Exact computation of max weighted score estimators

We show that exact computation of a family of ‘max weighted score’ estimators, including Manski’s max score estimator, can be achieved efficiently by reformulating them as mixed integer programs (MIP) with disjunctive constraints. The advantage of our MIP formulation is that estimates are exact and can be computed using widely available solvers in reasonable time. In a classic work-trip mode choice application, our method delivers exact estimates that lead to a different economic interpretation of the data than previous heuristic estimates. In a small Monte Carlo study we find that our approach is computationally efficient for usual estimation problem sizes.     

Markets change every day: Evidence from the memory of trade direction

We present empirical evidence that there are periodic, specifically daily, structural breaks in the trade direction time series process, a fact with implications for several key intra-day characteristics of markets. We suggest that breaks arise as a consequence of daily variation in order flow direction independently of intra-day events and as a consequence of a natural and widespread daily periodicity in the timing of investment decisions. Empirical implementation of our short memory AR model with daily level shifts captures the striking long horizon predictability of trade direction, performs better out-of-sample than the standard long memory ARFIMA alternative and is computationally easier to estimate.     

Decisionmetrics: A decision-based approach to econometric modelling

An approach to developing a possibly misspecified econometric model that will be used as the beliefs of an expected utility maximiser is proposed. This approach builds on a novel objective function that measures the value of predictive distributions in decision-making and is used in model estimation, selection and evaluation. The methods proposed also provide an econometric approach for developing arbitrary parametric action rules such as technical trading rules. The approach is compared in detail with existing methods and is applied in the context of a CARA investor's decision problem where analytical and empirical results suggest it is very effective.     

Land and Its Taxation as Issues in Economic Theory: What Is the Reason for Their Eclipse?

A bstract . Despite the continuing practical importance of the subject, land and its taxation have lost their prominence in modern economic theory. This evolution in economic thought is traced briefly. An explanatory hypothesis is offered based on the theoretical bias of the two major traditions in neo-classical theory : the Marshailian tradition does not distinguish land from capital (treating land as only one among many forms of capital) while the Walrasian tradition cannot distinguish capital from land (treating capital as an "original" factor similar to land). Though both Alfred Marshall and Léon Walras had a considerable interest in questions of land taxation, their followers, on the whole, have been neither able to overcome nor have they even been aware of the confinement of their respective theoretical perspectives.