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作者：Kline, Patrick; Walters, Christopher R.
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research
摘要：Structural econometric methods are often criticized for being sensitive to functional form assumptions. We study parametric estimators of the local average treatment effect (LATE) derived from a widely used class of latent threshold crossing models and show they yield LATE estimates algebraically equivalent to the instrumental variables (IV) estimator. Our leading example is Heckman's (1979) two-step (Heckit) control function estimator which, with two-sided non-compliance, can be used to compu...
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作者：Beissner, Patrick; Riedel, Frank
作者单位：Australian National University; University of Bielefeld; University of Johannesburg
摘要：We study economies with Knightian uncertainty about state prices. We introduce an equilibrium concept with sublinear prices and prove that equilibria exist under weak conditions. In general, such equilibria lead to inefficient allocations; they coincide with Arrow-Debreu equilibria if and only if the values of net trades are ambiguity-free in mean. In economies without aggregate uncertainty, inefficiencies are generic. Equilibrium allocations under price uncertainty are efficient in a constrai...
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作者：Andreou, E.; Gagliardini, P.; Ghysels, E.; Rubin, M.
作者单位：University of Cyprus; Center for Economic & Policy Research (CEPR); Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University of North Carolina; University of North Carolina Chapel Hill; Universite Catholique de Lille; EDHEC Business School
摘要：We derive asymptotic properties of estimators and test statistics to determine-in a grouped data setting-common versus group-specific factors. Despite the fact that our test statistic for the number of common factors, under the null, involves a parameter at the boundary (related to unit canonical correlations), we derive a parameter-free asymptotic Gaussian distribution. We show how the group factor setting applies to mixed-frequency data. As an empirical illustration, we address the question ...
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作者：Hosseini, Roozbeh; Shourideh, Ali
作者单位：University System of Georgia; University of Georgia; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Carnegie Mellon University
摘要：We study Pareto optimal policy reforms aimed at overhauling retirement financing as an integral part of the tax and transfer system. Our framework for policy analysis is a heterogeneous-agent overlapping-generations model that performs well in matching the aggregate and distributional features of the U.S. economy. We present a test of Pareto optimality that identifies the main source of inefficiency in the status quo policies. Our test suggests that lack of asset subsidies late in life is the ...
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作者：Friedenberg, Amanda
作者单位：University of Arizona
摘要：This paper shows that bargainers may reach delayed agreements even in environments where there is no uncertainty about payoffs or feasible actions. Under such conditions, delay may arise when bargainers face direct forms of strategic uncertainty-that is, uncertainty about the opponent's play. The paper restricts the nature of this uncertainty in two important ways. First, it assumes on-path strategic certainty: Bargainers face uncertainty only after surprise moves. Second, it assumes Battigall...
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作者：Rosenberg, Dinah; Vieille, Nicolas
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：We revisit prominent learning models in which a sequence of agents make a binary decision on the basis of both a private signal and information related to past choices. We analyze the efficiency of learning in these models, measured in terms of the expected welfare. We show that, irrespective of the distribution of private signals, learning efficiency is the same whether each agent observes the entire sequence of earlier decisions or only the previous decision. In addition, we provide a simple...
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作者：Aguiar, Mark; Amador, Manuel; Hopenhayn, Hugo; Werning, Ivan
作者单位：Princeton University; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; University of Minnesota System; University of Minnesota Twin Cities; University of California System; University of California Los Angeles; Massachusetts Institute of Technology (MIT)
摘要：We study the interactions between sovereign debt default and maturity choice in a setting with limited commitment for repayment as well as future debt issuances. Our main finding is that, under a wide range of conditions, the sovereign should, as long as default is not preferable, remain passive in long-term bond markets, making payments and retiring long-term bonds as they mature but never actively issuing or buying back such bonds. The only active debt-management margin is the short-term bon...
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作者：Fu, Chao; Gregory, Jesse
作者单位：University of Wisconsin System; University of Wisconsin Madison; National Bureau of Economic Research
摘要：We study the optimal design of subsidies in an equilibrium setting, where the decisions of individual recipients impose externalities on one another. We apply the model to the case of post-Katrina rebuilding in New Orleans under the Louisiana Road Home rebuilding grant program (RH). We estimate the structural model via indirect inference, exploiting a discontinuity in the formula for determining the size of grants, which helps isolate the causal effect of neighbors' rebuilding on one's own reb...
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作者：Guo, Yingni; Shmaya, Eran
作者单位：Northwestern University; Northwestern University
摘要：A sender persuades a receiver to accept a project by disclosing information about a payoff-relevant quality. The receiver has private information about the quality, referred to as his type. We show that the sender-optimal mechanism takes the form of nested intervals: each type accepts on an interval of qualities and a more optimistic type's interval contains a less optimistic type's interval. This nested-interval structure offers a simple algorithm to solve for the optimal disclosure and conne...
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作者：Gourieroux, C.; Monfort, A.; Zakoian, J. -M.
作者单位：University of Toronto; Institut Polytechnique de Paris; ENSAE Paris; Universite de Lille
摘要：In a transformation model yt=c[a(xt,beta),ut], where the errors ut are i.i.d. and independent of the explanatory variables xt, the parameters can be estimated by a pseudo-maximum likelihood (PML) method, that is, by using a misspecified distribution of the errors, but the PML estimator of beta is in general not consistent. We explain in this paper how to nest the initial model in an identified augmented model with more parameters in order to derive consistent PML estimators of appropriate func...
