Related papers: State Dependence and Unobserved Heterogeneity in t…
We consider a financial market in which traders potentially face restrictions in trading some of the available securities. Traders are heterogeneous with respect to their beliefs and risk profiles, and the market is assumed thin: traders…
Correlations and other collective phenomena in a schematic model of heterogeneous binary agents (individual spin-glass samples) are considered on the complete graph and also on 2d and 3d regular lattices. The system's stochastic dynamics is…
We establish nonparametric identification of auction models with continuous and nonseparable unobserved heterogeneity using three consecutive order statistics of bids. We then propose sieve maximum likelihood estimators for the joint…
Persistence probabilities of the interface height in (1+1)- and (2+1)-dimensional atomistic, solid-on-solid, stochastic models of surface growth are studied using kinetic Monte Carlo simulations, with emphasis on models that belong to the…
This paper characterizes equilibrium properties of a broad class of economic models that allow multiple heterogeneous agents to interact in heterogeneous manners across several markets. Our key contribution is a new theorem providing…
Networks are ubiquitous in economic research on organizations, trade, and many other areas. However, while economic theory extensively considers networks, no general framework for their empirical modeling has yet emerged. We thus introduce…
We propose a robust method of discrete choice analysis when agents' choice sets are unobserved. Our core model assumes nothing about agents' choice sets apart from their minimum size. Importantly, it leaves unrestricted the dependence,…
We propose and axiomatize preferences on a product state space in light of uncertainty regarding the dependency of different payoff-relevant factors. Dependence structures allow to decompose probabilities and allow to pin down behavior…
We formulate a continuous-time competitive equilibrium model of irreversible capacity investment in which a continuum of heterogeneous producers supplies a single non-durable good subject to exogenous stochastic demand. Each producer…
A stochastic model with a continuum of economic agents often involves shocks at both macro and micro levels. This can be formalized by a continuum of random variables that are conditionally independent given the macro level shocks. Based on…
This paper revisits the identification and estimation of a class of semiparametric (distribution-free) panel data binary choice models with lagged dependent variables, exogenous covariates, and entity fixed effects. We provide a novel…
We address the problem of persistent monitoring, where a finite set of mobile agents has to persistently visit a finite set of targets. Each of these targets has an internal state that evolves with linear stochastic dynamics. The agents can…
Economic and financial models -- such as vector autoregressions, local projections, and multivariate volatility models -- feature complex dynamic interactions and spillovers across many time series. These models can be integrated into a…
Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk contagion would be to quantify the amount of influence of…
We introduce a multivariate multidimensional mixed-effects regression model in a finite mixture framework. We relax the usual unidimensionality assumption on the random effects multivariate distribution. Thus, we introduce a…
We investigate the impact of an exogenous environment on the emergence of social herding of economic sentiment. An interactions-driven dynamics of economic sentiment is modeled by an Ising model on a large (two-dimensional) square lattice.…
We derive the asymptotic theory of Bai (2009)'s interactive fixed effects estimator for unbalanced panels in which the source of attrition is conditionally random. For inference, we propose a method of alternating projections algorithm…
In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and…
Many economic models feature moment conditions that involve latent variables. When the latent variables are individual fixed effects in an auxiliary panel data regression, we construct orthogonal moments that eliminate first-order bias…
Extreme economic outcomes are not shaped by tails alone. They are also shaped by unequal access to opportunities. This paper develops a theory of heterogeneous extremes by taking the distribution of opportunity access as the object of…