A basic tool of modern econometrics is a uniform law of large numbers (LLN). It is a primary ingredient used in proving consistency and asymptotic normality of parametric and nonparametric estimators in nonlinear econometric models. Thus, in a well-known review article, Burguete, Gallant, and...

The exchange economy E can be reformulated as a strategic market game. In particular the point of concern here involves the introduction of a specified amount of credit or fiat money to monetize exchange. Dubey and Shubik (1979) and Shubik and Wilson (1977) have studied the possibility of...

Contagion or epidemic models of financial markets are proposed in which interest in or attention to individual stocks is spread by word of mouth. The models give alternative interpretations of the random walk character of stock prices. A questionnaire survey of institutional investors was...

This paper discusses the net effect of these two economic forces on developing countries: Is the drag to economic advance from dwindling resources outweighed by the accompanying technological advances? Or will the potential scarcity of resources during the next century on balance weigh down the...

In 1985-06, the Yale Economics Department sponsored a half-day conference on Martin Weitzman's striking proposal that sharing would be introduced into compensation arrangements. His suggestions have received wide attention in the popular press and from economists, but the organizers believed...

This paper studies cointegrated systems of multiple time series which are individually well described as integrated processes (with or without a drift). Necessary and sufficient conditions for cointegration are given. These conditions form the basis for a new class of statistical procedures...

Was the Depression forecastable? After the Crash, how long did it take contemporary economic forecasters to realize how severe the downturn was going to be? How long should it have taken them to come to this realization? These questions are addressed by studying the predictions of the Harvard...

This paper develops a multivariate regression theory for integrated processes which simplifies and extends much earlier work. Our framework allows for both stochastic and certain deterministic regressors, vector autoregressions and regressors with drift. The main focus of the paper is...

This paper investigates pure strategy sequential equilibria of repeated games with imperfect monitoring. The approach emphasizes the equilibrium value set and the static optimization problems embedded in external equilibria. We characterize these equilibria, and provide computational and...

The asymptotic theory of regression with integrated processes of the ARIMA type frequently involves weak convergence to stochastic integrals of the form integral_{0}^{1}WdW, where W(r) is standard Brownian motion. In multiple regressions and vector autoregressions with vector ARIMA processes the...