Francisco Barillas

TL;DR: In this paper, a Bayesian asset-pricing test is developed that is easily computed in closed-form from the standard F-statistic, and this test can be adapted to permit an analysis of Bayesian model comparison, i.e., the computation of model probabilities for the collection of all possible pricing models that are based on subsets of the given factors.

TL;DR: A max-min expected utility theory lets Tallarini's risk-aversion parameter as measuring a representative consumer's doubts about the model specification be calibrated, and plausible values of detection error probabilities give prices of model uncertainty that approach the Hansen and Jagannathan bounds.

TL;DR: In this paper, the authors extend the endogenous grid method for solving dynamic stochastic optimization problems and propose to mix the grid method with standard value function iteration to achieve higher efficiency.

TL;DR: In this article, a Bayesian asset-pricing test is derived that is easily computed in closed-form from the standard F-statistic, given a set of candidate traded factors, and a related test procedure that permits an analysis of model comparison.

TL;DR: In this paper, the authors used the Granger causality, and conditioning aid and poverty on the state of democracy in developing countries, to determine whether aid flows impact poverty, whether poverty influences aid flows, or whether causality proceeds in both directions simultaneously.