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Computing Markov Perfect Nash Equilibria : Numerical Implications of a Dynamic Differentiated Product Model
Pakes, Ariel - 1992
This paper provides an algorithm for computing Markov Perfect Nash Equilibria (Maskin and Tirole, 1988a and b) for dynamic models that allow for heterogeneity among firms and idiosyncratic (or firm specific) sources of uncertainty. It has two purposes. To illustrate the ability of such models to...
Persistent link: https://www.econbiz.de/10012475036
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Stable Noisy K-State Markov Sunspots
Evans, George W.; McGough, Bruce - 2003
We consider a linear stochastic univariate rational expectations model, with a predetermined variable, and consider solutions driven by an extraneous finite state Markov process as well as by the fundamental noise. We obtain conditions for existence of noisy k-state sunspot equilibria (noisy...
Persistent link: https://www.econbiz.de/10014112340
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Computing Markov Perfect Nash Equilibria : Numerical Implications of a Dynamic Differentiated Product Model
Pakes, Ariel; McGuire, Paul - 2021
This paper provides an algorithm for computing Markov Perfect Nash Equilibria (Maskin and Tirole, 1988a and b) for dynamic models that allow for heterogeneity among firms and idiosyncratic (or firm specific) sources of uncertainty. It has two purposes. To illustrate the ability of such models to...
Persistent link: https://www.econbiz.de/10013230623
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Experts adjusting model-based forecasts and the law of small numbers
Franses, Philip Hans (contributor) - 2007
Persistent link: https://www.econbiz.de/10003754017
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Aging, probability weighting, and reference point adoption : an experimental study
Suzuki, Ayako (contributor); Kume, Koichi (contributor) - 2008
incentives. We estimate the parameterized models in the framework of cumulative prospect theory and examine the risk aversion … elderly group’s behavior departs more from the traditional expected utility theory than does the young group’s behavior …. -- age ; cumulative prospect theory ; risk aversion ; probability weights ; reference point …
Persistent link: https://www.econbiz.de/10003757815
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Assessing the impact of credit ratings and economic performance on firm default
Bottazzi, Giulio; Grazzi, Marco; Secchi, Angelo; … - 2007
The study of firms' default has attracted wide interest among both practitioners and scholars. However, attention has often been limited to a relatively small set of financial variables. In this work, we try to increase the scope of analysis extending the investigation to other possible...
Persistent link: https://www.econbiz.de/10003744957
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Implicit microfoundations for macroeconomics
Wright, Ian (contributor) - 2008
A large market economy has a huge number of degrees of freedom with weak micro-level coordination. The 'implicit microfoundations' approach assumes this property of micro-level interactions more strongly conditions macro-level outcomes compared to the precise details of individual choice...
Persistent link: https://www.econbiz.de/10003785033
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Non-Bayesian testing of a stochastic prediction
Dekel-Tabak, Eddie (contributor);  … - 2005
We propose a method to test a prediction of the distribution of a stochastic process. In a non-Bayesian non-parametric setting, a predicted distribution is tested using a realization of the stochastic process. A test associates a set of realizations for each predicted distribution, on which the...
Persistent link: https://www.econbiz.de/10003780879
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Probability masses fitting in the analysis of manufacturing flow lines
Tancrez, Jean-Sébastien; Chevalier, Philippe B.; … - 2008
Persistent link: https://www.econbiz.de/10003781354
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Risk aversion
Blavatskyy, Pavlo R. - 2008
Persistent link: https://www.econbiz.de/10003773345