This paper proposes a particular behavioral assumption to characterize the stochastic structure of intertemporal discrete choice models in the absence of state dependence. This assumption extends Luce's axiom; "Independence from Irrelevant Alternatives", to the intertemporal context. Under...

Five different identification problems in mixture models are made explicit. Necessary and sufficient relationships among these problems of identification are analyzed using the concepts of weak and strong identification. This analysis is first particularized under a normality assumption and then...

A unit root test is usually carried out by using the regression test introduced by Dickey and Fuller (1979). Under the null hypothesis the series should be a random walk. But a non-stationary series can usually be decomposed into a random walk and a stationary component. This is what is done in...

Most confidence intervals, whether based on asymptotic theory or the bootstrap, are implicitly based on inverting a Wald test. Since Wald test statistics are not invariant under nonlinear reparametrizations of the restrictions they test, confidence intervals based on them are not invariant...