As the structure of consumer preferences plays a crucial role in the analysis of differentiated product markets, estimation of demand systems is a sensitive task. This paper contributes to this project in two ways. First, we develop a method to deal with the simultaneous choice of an equipment...

We describe in this paper a method allowing to order submodels in linear regression. A real function is attached to each submodel, allowing to graphically compare and order them. Our procedure defines an objective function depending on two factors (lack of fit and multicolinearity) with the...

We investigate local strong rationality (LSR) in a one step forward looking univariate model with memory one. Eductive arguments are used to determine when common knowledge (CK) that the solution is near some perfect foresight path is sufficient to trigger complete coordination on that path...

The ARFIMA model has become a popular approach for analyzing time series that exhibit long-range dependence. For the Gaussian case, there has been substantial advances in the area of likelihood-based inference, including development of the asymptotic properties of the maximum likelihood...

The Value-at-Risk (VAR) measurements are widely applied to estimate exposure to market risks. The traditional approaches to VAR computations - the variance-covariance method, historical simulation, Monte Carlo simulation, and stress-testing - do not provide satisfactory evaluation of possible...

Ways of improving the efficiency of Monte-Carlo (MC) techniques are studied for dynamic models. Such models cause the conventinal Antithetic Variate (AV) technique to fail, and will be proved to reduce the benefit from using Control Variates with nearly non-stationary series. This paper suggest...

In this paper we propose two exact algorithms for solving both two-staged and three-staged unconstrained (un) weighted cutting problems. The two-staged problem is solved by applying a dynamic programming procedure originally developed by Gilmore and Gomory [10]. The three-staged problem is...

This paper combines two estimation procedures: Iterative Generalized Least Squares as used in the sofware MLwiN; Gibbs Sampling as employed in the software BUGS to Produce a modelling strategy that respects the hierachical nature of the Teaching Styles data and also allows for the endogeneity...

This paper prouves a new representation theorem for domains with both discrete and continuous variables.