Related papers: Identifying the Discount Factor in Dynamic Discret…
We provide sufficient conditions for semi-nonparametric point identification of a mixture model of decision making under risk, when agents make choices in multiple lines of insurance coverage (contexts) by purchasing a bundle. As a first…
We study the informational content of factor structures in discrete triangular systems. Factor structures have been employed in a variety of settings in cross sectional and panel data models, and in this paper we formally quantify their…
Is an option especially tempting when it is both immediate and certain? I test the effect of risk on the present-bias factor given quasi-hyperbolic discounting. In my experiment workers allocate about thirty to fifty minutes of real-effort…
When does society eventually learn the truth, or take the correct action, via observational learning? In a general model of sequential learning over social networks, we identify a simple condition for learning dubbed excludability.…
A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…
Information discounting plays an important role in the theory of belief functions and, generally, in information fusion. Nevertheless, neither classical uniform discounting nor contextual cannot model certain use cases, notably temporal…
This paper studies decision problems where the decision maker's choice of action affects the probability distribution of a payoff relevant random variable. We establish sufficient conditions for the existence of an expected utility…
The random utility model (RUM, McFadden and Richter, 1990) has been the standard tool to describe the behavior of a population of decision makers. RUM assumes that decision makers behave as if they maximize a rational preference over a…
This paper introduces a novel stochastic control framework to enhance the capabilities of automated investment managers, or robo-advisors, by accurately inferring clients' investment preferences from past activities. Our approach leverages…
Existing identification and estimation methods for semiparametric sample selection models rely heavily on exclusion restrictions. However, it is difficult in practice to find a credible excluded variable that has a correlation with…
We investigate how the choice of decision makers can be varied under the presence of risk and uncertainty. Our analysis is based on the approach we have previously applied to individual decision makers, which we now generalize to the case…
We study a decision-maker's problem of finding optimal monetary incentive schemes for retention when faced with agents whose participation decisions (stochastically) depend on the incentive they receive. Our focus is on policies constrained…
This paper develops a general framework for dynamic models in which individuals simultaneously make both discrete and continuous choices. The framework incorporates a wide range of unobserved heterogeneity. I show that such models are…
This paper deals with unconstrained discounted continuous-time Markov decision processes in Borel state and action spaces. Under some conditions imposed on the primitives, allowing unbounded transition rates and unbounded (from both above…
Dynamic logit models are popular tools in economics to measure state dependence. This paper introduces a new method to derive moment restrictions in a large class of such models with strictly exogenous regressors and fixed effects. We…
We study the consumption behaviour of an asymmetric network of heterogeneous agents in the framework of discrete choice models with stochastic decision rules. We assume that the interactions among agents are uniquely specified by their…
In this paper, it is shown that a simple formulation of Economic Model Predictive Control can be used which possesses two features that are generally viewed as mutually exclusive, namely, a rather short prediction horizon…
We consider fixed effects binary choice models with a fixed number of periods $T$ and regressors without a large support. If the time-varying unobserved terms are i.i.d. with known distribution $F$, \cite{chamberlain2010} shows that the…
Knowledge acquisition by consumers is a key process in the diffusion of innovations. However, in standard theories of the representative agent, agents do not learn and innovations are adopted instantaneously. Here, we show that in a…
Dynamic factor models have a wide range of applications in econometrics and applied economics. The basic motivation resides in their capability of reducing a large set of time series to only few indicators (factors). If the number of time…