We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of course the asymptotic results apply more generally....

Semiparametric models are characterized by a finite- and infinite-dimensional (functional) component. As such they allow for added flexibility over fully parametric models, and at the same time estimators of parametric components can be developed that exhibit standard parametric convergence...

A review is given of parametric estimation methods for discretely sampled multivariate diffusion processes. The main focus is on estimating functions and asymptotic results. Maximum likelihood estimation is briefly considered, but the emphasis is on computationally less demanding martingale...

In this paper we take the mechanism design approach to the problem of assigning children of different ages to daycares, motivated by the mechanism currently in place in Denmark. This problem is similar to the school choice problem, but has two distinguishing features. First, it is characterized...

We study the problem of allocating workers to different projects in which each project requires having a minimum number of workers assigned to it or else it does not open. We show that the well-known serial dictatorship mechanism is neither strategy-proof nor Pareto efficient. Thus, we propose...

A general theory of efficient estimation for ergodic diffusions sampled at high fre- quency is presented. High frequency sampling is now possible in many applications, in particular in finance. The theory is formulated in term of approximate martingale estimating functions and covers a large...

If agents negotiate openly and form coalitions, can they reach efficient agreements? We address this issue within a class of coalition formation games with externalities where agents' preferences depend solely on the coalition structures they are associated with. We derive Ray and Vohra's (1997)...