Comparative Statics under Uncertainty : Single Crossing Properties and Log-Supermodularity

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Comparative Statics under Uncertainty : Single Crossing Properties and Log-Supermodularity

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Athey, S

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Susan Athey

Abstract

This paper develops necessary and sufficient conditions for monotone comparative statics predictions in several general classes of stochastic optimization problems. There are two main results, where the first pertains to single crossing properties (of marginal returns, incremental returns, and indifference curves) in stochastic problems with a single random variable, and the second class involves log-supermodularity of functions with multiple random variables (where log-supermodularity of a density corresponds to the property affiliation from auction theory).

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Paper provided by Massachusetts Institute of Technology (MIT), Department of Economics in its series Working papers with number 96-22.

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Length: 57 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:mit:worpap:96-22

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Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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Other versions:
- Federico Echenique., 2000. "Comparative Statics by Adaptive Dynamics and The Correspondence Principle," Economics Working Papers E00-273, University of California at Berkeley. [Downloadable!]
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- Federico Echenique, 2000. "Comparative Statics by Adaptive Dynamics and The Correspondence Principle," Econometric Society World Congress 2000 Contributed Papers 1906, Econometric Society. [Downloadable!]
- Federico Echenique, 2002. "Comparative Statics by Adaptive Dynamics and the Correspondence Principle," Econometrica, Econometric Society, vol. 70(2), pages 833-844, March. [Downloadable!] (restricted)
Lones Smith, 2000. "Private Information and Trade Timing," American Economic Review, American Economic Association, vol. 90(4), pages 1012-1018, September. [Downloadable!] (restricted)
Other versions:
- Smith, L., 1999. "Private Information and Trade Timing," Papers 99-07, Michigan - Center for Research on Economic & Social Theory.
Jonathan Levin & Susan Athey, 2001. "The Value of Information in Monotone Decision Problems," Working Papers 01003, Stanford University, Department of Economics. [Downloadable!]
Other versions:
- Susan Athey & Jonathan Levin, 1998. "The Value of Information In Monotone Decision Problems," Working papers 98-24, Massachusetts Institute of Technology (MIT), Department of Economics.
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Athey, Susan. & Stern, Scott, 1969-, 1998. "An empirical framework for testing theories about complementarity in orgaziational design," Working papers WP 4022-98., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
Steven Matthews, 2002. "Moral Hazard and Capital Structure Dynamics (joint with Mathias Dewatripont and Patrick Legros) Note the special time," Theory workshop papers 357966000000000095, UCLA Department of Economics. [Downloadable!]
Dewatripont, Mathias & Legros, Patrick & Matthews, Steven A, 2002. "Moral Hazard and Capital Structure Dynamics," CEPR Discussion Papers 3487, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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- Mathias Dewatripont & Patrick Legros & Steven A. Matthews, 2002. "Moral Hazard and Capital Structure Dynamics," Penn CARESS Working Papers dfdfbbfe0a5b0e04217a58a93, Penn Economics Department. [Downloadable!]
- Mathias Dewatripont & Patrick Legros & Steven A. Matthews, 2003. "Moral Hazard and Capital Structure Dynamics," PIER Working Paper Archive 03-006, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
- Mathias Dewatripont & Patrick Legros & Steven A. Matthews, 2003. "Moral Hazard and Capital Structure Dynamics," Journal of the European Economic Association, MIT Press, vol. 1(4), pages 890-930, 06. [Downloadable!] (restricted)
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McAdams, David, 2002. "Isotone Equilibrium in Games of Incomplete Information," Working papers 4248-02, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]

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