The paper proposes a new model of fractional cointegration, and considers methods for testing the existence of cointegrating relationships using the parametric bootstrap. In these procedures, ARFIMA time series models fitted to the data, with resampled residuals, are used to simulate the null...

In this paper we study the existence and uniqueness of stable coalition structures, when the value of a coalition to a member depends solely on the other members of the coalition. We search for collections of admissible coalitions that induce uniquely stable coalition structures, that is, ensure...

This paper extends the standard Diamond-Dybvig model for a general equilibrium in which depositors make their withdrawal decisions sequentially and banks strategically choose their contracts. There is a unique Subgame Perfect Nash Equilibrium (SPNE) in the decentralized economy. Bank runs can...

When analysing macro economic data it is often of relevance to allow for structural breaks in the statistical analysis. In particular cointegration analysis in the presence of structural breaks could be of interest. To do this a vector autoregressive model is proposed with known break points in...

We develop unit root tests using additional stationary covariates as suggested in Hansen (1995). However, we allow for the covariates to enter the model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in Robinson (1988). We retain a linear...

We present a model of monopoly provision of money-back warranties. A buyer values an object more than its seller. They are both risk neutral and initially have no private information. The buyer can, however, acquire information and learn his true valuation for the object. Information acquisition...

Two different types of tests for the cointegrating rank of VAR processes with a deterministic shift in the level have been proposed in the literature. The first proposal is based on the LR principle using a specific Gaussian model set-up. In the second proposal the time series are adjusted for...

Standard models of English auctions abstract from actual practice by assuming that bidders continuously affirm their willingness to pay as the price rises exogenously. This creates a significant mismatch between the bids envisioned in theory and those observed in practice, limiting the...

Sports provide a natural experiment on individual choices in games with high stakes. We study soccer with a game-theoretic model of a match, and then evaluate the ability of this model to explain actual behavior with data from 2885 matches among professional teams. In our model, the strategy of...

I develop a matching model with statistical discrimination and intergenerational mobility. Workers make both observable and unobservable investments before entering the market which affect their future productivity. Firms can search for workers based upon observable characteristics, be it...