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In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuous time multivariate square root process to ensure that the…
Many applications in preference learning assume that decisions come from the maximization of a stable utility function. Yet a large experimental literature shows that individual choices and judgements can be affected by "irrelevant" aspects…
We study the use of Temporal-Difference learning for estimating the structural parameters in dynamic discrete choice models. Our algorithms are based on the conditional choice probability approach but use functional approximations to…
We introduce a generic class of dynamic nonlinear heterogeneous parameter models that incorporate individual and time fixed effects in both the intercept and slope. These models are subject to the incidental parameter problem, in that the…
We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coefficients discrete-choice demand model, which underlies much recent empirical work in IO. We add interactive fixed effects in the form of a factor structure on the unobserved…
We find conditions which guarantee moment (in)determinacy of powers and products of nonnegative random variables. We establish new and general results which are based either on the rate of growth of the moments of a random variable or on…
We establish new conditions for obtaining uniform bounds on the moments of discrete-time stochastic processes. Our results require a weak negative drift criterion along with a state-dependent restriction on the sizes of the one-step jumps…
This paper studies the estimation and inference of treatment effects in panel data settings when treatments change dynamically over time. We propose a balancing method that allows for (i) treatments to be assigned dynamically over time…
Economic interactions often occur in networks where heterogeneous agents (such as workers or firms) sort and produce. However, most existing estimation approaches either require the network to be dense, which is at odds with many empirical…
Lancaster (2002} proposes an estimator for the dynamic panel data model with homoskedastic errors and zero initial conditions. In this paper, we show this estimator is invariant to orthogonal transformations, but is inefficient because it…
We propose simple inferential approaches for the fixed effects in complex functional mixed effects models. We estimate the fixed effects under the independence of functional residuals assumption and then bootstrap independent units (e.g.…
This paper considers a linear panel model with interactive fixed effects and unobserved individual and time heterogeneities that are captured by some latent group structures and an unknown structural break, respectively. To enhance realism…
We propose a dynamical model for group formation and switching behavior in systems where each group competes for members through attraction functions that are inversely proportional to their current sizes. This attraction is modulated by…
In spite of the large amount of existing neural models in the literature, there is a lack of a systematic review of the possible effect of choosing different initial conditions on the dynamic evolution of neural systems. In this short…
We extend well-known comparative results under expected utility to models of non-expected utility by providing novel conditions on local utility functions. We illustrate how our results parallel, and are distinct from, existing results for…
This paper investigates the global stability and the global asymptotic stability independent of the sizes of the delays of linear time-varying Caputo fractional dynamic systems of real fractional order possessing internal point delays. The…
We develop a continuous-time peer-effect discrete choice model where peers that affect the preferences of a given agent are randomly selected based on their previous choices. We characterize the equilibrium behavior and study the empirical…
Designing recommendation systems that serve content aligned with time varying preferences requires proper accounting of the feedback effects of recommendations on human behavior and psychological condition. We argue that modeling the…
Discrete temporal transitions occur in a variety of domains, but this work is mainly motivated by applications in molecular biology: explaining and analyzing observed transcriptome and proteome time series by literature and database…
We introduce a simple model to describe the interplay between specific and non-specific interactions. We study the influence of various physical factors on the static and dynamic properties of the specific interactions of our model and show…