We develop a method for measuring the foresight agents have. We first dichotomize an agent’s information at current date t into knowledge up to date t 1 f and expectations after t 1 f. We then form a residual-based test statistic that allows us to compare prediction errors for econometric models based on different values of f. We illustrate the method, examining investment around tax reforms to...

China has experienced rapid urban expansion and agricultural land loss, and the land conversion has accelerated in central provinces since the mid-1990s. The goal of this paper is to examine the relative importance of socioeconomic and policy factors on the urban conversion of agricultural land in Henan Province, China. Using panel econometric models, we examine how socioeconomic and policy fac...

While econometric models routinely incorporate unobserved heterogeneity, microsimulations that are based on historical data rarely do so. At issue is that an individual’s history of outcomes contains information about that person’s heterogeneity draw, implying that the individual’s value may not be drawn randomly from the population distribution. Failure to account for heterogeneity may bias be...

This paper investigates empirically the interrelationships between the daily stock market returns of the Nikkei 225, DAX and Dow Jones Industrial index. Contrary to former work this paper uses the succession of the markets in time to form different econometric models. In this way it is possible to detect causality not only from the US to foreign countries but in some cases vice versa. The obser...

We develop econometric models of ascending (English) auctions which allow for both bidder asymmetries as well as common and/or private value components in bidders’ underlying valuations. We show that the equilibrium inverse bid functions in each round of the auction are implicitly defined (pointwise) by a system of nonlinear equations, so that conditions for the existence and uniqueness of an i...

In analyzing the distributional properties of estimators and other statistics in econometric models, the small disturbance asymptotic theory has assumed a prominent place for several reasons. For instance, the exact finite-sample distribution theory generally provides intricate expressions from which it is hard to draw any neat inference related to the efficiency properties of estimators, confi...

There is hardly a concept in econometrics that is more enigmatic and controvertial than that of exogeneity. This report|an edited excerpt from (Pearl 2000)|claims that exogeneity is a rather simple concept, readily de nable in terms of standard econometric models, and that the confusion stems primarily from improper usage of statistical vocabulary in a structural framework.

Experimental data have consistently shown diversity in beliefs as well as in actions among experimental subjects. This paper presents and compares alternative behavioral econometric models for the characterization of player heterogeneity, both between sub-populations of players and within subpopulations. In particular, two econometric models of diversity within sub-populations of players are in...

The housing and mortgage markets have long been considered to be markets that may not always be in equilibrium, and many econometric models of the housing and mortgage markets have tried in one way or another to account for disequilibrium effects. In this paper a critique of previous models of the housing and mortgage markets is made. The main argument of the paper is that disequilibrium effect...