This paper presents an equilibrium asset pricing model with incomplete information on returns and agents' utility. Only some moments of the returns distributions are observable, and investors associate a return's riskness to the time required for its mean to converge around its expectation,...

Household surveys are often plagued by item non-response on economic variables of interest like income, savings or the amount of wealth. Manski (1989, 1994, 1995) shows how, in the presence of such non-response, bounds on conditional quantiles of the variable of interest can be derived, allowing...

In this paper, it is shown, in the general case, that a multiple causes death model is equivalent to a competing independent risks model.

The vocational employment training program is the most ambitious and expensive training program in Sweden and a cornerstone of labor market policy. We analyze its causal effects on the individual transition rate from unemployment to employment by exploiting variation in the timing of treatment...

This paper investigates secular changes in the distribution of personal expen-diture in Italy over the period 1881-1961. To do so, the authors constructed a new dataset, the Italian Household Budgets Database (IHBD), consisting of 4,370 family-level budgets. Methodologically, this paper improves...

We develop a methodology for identifying departures from relative factor price equality across regions that is valid under general assumptions about production, markets and factors. Application of this methodology to the United States reveals substantial and increasing deviations in relative...

The goal of the Basel II regulatory formula is to model the unexpected loss on a loan portfolio. The regulatory formula is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss given default parameter. This simplification leads to a...

Classical business cycles, following Burns and Mitchell (1946), can be defined as the sequential pattern of expansions and contractions in aggregate economic activity. Recently, Harding and Pagan (2002, 2006) have provided an econometric toolkit for the analysis of these cycles, and this has...

Economists often analyze cross-sectional data to estimate the value people implicit place on attributes of goods using hedonic methods. Usually strong enough assumptions are made on the functional form of utility to point identify individuals' willingness-to-pay (WTP) for changes in attribute...

We propose a new procedure to estimate and test conditional beta pricing models which allows for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). The method can be seen as a nonparametric version of the two-pass approach commonly employed in...