7 papers
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…
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…
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…
Modified Wilcoxon-Mann-Whitney tests of stochastic dominance
Brendan K. Beare, Jackson D. Clarke
Given independent samples from two univariate distributions, the one-sided Wilcoxon-Mann-Whitney statistic may be used to conduct a rank-based test of first-order stochastic domina…
The Granger-Johansen representation theorem for integrated time series on Banach space
Phil Howlett, Brendan Beare, Massimo Franchi +2
We prove an extended Granger-Johansen representation theorem (GJRT) for finite or infinite order integrated autoregressive time series on Banach space. We assume only that the reso…
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…