This paper proposes a new identi cation and estimation method for the extended Roy model, in which the agents maximize their utility rather than just outcome. The identi cation results substantially relax conventional functional form restrictions. No functional form restriction is imposed on the distribution of the potential outcomes. The utility functions are allowed to be nonlinear so that it...

We define a large class of continuous time multifractal random measures and processes with arbitrary log infinitely divisible exact or asymptotic scaling law. These processes generalize within a unified framework both the recently defined log-normal multifractal random walk [J.F. Muzy, J. Delour, and E. Bacry, Eur. J. Phys. B 17, 537 (2000), E. Bacry, J. Delour, and J.F. Muzy, Phys. Rev. E 64, ...

This paper studies a continuous time dynamic system with a random persistence parameter. The exact discrete time representation is obtained and related to several discrete time random coefficient models currently in the literature. The model distinguishes various forms of unstable and explosive behaviour according to specific regions of the parameter space that open up the potential for testing...

Financial contagion is modeled as an equilibrium phenomenon in a dynamic setting with incomplete information and multiple banks. The equilibrium probability of bank failure is uniquely determined. We explore how the cross holding of deposits motivated by imperfectly correlated regional liquidity shocks can lead to contagious effects conditional on the failure of a financial institution. We show...

We study general quadratic games with multi-dimensional actions, stochastic payoff interactions, and rich information structures. We first consider games with arbitrary finite information structures. In such games, we show that there generically exists a unique equilibrium. We then extend the result to games with possibly infinite information structures, under an additional assumption of linear...

Identi…cation in errors-in-variables regression models was recently extended to wide models classes by S. Schennach (Econometrica, 2007) (S) via use of generalized functions. In this paper the problems of nonand semiparametric identi…cation in such models are re-examined. Nonparametric identi…cation holds under weaker assumptions than in (S); the proof here does not rely on decomposition of gen...

_________________________________________________________________________ This paper reviews the role of micro non-convexities in the study of business cycles. One important nonconvexity arises because an individual can work only one workweek length in a given week. The implication of this non-convexity is that the aggregate intertemporal elasticity of labor supply is large and the principal ma...

Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny when calibrating preferences, the long-run risks literature as well as the broader literature using recursive utility to address asset pricing puzzles have ignored the full implications of their parameter specifications. Recursive utility implies that the temporal resolution of risk ...

This paper experimentally investigates cooperative game theory from a normative perspective. Subjects designated as Decision Makers express their view on what is fair for others, by recommending a payoff allocation for three subjects (Recipients) whose substitutabilities and complementarities are captured by a characteristic function. We show that axioms and solution concepts from cooperative g...

We study information aggregation with a biased election organizer who recruits voters at some cost. Voters are symmetric ex-ante and prefer policy a in state A and policy b in state B, but the organizer prefers policy a regardless of the state. Each recruited voter observes a private signal that is imperfectly informative about the unknown state, but does not learn the size of the electorate. I...