In a previous paper (Shubik and Yao, 1988) we examined a multistage exchange economy with m perishable goods and one infinitely durable gold used as money. We considered an economy without credit and one with one hundred percent secured loans. In this paper we consider an economy with m(1) goods...

This paper considers series estimators of additive interactive regression (AIR) models. AIR models are nonparametric regression models that generalize additive regression models by allowing interactions between different regressor variables. They place more restrictions on the regression...

This paper provides a robust statistical approach to testing the unbiasedness hypothesis in forward exchange market efficiency studies. The methods we use allow us to work explicitly with levels rather than differenced data. They are statistically robust to data distributions with heavy tails,...

This paper studies the use of the Jeffreys' prior in Bayesian analysis of the simultaneous equations model (SEM). Exact representations are obtained for the posterior density of the structural coefficient beta in canonical SEM's with two endogenous variables. For the general case with m...

This paper derives exact finite sample distributions of maximum likelihood estimators of the cointegrating coefficients in error correction models. The distributions are derived for the leading case where the variables in the system are independent random walks. But important aspects of the...

Historical studies of the growth in real wages and output depend upon the accurate measure of the price trends of goods and services. Over long periods of time, the consumption bundle has changed profoundly, and most of today's consumption includes items that were not produced, and in some cases...

This paper provides a theoretical overview of Wald tests for Granger causality in levels vector autoregressions (VAR's) and Johansen-type error correction models (ECM's) for VAR models the results for inference are not encouraging. The limit theory typically involves nonstandard distributions...

This paper surveys the implications of "common knowledge" in interactive epistemology and game theory, with special emphasis on speculation, betting, agreeing to disagree, and coordination. The implications of approximate common knowledge are also analyzed. Approximate common knowledge is...

This paper discusses some uses econometrics of functional limit theory for dependent random variables. Attention is focused on empirical process-type results rather than partial sum results that are prevalent in unit root econometrics. Examples considered include nonstandard parametric...

This paper introduces a conditional Kolmogorov test of model specification for parametric models with covariates (regressors). The test is an extension of the Kolmogorov test of goodness-of-fit for distribution functions. The test is shown to have power against 1/{root n}-local alternatives and...