Infinite-dimensional VARs and factor models

This paper proposes a novel approach for dealing with the ‘curse of dimensionality’ in the case of infinite-dimensional vector autoregressive (IVAR) models. It is assumed that each unit or variable in the IVAR is related to a small number of neighbors and a large number of non-neighbors. The neighborhood effects are fixed and do not change with the number of units (N), but the coefficients of non-neighboring units are restricted to vanish in the limit as N tends to infinity. Problems of estimation and inference in a stationary IVAR model with an unknown number of unobserved common factors are investigated. A cross-section augmented least-squares (CALS) estimator is proposed and its asymptotic distribution is derived. Satisfactory small-sample properties are documented by Monte Carlo experiments. An empirical illustration shows the statistical significance of dynamic spillover effects in modeling of US real house prices across the neighboring states.     

Portfolio Choice in the Presence of Non-Tradable Income: An Experimental Analysis

Abstract. This paper reports the results of an experiment on portfolio choice in the presence of non-tradable income. The non-tradable income part could either be riskless or risky (background risk). In many cases, we observe behavior that is qualitatively consistent with the predictions of normative theory. However, correlations between financial and non-tradable wealth are neglected. The computation of aggregated risk profiles helps subjects to partly overcome the deviations from normative theory due to neglect of correlations.     

IPO Pricing in the Dot-com Bubble

IPO underpricing reached astronomical levels during 1999 and 2000. We show that the regime shift in initial returns and other elements of pricing behavior can be at least partially accounted for by marked changes in pre-IPO ownership structure and insider selling behavior over the period, which reduced key decision makers' incentives to control underpricing. After controlling for these changes, the difference in underpricing between 1999 and 2000 and the preceding three years is much reduced. Our results suggest that it was firm characteristics that were unique during the "dot-com bubble" and that pricing behavior followed from incentives created by these characteristics.     

A Theory of Broadcast Media Concentration and Commercial Advertising

We analyze a model in which the interaction of broadcasters, advertisers, and consumers determines the level of nonadvertising broadcasting produced and consumed. Our main finding is that an increase in concentration in broadcast media industries may lead to a decrease in the total amount of nonadvertising broadcasting. The strength of this inverse relationship depends, in part, on the behavioral response of the consumers to changes in advertising intensities. We also present a numerical general equilibrium solution to our model and demonstrate a positive relationship between consumer welfare and the number of firms in the broadcast industry.     

An appreciation of contemporary settlement morphology

This paper uses interpretive structural modelling as a heuristic tool for exploring the complexity of human settlements. It attempts to integrate ideas from general systems theory, policy sciences, and the science of human settlements (ekistics) into a paradigm of inquiry that is particularly suited to the investigation of alternative futures for human settlements. In recognising the diversity and complexity of perceptions, it adopts a particular morphology and suggests how interpretive structural modelling can be used to explore relationships among sets of relevant elements.     

Das allgemeine Schema des wirtschaftlichen Kreislaufes

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