People exaggerate the extent to which their private information is shared with others. This paper introduces this phenomenon portably into Bayesian games where people wrongly think that if they can condition their strategy on an event others can do as well. I apply the model to a variety of...

This paper proposes several statistical tests for finite state Markov games to examine the null hypothesis that data from distinct markets can be pooled. We formulate tests of (i) the conditional choice and state transition probabilities, (ii) the steady-state distribution, and (iii) the...

Abadie and Imbens (2008) showed that the standard naive bootstrap is inconsistent to estimate the distribution of the matching estimator for treatment effects with a fixed number of matches. This article proposes an asymptotically valid inference method for the matching estimators based on the...

This paper is concerned with various issues related to inference in large dynamic panel data models (where both n and T increase without bound) in the presence of, possibly, strong cross-sectional dependence. Our first aim is to provide a Central Limit Theorem for estimators of the slope...

We propose a nonparametric likelihood inference method for the integrated volatility under high frequency financial data. The nonparametric likelihood statistic, which contains the conventional statistics such as empirical likelihood and Pearson's chi-square as special cases, is not...

This paper studies robustness of bootstrap inference methods for instrumental variable (IV)regression models. We consider test statistics for parameter hypotheses based on the IV estimatorand generalized method of trimmed moments (GMTM) estimator introduced by Cížek (2008, 2009),and compare...

Recent literature promotes commitment products as a new remedy for overcoming self-control problems and savings constraints. Committing to a welfare-improving contract requires knowledge about one's preferences, including biases and inconsistencies. If agents are imperfectly informed about their...

Abstract. Since Manski's (1975) seminal work, the maximum score method for discrete choice models has been applied to various econometric problems. Kim and Pollard (1990) established the cube root asymptotics for the maximum score estimator. Since then, however, econometricians posed several...

Empirically, labor contracts that financially penalize failure induce higher effort provision than economically identical contracts presented as paying a bonus for success, an effect attributed to loss aversion. This is puzzling, as penalties are infrequently used in practice. The most obvious...

This paper addresses an important and challenging issue as how best to model nonlinear asymmetric dynamics and cross-sectional heterogeneity, simultaneously, in the dynamic threshold panel data framework, in which both threshold variable and regressors are allowed to be endogenous. Depending on...