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We study consumption behaviour in systems with heterogeneous interacting agents. Two different models are introduced, respectively with long and short range interactions among agents. At any time step an agent decides whether or not to…
Aggregated phenomena in social sciences and economics are highly dependent on the way individuals interact. To help understanding the interplay between socio-economic activities and underlying social networks, this paper studies a…
We propose a simple and general framework for nonparametric estimation of heterogeneous treatment effects under fairness constraints. Under standard regularity conditions, we show that the resulting estimators possess the double robustness…
The aim here is to address the origins of sustainability for the real growth rate in the United States. For over a century of observations on the real GDP per capita of the United States a sustainable two percent growth rate has been…
For an investor with constant absolute risk aversion and a long horizon, who trades in a market with constant investment opportunities and small proportional transaction costs, we obtain explicitly the optimal investment policy, its implied…
Understanding disaggregate channels in the transmission of monetary policy is of crucial importance for effectively implementing policy measures. We extend the empirical econometric literature on the role of production networks in the…
In this paper, we examine identification in dynamic panel logit models with state dependence, a first-order Markov feedback process, and individual unobserved heterogeneity by introducing sufficient statistics for the feedback process and…
Decisions to pursue higher education are not fully explained by economic incentives, with social influence and peer effects playing a crucial, yet dynamically understudied, role. This paper develops a theoretical non-linear dynamics model…
This paper studies the economic role of persistent dispersion in allocations across agents. We develop a tractable model in which firms allocate resources under imperfect information and behavioral updating, generating sustained…
A fundamental problem with nonlinear models is that maximum likelihood estimates are not guaranteed to exist. Though nonexistence is a well known problem in the binary response model literature, it presents significant challenges for other…
High-dimensional multivariate longitudinal data, which arise when many outcome variables are measured repeatedly over time, are becoming increasingly common in social, behavioral and health sciences. We propose a latent variable model for…
We have used agent-based modeling as our numerical method to artificially simulate a dynamic real economy where agents are rational maximizers of an objective function of Cobb-Douglas type. The economy is characterised by heterogeneous…
Understanding the structure and formation of networks is a central topic in complexity science. Economic networks are formed by decisions of individual agents and thus not properly described by established random graph models. In this…
Problem definition: Mining for heterogeneous responses to an intervention is a crucial step for data-driven operations, for instance to personalize treatment or pricing. We investigate how to estimate price sensitivity from…
Can stated preferences help in counterfactual analyses of actual choice? This research proposes a novel approach to researchers who have access to both stated choices in hypothetical scenarios and actual choices. The key idea is to use…
This paper characterizes differentiable subgame perfect equilibria in a continuous time intertemporal decision optimization problem with non-constant discounting. The equilibrium equation takes two different forms, one of which is…
The condition for stationary increments, not scaling, detemines long time pair autocorrelations. An incorrect assumption of stationary increments generates spurious stylized facts, fat tails and a Hurst exponent H_s=1/2, when the increments…
This paper derives conditions under which preferences and technology are nonparametrically identified in hedonic equilibrium models, where products are differentiated along more than one dimension and agents are characterized by several…
This paper introduces unit-specific heterogeneity in panel data threshold regression. We develop the asymptotic theory for models with heterogeneous thresholds, heterogeneous slope coefficients, and interactive fixed effects. The estimation…
I propose a quantile-based nonadditive fixed effects panel model to study heterogeneous causal effects. Similar to standard fixed effects (FE) model, my model allows arbitrary dependence between regressors and unobserved heterogeneity, but…