Functional Signal plus Noise (FSN) time series models are introduced for the econometric analysis of the dynamics of a large cross-section of prices in which contemporaneous observations are functionally related. A semiparametric FSN model is developed in which a smooth, cubic spline signal...

In this paper we obtain a closed form expression for the convergence rate of the Gibbs sampler applied to an AR(1) plus noise model in terms of the parameters of the model. We also provide evidence that a ``centered'' parameterisation of a state space model is preferable for the performance of...

This paper introduces a non-parametric binary classification tree approach to inferring unobserved strategies from the observed actions of economic agents. The strategies are in the form of possibly nested if-then statements. We apply our approach to experimental data from the repeated ultimatum...

Non-Gaussian processes of Ornsetin-Uhlenbeck type, or OU processes for short, offer the possibility of capturing important distributional deviations from Gaussianity and for flexible modeling of dependence structure. This paper develops this potential, drawing on and extending powerful results...

A new game theoretic analysis of finite horizon, complete information bargaining is advanced. The extensive form reflects an attempt to model unstructured negotiations, in which the negotiants can gain no artificial advantage from the details of the bargaining protocol. Conditions are identified...

This paper, forthcoming in Journal of Economic Surveys, provides an elementary non-technical, survey of auction theory, by introducing and describing some of the critical papers in the subject. (The most important of these are reproduced in a companion book, The Economic Theory of Auctions, Paul...

Cobb Douglas production function parameters are not identified from cross-section variation when inputs are perfectly flexible and chosen optimally, and input prices are common to all firms. We consider the role of adjustment costs for inputs in identifying these parameters in this context. The...