This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, their policy functions are approximated by numerical methods. Hence, the researcher can only evaluate an approximated likelihood associated with the approximated policy...

In this paper we analyze the rate of convergence to a balanced path in a class of endogenous growth models with physical and human capital. We show that such rate depends locally on the technological parameters of the model, but does not depend on those parameters related to preferences. This...

This paper analyzes the equilibrium dynamics of an endogenous growth model with physical and human capital in which leisure considerations have a direct effect on the utility function. Even in the absence of technological externalities our model may contain multiple balanced paths. These...

This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, economists approximate the policy functions of the agents in the model with numerical methods. But this implies that, instead of the exact likelihood function, the researcher...

This paper considers a simulation-based estimator for a general class of Markovian processes and explores some strong consistency properties of the estimator. These results are of interest for various kinds of simulation-based estimation methods typically used in economics and finance. The...

This paper studies the pricing of money in an infinite-horizon economy with heterogeneous agents, incomplete financial markets and arbitrary borrowing restrictions. Purchases of the consumption good are subject to a cash-in-advance constraint. Under general conditions I show that the price of...

equilibria in models with heterogeneous agents and market frictions. This method is based upon a convergent operator over an expanded set of state variables. The fixed point of this operator defines the set of all Markovian equilibria. We study approximation properties of the operator as well as...

In this paper we consider a sequential trading economy with incomplete financial markets and a finite number of infinitely lived agents. We propose a specification of agents' budget sets and show that such specification features several desirable properties. We then establish the existence of an...