We propose a set of algorithms for testing the ergodicity of empirical time series, without reliance on a specific parametric framework. It is shown that the resulting test asymptotically obtains the correct size for stationary and nonstationary processes, and maximal power against non-ergodic...

Islamic banking is a growing phenomenon which came into existence to satisfy the financial needs of devout Muslims who observe the prohibition of interest-based transactions. Many economists have studied the macroeconomic properties of this institution in the framework of an isolated and ideal...

The EC (Estimation-Classification) estimator, and its companion EC-algorithm, were introduced in El- Gamal and Grether (1995), and their properties further analyzed in El-Gamal and Grether (1996). The purpose of EC estimation is to uncover heterogeneity in panel data models in a manner which is...

Extremum estimation is typically an ad hoc semi-parametric estimation procedure which is only justified on the basis of the asymptotic properties of the estimators. For a fixed finite data set, consider a large number of investigations using different extremum estimators to estimate the same...

This paper analyzes the extent of risk-sharing among stockholders. To provide a benchmark, we ask if stockholders are able to share risk more effectively than non-stockholders, where the latter serves as a control group. We study a dynamic structural model where each period households compare...

We consider the problem of adjudicating conflicting claims in the context of a variable population. A property of rules is "lifted" if whenever a rule satisfies it in the two-claimant case, and the rule is bilaterally consistent, it satisfies it for any number of claimants. We identify a number...

We consider the problem of adjudicating conflicting claims, and characterize the family of rules satisfying four standard invariance requirements, homogeneity, two composition properties, and consistency. It takes as point of departure the characterization of the family of two-claimant rules...

Existing models in stochastic continuous-time settings assume that beliefs are represented by a probability measure. As illustrated by the Ellsberg Paradox, this feature rules out a priori any concern with ambiguity. This paper formulates a continuous-time intertemporal version of...

A search-theoretic model of equilibrium unemployment is constructed and shown to be consistent with the key regularities of the labor market and business cycle. The two distinguishing features of the model are: (i) the decision to accept or reject jobs is modeled explicitly, and (ii) markets are...

This paper studies the role played by the distribution sector in shaping the behavior of the real exchange rate during exchange-rate-based stabilizations. We use data for the U.S. and Argentina to document the importance of distribution margins in retail prices and disaggregated price data to...