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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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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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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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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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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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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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Estimating Derivatives in Nonseparable Models with Limited Dependent Variables
Altonji, Joseph G.; Ichimura, Hidehiko; Otsu, Taisuke - Cowles Foundation for Research in Economics, Yale University - 2008
We present a simple way to estimate the effects of changes in a vector of observable variables X on a limited dependent variable Y when Y is a general nonseparable function of X and unobservables. We treat models in which Y is censored from above or below or potentially from both. The basic idea...
Persistent link: https://www.econbiz.de/10005463961
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Improved HAR Inference
Phillips, Peter C.B.; Sun, Yixiao; Jin, Sainan - Cowles Foundation for Research in Economics, Yale University - 2005
Employing power kernels suggested in earlier work by the authors (2003), this paper shows how to re.ne methods of robust inference on the mean in a time series that rely on families of untruncated kernel estimates of the long-run parameters. The new methods improve the size properties of...
Persistent link: https://www.econbiz.de/10005464005