-
作者：Freyberger, Joachim
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：This paper provides positive testability results for the identification condition in a nonparametric instrumental variable model, known as completeness, and it links the outcome of the test to properties of an estimator of the structural function. In particular, I show that the data can provide empirical evidence in favor of both an arbitrarily small identified set as well as an arbitrarily small asymptotic bias of the estimator. This is the case for a large class of complete distributions as ...
-
作者：Brumm, Johannes; Kryczka, Dominika; Kubler, Felix
作者单位：Helmholtz Association; Karlsruhe Institute of Technology; University of Zurich; Swiss Finance Institute (SFI)
摘要：In this paper, we prove the existence of recursive equilibria in a dynamic stochastic model with infinitely lived heterogeneous agents, several commodities, and general inter- and intratemporal production. We illustrate the usefulness of our result by providing sufficient conditions for the existence of recursive equilibria in heterogeneous agent versions of both the Lucas asset pricing model and the neoclassical stochastic growth model.
-
作者：Christensen, Timothy M.
作者单位：New York University
摘要：Stochastic discount factor (SDF) processes in dynamic economies admit a permanent-transitory decomposition in which the permanent component characterizes pricing over long investment horizons. This paper introduces an empirical framework to analyze the permanent-transitory decomposition of SDF processes. Specifically, we show how to estimate nonparametrically the solution to the Perron-Frobenius eigenfunction problem of Hansen and Scheinkman, 2009. Our empirical framework allows researchers to...
-
作者：Doepke, Matthias; Zilibotti, Fabrizio
作者单位：Northwestern University; Yale University
摘要：We develop a theory of parent-child relations that rationalizes the choice between alternative parenting styles (as set out in Baumrind, 1967). Parents maximize an objective function that combines Beckerian altruism and paternalism towards children. They can affect their children's choices via two channels: either by influencing children's preferences or by imposing direct restrictions on their choice sets. Different parenting styles (authoritarian, authoritative, and permissive) emerge as equ...
-
作者：Brumm, Johannes; Scheidegger, Simon
作者单位：Helmholtz Association; Karlsruhe Institute of Technology; University of Zurich
摘要：We present a flexible and scalable method for computing global solutions of high-dimensional stochastic dynamic models. Within a time iteration or value function iteration setup, we interpolate functions using an adaptive sparse grid algorithm. With increasing dimensions, sparse grids grow much more slowly than standard tensor product grids. Moreover, adaptivity adds a second layer of sparsity, as grid points are added only where they are most needed, for instance, in regions with steep gradie...
-
作者：Ergin, Haluk; Sonmez, Tayfun; Unver, M. Utku
作者单位：University of California System; University of California Berkeley; Boston College; Koc University
摘要：Owing to the worldwide shortage of deceased-donor organs for transplantation, living donations have become a significant source of transplant organs. However, not all willing donors can donate to their intended recipients because of medical incompatibilities. These incompatibilities can be overcome by an exchange of donors between patients. For kidneys, such exchanges have become widespread in the last decade with the introduction of optimization and market design techniques to kidney exchange...
-
作者：Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Toronto; University System of Georgia; University of Georgia
摘要：This note studies some seemingly anomalous results that arise in possibly misspecified, reduced-rank linear asset-pricing models estimated by the continuously updated generalized method of moments. When a spurious factor (that is, a factor that is uncorrelated with the returns on the test assets) is present, the test for correct model specification has asymptotic power that is equal to the nominal size. In other words, applied researchers will erroneously conclude that the model is correctly s...
-
作者：Abdulkadiroglu, Atila; Angrist, Joshua D.; Narita, Yusuke; Pathak, Parag A.
作者单位：Duke University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT); Yale University; Yale University
摘要：A growing number of school districts use centralized assignment mechanisms to allocate school seats in a manner that reflects student preferences and school priorities. Many of these assignment schemes use lotteries to ration seats when schools are oversubscribed. The resulting random assignment opens the door to credible quasi-experimental research designs for the evaluation of school effectiveness. Yet the question of how best to separate the lottery-generated randomization integral to such ...
-
作者：Bommier, Antoine; Kochov, Asen; Le Grand, Francois
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich; University of Rochester; Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：We explore the set of preferences defined over temporal lotteries in an infinite horizon setting. We provide utility representations for all preferences that are both recursive and monotone. Our results indicate that the class of monotone recursive preferences includes Uzawa-Epstein preferences and risk-sensitive preferences, but leaves aside several of the recursive models suggested by Epstein and Zin (1989) and Weil (1990). Our representation result is derived in great generality using Lundb...
-
作者：Doepke, Matthias; Schneider, Martin
作者单位：Northwestern University; Stanford University
摘要：We develop a theory that rationalizes the use of a dominant unit of account in an economy. Agents enter into non-contingent contracts with a variety of business partners. Trade unfolds sequentially in credit chains and is subject to random matching. By using a dominant unit of account, agents can lower their exposure to relative price risk, avoid costly default, and create more total surplus. We discuss conditions under which it is optimal to adopt circulating government paper as the dominant ...
