This book deals with the omitted variable test for a multivariate time-series regression model. The empirical motivation is the homogeneity test for a consumer demand system. The consequences of using a dynamically misspecified omitted variable test are shown in detail. The analysis starts with...

We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete markets model. An assumption of "smallness'' type - imposed through the new notion of "closeness to Pareto optimality'' - is shown to be sufficient for existence and uniqueness. Central role in our...

We analyze the interaction between risk sharing and capital accumulation in a stochastic OLG model with production. We give a complete characterization of interim Pareto optimality. Our characterization also subsumes equilibria with a PAYG social security system. In a competitive equilibrium...