This work examines then computational cost of processing the information required by Bayesian updating of beliefs. The standard statistical approach adopted by economists, restricted to the exponential family, ignores these computational aspects. To fill this lacuna, two models of probabilistic...

We examine whether a simple agent--based model can generate asset price bubbles and crashes of the type observed in a series of laboratory asset market experiments beginning with the work of Smith, Suchanek and Williams (1988). We follow the methodology of Gode and Sunder (1993, 1997) and...

Consider autonomous agents endowed with two goods and the capability of producing each. Regularly each agent can produce one (only) of the goods or trade with other agents. Each good yields utility according to a utility function. This paper studies how utility-maximizing agents optimize in...

We analyse in this article the size and the power properties of differentgeneralizations of the KPSS-tests proposed by Hobjin et al. (1998) for testingthe null hypothesis of stationarity in univariate time series when thealternatives are of a fractional form. We show that the test based on the...

A VAR-GARCH-M model for aggregate employment and employment shares is developed to explore the macroeconomic effects of sectoral shocks. Using U.S., U.K. and German data, three main issues are investigated: the relevance of shocks volatility; the amount of aggregate employment growth variation...

This paper compares quasi Monte Carlo methods, in particular so-called (t, m, s)-nets, with classical Monte Carlo approaches for simulating econometric time-series models. Quasi Monte Carlo methods have found successful application in many fields, such as physics, image processing, and the...

The paper obtains two principal results. First, using a new definition of higher-order (2) matrix derivatives, the paper derives a recursion for computing any Gaussian multivariate moment. Second, the paper uses this result in a perturbation method to derive equations for computing the 4th-order...

Economic modeling of financial markets attempts to model highly complex systems in which expectations can be among the dominant driving forces. It is necessary, then, to focus on how agents form expectations. We believe that they look for patterns, hypothesize, try, make mistakes, learn and...