Why does misinformation persist, and how does it distort the long-run beliefs and actions of rational agents? We study a model where receivers see an infinite stream of messages from a sender of unknown type who observes private signals about an unknown state of the world. We characterize the...

The publication presents the biographies and achievements of over 30 people who, since the beginning of the 20th century, have contributed to the development of the theory and methodology of statistical research at country level as well as internationally. The book is about statisticians who...

Income is an important economic indicator to measure living standards and individual well-being. In Germany, there exist different data sources that yield ambiguous evidence when analysing the income distribution. The Tax Statistics (TS) - an income register recording the total population of...

This paper studies the effect of employee job selection in a model of statistical discrimination in a competitive labor market. In an economy in which there are quality differences between groups, a surprisingly strong condition is required to guarantee discrimination against the worse qualified...

This study proposes a Bayesian semiparametric binary response model using Markov chain Monte Carlo algorithms since this Bayesian algorithm works when the maximum likelihood estimation fails. Implementing graphic processing unit computing improves the computation time because of its efficiency...

Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. This paper proposes...

Information coefficient (IC) is one of the most commonly used statistics in quantitative financial analysis that is usually defined as the correlation coefficient between a variable's predicted and actual values. In this paper, we derive the asymptotic distribution of the sample average...

Investigators of social differentials in health outcomes commonly augment incomplete micro data by appending socioeconomic characteristics of residential areas (such as median income in a zip code) to proxy for individual characteristics. However, little empirical attention has been paid to how...

We complete the investigation on the asymptotic behavior of the drift burst test statistic devised in Christensen, Oomen and Ren\`o (2020). They analysed it for an Ito semimartingale containing a Brownian component and finite variation jumps. We also account for infinite variation jumps.We show...

The article investigates the methods and conceptions of statistical inference used in business forecasting in the United States and in Europe in the 1920s. After presenting the methods and arguments used by the members of the Harvard Committee on Economic Research in the first years after its...

It is widely known that conditional covariances of asset returns change over time. Researchers adopt many strategies to accommodate conditional heteroskedasticity. Among the most popular are: (a) chopping the data into short blocks of time and assuming homoskedasticity within the blocks, (b)...

This paper demonstrates that even under ideal conditions, social experiments in general only uniquely determine the mean impacts of programs but not the median or the distribution of program impacts. The conventional common parameter evaluation model widely used in econometrics is one case where...

The capture ratio is a widely-used investment performance measure. We study the statistical problem of estimating the capture ratio based on a finite number of observations of a fund's returns. We derive the asymptotic distribution of the estimator and use it for testing whether one fund has a...

In this work, we develop a multi-fidelity Bayesian experimental design framework to efficiently quantify the extreme-event statistics of an input-to-response (ItR) system with given input probability and expensive function evaluations. The key idea here is to leverage low-fidelity samples whose...

A decision maker tests whether the gradient of the loss function evaluated at a judgmental decision is zero. If the test does not reject, the action is the judgmental decision. If the test rejects, the action sets the gradient equal to the boundary of the rejection region. This statistical...

We introduce the concept of a triad census of a digraph arid show how it can be used to enumerate various types of subgraph configurations. We give the basic probabilities needed for computing means and variances for a triad census under the U-MAN distribution for digraphs. These concepts are...

Using research designs patterned after randomized experiments, many recent economic studies examine outcome measures for treatment groups and comparison groups that are not randomly assigned. By using variation in explanatory variables generated by changes in state laws, government draft...

This paper suggests that the relevant question concerning unit root' in the U.S. real GNP time series pertains to the relative importance of difference-stationary and trend-stationary components. Various analytical approaches indicate than an accurate answer is not obtainable with existing data....

In this paper we develop alternative ways to compare asset pricing models when it is understood that their implied stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on x2 statistics associated with null hypothesis that models are correct, our measures of...

Instrumental Variables (IV) estimates tend to be biased in the same direction as Ordinary Least Squares (OLS) in finite samples if the instruments are weak. To address this problem we propose a new IV estimator which we call Split Sample Instrumental Variables (SSIV). SSIV works as follows: we...

Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. We show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method...

In evaluation research, an average causal effect is usually defined as the expected difference between the outcomes of the treated, and what these outcomes would have been in the absence of treatment. This definition of causal effects makes sense for binary treatments only. In this paper, we...

Modelling complex economic systems is an effective method of research. The widespread class is formed by economic systems in which the determined character of observable processes is combined with their stochastic nature. Laws which are observed in systems of economic exchange, in many respects...

This paper shows a convenient way to test whether instrumental variables are correlated with individual effects in a panel data set. It shows that the correlated fixed effects specification tests developed by Hausman and Taylor (1981) extend in an analogous way to panel data sets with endogenous...

We develop a procedure to rank-order countries and commodities using dis-aggregated American imports data. We find strong evidence that both countries and commodities can be ranked, consistent with the product cycle' hypothesis. Countries habitually begin to export goods to the United States...

We examine the empirical evidence on the expectations hypothesis of the term structure of interest rates in the United States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector-autoregressive" methodology. We argue that anomalies in the U.S. term...

This paper aims to assess the degree of students’ interest in mathematics and statistics. Five universities, having Engineering and technology education in Sindh Province, have been taken as targeted population. Non-parametric test Statistic X2 at X = 0.05 on collected categorical data has...

Can a group be an orthodox rational agent? This requires the group's aggregate preferences to follow expected utility (static rationality) and to evolve by Bayesian updating (dynamic rationality). Group rationality is possible, but the only preference aggregation rules which achieve it (and are...

We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions...

We introduce evolutionary dynamics for two-action games where agents with diverse preferences use statistical inference to guide their behavior. In each period, agents are randomly selected to revise actions. They draw a random sample of other agents’ actions, use statistical inference to...