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作者：Belloni, A.; Chernozhukov, V.; Fernandez-Val, I.; Hansen, C.
作者单位：Duke University; Massachusetts Institute of Technology (MIT); Boston University; University of Chicago
摘要：In this paper, we provide efficient estimators and honest confidence bands for a variety of treatment effects including local average (LATE) and local quantile treatment effects (LQTE) in data-rich environments. We can handle very many control variables, endogenous receipt of treatment, heterogeneous treatment effects, and function-valued outcomes. Our framework covers the special case of exogenous receipt of treatment, either conditional on controls or unconditionally as in randomized control...
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作者：Qin, Likuan; Linetsky, Vadim
作者单位：Northwestern University
摘要：This paper extends the long-term factorization of the stochastic discount factor introduced and studied by Alvarez and Jermann (2005) in discrete-time ergodic environments and by Hansen and Scheinkman (2009) and Hansen (2012) in Markovian environments to general semimartingale environments. The transitory component discounts at the stochastic rate of return on the long bond and is factorized into discounting at the long-term yield and a positive semimartingale that extends the principal eigenf...
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作者：Zhou, Jidong
作者单位：Yale University
摘要：This paper proposes a framework for studying competitive (pure) bundling in an oligopoly market. We find that under fairly general conditions, relative to separate sales, bundling raises market prices, benefits firms, and harms consumers when the number of firms is above a threshold (which can be small). This is in contrast to the findings in the duopoly case on which the existing literature often focuses. Our analysis also sheds new light on how consumer valuation dispersion affects price com...
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作者：Arellano, Manuel; Bonhomme, Stephane
作者单位：University of Chicago
摘要：We propose a method to correct for sample selection in quantile regression models. Selection is modeled via the cumulative distribution function, or copula, of the percentile error in the outcome equation and the error in the participation decision. Copula parameters are estimated by minimizing a method-of-moments criterion. Given these parameter estimates, the percentile levels of the outcome are readjusted to correct for selection, and quantile parameters are estimated by minimizing a rotate...
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作者：Azevedo, Eduardo M.; Gottlieb, Daniel
作者单位：University of Pennsylvania; Microsoft; Washington University (WUSTL)
摘要：This paper proposes a perfectly competitive model of a market with adverse selection. Prices are determined by zero-profit conditions, and the set of traded contracts is determined by free entry. Crucially for applications, contract characteristics are endogenously determined, consumers may have multiple dimensions of private information, and an equilibrium always exists. Equilibrium corresponds to the limit of a differentiated products Bertrand game. We apply the model to establish theoretica...
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作者：Hagedorn, Marcus; Law, Tzuo Hann; Manovskii, Iourii
作者单位：University of Oslo; Boston College; University of Pennsylvania
摘要：We assess the empirical content of equilibrium models of labor market sorting based on unobserved (to economists) characteristics. In particular, we show theoretically that all parameters of the classic model of sorting based on absolute advantage in Becker (1973) with search frictions can be nonparametrically identified using only matched employer-employee data on wages and labor market transitions. In particular, these data are sufficient to nonparametrically estimate the output of any indiv...
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作者：Bergemann, Dirk; Brooks, Benjamin; Morris, Stephen
作者单位：Yale University; University of Chicago; Princeton University
摘要：We explore the impact of private information in sealed-bid first-price auctions. For a given symmetric and arbitrarily correlated prior distribution over values, we characterize the lowest winning-bid distribution that can arise across all information structures and equilibria. The information and equilibrium attaining this minimum leave bidders indifferent between their equilibrium bids and all higher bids. Our results provide lower bounds for bids and revenue with asymmetric distributions ov...
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作者：Mykland, Per A.; Zhang, Lan
作者单位：University of Chicago; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：The availability of high frequency financial data has generated a series of estimators based on intra-day data, improving the quality of large areas of financial econometrics. However, estimating the standard error of these estimators is often challenging. The root of the problem is that traditionally, standard errors rely on estimating a theoretically derived asymptotic variance, and often this asymptotic variance involves substantially more complex quantities than the original parameter to b...
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作者：Li, Jia; Todorov, Viktor; Tauchen, George
作者单位：Duke University; Northwestern University; Duke University
摘要：We develop econometric tools for studying jump dependence of two processes from high-frequency observations on a fixed time interval. In this context, only segments of data around a few outlying observations are informative for the inference. We derive an asymptotically valid test for stability of a linear jump relation over regions of the jump size domain. The test has power against general forms of nonlinearity in the jump dependence as well as temporal instabilities. We further propose an e...
