This paper aims to develop a model of trading in the stock market that can shed light on the sources of several widely reported empirical features of stock markets, including occasional predictability of excess returns using public information, 'excess volatility', and predictability of trading...

This paper considers the cross-sectional aggregation of nonlinear decision rules derived from intertemporal optimization problems under uncertainty, examining in particular (i) the role of aggregation across decision rules of heterogeneous decision makers as a source of variation and persistence...

Recent empirical economic growth literature has made significant progress in quantifying the role of a variety of factors driving cross-country differences in long-run output levels and in characterizing the process of convergence of countries' output growth rates toward their steady-state...

This paper advances a dynamic simultaneous equation panel framework to re-examine the determinants of economic growth in a large cross-country data set. Besides caputring the simultaneity of the potential determinants of economic growth and carefully separating short- from long-run dynamics, the...

In this paper I investigate the sustainability of public debt in Latin- and South-American economies. To this purpose, a Panel VECM framework is proposed that accounts both for heterogeneities and homogenities of the debt dynamics in these countries, as well as takes account of the...

This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time dimension is finite and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a transformed likelihood function is proposed and shown to be...