Traders in this simulation of an asset market endogenously select from available information sources in order to maximize expected profits. The information options include two noisy signals of future dividends (the fundamentals) and a simple trend following technical trading rule. Traders use...

The traditional two-step procedure for correcting for heteroskedasticity uses a consistent but biased estimator for the variances $\bfg\sigma_t^2$ in enacting the second step. An estimator is developed here that is unbiased in the presence of heteroskedasticity. Its behavior is examined along...

In this paper, we compute a model focusing on medium term dynamics, in the line of Caballero and Hammour (1998). The main features of the model are a putty-clay production function and the bargaining between workers and firms over the rent. Although using vintage units of production is a...

In the paper, a theorem about the existence of the ergodic and difference matrices of the finite state discounted Markov decision processes had been formulated and proved. On the basis of this theorem an analytical method to calculate these matrices is presented. The theorem allows the...

Recent research in growth theory has established the importance of the non-scale growth model, a key advantage of which is that they are consistent with balanced growth under quite general production structures. Indeed, if the knife-edge restriction that generates traditional endogenous growth...

The paper presents an extended version of the standard textbook problem of consumer choice. As usual, agents have to decide about their desired quatities of various consumption goods, at the same time taking into account their limited budget. Prices for the goods are not fixed but arise from a...

This paper deals with the estimation and testing of conditional duration models by looking at the density and hazard rate functions. More precisely, we focus on the distance between the parametric density (or hazard rate) function implied by the duration process and its non-parametric estimate....

Many recent large macro-econometric models assume perfect foresight (for instance the multinational models Multimod Mark 3 and Quest 2). This choice has been made possible by the development of simulation algorithms, which are powerful and easy to use (for example the command Stacks and Lkroot...

In this paper we examine the optimal level of central bank activism in a standard model of monetary policy with uncertainty, learning and strategic interactions. We calibrate the model using G7 data and find that the presence of strategic interactions between the central bank and private agents...