Affiliation has been a prominent assumption in the study of economic models with statistical dependence. Despite its large number of applications, especially in auction theory, affiliation has limitations that are important to be aware of. This paper shows that affiliation is a restrictive...

This paper investigates the problem of testing conditional independence of Y and Z given λθ(X) for some unknown θ ∈ Θ ⊂ Rd, for a parametric function λθ(•). For instance, such a problem is relevant in recent literatures of heterogeneous treatment effects and contract theory. First,...

We show that a deeper insight into the relations among marginal processes of a multivariate Markov chain can be gained by testing hypotheses of Granger noncausality, contemporaneous independence and monotone dependence. Granger noncausality and contemporaneous independence conditions are read...

In multiple regressions, explanatory variables with simple correlation coefficients with the dependent variable below 0.1 in absolute value (such as aid/gross domestic product (GDP) with GDP growth) face a problem of parameter identification. They may have very large, statistically significant,...

We study here the topology of information on the space of probability measures over Polish spaces that was defined in Hellwig (1996). We show that under this topology, a convergent sequence of probability measures satisfying a conditional independence property converges to a measure that also...

Consider the probability of random time absolute ruin in the renewal risk model with constant premium rate and constant force of interest. We assume that claim sizes Xi,i=1,2,…, are conditionally independent on some sigma algebra and that the common distribution belongs to class D∩L. We...

A simple and explicit procedure for testing the conditional independence of two multi-dimensional random variables given a third random vector is described. The associated L1-based test statistic is defined for when the empirical distribution of the variables is restricted to finite partitions....

Motivated by Florens et al. (1993) and recent studies of stochastic systems with memory, we suggest the new concept of causality for continuous time stochastic processes which deal with finite horizon of the past. Also, we present results which show connections between the given concept of...

This paper proposes and studies a tractable subset of Nash equilibria, belief-free review-strategy equilibria, in repeated games with private monitoring. The payoff set of this class of equilibria is characterized in the limit as the discount factor converges to one for games where players...

The rational expectations equilibrium (REE), as introduced in Radner (1979) in a general equilibrium setting à la Arrow–Debreu–McKenzie, often fails to have desirable properties such as universal existence, incentive compatibility and efficiency. We resolve those problems by providing a new...