Ashley, Granger, and Schmalensee (1980) and Diebold and Mariano (1995) suggest that forecast comparisons may be used to examine Granger causality. According to Ashley et al., if forecasts of y based on a VAR model in x and y are superior to those based on an AR model for y , then x carries...

The paper derives and illustrates a convenient implementation of a perturbation method for computing an approximate perfect foresight solution of a nonlinear rational-expectations model. The solution space is the set of finite Taylor-series approximations. In discussing this setting, Gaspar and...

In this paper we investigate different learning schemes in dynamic game theory and consider their relative importance when constructing strategic decision models for economic and business applications. The different models of learning dynamics we have formulated fall into three main categories:...

In macroeconomic theory, a disproportionate amount of attention has been paid to models with 'global' or random interaction structures in which each agent interacts, or has an equal probability of interacting, with every other agent in the economy. By contrast, recent models have been developed...

This paper proposes a procedure for the estimation of discrete Markov decision models and studies its statistical and computational properties. Our method is similar to Rust's Nested Fixed-Point algorithm (NFXP), but the order of the two nested algorithms is swapped. First, we prove that this...

Early evolutionary models of industry dynamics have used very simple ways of modeling bounded rationality. In the precursory work of Nelson and Winter (1982), for example, R&D decisions of firms are given by a fixed rule: firms invest in each period a fixed proportion of their capital stock in...

This paper is devoted to the theoretical aspects of approximating dynamical systems and to some possible applications in economics. The approach presented here is based on the notion of the shadowing property of a dynamical system and on the use of pseudotrajectories to approximate true orbits....

Spatial autocorrelation (more generally, spatial dependence) occurs when a regression's error term at one location is correlated with that at another location. Ignoring the resulting non-diagonal disturbance covariance matrix results in misspecification and bias. While most studies focus on...

We review and analyze a recently proposed model of an Oligopoly Game. From a theoretical investigation of the payoff scheme, we confirm that it cannot be a true representation of the N -Person Iterated Prisoner's Dilemma. From an empirical investigation of the model's parameters, we show which...

We consider a continuous-time system influenced by different agents who adopt moving-horizon control. The well-known Nash equilibrium concept is used to define two concepts for solutions fitting into the moving-horizon structure. One of them is analyzed in more detail among the class of linear...