This paper studies adaptive learning with multiple models. An agent operating in a self-referential environment is aware of potential model misspecification, and tries to detect it, in real-time, using an econometric specification test. If the current model passes the test, it is used to...

This article develops a dynamic asset pricing model with persistent heterogeneous beliefs. The model features competitive traders who receive idiosyncratic signals about an underlying fundamentals process. We adapt Futia's (1981) frequency domain methods to derive conditions on the fundamentals...

This paper proves that the monotonicity of bidding strategies together with the rationality of bidders implies that the winning bid in a first price auction converges to the competitive equilibrium price as the number of bidders increases (<xref ref-type="bibr" rid="R18">Wilson, 1977</xref>). Instead of analysing the symmetric Nash...

This paper investigates the relationship between uncertainty and delay of agreement in the one-sided offer bargaining model with two-sided uncertainty where the seller makes offers. The author constructs a weak stationary equilibrium in which different types of the seller charge different prices...

An ordinary differential equation (ODE) gives the mean dynamics that govern the convergence to self-confirming equilibria of self-referential systems under discounted least squares learning. Another ODE governs escape dynamics that recurrently propel away from a self-confirming equilibrium. In a...

An ordinary differential equation (ODE) gives the mean dynamics that govern the convergence to self-confirming equilibria of self-referential systems under discounted least squares learning. Another ODE governs escape dynamics that recurrently propel away from a selfconfirming equilibrium. In a...

Without assuming rational expectations, the author examines the implications of a stationarity assumption in a standard bargaining model with one-sided incomplete information, where the seller makes an offer in each period. Instead of computing a weakly stationary equilibrium, the author invokes...

This paper proves that the monotonicity of bidding strategies together with the rationality of bidders implies that the winning bid in a first price auction converges to the competitive equilibrium price as the number of bidders increases (Wilson, 1977). Instead of analysing the symmetric Nash...