This paper provides empirical evidence for standard economic equilibrium relationships and shows that the estimated disequilibrium adjustment mechanisms appear running counter to intuition. For example, the German interest rate seems to adjust to Swiss rates but not vice versa implying a driving role of the Swiss with respect to the German rates. It is argued that this phenomenon is due to the ...

Individuals with health insurance use more health care. One reason is that health care is cheaper for the insured. Additionally, having insurance can encourage unhealthy behavior via moral hazard. Previous work studying the effect of health insurance on medical utilization has mostly ignored behavioral changes due to having health insurance, and how that in turn affects medical utilization. Thi...

This paper describes the structure of social networks of students within school classes and examines differences in network structure between classes. In order to examine the network structure within school classes, we focused in particular on the principle of homophily, i.e. the tendency that people associate with similar others. When differences between classes were observed, it was investiga...

This paper revisits the link between health insurance and health by estimating a model that allows for insurance and health to be linked through both dynamic and contemporaneous channels, each with di¤erent policy implications. The model produces two main …ndings. First, while insurance and health appear to be negatively related dynamically, they are positively related contemporaneously, with p...

In this paper, we propose a model based on multivariate decomposition of multiplicative— absolute values and signs—components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We outline the construction of ...

The debate in equilibrium selection appears to have culminated in the formation of two schools of thought: those who favor equilibrium selection based on rational coordination and those who favor zero-rationality adaptation. We examine four deductive selection principles and find that each fails to explain experimental data. We propose an inductive selection principle based on simple learning d...

In empirical work on multivariate financial time series, it is common to postulate a Multivariate GARCH model. We show that the popular Gaussian quasi-maximum likelihood estimator of MGARCH models is very sensitive to outliers in the data. We propose to use robust M-estimators and provide asymptotic theory for M-estimators of MGARCH models. The Monte Carlo study and empirical application docume...

We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time. Analyzing one-minute cumulative trading volumes of five large NASDAQ stocks in 2008, we show that local win...

The paper develops a new and easy-to-use F test in a time series GMM framework that allows for general forms of serial dependence. The test is based on the Wald statistic with a multiplicative correction factor and employs critical values from a standard F distribution. The F critical values are high-order correct under the conventional asymptotics. Monte Carlo simulations show that the F test ...

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...