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...

To be represented by more than one contestant in a contest has advantages and disadvantages. This paper determines the conditions under which it is favorable to send several agents into the contest. -- contests ; Divisionalization ; delegation

In theory, the incidence of a tax should be independent of which side of the market it is levied on. This principle of liability side equivalence underlies virtually all theories of tax incidence. Policy discussions, however, tend to place great emphasis on the legal division of tax payments. We...

This paper establishes the almost. sure consistency of least. squares regression series estimators, in the L2-norm and the sup-norm, under very large assumptions on the underlying model. Three examples are considered in order to illustrate the general results: trigonometric series, Legendre...

Let a process SI , ... ,ST obey the conditionally heteroskedastic equation St = Vt Et whcrc Et is a random noise and Vt is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an additional noise nt. We consider the situation which the...

In this paper we consider the stochastic sequence {Pt}E N defined recursively by the linear relation Pt+1 = At Pt + Bt in a random environment which is described by the non-stationary process V = {(At, Bt) t E N.. We formulate sufficient conditions on v which ensure that the finite-dimensional...

The problem of approximating a general regression function m(x) = E (Y IX = x) is addressed. As in the case of the c1assical L2-type projection pursuit regression considered by Hall (1989), we propose to approximate m(x) through a regression of Y given an index, that is a unidimensional...

Competition in some markets is a contest. This paper studies the merger incentives in such markets. Merger can be profitable. The profitability depends on the post-merger contest structure, the discriminatory power of the contest and on the number of contestants. -- contests ; merger

The experimental situation presents a complex stochastic intertemporal allocation problem. First, two initial chance moves select one of three possible termination probabilities which then determines whether "life" lasts 3,4,5, or 6 periods. Compared to Anderhub et al. (1997) participants are...

Newly developed and advanced methods for nonlinear time series analysis are in general not available in standard software packages. Moreover, their implementation requires substantial time, computing power as well as programming skills. The recent results on lag and bandwidth selection methods...