My primary research field is macroeconomics. I am particularly interested in the study of household wealth concentration and its consequences on the macro economy. My work employs a variety of econometric techniques and I also contribute to the literature in time series analysis when relevant to my larger research agenda.

## Working Papers

**Wealth Inequality, Uninsurable Entrepreneurial Risk and Firms’ Market Power ***(Job market paper) *(link)

This paper examines the effect of wealth concentration on firms’ market power when firm entry is driven by entrepreneurs facing uninsurable idiosyncratic risks. Under greater wealth concentration, households in the lower end of the wealth distribution are more risk averse and less willing (or able) to bear the risk of entrepreneurial activities. This has implications for firm entry, competitiveness, and market power.

I calibrate a Schumpeterian model of endogenous growth with heterogeneous risk averse entrepreneurs competing to catch up with firms. This model is unique in that both household wealth distribution and a measure of firm markup are endogenously determined on a balanced growth path. I find that a spread in the wealth distribution decreases entrepreneurial firm creation, resulting in greater aggregate firm market power. This result is supported by time series evidence obtained from the estimation of a structural panel VAR with OECD data from eight countries.

**Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order** *(R & R, Econometric Theory), with Michael Jansson and Morten Ørregard Nielsen. *(link)

We study large-sample properties of likelihood ratio tests of the unit root hypothesis in an autoregressive model of arbitrary, finite order. Earlier research on this testing problem has developed likelihood ratio tests in the autoregressive model of order one, but resorted to a plug-in approach when dealing with higher-order models. In contrast, we consider the full model and derive the relevant large-sample properties of likelihood ratio tests under a local-to-unity asymptotic framework. As in the simpler model, we show that the full likelihood ratio tests are nearly efficient, in the sense that their asymptotic local power functions are virtually indistinguishable from the Gaussian power envelopes.

## Work in Progress

**An improved nonparametric estimator for households marginal utility function**

This paper considers the problem of estimating nonparametrically the marginal utility function of economic agents whose consumption decision is captured by a consumption based asset pricing Euler equation. An improved nonparametric estimator is proposed that takes advantage of the local-linear least-squares (LLLS) estimator’s desirable properties. The nonparametric identification is based on a new set assumptions that are easy to verify in practice. Simulations show that our estimator has advantageous properties compared to existing estimators.

This technical note is to be the basis for future work on household utility function in which the assumption of homogeneous constant relative risk aversion (CRRA) utility across wealth levels is to be tested against other hypotheses.

** Do Positions of Large Traders Contain Predictive Information about Daily Returns on the LBMA Gold Fix**?

This paper investigates whether an investment strategy based on the position of large traders may yield unusually returns. The strategy is predicated on the possibility of insider information regarding the LBMA Gold Fix. I found that the information collected by the Commodity Futures Trading Commission about large traders positions does contain important predictive information on future gold prices at the time of survey, but this predictive power vanishes before the data is made public, three days later.