We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure. Spurious results can be produced by nonstationarity and aggregation.

Most hypotheses in binary response models are composite. The null hypothesis is usually that one or more slope coefficients are zero. Typically, the sequence of alternatives of interest is one in which the slope coefficients are increasing in absolute value. In this papar, we prove that the...

This paper examines sets of Nash equilibrium in sender-receiver games that are stable against replacement by alternative Nash equilibria. Such stable sets exist. In partial common interest games they contain only informative equilibria.

This paper makes two contributions to the literature on equilibrium search models. We cast the problem of determining the number of productivity types into a search for modes of the wage distribution and we use recent techniques of mode hunting to estimate the number and location of these modes.