Related papers: Prices, Profits, Proxies, and Production
Motivated by the application of real-time pricing in e-commerce platforms, we consider the problem of revenue-maximization in a setting where the seller can leverage contextual information describing the customer's history and the product's…
An important goal of empirical demand analysis is choice and welfare prediction on counterfactual budget sets arising from potential policy-interventions. Such predictions are more credible when made without arbitrary…
Applied macroeconomists frequently use impulse response estimators motivated by linear models. We study whether the estimands of such procedures have a causal interpretation when the true data generating process is in fact nonlinear. We…
Motivated by the prevalence of prediction problems in the economy, we study markets in which firms sell models to a consumer to help improve their prediction. Firms decide whether to enter, choose models to train on their data, and set…
The adoption of automated, data-driven decision making in an ever expanding range of applications has raised concerns about its potential unfairness towards certain social groups. In this context, a number of recent studies have focused on…
The paper aims at reconsidering the famous Le Cam LAN theory. The main features of the approach which make it different from the classical one are as follows: (1) the study is nonasymptotic, that is, the sample size is fixed and does not…
In machine learning, metric elicitation refers to the selection of performance metrics that best reflect an individual's implicit preferences for a given application. Currently, metric elicitation methods only consider metrics that depend…
This paper is concerned with the selection and estimation of fixed and random effects in linear mixed effects models. We propose a class of nonconcave penalized profile likelihood methods for selecting and estimating important fixed…
Automation raises productivity and reduces paid human labor, but it also reallocates income and ownership claims. This paper studies that tradeoff in a static benchmark and in a stationary heterogeneous-agent general equilibrium. Firms…
We derive a backward and forward nonlinear PDEs that govern the implied volatility of a contingent claim whenever the latter is well-defined. This would include at least any contingent claim written on a positive stock price whose payoff at…
I provide a model of rational inattention with heterogeneity and prove it is observationally equivalent to a state-dependent stochastic choice model subject to attention costs. I demonstrate that additive separability of unobservable…
We review the "production approach" to estimating markups, the ratio of price to marginal cost. The approach is uniquely scalable: it requires no model of consumer demand or market structure and applies broadly across firms, industries, and…
This paper develops a class of potential outcomes models characterized by three main features: (i) Unobserved heterogeneity can be represented by a vector of potential outcomes and a type describing the manner in which an instrument…
If pricing kernels are assumed non-negative then the inverse problem of finding the pricing kernel is well-posed. The constrained least squares method provides a consistent estimate of the pricing kernel. When the data are limited, a new…
Motivated by the dynamic assortment offerings and item pricings occurring in e-commerce, we study a general problem of allocating finite inventories to heterogeneous customers arriving sequentially. We analyze this problem under the…
Every prediction is ultimately used in a downstream task. Consequently, evaluating prediction quality is more meaningful when considered in the context of its downstream use. Metrics based solely on predictive performance often diverge from…
We study offline dynamic pricing when historical data provide incomplete coverage of the price space such that some candidate prices, including the optimal one, may be entirely unobserved. This setting is common in practice and is…
We study the situation of an agent who can trade on a financial market and can also transform some assets into others by means of a production system, in order to price and hedge derivatives on produced goods. This framework is motivated by…
We develop a market model in which products generate state-dependent potential hidden charges. Firms differ in their ability to realize this potential. Unlike firms, consumers do not observe the state. They try to infer hidden charges from…
Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it…