Journal ArticleJournal of Economic Theory · March 1, 2023
This paper solves a dynamic rational inattention problem by formulating it in the frequency domain. The main result is a rational inattention version of the classical Wiener-Kolmogorov filter. This filter permits an infinite-dimensional state vector, provi ...
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Journal ArticleReview of Economic Studies · January 1, 2022
Time series methods for identifying structural economic disturbances often require disturbances to satisfy technical conditions that can be inconsistent with economic theory. We propose replacing these conditions with a less restrictive condition called re ...
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Journal ArticleJournal of Monetary Economics · March 1, 2021
Agents have foresight when they receive information about a random process above and beyond the information contained in its current and past history. In this paper, we propose an information-theoretic measure of the quantity of foresight in an information ...
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Scholarly Edition · September 7, 2016
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The macroeconomic literature on belief-driven business cycles treats news and noise as distinct representations of people’s beliefs about economic fundamentals. We prove that these two representations are actually observationally equivalent. This means tha ...
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Journal ArticleAmerican Economic Review · March 1, 2015
This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty. Our estimates display significant independent variations from popular uncertainty proxies, suggesting that much of the variation ...
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