We study the relation between the stability of a competitive equilibrium (CE) and the price adjustment mechanism used to attain that equilibrium point. Using two specific examples, a three-commodity exchange economy with a unique competitive equilibrium (Scarf's global instability example) and a...

Models in economics and other fields often require a restricted Brownian motion because frequently implicit or explicit barriers restrict the domain. This paper contributes to the literature on reflected Brownian motion by deriving its conditional density function as a closed-form expression...

To make CGE models realistic, inequality constraints (e.g., import quotas) or non-differentiable functions (e.g., income tax schedules) are sometimes needed. Both situations may be described using complementarity conditions, which state that either an equation is true or its complementary...

In this article we show via simulations how the stochastic permanent break (STOPBREAK) model proposed by Engle and Smith (1999) is related with the fractionally integrated hypotheses. This connection was established by Diebold and Inoue (2001), showing, theoretically and analytically that...

The conditional distribution of the short rate in the Cox-Ingersoll-Ross process can be expressed in terms of the noncentral χ-super-2-distribution. The three standard methods for evaluating this function are by its representation in terms of a series of gamma functions, by analytic...

The numerical performance of faster ways to perform inference using the bootstrap are investigated. The bootstrap procedures are applied to tests for an unknown structural change and evaluated in a simulation environment. The simulation results indicate that these faster procedures work...

We present a dynamical theory of opinion formation that takes explicitly into account the structure of the social network in which individuals are embedded. The theory predicts the evolution of a set of opinions through the social network and establishes the existence of a martingale property,...

This article analyzes the trade-off between `caution' and `intensity' in the use of the control variable in a one-state one-control dynamic stochastic quadratic linear optimization problem with discount factor. It studies the effects that changes in uncertainty of the control parameter have on...

In this paper I present a proposal to obtain appropriate initial conditions while solving general equilibrium rational expectations models with the Parameterized Expectations Algorithm. The proposal is based on a log-linear approximation for the model under study, so that it can be a particular...

The BACC software provides its users with tools for Bayesian Analysis, Computation and Communications. The current version of the software, described here, implements these tools as extensions to popular mathematical applications such as Matlab, S-PLUS, R, and Gauss, running under Windows, Linux...