We model how excess demand or excess supply can be generated in the presence of a social network of interactions, where agents are subject to external information and individual incentives. In this context we study price fluctuations in financial markets under equilibrium. In particular, we...

It is known that in two-sided many-to-many matching markets, pairwise stability is not logically related with the (weak) core, unlike in many-to-one matching markets (Blair, 1988). In this paper, we seek a theoretical foundation for pairwise stability when group deviations are allowed. Group...

We analyze an entry game with multiple periods, in each period of which privately informed agents who have not joined yet decide whether to subscribe to a network, and subscribers derive benefits in future periods depending on the network size. We study the case that the agents are sufficiently...

An indirect estimator is proposed for two long memory volatility models; the fractionally integrated generalised autoregressive conditional heteroskedasticity (FIGARCH) model and the long memory stochastic volatility (LMSV) model. The small sample properties of the indirect estimator are...

Strong seasonality in demand, a short product life cycle, and the absence of any price competition make the release date of first-run movies one of the main strategic decisions taken by movies' distributors. Movies are typically released on a Friday within a short release season, thus making the...

This paper provides conditions for identification and estimation of the conditional or unconditional average effect of a binary treatment or policy on a scalar outcome in models where treatment may be misclassified. Misclassification probabilities and the true probability of treatment are also...

Finite-sample inference methods are developed for quantile regression models. The methods are conservative in that (i) they apply to arbitrary sample sizes without the liberal assumption that sample sizes approach infinity, (ii) they apply when the quantiles are partially or set identified,...

A quadratic function is frequently used in regression to infer the existence of an extremum in a relationship. Examples abound in fields such as economics, epidemiology and environmental science. However, most applications provide no formal test of the extremum. Here we compare the Delta method...

Copulas offer a convenient way of modelling multivariate observations and capturing the intrinsic dependence between the components of a multivariate random variable. A semiparametric method for estimating the dependence parameters of copulas was proposed by Genest, Ghoudi and Rivest (1995), in...

We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: necessity of a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson (1951), sensitivity to the ordering of the variables for the...