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作者：Molavi, Pooya; Tahbaz-Salehi, Alireza; Jadbabaie, Ali
作者单位：Massachusetts Institute of Technology (MIT); Northwestern University; Massachusetts Institute of Technology (MIT)
摘要：This paper studies the behavioral foundations of non-Bayesian models of learning over social networks and develops a taxonomy of conditions for information aggregation in a general framework. As our main behavioral assumption, we postulate that agents follow social learning rules that satisfy imperfect recall, according to which they treat the current beliefs of their neighbors as sufficient statistics for the entire history of their observations. We augment this assumption with various restri...
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作者：Shi, Xiaoxia; Shum, Matthew; Song, Wei
作者单位：University of Wisconsin System; University of Wisconsin Madison; California Institute of Technology; Xiamen University; Xiamen University
摘要：This paper proposes a new semi-parametric identification and estimation approach to multinomial choice models in a panel data setting with individual fixed effects. Our approach is based on cyclic monotonicity, which is a defining convex-analytic feature of the random utility framework underlying multinomial choice models. From the cyclic monotonicity property, we derive identifying inequalities without requiring any shape restrictions for the distribution of the random utility shocks. These i...
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作者：Pagel, Michaela
作者单位：National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：Recent evidence suggests that investors are inattentive to their portfolios and hire expensive portfolio managers. This paper develops a life-cycle portfolio-choice model in which the investor experiences loss-averse utility over news and can ignore his portfolio. In such a model, the investor prefers to ignore and not rebalance his portfolio most of the time because he dislikes bad news more than he likes good news such that expected news causes a first-order decrease in utility. Consequently...
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作者：Oberfield, Ezra
作者单位：Princeton University
摘要：Individual producers exhibit enormous heterogeneity in many dimensions. This paper develops a theory in which the network structure of productionwho buys inputs from whomforms endogenously. Entrepreneurs produce using labor and exactly one intermediate input; the key decision is which other entrepreneur's good to use as an input. Their choices collectively determine the economy's equilibrium input-output structure, generating large differences in size and shaping both individual and aggregate ...
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作者：Kitagawa, Toru; Tetenov, Aleksey
作者单位：University of London; University College London; University of Bristol
摘要：One of the main objectives of empirical analysis of experiments and quasi-experiments is to inform policy decisions that determine the allocation of treatments to individuals with different observable covariates. We study the properties and implementation of the Empirical Welfare Maximization (EWM) method, which estimates a treatment assignment policy by maximizing the sample analog of average social welfare over a class of candidate treatment policies. The EWM approach is attractive in terms ...
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作者：Schorfheide, Frank; Song, Dongho; Yaron, Amir
作者单位：University of Pennsylvania; Boston College; University of Pennsylvania
摘要：We document that consumption growth rates are far from i.i.d. and have a highly persistent component. First, we estimate univariate and multivariate models of cash-flow (consumption, output, dividends) growth that feature measurement errors, time-varying volatilities, and mixed-frequency observations. Monthly consumption data are important for identifying the stochastic volatility process; yet the data are contaminated, which makes the inclusion of measurement errors essential for identifying ...
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作者：Zoutman, Floris T.; Gavrilova, Evelina; Hopland, Arnt O.
作者单位：Norwegian School of Economics (NHH); Norwegian School of Economics (NHH)
摘要：We show how an insight from taxation theory allows identification of both the supply and demand elasticities using only one instrument. Most models of taxation since Ramsey (1927) assume that a tax levied on the demand side only affects demand through the price after taxation. Econometrically, we show that this assumption acts as an exclusion restriction. Under the Ramsey Exclusion Restriction (RER), a single tax reform can serve to simultaneously identify the demand and supply elasticity. We ...
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作者：Abbring, Jaap H.; Campbell, Jeffrey R.; Tilly, Jan; Yang, Nan
作者单位：Tilburg University; Center for Economic & Policy Research (CEPR); Federal Reserve System - USA; Federal Reserve Bank - Chicago; Tilburg University; University of Pennsylvania; National University of Singapore; National University of Singapore
摘要：This paper develops a simple model of firm entry, competition, and exit in oligopolistic markets. It features toughness of competition, sunk entry costs, and market-level demand and cost shocks, but assumes that firms' expected payoffs are identical when entry and survival decisions are made. We prove that this model has an essentially unique symmetric Markov-perfect equilibrium, and we provide an algorithm for its computation. Because this algorithm only requires finding the fixed points of a...
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作者：Arias, Jonas E.; Rubio-Ramirez, Juan F.; Waggoner, Daniel F.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Emory University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：In this paper, we develop algorithms to independently draw from a family of conjugate posterior distributions over the structural parameterization when sign and zero restrictions are used to identify structural vector autoregressions (SVARs). We call this family of conjugate posteriors normal-generalized-normal. Our algorithms draw from a conjugate uniform-normal-inverse-Wishart posterior over the orthogonal reduced-form parameterization and transform the draws into the structural parameteriza...
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作者：Armstrong, Timothy B.; Kolesar, Michal
作者单位：Yale University; Princeton University; Princeton University
摘要：We consider the problem of constructing confidence intervals (CIs) for a linear functional of a regression function, such as its value at a point, the regression discontinuity parameter, or a regression coefficient in a linear or partly linear regression. Our main assumption is that the regression function is known to lie in a convex function class, which covers most smoothness and/or shape assumptions used in econometrics. We derive finite-sample optimal CIs and sharp efficiency bounds under ...
