5 papers
Convergence in distribution of the P-P process in
Brendan K. Beare, Tetsuya Kaji
We show that the percentile-percentile (P-P) process constructed from an independent and identically distributed sample of pairs converges in distribution in if and only…
Reducible Markov modulation, pole order, and tail behavior in random growth models
Brendan K. Beare, Alexis Akira Toda
Recent work on random growth models with light-tailed Markov-modulated additive shocks has shown that irreducible modulation yields tail behavior resembling an exponential distribu…
The general solution to an autoregressive law of motion
Brendan K. Beare, Massimo Franchi, Phil Howlett
We provide a complete description of the set of all solutions to a vector autoregressive law of motion. Every solution is shown to be the sum of three components, each correspondin…
Optimal taxation and the Domar-Musgrave effect
Brendan K. Beare, Alexis Akira Toda
This article concerns the optimal choice of flat taxes on labor and capital income, and on consumption, in a tractable economic model in which agents are subject to idiosyncratic i…
Randomization tests of copula symmetry
Brendan K. Beare, Juwon Seo
New nonparametric tests of copula exchangeability and radial symmetry are proposed. The novel aspect of the tests is a resampling procedure that exploits group invariance condition…