecialist is informed of what they are about and why the results are important. At the same time, no paper is rejected because it is not mathematical enough or applied, nor need papers make a methodological contribution. What is important is that the papers we publish should be interesting, original, and well crafted, and that they use whatever mathematical and/or statistical tools are appropriate for the problem at hand.
A maximum likelihood estimator for models containing nuisance parameters is proposed. The estimator is shown to be asymptotically normal and attain the semiparametric efficiency bounds for a number of important econometric models. The idea is to find a parametric model that passes through the true model. The score for the parametric model is then estimated nonparametrically and the estimator is obtained by setting the estimated score to zero.
Allowing for incomplete information, this paper characterizes the social choice functions that can be approximated by the equilibrium outcomes of a mechanism: incentive compatibility is necessary and almost sufficient for virtual Bayesian implementability. In conjunction with a second condition, Bayesian incentive consistency, incentive compatibility is also sufficient. This new condition is weak--under standard topological and informational assumptions it is satisfied by every social choice function. The type sets of the agents are taken to be arbitrary (possibly infinite) measurable spaces. An example shows that there are virtually (in fact, exactly) Bayesian implementable social choice functions that are not virtually implementable in iteratively undominated strategies.
This paper introduces a conditional Kolmogorov test of model specification for parametric models with covariates (regressors). The test is an extension of the Kolmogorov test of goodness-of-fit for distribution functions. The test is shown to have power against 1/√n local alternatives and all fixed alternatives to the null hypothesis. A parametric bootstrap procedure is used to obtain critical values for the test.
This paper provides a fairly systematic study of general economic conditions under which rational asset pricing bubbles may arise in an intertemporal competitive equilibrium framework.Our main results are concerned with non-existence of asset pricing bubbles in those economies.These results imply that the conditions under which bubbles are possible inc1uding sorne well-known examples of monetary equilibria-are relatively fragile.
This paper establishes a set of conditions for the uniqueness and stability of the equilibrium price in exchange and production economies. Building on the earlier work of J. M. Grandmont and W. Hildenbrand, it shows that increasing heterogeneity in preferences (in some well-defined sense) causes aggregate Engel curves to become increasingly linear. So sufficient dispersion, together with the assumption that preferences and endowments are independently distributed, leads to the aggregate excess demand function satisfying the law of demand. Uniqueness and stability of the equilibrium price follows.