A Note on Nonparametric Trend Conformity

A Note on Endogenous Norms in A Theory of Conformity

This paper analyzes conformist tendencies for a population in which individuals gain utility by mimicking the average behavior, characterizing norms by the mean behavior. In so doing, the model extends Bernheim (1994)’s “A Theory of Conformity” by introducing an endogenous mechanism for establishing social norms. The most interesting result is that this extension does not alter the properties o...

A Note on the Area of a Nonparametric Surface

A note on a nonparametric regression test through penalized splines.

We examine a test of a nonparametric regression function based on penalized spline smoothing. We show that, similarly to a penalized spline estimator, the asymptotic power of the penalized spline test falls into a small- K or a large-K scenarios characterized by the number of knots K and the smoothing parameter. However, the optimal rate of K and the smoothing parameter maximizing power for tes...

A note on expectational stability under non-zero trend inflation

This study examines the expectational stability of the rational expectations equilibria (REE) under alternative Taylor rules when trend inflation is non-zero. We find that when trend inflation is high, the REE is likely to be expectationally unstable. This result holds true regardless of the nature of the data (such as contemporaneous data, forecast, and lagged data) introduced in the Taylor ru...

A Note on the Oil Price Trend and GARCH Shocks

This paper investigates the trend in the monthly real price of oil between 1990 and 2008 with a generalized autoregressive conditional heteroskedasticity (GARCH) model. Trend and volatility are estimated jointly with the maximum likelihood estimation. There is long persistence in the variance of oil price shocks, and a GARCH unit root (GUR) test can potentially yield a significant power gain re...