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作者：Montiel Olea, Jose Luis; Plagborg-Moller, Mikkel
作者单位：Columbia University; Princeton University
摘要：Applied macroeconomists often compute confidence intervals for impulse responses using local projections, that is, direct linear regressions of future outcomes on current covariates. This paper proves that local projection inference robustly handles two issues that commonly arise in applications: highly persistent data and the estimation of impulse responses at long horizons. We consider local projections that control for lags of the variables in the regression. We show that lag-augmented loca...
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作者：Newton, Jonathan
作者单位：Kyoto University
摘要：Lemma 1 of Ray and Vohra (2019) is false as stated, but holds under alternative conditions which are consistent with the ideas of coalitional sovereignty that motivate the cited paper.
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作者：Chakraborty, Anujit
作者单位：University of California System; University of California Davis
摘要：Present bias is the inclination to prefer a smaller present reward to a larger later reward, but reversing this preference when both rewards are equally delayed. Such behavior violates stationarity of temporal choices, and hence exponential discounting. This paper provides a weakening of the stationarity axiom that can accommodate present-biased choice reversals. We call this new behavioral postulate Weak Present Bias and characterize the general class of utility functions that is consistent w...
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作者：Archakov, Ilya; Hansen, Peter Reinhard
作者单位：University of Vienna; University of North Carolina; University of North Carolina Chapel Hill
摘要：We introduce a novel parametrization of the correlation matrix. The reparametrization facilitates modeling of correlation and covariance matrices by an unrestricted vector, where positive definiteness is an innate property. This parametrization can be viewed as a generalization of Fisher's Z-transformation to higher dimensions and has a wide range of potential applications. An algorithm for reconstructing the unique n x n correlation matrix from any vector in Rn(n-1)/2 is provided, and we deri...
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作者：Dou, Liyu; Mueller, Ulrich K.
作者单位：The Chinese University of Hong Kong, Shenzhen; The Chinese University of Hong Kong, Shenzhen; Princeton University
摘要：We introduce a generalization of the popular local-to-unity model of time series persistence by allowing for p autoregressive (AR) roots and p - 1 moving average (MA) roots close to unity. This generalized local-to-unity model, GLTU(p), induces convergence of the suitably scaled time series to a continuous time Gaussian ARMA(p,p - 1) process on the unit interval. Our main theoretical result establishes the richness of this model class, in the sense that it can well approximate a large class of...
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作者：Giacomini, Raffaella; Kitagawa, Toru
作者单位：University of London; University College London
摘要：This paper reconciles the asymptotic disagreement between Bayesian and frequentist inference in set-identified models by adopting a multiple-prior (robust) Bayesian approach. We propose new tools for Bayesian inference in set-identified models and show that they have a well-defined posterior interpretation in finite samples and are asymptotically valid from the frequentist perspective. The main idea is to construct a prior class that removes the source of the disagreement: the need to specify ...
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作者：Shapiro, Bradley T.; Hitsch, Guenter J.; Tuchman, Anna E.
作者单位：University of Chicago; Northwestern University
摘要：We estimate the distribution of television advertising elasticities and the distribution of the advertising return on investment (ROI) for a large number of products in many categories. Our results reveal substantially smaller advertising elasticities compared to the results documented in the literature, as well as a sizable percentage of statistically insignificant or negative estimates. The results are robust to functional form assumptions and are not driven by insufficient statistical power...
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作者：Eeckhout, Jan; Kircher, Philipp; Lafuente, Cristina; Macci, Gabriele
作者单位：ICREA; European University Institute; University of Edinburgh
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作者：Hahn, Jinyong; Liao, Zhipeng
作者单位：University of California System; University of California Los Angeles
摘要：Asymptotic justification of the bootstrap often takes the form of weak convergence of the bootstrap distribution to some limit distribution. Theoretical literature recognized that the weak convergence does not imply consistency of the bootstrap second moment or the bootstrap variance as an estimator of the asymptotic variance, but such concern is not always reflected in the applied practice. We bridge the gap between the theory and practice by showing that such common bootstrap based standard ...
