I investigate whether the popular Krusell and Smith algorithm used to solve heterogeneous-agent economies with aggregate uncertainty and incomplete markets is likely to be subject to multiple self-fulfilling equilibria. In a benchmark economy, the parameters representing the equilibrium...

This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve...

We provide a fast algorithm for calculating the fractional difference of a time series. In standard implementations, the calculation speed (number of arithmetic operations) is of order T^2, where T is the length of the time series. Our algorithm allows calculation speed of order T log(T). For...

There is much research on consumption-savings problems with risky labor income and a constant interest rate and also on portfolio allocation with risky returns but nonstochastic labor income. Less is known quantitatively about the interaction between the two forms of risk. Under CRRA utility,...

This paper formally compares the fit of various versions of the incomplete markets model with aggregate uncertainty, relying on a simple Bayesian empirical framework. The models differ in the degree of households' heterogeneity, with a focus on the role of preferences. For every specification,...

What predictions about behavior in extensive form games can we rigorously justify as implied by rationality or mutual or common knowledge of that rationality? This paper models rational belief revision in extensive form games and uses numerical methods to examine the implications for equilibrium...

This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...

We propose a new methodology for structural estimation of dynamic discrete choice models. We combine the Dynamic Programming (DP) solution algorithm with the Bayesian Markov Chain Monte Carlo algorithm into a single algorithm that solves the DP problem and estimates the parameters...

This paper develops a framework for analyzing the outcome of experiments carried out on forward-looking subjects. Natural experiments, unexpected policy changes, and true experiments are all included in the framework as special cases. These concepts are defined in conjunction with explicit...

White (1980) marked the beginning of a new era for inference in econometrics. It introduced the revolutionary idea of inference that is robust to heteroskedasticity of unknown form, an idea that was very soon extended to other forms of robust inference and also led to many new estimation...