This paper proposes an efficient estimation method for Band Threshold Autoregressive (Band-TAR) models. Standard maximum-likelihood algorithms cannot be used here because the log-likelihood function is not differentiable with respect to the threshold parameter, and one commonly uses a grid...

In this paper we develop a general equilibrium model in which firms finance investment by signing long-term contracts with a financial intermediary. Due to enforceability problems, financial contracts are constrained optimal, that is, they maximize the surplus of the contract subject to...

Recent empirical studies show that the intergenerational persistence of income is much higher than previously thought. The objective of the paper is to account for this observation. Unlike models that rely on exogenous transmission of abilities or luck, we generate persistence endogenously...

The evolution of cooperation in a system of agents playing the iterated prisoner's dilemma (IPD) is investigated. In our computational model, agents can recognize each other and decide whether to interact or not based upon ``tags'' (labels). We consider the evolutionary stability of the evolving...

This paper introduces a social learning algorithm for recursive decision problems faced by players in large anonymous games. The algorithm keeps track of only the distributions of agents over possible state-action pairs. State update, value update and behavior update constitute the three stages...

This papers proposes a two-step procedure for testing for constant parameters in GARCH models using recursive tests. We test the stability of the parameters conditional on consistent estimates obtained with the full sample. In the first step, we identify and estimate the best GARCH model using...

A reputational model of debt is examined from an evolutionary game perspective. The game is played between randomly matched opponents and we ask whether debt can be supported in the long run steady state when lenders are given the option of joining an information sharing coalition. The players...

During the last few decades two traditions of computing have grown and grown further apart.Firstly, there is the tradition of discrete computation. It has its roots in work in mathematical logic at the turn of the century involving the decidability of the arithmetic. Abstract computational...

It has been noted that empirical monetary policy reaction functions show smaller impact coefficients and more persistence than reaction functions that are computed from policy optimization experiments using conventional macroeconomic models. Papers by Rudebusch, Smets and others attempt to...