The purpose of this study is to investigate the effect of time- aggregation in discrete and continuous-time hazard models. A Monte Carlo study is conducted in which data are generated according to underlying continuous and discrete-time processes, which data are aggregated into daily, weekly and...

In this paper we present a recursive method for the computation of dynamic competitive equilibria in models with heterogeneous agents and market frictions. This method is based on a convergent operator over an expanded set of state variables. The fixed point of this operator defines the set of...