Large-dimensional dynamic factor models and dynamic stochastic general equilibrium models, both widely used in empirical macroeconomics, deal with singular stochastic vectors, i.e., vectors of dimension r which are driven by a q-dimensional white noise, with q r. The present paper studies...

The paper studies Non-Stationary Dynamic Factor Models such that: (1) the factors F_t are I(1) and singular, i.e. F_t has dimension r and is driven by a q-dimensional white noise, the common shocks, with q r, and (2) the idiosyncratic components are I(1). We show that F_t is driven by r − c...

This note provides necessary and sufficient conditions for some specific multi-dimensional consumer's surplus welfare measures to be well posed (path in dependent). We motivate the problem by investigating partial equilibrium measures of the welfare costs of inflation. The results can also be...

This paper explores the use of an intertemporal job-search model in the investigation of within-cohort and between-cohort income inequality, the latter being generated by the heterogeneity of time preferences among cohorts of homogenous workers and the former by the cross-sectional turnover in...

Portuguese Abstract: Este artigo atualiza, até 2003, a série 1947-1992 de imposto inflacionário, transferências inflacionárias para os bancos comerciais e transferência inflacionárias totais, anteriormente publicada em Cysne (1994) e Simonsen e Cysne (1995)

This work adds to Lucas (2000) by providing analytical solutions to two problems that are solved only numerically by the author. The first part uses a theorem in control theory (Arrow's sufficiency theorem) to provide sufficiency conditions to characterize the optimum in a shopping-time problem...

This work presents closed-form solutions to Lucas's (2000) general equilibrium expression for the welfare costs of inflation, as well as to the difference between the general-equilibrium measure and Bailey's (1956) partial-equilibrium measure. In Lucas's original work only numerical solutions...

We solve the stochastic neoclassical growth model, the workhorse of modern macroeconomics, using C++11, Fortran 2008, Java, Julia, Python, Matlab, Mathematica, and R. We implement the same algorithm, value function iteration with grid search, in each of the languages. We report the execution...

I argue that a form of consciousness may be found in American economic history, one which is both mathematically demonstrable and important. In this book I present a model of economic and political growth based upon systematic addition. We begin with a philosophic model of trade (pp. 34-46);...