The relationships among geographical mobility, unemployment and the value of owner-occupied housing are studied in an economy with heterogeneous locations and search frictions in the markets for both labour and houses. Differences in labour market conditions between cities affect the speed with...

Standard models of promotion tournaments assume that firms can commit to arbitrary tournament prizes. In this paper, a firm's ability to adjust tournament prizes is constrained by the outside labor market, through the wages other firms are willing to offer to the promoted and unpromoted workers....

This paper examines the second-best tax policy to minimize envy in the sense of Chaudhuri (1986) and Diamantaras and Thomson (1990). An allocation is 'lambda'-equitable if no agent prefers a proportion 'lambda' of any other agent's bundle. We study the allocations that maximize 'lambda' among...

This paper studies the optimal Pigouvian tax for correcting pollution when the government also uses distortionary taxes to raise revenues. When preferences are quasilinear in leisure and additive, the Pigovian tax can be separated from the Ramsey revenue-raising tax. We characterize the...

We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump components, and measures based on prices of...

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in the information set, including implied volatility backed out from option prices. Realized volatility is separated into its continuous and jump components, and the...

We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model, based on the Gaussian likelihood conditional on initial values. We give conditions on the parameters such that the process X_{t} is fractional of order d and cofractional of order d-b;...

This paper provides a step-by-step guide to estimating discrete choice dynamic programming (DDP) models using the Bayesian Dynamic Programming algorithm developed in Imai, Jain and Ching (2008) (IJC). The IJC method combines the DDP solution algorithm with the Bayesian Markov Chain Monte Carlo...

Seemingly absent from the arsenal of currently available nearly efficient testing procedures for the unit root hypothesis, i.e. tests whose local asymptotic power functions are indistinguishable from the Gaussian power envelope, is a test admitting a (quasi-)likelihood ratio interpretation. We...