Neyman and Scott define the incidental-parameter problem. In panel data with $T$ observations per individual, the estimator of the common parameter is usually constistent with O(1/T). This paper shows that the integrated likelihood estimator becomes consistent with O(1/T^2) if an...

We simulate a model of an interbank market. Each bank faces fluctuations in deposits and a stochastic investment opportunity each period. Invested funds mature with delay. The risk arises of failure due to insufficient liquidity. An interbank market lets participants pool this risk but also...

We analyze the extent to which intergenerational teams provide information on workers' productivity in the long run. We use a dynamic stochastic framework where wages are reputation-based and consider three possible work arrangements. When agents can only work by themselves we show that some...

The main computational tool for solving SUR or simultaneous equations models is the generalized QR decomposition (GQRD) of an exogenous matrix A and the Cholesky factorization of a dispersion matrix C. Initially the GQRD computes the QRD of A and then the RQD of QC, where Q is an orthogonal...

Berry, Levinsohn, and Pakes (1995) developed an estimator for an equilibium model of differentiated products markets using aggregate data, without assuming the existence of a representative agent, or imposing prior restrictions on elasticities. Their estimator though, was computationally...

A stable predictive relationship between inflation and the output gap, often referred to as a Phillips curve, provides the basis for empirical formulations of countercyclical monetary policy in many models. However, evidence for the usefulness of output gap measures for forecasting inflation is...

Online Escrow is emerging as an effective services to secure online trades in C2C Internet auctions. An online escrow service provider acts as a middle man in the exchange of goods and payment to protect tradersÌ benefit from Internet fraud. The ongoing research presented in this paper is to...

This paper studies the formulation of monetary policy in a changing environment when knowledge regarding some aspects of the structure of the economy is imperfect and an adaptive learning technology is available to the policymaker and economic agents. As a benchmark, we develop a simple model of...

A generic property of biological, social and economical networks is their ability to evolve in time, creating or supressing links. We model this situation with an adaptive network of agents playing a Prisoner's Dilemma game. Each agent plays with its local neighbors, collects an aggregate payoff...

The extent of output growth, hence, productivity growth in service industries has been controversial. Although official data indicate productivity growth slowdowns in 1948-60 and 1979- 98, some economists suggest the official figures are inaccurate due to mismeasured output, inputs, or both. The...