Supplement to "Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets"
These supplementary materials provide the derivation of Equations (9)-(12) (Appendix 3), the proofs of technical lemmas used in the paper (Appendix 4), the link of our no-arbitrage pricing restrictions with Chamberlain and Rothschild (1983) results (Appendix 5), the check that the high-level assumptions in the paper hold under block-dependence (Appendix 6), and the results of Monte-Carlo experiments that investigate the finite-sample properties of the estimators and test statistics (Appendix 7). Finally, we investigate the effects of model misspecification on risk premia estimation and give estimates of the pseudo-true values (Appendix 8).
Supplement to "No-Bubble Condition: Model-Free Tests in Housing Markets"
In this online appendix, we provide additional information and results. Appendix A.1 provides more details on the data sources used in this paper. Appendix A.2 reviews and implements existing time-series tests for classic rational bubbles. Appendix A.3 reviews the institutional framework that regulates the relationship between leaseholders and freeholders in the U.K., focusing on characteristics that might affect the relative value of extremely-long leaseholds (with maturities of 700 years or more). Finally, Appendix A.4 expands on some of the theoretical derivations in the paper.
Supplement to "Menu-Dependent Stochastic Feasibility"
Appendix B contains a discussion on an alternative form of conditioning for feasible set probabilities. Appendix C replaces IFO with a condition which restricts the support of π to sets of at most two elements. Appendix D examines differences between the regular Perception Adjusted Luce Model and an RCCSR.
Supplement to "Individual Heterogeneity and Average Welfare"
In this supplementary material we give proofs of the results in the paper along with supplementary results deriving surplus bounds for discrete and continuous choice, some generalized conditions for the bounds under some knowledge of income effects, results on the potential size of income effects in the gasoline demand application, and additional details on the general bounds application. Assumptions, Lemmas, and Theorems specific to this supplemental material are listed with an "A" prefix, e.g. Assumption A1, Lemma A1, Theorem A1, etc..