Unanswered Questions

2,947 questions with no upvoted or accepted answers
19 votes
0 answers
594 views

How do I use the Malliavin calculus to solve for the optimal trading strategy in the classic Merton problem?

How do I use the Malliavin calculus to solve for the optimal trading strategy in the classic Merton problem? In Duffie's book "Dynamic Asset Pricing," he outlines the "Martingale method" of solving ...
13 votes
0 answers
933 views

How do I compute the relative risk aversion of Epstein-Zin preferences?

$$ \newcommand{\E}{\mathbb{E}} $$ Preface This question is related to this one about the elasticity of intertemporal substitution and this one about the definition of absolute risk aversion. (It's ...
12 votes
0 answers
440 views

Can I refine the set of equilibria in a signaling game to the sender-optimal outcome?

Main question: I've been reading about communication games a lot, and I'm wondering if there are good criteria to select between two separating-ish equilibria. I think of a separating equilibria as ...
11 votes
0 answers
287 views

Proofs in the Appendix A of Sannikov (2007)

I have a few questions about the proofs in Appendix A of Sannikov (2007), Games with Imperfectly Observable Actions in Continuous Time. In lemma 4, when he shows the Lipschitz continuity of $H_a(w,\...
11 votes
0 answers
144 views

Queuing Discipline and Lipschitz Continuity

I was reading a paper by Platz and Østerdal (2014) titled "The curse of the first-in-first-out queue discipline". I was wondering about a particular section of it, particularly the part about last-in-...
11 votes
0 answers
467 views

How can I test for autoregressive residual terms in a fixed effects panel Poisson model?

I have panel data for counts of new firms in different regions for six years. I am estimating a static poisson regression with multiplicative fixed effects$^*$; I have also tried to estimate a dynamic ...
11 votes
0 answers
817 views

Modern theory of integrability of demand?

I am aware of Hurwickz Uzawa work in integability, neatly summarized by Border http://people.hss.caltech.edu/~kcb/Notes/Demand4-Integrability.pdf I am wondering if there is any modern treatment of the ...
8 votes
0 answers
110 views

Replicating a state-space model

I am trying to replicate the results of Cochrane, 1998. Most of the paper is just describing the theory behind The Fiscal Theory of the Price Level. But from p. 42 he begins the econometrics aspect. ...
7 votes
0 answers
54 views

Lab experiments of labour markets

I have been searching for papers that conduct lab experiments simulating a labour market, that means for a minimum there are both participants taking the role of firms, and participants taking the ...
7 votes
1 answer
129 views

Proof monotonicity on Blackwell sufficient conditions

I need to prove monotonicity assumption on Blackwell’s sufficient conditions for a contraction, that is: Given the operator T defined as $(Tf)(x) = sup [F(x,y)+bf(y)]$ I need to show that $f\leq g\...
7 votes
0 answers
306 views

Pure exchange economy: Set of multiple equilibria endowments

Initial endowments which can result in multiple equilibria in a pure exchange economy are explained here. Given a pure exchange economy, that is given the utility functions (which fulfil the usual ...
7 votes
1 answer
2k views

What is the purpose of the local non-satiation assumption in the first welfare theorem?

The profit maximization assumption implies $$\text{if } x_i \succ x_i^* \text{ then } p_ix_i > p_i w_i$$ Okay so this just says if the agent is utility maximizing / rational, then if he doesn't ...
7 votes
0 answers
244 views

Has any progress been made on the Pacman Conjecture on Finite Time Horizons?

The Pacman conjecture states that the optimal strategy for monopolistic durable goods manufacturers is to set price high and slowly drop it (i.e. eating their way down the demand curve). Empirically ...
6 votes
0 answers
39 views

Is 2SLS asymptotically MLE?

$$y_i =\beta_0 +\beta_1 x_{1i}+\beta_2 x_{2i}+\varepsilon_i$$ Suppose $x_1$ is endogenous but $x_2$ is exogenous. We have two excluded instruments, $z_1$ and $z_2$. The first stage is: $$x_{1i} =\...
6 votes
0 answers
56 views

Solving Rational Expectation Models Linear vs. Nonlinear

Since I am coding some linear New Keynesian models in python and solving them under rational expectations (using the method of undetermined coefficients/linear time iteration), I was wondering whether ...

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