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作者：Chudik, A.; Kapetanios, G.; Pesaran, M. Hashem
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Dallas; University of London; King's College London; University of Southern California; University of Cambridge
摘要：This paper provides an alternative approach to penalized regression for model selection in the context of high-dimensional linear regressions where the number of covariates is large, often much larger than the number of available observations. We consider the statistical significance of individual covariates one at a time, while taking full account of the multiple testing nature of the inferential problem involved. We refer to the proposed method as One Covariate at a Time Multiple Testing (OC...
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作者：Sarver, Todd
作者单位：Duke University
摘要：To study intertemporal decisions under risk, we develop a new recursive model of non-expected-utility preferences. The main axiom of our analysis is called mixture aversion, as it captures a dislike of probabilistic mixtures of lotteries. Our representation for mixture-averse preferences can be interpreted as if an individual optimally selects her risk attitude from some feasible set. We describe some useful parametric examples of our representation and provide comparative statics that tightly...
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作者：Noeldeke, Georg; Samuelson, Larry
作者单位：University of Basel; Yale University
摘要：Conjugate duality relationships are pervasive in matching and implementation problems and provide much of the structure essential for characterizing stable matches and implementable allocations in models with quasilinear (or transferable) utility. In the absence of quasilinearity, a more abstract duality relationship, known as a Galois connection, takes the role of (generalized) conjugate duality. While weaker, this duality relationship still induces substantial structure. We show that this st...
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作者：Heidhues, Paul; Koszegi, Botond; Strack, Philipp
作者单位：Heinrich Heine University Dusseldorf; Central European University; University of California System; University of California Berkeley
摘要：We explore the learning process and behavior of an individual with unrealistically high expectations (overconfidence) when outcomes also depend on an external fundamental that affects the optimal action. Moving beyond existing results in the literature, we show that the agent's beliefs regarding the fundamental converge under weak conditions. Furthermore, we identify a broad class of situations in which learning about the fundamental is self-defeating: it leads the individual systematically aw...
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作者：Choi, Michael; Dai, Anovia Yifan; Kim, Kyungmin
作者单位：University of California System; University of California Irvine; Hong Kong Baptist University; University of Miami
摘要：We consider an oligopoly model in which consumers engage in sequential search based on partial product information and advertised prices. By applying Weitzman's (1979) optimal sequential search solution, we derive a simple static condition that fully summarizes consumers' shopping outcomes and translates the pricing game among the sellers into a familiar discrete-choice problem. Exploiting the discrete-choice reformulation, we provide sufficient conditions that guarantee the existence and uniq...
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作者：de Groot, Oliver; Richter, Alexander W.; Throckmorton, Nathaniel A.
作者单位：University of St Andrews; European Central Bank; Federal Reserve System - USA; Federal Reserve Bank - Dallas; William & Mary
摘要：Basu and Bundick, 2017 showed an intertemporal preference volatility shock has meaningful effects on real activity in a New Keynesian model with Epstein and Zin, 1991 preferences. We show that when the distributional weights on current and future utility in the Epstein-Zin time aggregator do not sum to 1, there is an asymptote in the responses to such a shock with unit intertemporal elasticity of substitution. In the Basu-Bundick model, the intertemporal elasticity of substitution is set near ...
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作者：Basu, Susanto; Bundick, Brent
作者单位：Boston College; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Kansas City
摘要：de Groot, Richter, and Throckmorton, 2018 argue that the model in Basu and Bundick, 2017 can match the empirical evidence only because the model assumes an asymptote in the economy's response to an uncertainty shock. In this Reply, we provide new results showing that our model's ability to match the data does not rely either on assuming preferences that imply an asymptote nor on a particular value of the intertemporal elasticity of substitution. We demonstrate that shifting to preferences that...
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作者：Lambert, Nicolas S.; Ostrovsky, Michael; Panov, Mikhail
作者单位：Stanford University; National Bureau of Economic Research; New York University
摘要：We study trading behavior and the properties of prices in informationally complex markets. Our model is based on the single-period version of the linear-normal framework of Kyle (1985). We allow for essentially arbitrary correlations among the random variables involved in the model: the value of the traded asset, the signals of strategic traders and competitive market makers, and the demand from liquidity traders. We show that there always exists a unique linear equilibrium, characterize it an...
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作者：Ai, Hengjie; Bansal, Ravi
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Duke University; National Bureau of Economic Research
摘要：This paper develops a revealed preference theory for the equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium. We provide a characterization theorem for the set of intertemporal preferences that generates a nonnegative announcement premium. Our theory establishes that the announcement premium identifies a significant deviatio...
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作者：Onatski, Alexei; Wang, Chen
作者单位：University of Cambridge; University of Hong Kong
摘要：Johansen's (1988,1991) likelihood ratio test for cointegration rank of a vector autoregression (VAR) depends only on the squared sample canonical correlations between current changes and past levels of a simple transformation of the data. We study the asymptotic behavior of the empirical distribution of those squared canonical correlations when the number of observations and the dimensionality of the VAR diverge to infinity simultaneously and proportionally. We find that the distribution weakl...
