Related papers: Challenges in Statistically Rejecting the Perfect …

We study how firm heterogeneity and market power affect macroeconomic fragility, defined as the probability of long slumps. We propose a theory in which the positive interaction between firm entry, competition and factor supply can give…

With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…

We consider a financial market in which traders potentially face restrictions in trading some of the available securities. Traders are heterogeneous with respect to their beliefs and risk profiles, and the market is assumed thin: traders…

Network effects are the added value derived solely from the popularity of a product in an economic market. Using agent-based models inspired by statistical physics, we propose a minimal theory of a competitive market for (nearly)…

We consider a model of oligopolistic competition in a market with search frictions, in which competing firms with products of unknown quality advertise how much information a consumer's visit will glean. In the unique symmetric equilibrium…

Statistical hypothesis testing is the central method to demarcate scientific theories in both exploratory and inferential analyses. However, whether this method befits such purpose remains a matter of debate. Established approaches to…

Comparisons of different treatments or production processes are the goals of a significant fraction of applied research. Unsurprisingly, two-sample problems play a main role in Statistics through natural questions such as `Is the the new…

Competition between a complex system's constituents and a corresponding reward mechanism based on it have profound influence on the functioning, stability, and evolution of the system. But determining the dominance hierarchy or ranking…

Forecast evaluations aim to choose an accurate forecast for making decisions by using loss functions. However, different loss functions often generate different ranking results for forecasts, which complicates the task of comparisons. In…

We introduce a quantitative approach to comparative statics that allows to bound the maximum effect of an exogenous parameter change on a system's equilibrium. The motivation for this approach is a well known paradox in multimarket Cournot…

This paper studies models in which hypothesis tests have trivial power, that is, power smaller than size. This testing impossibility, or impossibility type A, arises when any alternative is not distinguishable from the null. We also study…

We demonstrate that the forecasting combination puzzle is a consequence of the methodology commonly used to produce forecast combinations. By the combination puzzle, we refer to the empirical finding that predictions formed by combining…

Novel reinforcement learning algorithms, or improvements on existing ones, are commonly justified by evaluating their performance on benchmark environments and are compared to an ever-changing set of standard algorithms. However, despite…

A sequence of recent studies show that even in the simple setting of a single seller and a single buyer with additive, independent valuations over $m$ items, the revenue-maximizing mechanism is prohibitively complex. This problem has been…

We introduce a mathematical theory called market connectivity that gives concrete ways to both measure the efficiency of markets and find inefficiencies in large markets. The theory leads to new methods for testing the famous efficient…

The academic job market for new statisticians is highly congested at the interview stage, where departments must rank and select candidates from large applicant pools without credible signals of candidate interest. As a result, interviews…

Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important for validation of hand-coded trading strategies and for…

A general framework is given to analyze the falsifiability of economic models based on a sample of their observable components. It is shown that, when the restrictions implied by the economic theory are insufficient to identify the unknown…

As Internet-based commerce becomes increasingly widespread, large data sets about the demand for and pricing of a wide variety of products become available. These present exciting new opportunities for empirical economic and business…

This paper focuses on the problem of testing the null hypothesis that the regression functions of several populations are equal under a general nonparametric homoscedastic regression model. It is well known that linear kernel regression…