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Weak Convergence to Stochastic Integrals for Econometric Applications
Liang, Hanying; Phillips, Peter C.B.; Wang, Hanchao; … - Cowles Foundation for Research in Economics, Yale University - 2014
Limit theory involving stochastic integrals is now widespread in time series econometrics and relies on a few key results on function space weak convergence. In establishing weak convergence of sample covariances to stochastic integrals, the literature commonly uses martingale and semimartingale...
Persistent link: https://www.econbiz.de/10011096424
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The Uses of Teaching Games in Game Theory Classes and Some Experimental Games
Shubik, Martin - Cowles Foundation for Research in Economics, Yale University - 2001
The results are presented from several experiments. They include the selection of points in the core, interpersonal …
Persistent link: https://www.econbiz.de/10005762670
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The Theory of Money and Financial Institutions: A Summary of a Game Theoretic Approach
Shubik, Martin - Cowles Foundation for Research in Economics, Yale University - 2006
A game theoretic approach to the theory of money and financial institution is given utilizing both the strategic and coalitional forms for describing the economy. The economy is first modeled as a strategic market game, then the strategic form is used to calculate several cooperative forms that...
Persistent link: https://www.econbiz.de/10005762688
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Conflict Leads to Cooperation in Nash Bargaining
Rozen, Kareen - Cowles Foundation for Research in Economics, Yale University - 2008
complete cooperation and a strictly self-enforcing allocation (i.e., in the interior of the core). Highlighting group dynamics …
Persistent link: https://www.econbiz.de/10004979388
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An 'Average' Lyapunov Convexity Theorem and Some Core Equivalence Results
Zhou, Lin - Cowles Foundation for Research in Economics, Yale University - 1991
I prove an "average" version of the Lyapunov convexity theorem and apply it to establish some core equivalence results …
Persistent link: https://www.econbiz.de/10005463977
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The Edgeworth, Cournot and Walrasian Cores of an Economy
Shubik, Martin - Cowles Foundation for Research in Economics, Yale University - 2003
Three variations of the core of a market game representing an exchange economy are considered and compared. The … possibility for utilizing the Walrasian core to reflect certain monetary phenomena is noted. …
Persistent link: https://www.econbiz.de/10005464037
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A Computational Analysis of the Core of a Trading Economy with Three Competitive Equilibria and a Finite Number of Traders
Shubik, Martin; Kumar, Alok - Cowles Foundation for Research in Economics, Yale University - 2001
In this paper we examine the structure of the core of a trading economy with three competitive equilibria as the number … of traders (N) is varied. We also examine the sensitivity of the multiplicity of equilibria and of the core to variations … in individual initial endowments. Computational results show that the core first splits into two pieces at N = 5 and then …
Persistent link: https://www.econbiz.de/10005593218
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Matching with Incomplete Information
Liu, Quingmin; Mailath, George J.; Postlewaite, Andrew; … - Cowles Foundation for Research in Economics, Yale University - 2012
assumes that the agents have complete information, and examines core outcomes. We formulate a notion of stable outcomes in …
Persistent link: https://www.econbiz.de/10010686932
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Adaptive Testing on a Regression Function at a Point
Armstrong, Timothy B. - Cowles Foundation for Research in Economics, Yale University - 2014
We consider the problem of inference on a regression function at a point when the entire function satisfies a sign or shape restriction under the null. We propose a test that achieves the optimal minimax rate adaptively over a range of Holder classes, up to a log log n term, which we show to be...
Persistent link: https://www.econbiz.de/10010934352
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Multiscale Adaptive Inference on Conditional Moment Inequalities
Armstrong, Timothy B.; Chan, Hock Peng - Cowles Foundation for Research in Economics, Yale University - 2013
This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple analytic formula, and to prove the asymptotic validity of a...
Persistent link: https://www.econbiz.de/10010939337