Knowledge that Transforms

The concepts of conditional risk aversion, the conditional risk premium, and risk independence pertaining to multiattributed utility functions are defined. The latter notion is then generalized to what is called utility independence. A number of theorems useful for simplifying the assessment of multiattributed utility functions given certain risk independence and utility independence assumptions are stated.

[This paper derives the asymptotic distribution of restricted and unrestricted reduced form estimators and compares their asymptotic efficiency. It also shows that the same techniques yield the asymptotic distribution of dynamic multipliers.]

THE DYMULT (dynamic multipliers) program is designed to calculate impact, interim, and total multipliers of a simple linear simultaneous equations model with lags. Builders of an aggregate econometric model have often concentrated on the validity of signs and magnitudes of the estimated regression coefficients of each structural equation and neglected to check the stability conditions of the system, which could be a symptom of specification errors in the model. The DYMULT program checks the stability conditions of the system of equations and calculates the impact, interim, and total multipliers. The matrix form of a simple lag linear simultaneous equations model can be written as follows:

Roberto S. Mariano, Approximations to the Distribution Functions of the Ordinary Least-Squares and Two-Stage Least-Squares Estimators in the Case of Two Included Endogenous Variables, Econometrica, Vol. 41, No. 1 (Jan., 1973), pp. 67-77

[The exact finite sample properties of an asymptotically unbiased but nonconsistent estimator of a structural variance are examined briefly.]