This paper extends the concept of coalitional rationalizability of Ambrus(01) to incorporate sequential rationality in multi-stage games with observable actions and incomplete information. Agreements among players are implicit, it is assumed that players cannot communicate with each other during the game. They re°ect a reasoning procedure which entails restricting strategies in a mutually advan...

We address the question of designing dynamic menus to sell experience goods. A dynamic menu consists of a set of price-quantity pairs in each period. The quality of the product is initially unknown, and more information is generated through experimentation. The amount of information in the market is increasing in the total quantity sold in each period, and the …rm can control the information ‡o...

We examine the channels through which a randomized early childhood intervention in Colombia led to significant gains in cognitive and socioemotional skills among a sample of disadvantaged children. We estimate production functions for cognitive and socio-emotional skills as a function of maternal skills and child’s past skills, as well as material and time investments that are treated as endoge...

Observed high-frequency …nancial prices can be considered as comprising two components, a true price and a market microstructure noise perturbation. It is an empirical regularity, coherent with classical market microstructure theories of price determination, that the second moment of market microstructure noise is time-varying. We study the optimal, from a …nite-sample forecast MSE standpoint, ...

In a previous paper, Russo et al. (2006), causality is considered in the framework of structural models, i.e. statistical models characterized by parameters that are stable over a large class of interventions or of environmental changes and that take into account background and contextual knowledge. From this statistical viewpoint, causality is defined in terms of exogeneity in a structural mod...

Shortly after World War II, many of the leading econometricians collaborated under the aegis of the Cowles Commission and, over the course of a few years, developed a research agenda that structured macroeconometrics for the second half of the 20th century. The central vision of this research program was simple: the development of a mathematical model of the macroeconomy with grounding in econo...

This paper proposes a method to address the longstanding problem of lack of monotonicity in estimation of conditional and structural quantile functions, also known as the quantile crossing problem. The method consists in sorting or monotone rearranging the original estimated non-monotone curve into a monotone rearranged curve. We show that the rearranged curve is closer to the true quantile cur...

A simple and robust approach is proposed for the parametric estimation of scalar homogeneous stochastic di¤erential equations. We specify a parametric class of di¤usions and estimate the parameters of interest by minimizing criteria based on the integrated squared di¤erence between kernel estimates of the drift and di¤usion functions and their parametric counterparts. The procedure does not req...

Almost all real assets trade in decentralized markets, where trading frictions could inhibit the efficiency of asset allocations and depress asset prices. In this paper, I investigate how trading frictions vary as asset markets get thicker, and what implications market thickness has for asset allocations and prices. Intuitively, it is easier to sell assets that have a thicker market. As a resul...