activity
20142026
most citedAsymptotic Behavior of Bayesian Learners with Misspecified Models

19 citations · 26 across the 17 of their papers we have counts for

collaborators

23 papers

math.PR2026

Coupling and Maximal Inequalities for Graph-Dependent Empirical Processes

Mengsi Gao, Demian Pouzo

We develop maximal inequalities for empirical processes indexed by graph-dependent observations. Our bounds separate the complexity of the indexing class from two features specific…

econ.TH2026

Learning and Equilibrium under Model Misspecification

Ignacio Esponda, Demian Pouzo

This chapter develops a unified framework for studying misspecified learning situations in which agents optimize and update beliefs within an incorrect model of their environment.…

econ.EM2026

Learning about Treatment Effects with Prior Studies: A Bayesian Model Averaging Approach

Frederico Finan, Demian Pouzo

We establish concentration rates for estimation of treatment effects in experiments that incorporate prior sources of information -- such as past pilots, related studies, or expert…

econ.TH2025

Characterizing Optimality in Dynamic Settings: A Monotonicity-based Approach

Zhuokai Huang, Demian Pouzo, Andrés Rodríguez-Clare

We develop a novel analytical method for studying optimal paths in dynamic optimization problems under general monotonicity conditions. The method centers on a locator function --…

econ.TH2025

Berk-Nash Rationalizability

Ignacio Esponda, Demian Pouzo

We introduce Berk--Nash rationalizability, a set-valued counterpart to Berk--Nash equilibrium for environments in which agents may hold misspecified models. A set of behaviors is s…

econ.EM2025

On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities

Demian Pouzo, Martin Sola, Zacharias Psaradakis

This paper studies the robustness of quasi-maximum-likelihood (QML) estimation in hidden Markov models (HMMs) when the regime-switching structure is misspecified. Specifically, we…

math.PR2024

Maximal Inequalities for Empirical Processes under General Mixing Conditions

Demian Pouzo

This paper provides a bound for the supremum of sample averages over a class of functions for a general class of mixing stochastic processes with arbitrary mixing rates. Regardless…

econ.EM2021

Reinforcing RCTs with Multiple Priors while Learning about External Validity

Frederico Finan, Demian Pouzo

This paper introduces a framework for incorporating prior information into the design of sequential experiments. These sources may include past experiments, expert opinions, or the…

econ.EM2021

Inference on Quantile Treatment Effects with Small Treatment Groups

Marina Dias, Demian Pouzo

We develop inference for conditional quantile treatment effects that allows treatment groups to remain small as the overall sample grows. Such groups arise naturally in multivalued…

econ.GN2020

Investor Experiences and International Capital Flows

Ulrike Malmendier, Demian Pouzo, Victoria Vanasco

We propose a novel explanation for classic international macro puzzles regarding capital flows and portfolio investment, which builds on modern macro-finance models of experience-b…

econ.TH2019★ 19 cited

Asymptotic Behavior of Bayesian Learners with Misspecified Models

Ignacio Esponda, Demian Pouzo, Yuichi Yamamoto

We consider an agent who represents uncertainty about the environment via a possibly misspecified model. Each period, the agent takes an action, observes a consequence, and uses Ba…

math.ST2019

Penalized Sieve GEL for Weighted Average Derivatives of Nonparametric Quantile IV Regressions

Xiaohong Chen, Demian Pouzo, James L. Powell

This paper considers estimation and inference for a weighted average derivative (WAD) of a nonparametric quantile instrumental variables regression (NPQIV). NPQIV is a non-separabl…

math.ST2017★ 1 cited

Towards a General Large Sample Theory for Regularized Estimators

Michael Jansson, Demian Pouzo

We present a general framework for studying regularized estimators; such estimators are pervasive in estimation problems wherein "plug-in" type estimators are either ill-defined or…

econ.GN2016

Investor Experiences and Financial Market Dynamics

Ulrike Malmendier, Demian Pouzo, Victoria Vanasco

How do macro-financial shocks affect investor behavior and market dynamics? Recent evidence on experience effects suggests a long-lasting influence of personally experienced outcom…

econ.GN2016

The Industry Supply Function and the Long-Run Competitive Equilibrium with Heterogeneous Firms

Ignacio Esponda, Demian Pouzo

In developing the theory of long-run competitive equilibrium (LRCE), Marshall (1890) used the notion of a representative firm. The identity of this firm, however, remained unclear.…

math.ST2016★ 3 cited

Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities

Demian Pouzo, Zacharias Psaradakis, Martin Sola

This paper considers maximum likelihood (ML) estimation in a large class of models with hidden Markov regimes. We investigate consistency of the ML estimator and local asymptotic n…

econ.GN2015

Sovereign Default Risk and Uncertainty Premia

Demian Pouzo, Ignacio Presno

This paper studies how international investors' concerns about model misspecification affect sovereign bond spreads. We develop a general equilibrium model of sovereign debt with e…

math.ST2015

On the Non-Asymptotic Properties of Regularized M-estimators

Demian Pouzo

We propose a general framework for regularization in M-estimation problems under time dependent (absolutely regular-mixing) data which encompasses many of the existing estimators.…

econ.GN2015★ 2 cited

Optimal Taxation with Endogenous Default under Incomplete Markets

Demian Pouzo, Ignacio Presno

In a dynamic economy, we characterize the fiscal policy of the government when it levies distortionary taxes and issues defaultable bonds to finance its stochastic expenditure. Def…

econ.GN2015

Equilibrium in Misspecified Markov Decision Processes

Ignacio Esponda, Demian Pouzo

We study Markov decision problems where the agent does not know the transition probability function mapping current states and actions to future states. The agent has a prior belie…

math.ST2014

Bootstrap Consistency for Quadratic Forms of Sample Averages with Increasing Dimension

Demian Pouzo

This paper establishes consistency of the weighted bootstrap for quadratic forms …

econ.GN2014

Berk-Nash Equilibrium: A Framework for Modeling Agents with Misspecified Models

Ignacio Esponda, Demian Pouzo

We develop an equilibrium framework that relaxes the standard assumption that people have a correctly-specified view of their environment. Each player is characterized by a (possib…

math.ST2014★ 1 cited

Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models

Xiaohong Chen, Demian Pouzo

This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals, which include all of the (nonline…