A popular F test of Granger-causality relies on normally distributed errors of ordinary least squares (OLS) linear regressions. There is a long-standing need for a user-friendly algorithm replacing the OLS by kernel regressions, and the F test by a bootstrap. This paper introduces a version...

We develop and estimate a static model of labor supply that can account for two robust features of the cross-sectional distribution of usual weekly hours and hourly wages. First, usual weekly hours are heavily concentrated around 40 hours, while at the same time a substantial share of total...

We provide a review of macro-finance models featuring nonlinear dynamics. We survey the models developed recently in the literature, including models with amplification effects of financial constraints, models with households' leverage constraints, and models with financial networks. We also...

The intercept in endogenous selection models is of fundamental importance for the evaluationof average treatment effects. While various intercept estimators for additive linear selectionmodels exist, there are currently no estimators for nonlinear selection models. This paper introduces...

In this paper, I examine the welfare consequences of conventional approximation methods in business cycle analysis: the log-linear approximation of model dynamics and the second-order approximation of social welfare. In a canonical New Keynesian model, the approximation around the deterministic...

Adomain decomposition method is a powerful technique to solve nonlinear differential equations and nonlinear Integro - differential equations. This paper presents a novel way of computing Adomian polynomials for nonlinear terms occur in nonlinear differential equations through partial Bell...

In the face of persistent rise in unemployment figure in Nigeria, this study re-examines the unemployment hysteresis hypothesis by deploying both linear and nonlinear unit root estimation techniques. Using Nigerian unemployment rate data from 1970 to 2017, evidence from the adopted unit toot...

In this paper, we present a backward deep BSDE method applied to Forward Backward Stochastic Differential Equations (FBSDE) with given terminal condition at maturity that time-steps the BSDE backwards. We present an application of this method to a nonlinear pricing problem - the differential...

We argue that the fiscal multiplier of government purchases is nonlinear in the spending shock, in contrast to what is assumed in most of the literature. In particular, the multiplier of a fiscal consolidation is decreasing in the size of the consolidation. We empirically document this fact...