We propose a new framework for pricing assets, derived in part from the traditional consumption-based approach, but which also incorporates two long-standing ideas in psychology: prospect theory, and evidence on how prior outcomes affect risky choice. Consistent with prospect theory, the...

Does academic economic research produce material of scientific value, or are academic economists writing only for clients and peers? Is economics scholarship uniquely insular? We address these questions by quantifying interactions between economics and other disciplines. Changes in the impact of...

This paper estimates a model of airline competition that captures the two major features of the industry: product differentiation and economies of density. The results not only provide support to some of the traditional common wisdom in the industry, but are also useful for understanding major...

This paper uses the invariance principle to solve the incidental parameter problem. We seek group actions that preserve the structural parameter and yield a maximal invariant in the parameter space with fixed dimension. M-estimation from the likelihood of the maximal invariant statistic yields...

The paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provides a method for constructing prior distributions for a subset of these parameters from beliefs about the moments of the endogenous variables. The empirical application...

The Multiplicative Error Model introduced by Engle (2002) for positive valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support. In this paper we propose a multi-variate extension of such a model, by taking into...

This paper shows that standard empirical methods for estimating log-linearized consumption Euler equations cannot successfully uncover structural parameters like the coefficient of relative risk aversion from the dataset of simulated consumers behaving exactly according to the standard model....

Prior research has shown that immigrants make important contributions to US innovation and are more likely than natives to become entrepreneurs. However, there is little evidence on how foreign and native high-skilled workers differ prior to entering the workforce. Moreover, little attention has...

We study the correlation between parental gender attitudes and the performance in mathematics of girls using two different approaches and data. First, we identify families with a preference for boys by using fertility stopping rules in a population of households whose children attend public...

This paper examines the dynamics of the gender gap in high math achievement over the high school years using data from the American Mathematics Competition. A clear gender gap is already present by 9th grade and the gender gap widens over the high school years. High-achieving students must...