This dissertation consists of three chapters relating to identification and inference in dynamic microeconometric models including dynamic discrete games with many players, dynamic games with discrete and continuous choices, and semiparametric binary choice and duration panel data...

We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward) stochastic calculus, we characterize the value function as the smallest (nonlinear) supermartingale dominating the payoff process. For Markovian models, we derive an adjusted...

En la cub: "Revised version: September 2015" ; En este trabajo investigamos la interacción entre estabilidad de precios y sostenibilidad de la deuda soberana en el marco de un modelo de pequeña economía abierta, en la cual el gobierno emite deuda nominal y elige la política fi scal y...

Incluye un apéndice en línea ; Los modelos de mercados incompletos con agentes heterogéneos están cobrando especial relevancia en los análisis de políticas económicas. En este documento proponemos una nueva metodología para resolver problemas de políticas dinámicas óptimas, tanto...

Few textbooks in mathematical economics cover optimal timing problems. Those which cover them do it scantly or in a rather clumsy way, making it hard for students to understand and apply the concept of optimal time in new contexts. Discussing the plentiful illustrations of optimal timing...

We analyze optimal monetary policy under commitment in an economy with uninsurable idiosyncratic risk, long-term nominal bonds and costly inflation. Our model features two transmission channels of monetary policy: a Fisher channel, arising from the impact of inflation on the initial price of...

This paper presents an analysis of the implications it has on standard growth models assume an alternative hypothesis to the exponential growth of the population and how modeling time can alter the dynamic behavior of these models. An extension (in continuous time and discrete time) of the...

We reconsider the issue of the (non-)equivalence of period and continuous time analysis in macroeconomic theory and its implications for the existence of chaotic dynamics in empirical macro. We start from the methodological precept that period and continuous time representations of the same...

This paper shows that an analytical determinacy analysis of the baseline New Keynesian model with both staggered wages and prices developed by Erceg, Henderson and Levin (2000) is possible despite the high dimensional nature of this model. It is possible if the formulation of the model is...

We introduce uncertainty into Holmstrom and Milgrom (1987) to study optimal long-term contracting with learning. In a dynamic relationship, the agent's shirking not only reduces current performance but also increases the agent's information rent due to the persistent belief manipulation effect....