Related papers: Identifying the Discount Factor in Dynamic Discret…
This paper builds a rule for decisionmaking from the physical behavior of single neurons, the well established neural circuitry of mutual inhibition, and the evolutionary principle of natural selection. No axioms are used in the derivation…
Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior…
When data contains measurement errors, it is necessary to make assumptions relating the observed, erroneous data to the unobserved true phenomena of interest. These assumptions should be justifiable on substantive grounds, but are often…
We consider the problem of automatically proving resource bounds. That is, we study how to prove that an integer-valued resource variable is bounded by a given program expression. Automatic resource-bound analysis has recently received…
We study identification in a binary choice panel data model with a single \emph{predetermined} binary covariate (i.e., a covariate sequentially exogenous conditional on lagged outcomes and covariates). The choice model is indexed by a…
Snapshots of "best" (or "worst") experience are known to dominate human memory and may thus also have a significant effect on future behaviour. We consider here a model of repeated decision-making where, at every time step, an agent takes…
Currently, the increase in financial returns from economic operations is constrained in view of the lack of a single efficiency criterion, which allows uniquely identify the business operation by their main feature - the possibility of…
Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a geometric Brownian motion. This paper suggests a general,…
We propose identification robust statistics for testing hypotheses on the risk premia in dynamic affine term structure models. We do so using the moment equation specification proposed for these models in Adrian et al. (2013). We extend the…
Difference-in-differences is a common method for estimating treatment effects, and the parallel trends condition is its main identifying assumption: the trend in mean untreated outcomes is independent of the observed treatment status. In…
While data-driven decision-making is transforming modern operations, most large-scale data is of an observational nature, such as transactional records. These data pose unique challenges in a variety of operational problems posed as…
We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition…
Many panel data methods, while allowing for general dependence between covariates and time-invariant agent-specific heterogeneity, place strong a priori restrictions on feedback: how past outcomes, covariates, and heterogeneity map into…
In this paper, we investigate discounted economic model predictive control (E-MPC) schemes without terminal conditions in scenarios where the optimal operating behavior is a periodic orbit. For such a setting, it is known that a linearly…
In this paper, we study optimization problems where the cost function contains time-varying parameters that are unmeasurable and evolve according to linear, yet unknown, dynamics. We propose a solution that leverages control theoretic tools…
Dynamic discrete choice models are widely employed to answer substantive and policy questions in settings where individuals' current choices have future implications. However, estimation of these models is often computationally intensive…
The representations of conditional entropy and conditional mutual information are significant in explaining the unique effects among variables. While previous studies based on conditional contrastive sampling have effectively removed…
We study a pricing setting where each customer is offered a contextualized price based on customer and/or product features. Often only historical sales data are available, so we observe whether a customer purchased a product at the price…
The way that people make choices or exhibit preferences can be strongly affected by the set of available alternatives, often called the choice set. Furthermore, there are usually heterogeneous preferences, either at an individual level…
Discounting is an important dimension in multi-agent systems as long as we want to reason about strategies and time. It is a key aspect in economics as it captures the intuition that the far-away future is not as important as the near…