This paper establishes the almost. sure consistency of least. squares regression series estimators, in the L2-norm and the sup-norm, under very large assumptions on the underlying model. Three examples are considered in order to illustrate the general results: trigonometric series, Legendre...

In this paper we investigate four hypotheses which are inconsistent with expected utility theory, but may well be explained by prospect theory. It deals with framing, the non-linearity of subjective probabilities, the disposition effect, and the correspondence of different experimental risk...

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has...

A new kind of mixture autoregressive model with GARCH errors is introduced and applied to the U.S. short-term interest rate. According to the diagnostic tests developed in the paper and further informal checks the model is capable of capturing both of the typical characteristics of the...

This paper proposes a model in which the removal of barriers to trade and factor mobility is associated with endogenous fragmentation of the value-added chain. Fragmentation is the outcome of cost competition - the profit-maximizing choice of cost structure by monopolistically competitive firms....

This paper derives new results on the effects of employing Taylor rules in economies that are subject to real market imperfections such as production externalities. Taylor rules that aggressively respond to output can eliminate sunspot equilibria that arise from the increasing returns. The paper...

We examine the impact of performance groups on the estimation of the relative importance of firm, industry and other effects on corporate performance. Performance groups comprise firms from the same industry with a similar performance over a longer period of time. We present a statistical method...

The third generation UMTS auction in Germany raised an enormous amount of revenue, and at the same time achieved a more competitive market structure than other UMTS auctions in Europe. The present paper explains the design of that auction, and presents a game theoretic explanation of observed...

This paper is an example of data mining in action. The database we are mining contains 1085 profiles of individuals who have downloaded the statistical software XploRe. Each profile contains the responses to an online questionnaire comprised of questions about such things as an individuals'...