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Working Papers 1999 – Abstracts

11/99 A Test For The Difference Parameter Of The Arfima Model Using The Moving Blocks Bootstrap Elizabeth Ann Maharaj: In this paper we construct a test for the difference parameter d in the fractionally integrated autoregressive moving-average (ARFIMA) model. Obtaining estimates by smoothed spectral regression estimation method, we use the moving blocks bootstrap method to construct the test for d. The results of Monte Carlo studies show that this test is generally valid for certain block sizes, and for these block sizes, the test has reasonably good power.
Keywords: Long memory, Periodogram regression, Smoothed periodogram regression, Block size

12/99 Predicting How People Play Games: A Simple Dynamic Model of Choice Rajiv Sarin and Farshid Vahid: We use the model developed in Sarin and Vahid (1999, GEB) to explain the experiments reported in Erev and Roth (1998, AER). The model supposes that players maximize subject to their "beliefs" which are non-probabilistic and scalar-valued. They are intended to describe the payoffs the players subjectively assess they will obtain from a strategy. In an earlier paper (Sarin and Vahid (1997) we showed that the model predicted behaviour in repeated coordination games remarkably well, and better than equilibrium theory of reinforcement learning models. In this paper we show that the same one-parameter model can also explain behaviour in games with a unique mixed strategy Nash equilibrium better than alternative models. Hence, we obtain further support for the simple dynamic model.
Keywords: Payoff assessments without probabilities, games with a unique mixed strategy equilibrium, reinforcement learning