This paper presents a fully rational general equilibrium model that produces a time-varying exchange rate risk premium and solves the uncovered interest rate parity (U.I.P) puzzle. In this two-country model, agents are characterized by slow-moving external habit preferences similar to Campbell &...

Equity market crashes or booms are extreme realizations of the underlying return distribution. This paper questions whether booms are more or less likely than crashes and whether emerging markets crash more frequently than developed equity markets. We apply Extreme Value Theory (EVT) to...

I illustrate the importance of choosing the correct space in empirical applications of spatial econometric models. I consider different spatial weighting matrices in an SAR(1) model -- contiguity matrix, distance based matrix and their variants adjusted for size of each observation. I show...

This paper develops a general method for conducting exact small-sample inference in models which allow the estimator of the (scalar) parameter of interest to be expressed as the root of an estimating function, and which is particularly simple to implement for linear models with a covariance...

Advances in computing power allow the empirical researcher to use intensive computional techniques to solve and estimate nonlinear panel-data models, specifically those arising from nonlinear panel data such as Probit and Tobit models. In these cases, maximum-likelihood estimation can be...

I examine the impact of demand uncertainty on a firm's investment decisions. Recent theoretical work accounts for the degree of irreversibility of capital investment. Dixit and Pindyck deliver a clear prediction: an increase in uncertainty lowers current investment. With irreversible investment,...

Computing power now allows empirical researchers to use intensive computing estimation techniques with nonlinear panel-data models. Maximum Likelihood estimation is often cumbersome, if not analytically intractable, when dealing with such models. Even the simple calculation of the likelihood...