Related papers: Set Identified Dynamic Economies and Robustness to…

In this paper we propose a class of structural vector autoregressions (SVARs) characterized by structural breaks (SVAR-WB). Together with standard restrictions on the parameters and on functions of them, we also consider constraints across…

This paper studies a regression model with functional dependent and explanatory variables, both of which exhibit nonstationary dynamics. The model assumes that the nonstationary stochastic trends of the dependent variable are explained by…

The identification of a mathematical dynamics model is a crucial step in the designing process of a controller. However, it is often very difficult to identify the system's governing equations, especially in complex environments that…

In many set-identified models, it is difficult to obtain a tractable characterization of the identified set. Therefore, researchers often rely on non-sharp identification conditions, and empirical results are often based on an outer set of…

We consider the inference problem for parameters in stochastic differential equation models from discrete time observations (e.g. experimental or simulation data). Specifically, we study the case where one does not have access to…

This paper evaluates the dynamic response of economic activity to shocks in uncertainty as percieved by agents.The study focuses on the comparison between the perception of economic uncertainty by manufacturers and consumers.Since…

Stochastic differential equations (SDEs) describe dynamical systems where deterministic flows, governed by a drift function, are superimposed with random fluctuations, dictated by a diffusion function. The accurate estimation (or discovery)…

Toward explaining the persistence of biased inferences, we propose a framework to evaluate competing (mis)specifications in strategic settings. Agents with heterogeneous (mis)specifications coexist and draw Bayesian inferences about their…

Learning dynamical systems from incomplete or noisy data is inherently ill-posed, as a single observation may correspond to multiple plausible futures. While physics-based ensemble forecasting relies on perturbing initial states to capture…

In this study, I investigate the dynamic decision problem with a finite parameter space when the functional form of conditional expected rewards is misspecified. Traditional algorithms, such as Thompson Sampling, guarantee neither an…

A geometric approach to the friction phenomena is presented. It is based on the holographic view which has recently been popular in the theoretical physics community. We see the system in one-dimension-higher space. The heat-producing…

This paper develops a high-frequency economic indicator using a Bayesian Dynamic Factor Model estimated with mixed-frequency data. The model incorporates weekly, monthly, and quarterly official indicators, and allows for dynamic…

In this paper we discuss a scaling approach to business fluctuations. Our starting point consists in recognizing that concepts and methods derived from physics have allowed economists to (re)discover a set of stylized facts which have to be…

This note presents a unified analysis of the identification of dynamical systems with low-rank constraints under high-dimensional scaling. This identification problem for dynamic systems are challenging due to the intrinsic dependency of…

Economic models may exhibit incompleteness depending on whether or not they admit certain policy-relevant features such as strategic interaction, self-selection, or state dependence. We develop a novel test of model incompleteness and…

The problem of determining the mathematical model of the dynamics of multi-dimensional control systems in the presence of noise under the condition that the correlation functions cannot be found. Known statistical dynamics of linear systems…

In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium…

This paper proposes a Sieve Simulated Method of Moments (Sieve-SMM) estimator for the parameters and the distribution of the shocks in nonlinear dynamic models where the likelihood and the moments are not tractable. An important concern…

This paper provides a formal econometric framework behind the newly developed difference-in-discontinuities design (DiDC). Despite its increasing use in applied research, there are currently limited studies of its properties. We formalize…

A novel probabilistic approach for the design of mechanical structures with friction interfaces is proposed. The objective function is defined as the probability that a specified performance measure of the forced vibration response is…