Journal Article Prices for Individual Consumption, Quantity Indicators for Collective Consumption Get access E. Malinvaud E. Malinvaud Direction de la Prévision, Paris Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 39, Issue 4, September 1972, Pages 385–405, https://doi.org/10.2307/2296508 Published: 01 September 1972

The Analogy Between Atemporal and Intertemporal Theories of Resource Allocation Get access E. Malinvaud E. Malinvaud Paris Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 28, Issue 3, June 1961, Pages 143–160, https://doi.org/10.2307/2295944 Published: 01 June 1961

[What can we say about the competitive equilibrium price system for an uncertain economy in which each risk concerns just one individual? Three interrelated concepts of equilibrium are considered. They show how and under which conditions the contingent price for a contract to deliver one unit of some good if some event occurs tends to be equal to the product of the sure price of the good and the probability of the event.]

Given any problem of decision under risk to which the expected utility hypothesis applies, one may associate to it first a riskless problem in which random disturbances are replaced by their expected values, and second a class of intermediate risky problems with decreasing degrees of uncertainty. In this class the optimal decision depends in principle on the degree of uncertainty but turns out to be independent of it, to the first order of approximation, in the neighborhood of the riskless problem. The first-order certainty equivalence explains why it is so difficult to characterize the situations in which an increase in the degree of uncertainty requires a decrease in the allocation of resources to the risky projects. (Author)

Considering first the case of a known autocorrelation coefficient $, Klein observes that (4) may be viewed as a structural linear relation between the latent variables yt' -et, xI and yt'-l -et-,. Even knowing $, two of those variables are not observable. But the y' and yt' may be computed; et and et-, may be considered as errors of observation of the corresponding latent variables. In comparison with the classical models containing errors in variables, (4) is somewhat particular. Indeed, the value of the third variable (yt'_l) in observation t is identical to the value of the first variable (yt) in observation t -1. If we write qt and Qt for the latent variables corresponding respectively to yt and yI-1, we should take into account that tt 1tsince both are equal to yt'-l -et -. Now, Klein's method for the estimation of cx and A amounts to applying the maximum likelihood procedure as if Qt were not necessarily equal to qt-l

This now classic volume aims at a systematic presentation of the statistical methods used for the analysis of economic data. The properties of the various procedures are studied within the framework of theoretical stochastic models. Their relevance for inference on the economic phenomena is discussed at length. This third edition has been updated in many respects. Chapter 8 (Regression in Various Contexts) has been rewritten and now provides a full discussion of estimation in the linear models with a partially unknown covariance matrix, which introduces a systematic treatment of heteroscedasticity, random coefficients and composite errors. A new chapter has been added on simultaneous equation models that are non-linear with respect to the endogenous variables. The reader will also find new sections on shrunken estimators, on the choice of a model, on specification and estimation for distributed lag equations.