Econometrics of Auctions; Empirical Models of Consumer Demand; Inference in High-Dimensional Models; Level-k Strategic Reasoning; Investment Manager Performance Evaluation; Asset Allocation; Information Aggregation; Testing Revealed Preference
Ben Gillen's research centers on what we can learn from models featuring heterogeneous behavior. Different people follow their own behavioral strategies in response to their own personal incentives, but how is that variability revealed in the economic data we observe in the lab or the field? What can we learn about individuals' preferences from their choices? How can we identify the behavioral model that best describes their behavior? Gillen is studying structural econometric models that allow us to address these questions using field data.
Gillen's research also studies the application of Bayesian methods to financial-decision problems. One example of this work considers the conditional evaluation of investor performance in a dynamic economic environment. Do mutual-fund managers' investment skills vary with time? How can an investor take advantage of prevailing macroeconomic conditions to choose the mutual-fund managers with whom to entrust his or her portfolio? Gillen's research also considers quantitative techniques for characterizing the risk in allocating investments to a large number of securities. With many assets, quantitative investment proposals are particularly sensitive to statistical noise and estimation error. Gillen's work includes an investigation of Bayesian approaches to mitigating this sensitivity.
Unpublished Papers and Work in Progress
Econometrics, Economic Theory, and Industrial Organization
"Identification and Estimation of Level-k Auctions" (Under Review)
"The Power of Revealed Preference Tests: Ex-Post Evaluation of Experimental Design" with James Andreoni and William T. Harbaugh (Under Review)
"Information Aggregation Mechanisms in the Field: Forecasting Sales Inside Intel" with Charles R. Plott and Matthew Shum (Under Revision)
"A Theory of Conformity with Endogenous Norms" (Under Revision)
"The Performance of European Equity Mutual Funds" with Ayelen Banegas, Allan Timmermann, and Russ Wermers (Forthcoming: Journal of Financial Economics)
"Bayesian Minimization of Stein Loss in Covariance Matrix Estimation" (Under Review)
"A Taxonomy of Utility Functions," with Harry Markowitz in J.R. Aronson, H.L. Parmet, & R.J. Thornton (Ed) "Variations in Economic Analysis: Essays in Honor of Eli Schwartz," Springer 2009