This paper studies the econometric problems associated with estimation of a stochastic process that is endogenously sampled. Our interest is to infer the law of motion of a discrete-time stochastic process {pt} that is observed only at a subset of times {t1,..., tn} that depend on the outcome of...

This paper provides an algorithm for computing Markov Perfect Nash Equilibria (Maskin and Tirole, 1988a and b) for dynamic models that allow for heterogeneity among firms and idiosyncratic (or firm specific) sources of uncertainty. It has two purposes. To illustrate the ability of such models to...

We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar durations are strongly correlated across series. This motivates a bivariate extension of the Markov-Switching Multifractal (MSM) introduced in Calvet and Fisher (2001, 2004)....

A companion paper (Nelson (1992)) showed that in data observed at high frequencies, an ARCH model may do a good job at estimating conditional variances, even when the ARCH model is severely misspecified. While such models may perform reasonably well at filtering (i.e., at estimating unobserved...

This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction. It also establishes consistency of the estimated covariance matrix under fairly general conditions.

We study the identification and estimation of preferences in hedonic discrete choice models of demand for differentiated products. In the hedonic discrete choice model, products are represented as a finite dimensional bundle of characteristics, and consumers maximize utility subject to a budget...

This paper examines the incidence of commodity taxes, finding that, when demand and marginal cost schedules are linear. the burden of commodity taxation is distributed between buyers and sellers so that each suffers the same percentage reduction on pre-tax surplus. This equiproportionate...

This paper is an expository review of recently developed techniques that are designed to evaluate macroeconomic policy using econometric models ; The exposition focuses on dynamic stochastic models with rational expectations and with discrete time. The method of undetermined coefficients is used...

Cross-sectional regression analyses of wage gaps may be biased by omission of unobserved worker characteristics. Recent studies therefore have used longitudinal data to "difference out" the effects of such variables. This paper. however. shows that self-selection of job changers may cause...

In this paper, we consider the parametric estimation problem for continuous time stochastic processes described by general first-order nonlinear stochastic differential equations of the Ito type. We characterize the likelihood function of a discretely-sampled set of observations as the solution...