Motivation I work through the error components econometric model outlined in Amemiya (1985). I use Hayashi (2000) as a reference text. I work through this example because I use this model in my working paper with Chris Mayer on bubble identification … [Continue reading]

# Recurrence in 1D, 2D and 3D Brownian Motion

Introduction I show that Brownian motion is recurrent for dimensions $d=1$ and $d=2$ but transient for dimensions $d \geq 3$. Below, I give the technical definition of a recurrent stochastic process: Definition: (Recurrent Stochastic Process) Let … [Continue reading]

# Hong and Stein (1999)

1. Introduction I replicate main results from Hong and Stein (1999) which constructs an equilibrium model with under-reaction and momentum. First, I give a rough verbal explanation of the model's results. Then, I outline the basic mathematical … [Continue reading]