The incorporation of increasing returns and imperfect competition into applied general-equilibrium (AGE) models, beginning with Harris (1984), led to much larger welfare effects from changes such as trade liberalization. But the imperfect competition side of these IO developments has often...

We examine the explanation of model misspecification for the cash-holding effect that stocks with the highest cash-to-asset ratios outperform stocks with the lowest ratios. We find that the Fama-French (1993, 2015) three- and five-factor models, and the q-factor model produce high Gibbons Ross...

Models defined by moment inequalities have become a standard modeling framework for empirical economists, spreading over a wide range of fields within economics. From the point of view of an empirical researcher, the literature on inference in moment inequality models is large and complex,...

This paper introduces a unified factor overnight GARCH-Itô Models model for large volatility matrix estimation and prediction. To account for whole-day market dynamics, the proposed model has two different instantaneous factor volatility processes for the open-to-close and close-to-open...

Bayesian estimates from experimental data can be influenced by highly diffuse or "uninformative" priors. This paper discusses how practitioners can use their own expertise to critique and select a prior that (i) incorporates our knowledge as experts in the field, and (ii) achieves favorable...

The primary motivation behind quantitative modeling in international trade and many other fields is to shed light on the economic consequences of policy changes. To help assess and potentially strengthen the credibility of such quantitative predictions we introduce an IV-based goodness-of-fit...

According to no-arbitrage, risk-adjusted returns should be unpredictable. Using several prominent factor models and a large cross-section of anomalies, we find that past pricing errors predict future risk-adjusted anomaly returns. We show that past pricing errors can be interpreted as deviations...

We define the concept of market beliefs in an economy with disagreement, such that equilibrium in a representative agent economy with market beliefs is equivalent to equilibrium in the disagreement economy. In general, the mapping from individual agent beliefs to market beliefs is complex and...