This note solves the puzzle of estimating degenerate Wishart Autoregressive processes, introduced by Gourieroux, Jasiak and Sufana (2009) to model multivariate stochastic volatility. It derives the asymptotic and empirical properties of the Method of Moment estimator of the Wishart degrees of freedom subject to different stationarity assumptions and specific distributional settings of the under...

This paper analyzes the effects of lower bound for interest rates on distributions inflation and rates. In a New Keynesian model with bound, two equilibria emerge: policy is mostly unconstrained in “target equilibrium,” whereas constrained “liquidity trap equilibrium.” Using options data inflation, we find forecast densities consistent target equilibrium no evidence favor liquidity equilibrium....

This paper presents a version of the proportionally calibrated almost ideal demand system (PCAIDS) model, useful for merger simulations, which can be econometrically estimated using price data for two firms in a market. The model is then applied to a database of the Argentine gasoline market, and its results are compared to the ones obtained with other alternative specifications. JEL Classifica...

A significant public policy trend is the increased use of alternative dispute resolution (ADR) procedures, such as mediation and arbitration, in a variety of settings. Mediation is the most utilized, yet least analyzed, of these procedures. This article proposes a general equilibrium framework to analyze mediation. Mediators function as Walrasian auctioneers by altering tradeoff among bargainin...

We investigate the geometry of finite datasets defined by equilibrium prices, income distributions, and total resources. We show that the equilibrium condition imposes no restrictions if total resources are collinear, a property that is robust to small perturbations. We also show that the set of equilibrium datasets is pathconnected when the equilibrium condition does impose restrictions on dat...

The standard linear technique of impulse response function analysis is extended to the nonlinear case by de"ning a generalized impulse response function. Measures of persistence and asymmetry in response are constructed for a wide class of time series. ( 2000 Elsevier Science B.V. All rights reserved. JEL classixcation: C22; C51; C52; E32

JEL classification codes: C51 Model construction and estimation C62 Existence and stability conditions of equilibrium D84 Expectations Speculations This paper proposes the Potluck Problem as a model for the behavior of independent producers and consumers under standardeconomicassumptions, as a problemof resourceallocation inamulti-agent system inwhich there is no explicit communication among th...