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作者：Alan, Sule; Browning, Martin
作者单位：University of Cambridge; University of Oxford
摘要：We present a novel structural estimation procedure for models of intertemporal allocation. This is based on modelling expectations errors directly; we refer to it as synthetic residual estimation (SRE). The flexibility of SRE allows us to account for measurement error in consumption and for heterogeneity in intertemporal allocation parameters. An investigation of the small sample properties of the SRE estimator indicates that it dominates generalized method of moments (GMM) estimation of both ...
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作者：Rubio-Ramirez, Juan F.; Waggoner, Daniel F.; Zha, Tao
作者单位：Duke University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Emory University
摘要：Structural vector autoregressions (SVARs) are widely used for policy analysis and to provide stylized facts for dynamic stochastic general equilibrium (DSGE) models; yet no workable rank conditions to ascertain whether an SVAR is globally identified have been established. Moreover, when nonlinear identifying restrictions are used, no efficient algorithms exist for small-sample estimation and inference. This paper makes four contributions towards filling these important gaps in the literature. ...
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作者：Lorenzoni, Guido
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：This paper studies optimal monetary policy in a model where aggregate fluctuations are driven by the private sector's uncertainty about the economy's fundamentals. Information on aggregate productivity is dispersed across agents and there are two aggregate shocks: a standard productivity shock and a noise shock affecting public beliefs about aggregate productivity. Neither the central bank nor individual agents can distinguish the two shocks when they are realized. Despite the lack of superior...
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作者：Van Nieuwerburgh, Stijn; Veldkamp, Laura
作者单位：New York University; National Bureau of Economic Research
摘要：If an investor wants to form a portfolio of risky assets and can exert effort to collect information on the future value of these assets before he invests, which assets should he learn about? The best assets to acquire information about are ones the investor expects to hold. But the assets the investor holds depend on the information he observes. We build a framework to solve jointly for investment and information choices, with general preferences and information cost functions. Although the o...
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作者：Krusell, Per; Mukoyama, Toshihiko; Sahin, Ayseguel
作者单位：National Bureau of Economic Research; University of Virginia; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We analyse a Bewley-Huggett-Aiyagari incomplete-markets model with labour-market frictions. Consumers are subject to idiosyncratic employment shocks against which they cannot insure directly. The labour market has a Diamond-Mortensen-Pissarides structure: firms enter by posting vacancies and match with workers bilaterally, with match probabilities given by an aggregate matching function. Wages are determined through Nash bargaining. We also consider aggregate productivity shocks and a complete...
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作者：Galeotti, Andrea; Goyal, Sanjeev; Jackson, Matthew O.; Vega-Redondo, Fernando; Yariv, Leeat
作者单位：University of Essex; University of Cambridge; Stanford University; The Santa Fe Institute; European University Institute; California Institute of Technology
摘要：In contexts ranging from public goods provision to information collection, a player's well-being depends on his or her own action as well as on the actions taken by his or her neighbours. We provide a framework to analyse such strategic interactions when neighbourhood structure, modelled in terms of an underlying network of connections, affects payoffs. In our framework, individuals are partially informed about the structure of the social network. The introduction of incomplete information all...
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作者：Acemoglu, Daron; Golosov, Mikhail; Tsyvinski, Aleh
作者单位：Massachusetts Institute of Technology (MIT); Yale University
摘要：We study the structure of non-linear taxes in a dynamic economy subject to political economy problems. In contrast to existing literature, taxes are set by a self-interested politician, without any commitment power, who is partly controlled by the citizens. We prove that: (1) a version of the revelation principle applies; and (2) the provision of incentives to politicians can be separated from the provision of incentives to individuals. Using these results, we provide conditions under which di...
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作者：Browning, Martin; Ejrnaes, Mette; Alvarez, Javier
作者单位：University of Oxford; University of Copenhagen
摘要：We model earnings processes allowing for lots of heterogeneity across agents. We also introduce an extension to the linear ARMA model which allows the initial convergence in the long run to be different from that implied by the conventional ARMA model. This is particularly important for unit root tests, which are actually tests of a composite of two independent hypotheses. We fit to a variety of statistics including most of those considered by previous investigators. We use a sample drawn from...
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作者：Fan, Yanqin; Wu, Jisong
作者单位：Vanderbilt University; Indiana University System; Indiana University Indianapolis
摘要：In this paper, we establish sharp bounds on the joint distribution of potential outcomes and the distribution of treatment effects in parametric switching regime models with normal mean-variance mixture errors and in the semi-parametric switching regime models of Heckman (1990). Our results for parametric switching regime models with normal mean-variance mixture errors extend some existing results for the Gaussian switching regime model and our results for semi-parametric switching regime mode...
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作者：Mueller, Ulrich K.; Petalas, Philippe-Emmanuel
作者单位：Princeton University
摘要：The paper investigates inference in non-linear and non-Gaussian models with moderately time-varying parameters. We show that for many decision problems, the sample information about the parameter path can be summarized by an artificial linear and Gaussian model, at least asymptotically. The approximation allows for computationally convenient path estimators and parameter stability tests. Also, in contrast to standard Bayesian techniques, the artificial model can be robustified so that in missp...
