We consider inference on optimal treatment assignments. Our methods allow for inference on the treatment assignment rule that would be optimal given knowledge of the population treatment effect in a general setting. The procedure uses multiple hypothesis testing methods to determine a subset of...

We establish the validity of an Edgeworth expansion to the distribution of the maximum likelihood estimator of the parameter of a stationary, Gaussian, strongly dependent process. The result covers ARFIMA type models, including fractional Gaussian noise. The method of proof consists of three...

We provide in this paper asymptotic theory for the multivariate GARCH (p,q) process. Strong consistency of the quasi-maximum likelihood estimator (MLE) is established by appealing to conditions given in Jeantheau [19] in conjunction with a result given by Boussama [9] concerning the existence of...

The paper deals with estimation of missing observations in possibly nonstationary ARIMA models. First, the model is assumed known, and the structure of the interpolation filter is analysed. Using the inverse or dual autocorrelation function it is seen how estimation of a missing observation is...

The paper contains some implications for applied econometric research. Two important ones are, first, that invertible models, such as AR or VAR models, cannot in general be used to model seasonally adjusted or detrended data. The second one is that to look at the business cycle in detrended...

We investigate identifiability issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model impulse responses. Observational equivalence, partial and weak identification problems are...

This paper evaluates how different lengths of entry regulation impact market structure and market performance using a dynamic structural model. We formulate an oligopoly model in the tradition of Ericson and Pakes (1995) and allow entry costs to vary over time. Firms have the opportunity to...

We present a new Fair Queuing policy adapted to low-bandwidth flows, and preventing discrepancy which is encountered under almost all of the existing Fair Queuing policies. Unlike Packet-by-packet Generalized Processos Sharing PGPS and its version Worst-case Fair, Fair Queuing WF2Q which...

We start by discussing some general weaknesses and limitations of the econometric approach. A template from sociology is used to formulate six laws that characterize mainstream activities of econometrics and the scientific limits of those activities, we discuss some proximity theorems that...