We propose an agent-based computational model defining the following dimensions of structural change - organisation of production, technology of production, and product on the supply side, and income distribution and consumption patterns on the demand side - at the microeconomic level. We define...

Behavioural economics highlights the role of social preferences in economic decisions. Further, populations are heterogeneous, suggesting that the composition of social preference types within a group may impact the ability to sustain voluntary public goods contributions. We conduct agent-based...

Theoretical models have had difficulties to account, at the same time, for the most important stylized facts observed in experiments of the Voluntary Contribution Mechanism. A recent approach tackling that gap is Arifovic and Ledyard (2012), which implements social preferences in tandem with an...

Recent survey evidence suggests that investors form beliefs about future stock returns by predominantly extrapolating their own experience: They overweight returns they have personally experienced while underweighting returns from earlier years and consequently expect high (low) stock market...

We propose a new methodology for structural estimation of dynamic discrete choice models. We combine the Dynamic Programming (DP) solution algorithm with the Bayesian Markov Chain Monte Carlo algorithm into a single algorithm that solves the DP problem and estimates the parameters...

This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic-jump-volatility, jump-diffusion (SJVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SJVJD model with...

As a result of the recent financial crises, equity markets have performed poorly in the last five years or so. In consequence, equity long-only strategies have generally been unattractive over this period. This motivates the investigation on whether better performance can be achieved by...

This paper considers the optimal control problem of a small nonlinear econometric model under parameter uncertainty and passive learning (open-loop feedback). Traditionally, this type of problems has been approached by applying linear-quadratic optimization algorithms. However, the literature...