19 citations · 26 across the 17 of their papers we have counts for
23 papers
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…
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.…
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…
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 --…
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…
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…
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…
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…
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…
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…
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…
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…
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…
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…
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.…
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…
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…
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.…
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…
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…
Bootstrap Consistency for Quadratic Forms of Sample Averages with Increasing Dimension
Demian Pouzo
This paper establishes consistency of the weighted bootstrap for quadratic forms …
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…
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…