It has been a conventional wisdom that the two-sample version of the goodness-of-fit test like the Kolmogorov-Smirnov, Cramér-von Mises and Anderson-Darling tests fail to have good power particularly against very specific alternatives. We show that a modified version of Neyman Smooth test that...

In this paper, starting from continuous-time local level unobserved components models for stock and flow data we derive locally best invariant (LBI) stationarity tests for data available at potentially irregularly spaced points in time. We demonstrate that the form of the LBI test differs...

This paper investigates implications of nominal rigidities for the risk premium. We use Obstfeld and Rogoff (1998) type DSGE model equipped with nominal rigidities, imperfect market competitions, a production sector, and a money-in-the-utility function. For a monthly frequency, we generate...

Sections 8(a)(3) and 8(a)(5) of the National Labor Relations Act prevent a firm from unilaterally increasing the wage it pays the union during the negotiation of a new wage contract. To understand this regulation, we study a counterfactual negotiation model where the firm can temporarily...

We present a discrete-time version of an otherwise standard Schumpeterian growth model. Discrete time exhibits two important differences from continuous time. First, the probability of successful innovation cannot be homogeneous of degree one in inputs. A natural R&D analogue to constant returns...

Abstract This paper considers a signaling game in which the non-duty effects of antidumping petition influence filing motivations behind the domestic firm’s filing strategies. In this game, “abusive†antidumping occurs when the domestic firm files petitions strategically so as...

Using 20-year panel data, this paper tests Japanese companies' sequential decisions: (1) to invest abroad or not and (2) if so, what ownership strategy for that local company to be employed. In addition to transaction advantage emphasized by traditional studies on FDI, the focus is the role of...

Competition has pervasive and long-lasting effects on economic performance by affecting economic actors’ incentive structures, by encouraging their innovative activities, by stimulating technology spillovers, and by selecting more efficient firms from less efficient ones over time. A...

This paper examines the dynamic pricing problem of a durable-good monopolist when product quality is endogenous. It is shown that the relationship between the firm's quality choice and the time-inconsistency problem crucially depends on how the unit production cost varies with quality. The...

In order to forecast one-step ahead volatility, we calculated jump intensity by using estimated parameters of a duration model of price change. In this procedure, we do not assume any distribution on log-return. Although we do not make any distributional assumption, we may practically choose a...