We analyze optimal trading mechanisms in an exchange economy where each trader owns some units of a good to be traded and may be either a seller or a buyer, depending on the realization of the privately observed valuations. The concept of virtual valuation is extended to ex ante unidentified...

In many circumstances, the likelihood function does not have a simple tractable expression. The main examples discussed in the paper are the convolution and the mixture of distributions. Finite mixture models are commonly used to model data from a population composed of a finite number of...

In this paper, we use a multi-sector specific factors model with sector-specific capital and two mobile factors, production and non-production labor, to examine the effects of globalization on the skill premium in U.S.\ manufacturing industries. A key feature of this model is that factor-price...

We investigate the dynamic portfolio problem of a market-maker for a derivative security whose preferences exhibit uncertainty aversion (Knightian uncertainty). The Choquet-expected utility implied by such preference is used to capture the feature that the trader is uncertain about which model...

We investigate the effect of pro-active comparable worth legislation, covering both the public and private sectors, on wages, employment and the gender gap. Our focus is the pay equity initiative adopted by the Canadian province of Ontario in the early 1990s. Our preliminary finding is that the...

We propose a structural model of investment which is based on the aggregation of (S,s) investment projects within firms. This encompasses the findings that whilst firm level investment is smooth, plant level investment is lumpy and frequently zero. We undertake stochastic aggregation and derive...

The paper proposes a method for construction, estimation, and testing the Rational Beliefs (RB) models. RB models, due to Kurz, 1994, allow agents' beliefs to differ from the Rational Expectations (RE), but require that beliefs cannot be contradicted by past data. By implication, RB and RE must...

This paper investigates the importance of financial institutions, particularly universal banks, in the pricing of risk in securities markets. Recent research on modern economies, finds that three factors explain the cross-section of average stock returns: (i) a stock's sensitivity to market-wide...

We examine the asymptotic and finite-sample properties of tests for equal forecast accuracy and encompassing applied to 1-step ahead forecasts from nested parametric models. We first derive the asymptotic distributions of two standard tests and one new test of encompassing. Tables of...

The aim of this paper is to investigate the relationship between heterogeneity at the firm level and the aggregate behavior of the industry as a whole. Empirical evidence on firm behavior documents the existence of widespread heterogeneity among firms in any industry, both cross- sectionally and...