We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. ...

Controlled choice over public schools attempts giving options to parents while maintaining diversity, often enforced by setting feasibility constraints with hard upper and lower bounds for each student type. We demonstrate that there might not exist ...

Using data from the National Longitudinal Survey of Youth (NLSY), we re-examine the effect of formal on-the-job training on mobility patterns of young American workers. By employing parametric duration models, we evaluate the economic impact of training ...

In this paper, we study the macroeconomic implications of sectoral heterogeneity and, in particular, heterogeneity in price setting, through the lens of a highly disaggregated multi-sector model. The model incorporates several realistic features and ...

It is not uncommon that a society facing a choice problem has also to choose the choice rule itself. In such situation voters’ preferences on alternatives induce preferences over the voting rules. Such a setting immediately gives rise to a natural ...

Recent work shows that a low correlation between the instruments and the included variables leads to serious inference problems. We extend the local-to-zero analysis of models with weak instruments to models with estimated instruments and regressors ...

We examine the relationship between the risk premium on the S&P 500 index return and its conditional variance. We use the SMEGARCH - Semiparametric-Mean EGARCH - model in which the conditional variance process is EGARCH while the conditional mean is ...

With diminishing global water reserves the problem of water allocation becomes increasingly important. We consider the problem of efficiently sharing a river among a group of satiable countries. Inducing countries to efficiently cooperate requires ...

We study the problem of provision and cost-sharing of a public good in large economies where exclusion, complete or partial, is possible. We search for incentive-constrained efficient allocation rules that display fairness properties. Population ...

We propose methods for testing hypotheses of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at ...