Existence and uniqueness of equilibria when preferences are additively separable
Article Abstract:
A study of equilibria building on work by Karatzas, uses utility weight space to examine the infinite dimension with a finite number of agents, providing conditions for mapping excess utility, and finding that its properties are similar to those of a finite map of excess demand. The study shows that Pareto optima can be characterized to show that transfer payments involve equilibria, and that excess utility can be described as strongly gross subsititute, showing that equilibrium exists and is unique.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1993
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Asymptotic distributions of impulse responses, step responses, and variance decompositions of estimated linear dynamic models
Article Abstract:
Formulae have been developed to calculate asymptotic covariance matrices for impulse andstep responses and variance decompositions of models of the vector autoregressive moving-average (VARMA) type. The findings of this study develop further previous formulae, can deal with any VARMA-type model, and supply precise calculations using analytic derivatives in addition to shedding light on asymptotic covariance structure.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1993
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Simulated moments estimation of Markov models of asset prices
Article Abstract:
Conditions are supplied for a simulated moments estimator (SME) for dynamic model parameters for models used in asset pricing using a Markov process for stochastic forcing. Asymptotic normality, and weak and strong consistencies are provided for in this study which uses the example of a model to price assets. Option pricing literature provides a useful illustration of the function set out in this study.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1993
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