Related papers: State Dependence and Unobserved Heterogeneity in t…
I study peer effects that arise from irreversible decisions in the absence of a standard social equilibrium. I model a latent sequence of decisions in continuous time and obtain a closed-form expression for the likelihood, which allows to…
We provide identification results for a broad class of learning models in which continuous outcomes depend on three types of unobservables: known heterogeneity, initially unknown heterogeneity that may be revealed over time, and transitory…
Service platforms must determine rules for matching heterogeneous demand (customers) and supply (workers) that arrive randomly over time and may be lost if forced to wait too long for a match. Our objective is to maximize the cumulative…
Technological advancement has lead to an increase in number and type of trading venues and diversification of goods traded. These changes have re-emphasized the importance of understanding the effects of market competition: does…
We develop a framework for difference-in-differences designs with staggered treatment adoption and heterogeneous causal effects. We show that conventional regression-based estimators fail to provide unbiased estimates of relevant estimands…
We study bilateral trade with interdependent values as an informed-principal problem. The mechanism-selection game has multiple equilibria that differ with respect to principal's payoff and trading surplus. We characterize the equilibrium…
We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the…
Most of the conventional models for opinion dynamics mainly account for a fully local influence, where myopic agents decide their actions after they interact with other agents that are adjacent to them. For example, in the case of social…
We study the interaction between strategy, heterogeneity and growth in a two-agent model of capital accumulation. Preferences are represented by recursive utility functions with decreasing marginal impatience. The stationary equilibria of…
In dynamic discrete choice (DDC) analysis, it is common to use mixture models to control for unobserved heterogeneity. However, consistent estimation typically requires both restrictions on the support of unobserved heterogeneity and a…
Homophily based on observables is widespread in networks. Therefore, homophily based on unobservables (fixed effects) is also likely to be an important determinant of the interaction outcomes. Failing to properly account for latent…
We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance,…
Models based on assumptions of multivariate regular variation and hidden regular variation provide ways to describe a broad range of extremal dependence structures when marginal distributions are heavy tailed. Multivariate regular variation…
This paper provides a solution to the evaluation of treatment effects in selective samples when neither instruments nor parametric assumptions are available. We provide sharp bounds for average treatment effects under a conditional…
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…
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules…
In this paper, we design two chapters to discuss trade dynamics with heterogeneous fluctuations, contributing new insights to macroeconomic issues related to international trade. In the first chapter, we model general exchange rate…
Longitudinal data tracking repeated measurements on individuals are highly valued for research because they offer controls for unmeasured individual heterogeneity that might otherwise bias results. Random effects or mixed models approaches,…
Bilateral trade models the task of intermediating between two strategic agents, a seller and a buyer, willing to trade a good for which they hold private valuations. We study this problem from the perspective of a broker, in a regret…
We consider testing marginal independence versus conditional independence in a trivariate Gaussian setting. The two models are non-nested and their intersection is a union of two marginal independences. We consider two sequences of such…