We examine the implications of arbitrage in a market with many assets. The absence of arbitrage opportunities implies that the linear functionals that give the mean and cost of a portfolio are continuous; hence there exist unique portfolios that represent these functionals. The mean variance...

This study presents a general methodology for fitting multiple time series models to panel data. The basic statistical framework considered here consists of a dynamic simultaneous equation model where disturbances follow a permanent-transitory scheme with transitory components generated by a...

This paper formulates an empirical model of consumption and labor supply that explicitly incorporates income taxes in a multiperiod setting. This model relies on few assumptions and provides a robust framework for estimating parameters needed to predict the response of consumption and hours of...

This paper formulates and estimates a structural life cycle model of labor supply. Using theoretical characterizations derived from an economic model of life cycle behavior, a two-stage empirical analysis yields estimates of intertemporal and uncompensated substitution effects which provides the...