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1500 questions
6
votes
2 answers
Infinite Variance Regressors
Many presentations of OLS have a condition, $E(X'X)<\infty$ and is invertible. My question is, why is $< \infty$ critical?
Consider,
$$y_i =\beta_0 +\beta_1 x_{1i} +\varepsilon_i $$
The condition, $E(X'X)<\infty$ in this setting is equivalent to…
Michael Gmeiner
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6
votes
1 answer
Interest rate parity: Counter intuitive
What is the basis for interest rate parity to hold?
I know, the reason stated is excess returns
Excess returns as such should not be the reason for a currency depreciation. for e.g. when we posit that forward rate converge to the spot rates over…
figs_and_nuts
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6
votes
1 answer
What is the mix of maturities of outstanding US Treasury bonds called?
What is the technical term for the mix of maturities of outstanding US Treasury bonds? Also, is there an "official" source for this information?
I tried searching to find out, but not knowing what the correct term for the maturity mix is, I got no…
Lassie Fair
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6
votes
2 answers
Is this a case of nonseparable utility (across states of nature)?
There are two states of nature: summer (hot) and winter (cold).
I have a utility function indexed by states of nature: $u(\cdot;summer)$ and $u(\cdot;winter)$.
There are two good to choose between: ice tea and hot tea.
In the summer it is hot and I…
Richard Hardy
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6
votes
2 answers
What possible reasons could make arbitrage impossible between some markets?
What could prevent arbitrage (not necessarily risk-free) between some markets even when price differences exist?
absento
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6
votes
3 answers
Does julia's speed advantage over python make any difference for DSGE modeling?
When compared to Python the main selling point of Julia is its speed as it is often argued. However, from my own personal experience I never noticed any significant difference in speed between Julia and Python. If there is a trivial few seconds…
1muflon1
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6
votes
2 answers
What is the economic interpretation of $ \partial q / \partial p = - (1/p^2) w^T (D_w x) w $ in profit maximization?
Consider a profit maximizing firm that is perfectly competitive in both input and output markets. It takes $n$ inputs $ x \in \mathbb{R}^n_+ $ and produces $f(x)$ units of output, where $ f: \mathbb{R}^n_+ \to \mathbb{R}_+ $ is the production…
user141240
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6
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1 answer
Is there any article or paper that describes what Thomas Sargent thinks of New Keynesian economics/models?
Is there any article or paper that describes what Thomas Sargent thinks of New Keynesian economics/models?
I am asking this question, because we all know what Thomas Sargent thinks of Old Keynesian economics, but I can't find what he thinks of New…
Macroaskp
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6
votes
4 answers
Tokens vs money
Recently I began thinking about why the use of tokens for money is so popular. In casinos, I think that it is well justified, but there are some cases when those arguments are not useful. For example, why would an amusement park make you buy tickets…
chubakueno
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6
votes
1 answer
Gali and van Rens: The Vanishing Procyclicality of Labor Productivity
Let's see how questions like the following are taken here.
Gali and van Rens, 2014 show that empirically, the correlation between $Y, Y/L$ has been declining over time. In fact, it only was a "real thing" when the RBC theory was formed, and is now…
FooBar
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6
votes
2 answers
References where fewer rules resulted in better governance
I am trying to find references that support an idea that I think I read in a book on theory of institutions. I can't find the original reference. Basically, I'd like to find anything that talks about number of rules and the strictness of enforcement…
Steve Clanton
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6
votes
4 answers
How could real house prices tend to rise in the long-term?
It makes sense that house prices increase above the risk-free rate due to their risky nature and historical evidence and conventional wisdom seems to back up the idea that real house prices tend to increase over time.
However, the ultimate…
Zaz
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6
votes
1 answer
Prove that for every Nash equilibrium $\sigma^*$, the probability distribution $p_{\sigma^*}$ is a correlated equilibrium
This is a classic theorem in game theory, that is left as an excersice in my textbook. Can anybody proove it? I can not thing of anything excpet from the definition of the correlated equilibrium in first place. Here is the theorem and the definition…
Hunger Learn
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6
votes
1 answer
Inada Conditions for Intensive Form of Production Function
I want to show that the Inada conditions $\underset{K\rightarrow0}{\lim} \frac{\partial F}{\partial K}=\underset{L\rightarrow0}{\lim} \frac{\partial F}{\partial L}=\infty$ and $\underset{K\rightarrow\infty}{\lim} \frac{\partial F}{\partial…
kékszajkók
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6
votes
3 answers
Does I(1) imply a process is cointegrated with its lag?
My question is about the definition of cointegrated.
$y_t =y_{t-1}+u_t$
$u_t =\eta_t +0.5\eta_{t-1}$
where $\eta_t\sim N(0,1)$ is i.i.d. white noise.
I claim that $y_t$ and $y_{t-1}$ are cointegrated because $y_t -y_{t-1}=u_t$ is stationary and both…
Michael Gmeiner
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