[The parameters of dynamic simultaneous equation models are often estimated using methods which are appropriate only when the errors of the equations are serially independent. The purpose of this paper is to propose a large sample test for serial correlation to replace the invalid Durbin-Watson test. The test requires only simple calculations and can be easily added to standard two-stage least squares/instrumental variables programs. The treatment of serial correlation is discussed. An example is given to illustrate the test procedure.]
This paper concerns utility functions for money. A measure of risk aversion in the small, the risk premium or insurance premium for an arbitrary risk, and a natural concept of decreasing risk aversion are discussed and related to one another. Risks are also considered as a proportion of total assets.
[A representative consumer exists if market behavior corresponds to a representative income or utility level which is a function of the income distribution. Necessary and sufficient conditions are given on micro behavior and macro behavior (whether maximizing or not) for a representative consumer to exist. Nonlinear Engel curves and taste differences are permitted. If the representative income level is restricted to be mean income, we obtain the traditional linear Engel curves solution. A striking result on economy of information in the representation of a social welfare function is given.]
The impatience implications of continuous time utility indicators are interesting to the extent that they differ from the discrete time results. The class of tFaditional integral utility indicators are considered and impatience implications are shown to depend on the dif- ferent convergence implications of the continuous time case. The stronger separability assumptions of continuous time utility indicators allow a weakening of compactness assumptions often required to demonstrate impatience. presence of impatience. Specific separability assumptions were invoked by Koopmans (8) and Koopmans, Diamond, and Williamson (9) in order to demonstrate the presence of impatience in problems involving choice over an infinite program horizon. From a paper by Diamond (4) one,can infer much of the relationship between separability assumptions and impatience implications. Diamond employed several intertemporal non-complementary assumptions to demonstrate eventual impatience for a case in which the consumption space was not compact in the topology of the norm. The use of non-complementary axioms seems justifijable as their economic implications are straightforward while those of compactness assumptions are not immediately obvious.2 Moreover the natural extension of Diamond's first axiom to all time periods yields a condition equivalent to the independence assumption employed by Debreu (3) in representing preferences by an additive function. Consequently, this paper analyzes separable utility indicators directly for impatience implications; the analysis considers the continuous time case as it subsumes the discrete time analog. However the discrete time case will be discussed in order to facilitate analogy construction.
[A regression model in which the disturbances exhibit a certain type of heteroscedasticity is considered. Maximum likelihood methods of estimation are developed and compared with the two-step estimation procedure. A likelihood ratio test for heteroscedasticity is suggested.]
[In this paper, we focus on capital aggregation in a general equilibrium model of production. Various potential aggregates involving intrasectoral and intersectoral, as well as full aggregation are discussed in connection with the various aggregation procedures. It will be shown that the satisfaction of the Gorman conditions allows for full aggregation within a general equilibrium model of production. We shall derive new conditions for aggregation using a composite commodity approach that appears to be somewhat weaker than the conditions associated with restrictions-on-functional-form theorems. Our main conditions relate to the equality of sectoral labor shares. The data for testing those conditions appear to be readily available. It is shown that the equal labor share condition can be applied to models with joint and nonjoint products. In addition, the conditions for aggregation are derived for a model with many primary inputs and also for a model with unequal rates of depreciation. Two sections are devoted to the main correspondences between certain aggregation procedures in the literature from the point of view of a general equilibrium model. The implications of our analysis for the form of the unit cost function and of the aggregate production function are discussed. In particular, if our aggregation condition holds, then the aggregate production function can be Cobb-Douglas, if one of the sectoral forms is also Cobb-Douglas, irrespective of the forms of the other sectoral production functions.]
[Support prices are derived for weakly maximal paths in an optimal growth model which is time dependent but without uncertainty. The notion of "reachable" stocks and paths is defined and used to derive turnpike theorems by the value loss method. The proofs do not depend on the presence of optimal balanced paths nor on the usual transversality conditions. The theorems are extended to the classical model which has a non-trivial von Neumann facet.]