Since 1968, the Survey of Professional Forecasters has asked respondents to provide a" complete probability distribution of expected future inflation. We evaluate the adequacy of" those density forecasts using the framework of Diebold, Gunther and Tay (1997). The analysis" reveals several...

Volatility has been one of the most active areas of research in empirical finance and time series econometrics during the past decade. This chapter provides a unified continuous-time, frictionless, no-arbitrage framework for systematically categorizing the various volatility concepts,...

Recently, empirical industrial organization economists have proposed estimators for dynamic games of incomplete information. In these models, agents choose from a finite number actions and maximize expected discounted utility in a Markov perfect equilibrium. Previous econometric methods estimate...

We discuss the identification and estimation of discrete games of complete information. Following Bresnahan and Reiss (1990, 1991), a discrete game is a generalization of a standard discrete choice model where utility depends on the actions of other players. Using recent algorithms to compute...

This note is concerned with the derivation of the distribution of a random variable X in terms of the distribution of Y given X, where X, Y are discrete random variables with finite support

The choice of the appropriate linear model before this can be used for planning and decision making, has been the concern of many statistical workers. Most of the methods in the literature aim at evaluating the descriptive ability of the candidate models. In the present paper an evaluation...

Let {N(t), t0} be a homogeneous Poisson process with parameter λ=1. Let Z be a nonnegative random variable which is distributed independently of {N(t), t0} according to a mixed game distribution. Xekalaki and Panaretos (1988) showed that the form of F (the mixing distribution) is uniquely...

There is much confusion in the literature over Hurst exponents. Recently, we took a step in the direction of eliminating some of the confusion. One purpose of this paper is to illustrate the difference between fBm on the one hand and Gaussian Markov processes where H≠1/2 on the other. The...

This paper considers a model where an original observation from a discrete distribution generates, according to a certain mechanism, another observation. A special case with the logarithmic series distribution as the original distribution and the Pascal distribution as the generating mechanism...

The increase of criminal activity worldwide calls for cooperation in order to combat crime. All over the world, scientists, including Statisticians, of many seemingly unrelated fields are cooperating in order to find methods to prevent or to reduce crime. In this paper we analyze Greek crime...