We study a double auction environment where buyers and sellers have interdependent valuations and multi-unit demand and supply. We propose a new mechanism that satisfies ex post incentive compatibility, individual rationality, feasibility, nonwastefulness, and no budget deficit. Moreover, this...

We study the asymptotic properties of a class of estimators of the structural parameters in dynamic discrete choice games. We consider K-stage policy iteration (PI) estimators, where K denotes the number of policy iterations employed in the estimation. This class nests several estimators...

Summary The paper analyzes effects of randomized response with respect to some binary dependent variable on the estimation of the probit model. This approach is used in interviews when asking sensitive questions or if a respondent erroneously chooses the wrong category in an interview leading to...

The aim of this article is to show a simple way to construct asymptotic minimax lower bounds for risks based on different types of quadratic loss functions in semiparametric inference problems. For the sake of clarity, we consider the simple case of the state estimation of a dynamical system...

In this paper, we will discuss a procedure to improve the usual estimator of a linear functional of the unknown regression function in inverse non-parametric regression models. In Klaassen et [Klaassen, C.A.J., Lee, E.-J. and Ruymgaart, F.H., 2001, On efficiency of indirect estimation of...

The asymptotic efficiency of indirect estimation methods, such as the efficient method of moments and indirect inference, depends on the choice of the auxiliary model. To date, this choice has been somewhat ad hoc and based on an educated guess. In this article we introduce a class of...

In this paper the asymptotic behaviour of the maximum likelihood and Bayesian estimators of a delay parameter is studied. The observed process is supposed to be the solution of a linear stochastic differential equation with one time delay term. It is shown that these estimators are consistent...

The techniques of exploratory data analysis include a resistant rule, based on a linear combination of quartiles, for identification of outliers. This paper shows that the substitution of the quartiles with the median leads to a better performance in the non-Gaussian case. The improvement occurs...

This paper addresses a multi-period portfolio selection problem when the number of assets in the financial market is large. Using an exponential utility function, the optimal solution is shown to be a function of the inverse of the covariance matrix of asset returns. Nonetheless, when the number...