In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

Forecasting, Structural Time Series Models and the Kalman Filter

We develop a theory of rational addiction in which rationality means a consistent plan to maximize utility over time. Strong addiction to a good requires a big effect of past consumption of the good on current consumption. Such powerful complementarities cause some steady states to be unstable. They are an important part of our analysis because even small deviations from the consumption at an unstable steady state can lead to large cumulative rises over time in addictive consumption or to rapid falls in consumption to abstention. Our theory also implies that "cold turkey" is used to end strong addictions, that addicts often go on binges, that addicts respond more to permanent than to temporary changes in prices of addictive goods, and that anxiety and tensions can precipitate an addiction.

https://sites.duke.edu/econ206_01_s2011/files/2015/04/14_TeamGrossman_RationalAddiction.pdf

A Theory of Rational Addiction

/pdf/the-theory-of-industrial-organization-19bejph0ej.pdf

The Theory of Industrial Organization

Among financial economists, the dominant approach to the study of executive compensation views managers' pay arrangements as a (partial) remedy to the agency problem. Under this approach, which we label the “optimal contracting approach,” boards are assumed to design compensation schemes to provide managers with efficient incentives to maximize shareholder value. Financial economists have done substantial work within this optimal contracting model in an effort to understand executive compensation practices; recent surveys of this work include Murphy (1999) and Core, Guay and Larcker (2001). To some researchers working within the optimal contracting model, the main flaw with existing practices seems to be that, due to political limitations on how generously executives can be treated, compensation schemes are not sufficiently high-powered (Jensen and Murphy, 1990). Another approach to studying executive compensation focuses on a different link between the agency problem and executive compensation. Under this approach, which we label the “managerial power approach,” executive compensation is viewed not only as a potential instrument for addressing the agency problem but also as part of the agency problem itself. As a number of researchers have recognized, some features of pay arrangements seem to reflect managerial rent-seeking rather than the provision of efficient incentives (for example, Blanchard, Lopez-de-Silanes and Shleifer, 1994; Yermack, 1997; and Bertrand and Mullainathan, 2001). We seek to develop a full account of how managerial influence shapes the executive compensation landscape in a forthcoming book (Bebchuk and Fried, 2004) that builds substantially on a long article written jointly with David Walker (Bebchuk, Fried and Walker, 2002).

/pdf/executive-compensation-as-an-agency-problem-25fx7rcy69.pdf

Executive Compensation as an Agency Problem

Are natural resources a “curse” or a “blessing”? The empirical evidence suggests either outcome is possible. The paper surveys a variety of hypotheses and supporting evidence for why some countries benefit and others lose from the presence of natural resources. These include that a resource bonanza induces appreciation of the real exchange rate, deindustrialization and bad growth prospects, and that these adverse effects are more severe in volatile countries with bad institutions and lack of rule of law, corruption, presidential democracies, and underdeveloped financial systems. Another hypothesis is that a resource boom reinforces rent grabbing and civil conflict especially if institutions are bad, induces corruption especially in non-democratic countries, and keeps in place bad policies. Finally, resource rich developing economies seem unable to successfully convert their depleting exhaustible resources into other productive assets. The survey also offers some welfare-based fiscal rules for harnessing resource windfalls in developed and developing economies.

Natural Resources: Curse or Blessing?

http://www.cirano.qc.ca/pdf/publication/2004s-62.pdf

Common and fundamental factors in stock returns of Canadian oil and gas companies

Bayesian Models in Economic Theory

This article makes some steps toward a formal political economy of environmental policy. Economists' quasi-unanimous preference for sophisticated incentive regulation is reconsidered. We recast the question of instrument choice in the general mechanism design literature within an incomplete contract approach to political economy. We show why "constitutional" constraints on the instruments of environmental policy may be desirable, even though they appear inefficient from a standard economic viewpoint. Their justification lies in the limitations they impose on the politicians' ability to distribute rents. Insights are provided on the emergence of incentive mechanisms in environmental regulation.

/pdf/toward-a-political-theory-of-the-emergence-of-environmental-d7mq8v4p1r.pdf

Toward a Political Theory of the Emergence of Environmental Incentive Regulation

Environmental Risks and Bank Liability.

Counterirritation, the phenomenon of one painful stimulus reducing pain caused by a second noxious stimulus, has been recognized clinically for decades. Recently a physiological mechanism to explain Counterirritation was described and termed diffuse noxious inhibitory controls (DNICs). Nevertheless, few psychophysical studies have examined systematically the effects of a noxious conditioning stimulus on pain perception. The present study examined the perception of painful heat stimuli on the face before, during and after the subject submerged a hand in painfully cold water (5° C) for 5 min (cold pressor pain). We found that the subjects' ratings of the heat stimuli were significantly, although not completely, reduced during the cold pressor pain; this attenuation of pain perception continued after the noxious conditioning stimulus was withdrawn. Similarly, the pain threshold was significantly increased from 45.7 ° C to 47.3° C while the hand was in cold water and this threshold remained elevated after the cold water was terminated. Since DNICs have been found to completely and selectively inhibit the activity of only one type of pain transmission neuron (wide dynamic range), our data suggest that these neurons are involved in the perception of pain intensity. However, the persistence of residual pain perception in the presence of noxious conditioning stimuli indicates the importance of other nociceptive pathways.

Diffuse noxious inhibitory controls (DNICs): psychophysical evidence in man for intersegmental suppression of noxious heat perception by cold pressor pain.

Marcel Boyer

Papers

Common and fundamental factors in stock returns of Canadian oil and gas companies

Bayesian Models in Economic Theory

Toward a Political Theory of the Emergence of Environmental Incentive Regulation

Environmental Risks and Bank Liability.

Diffuse noxious inhibitory controls (DNICs): psychophysical evidence in man for intersegmental suppression of noxious heat perception by cold pressor pain.