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作者：Andrews, Isaiah; Mikusheva, Anna
作者单位：Harvard University; Massachusetts Institute of Technology (MIT)
摘要：Conventional tests for composite hypotheses in minimum distance models can be unreliable when the relationship between the structural and reduced-form parameters is highly nonlinear. Such nonlinearity may arise for a variety of reasons, including weak identification. In this note, we begin by studying the problem of testing a curved null in a finite-sample Gaussian model. Using the curvature of the model, we develop new finite-sample bounds on the distribution of minimum-distance statistics. T...
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作者：Malcomson, James M.
作者单位：University of Oxford
摘要：This paper investigates relational incentive contracts with continuous, privately observed agent types that are persistent over time. With fixed agent types, full separation is not possible when continuation equilibrium payoffs following revelation are on the Pareto frontier of attainable payoffs. This result is related to the ratchet effect in that: (1) a type imitating a less productive type receives an information rent, and (2) with full separation, one imitating a more productive type rece...
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作者：[Anonymous]
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作者：Tirole, Jean
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Universite de Toulouse; Universite Toulouse 1 Capitole
摘要：In a number of interesting environments, dynamic screening involves positive selection: in contrast with Coasian dynamics, only the most motivated remain over time. The paper provides conditions under which the principal's commitment optimum is time consistent and uses this result to derive testable predictions under permanent or transient shocks. It also identifies environments in which time consistency does not hold despite positive selection, and yet simple equilibrium characterizations can...
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作者：Olszewski, Wojciech; Siegel, Ron
作者单位：Northwestern University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We consider contests with many, possibly heterogeneous, players and prizes, and show that the equilibrium outcomes of such contests are approximated by the outcomes of mechanisms that implement the assortative allocation in an environment with a single agent that has a continuum of possible types. This makes it possible to easily approximate the equilibria of contests whose exact equilibrium characterization is complicated, as well as the equilibria of contests for which there is no existing e...
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作者：Iskhakov, Fedor; Lee, Jinhyuk; Rust, John; Schjerning, Bertel; Seo, Kyoungwon
作者单位：University of New South Wales Sydney; Korea University; Georgetown University; University of Copenhagen; Korea Advanced Institute of Science & Technology (KAIST)
摘要：We revisit the comparison of mathematical programming with equilibrium constraints (MPEC) and nested fixed point (NFXP) algorithms for estimating structural dynamic models by Su and Judd (2012). Their implementation of the nested fixed point algorithm used successive approximations to solve the inner fixed point problem (NFXP-SA). We redo their comparison using the more efficient version of NFXP proposed by Rust (1987), which combines successive approximations and Newton-Kantorovich iterations...
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作者：Abadie, Alberto; Imbens, Guido W.
作者单位：National Bureau of Economic Research; Stanford University
摘要：Propensity score matching estimators (Rosenbaum and Rubin (1983)) are widely used in evaluation research to estimate average treatment effects. In this article, we derive the large sample distribution of propensity score matching estimators. Our derivations take into account that the propensity score is itself estimated in a first step, prior to matching. We prove that first step estimation of the propensity score affects the large sample distribution of propensity score matching estimators, a...
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作者：Su, Liangjun; Shi, Zhentao; Phillips, Peter C. B.
作者单位：Singapore Management University; Chinese University of Hong Kong; Yale University; University of Auckland; University of Southampton; Singapore Management University
摘要：This paper provides a novel mechanism for identifying and estimating latent group structures in panel data using penalized techniques. We consider both linear and nonlinear models where the regression coefficients are heterogeneous across groups but homogeneous within a group and the group membership is unknown. Two approaches are consideredpenalized profile likelihood (PPL) estimation for the general nonlinear models without endogenous regressors, and penalized GMM (PGMM) estimation for linea...
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作者：Nevo, Aviv; Turner, John L.; Williams, Jonathan W.
作者单位：Northwestern University; National Bureau of Economic Research; University System of Georgia; University of Georgia; University of North Carolina; University of North Carolina Chapel Hill
摘要：We estimate demand for residential broadband using high-frequency data from subscribers facing a three-part tariff. The three-part tariff makes data usage during the billing cycle a dynamic problem, thus generating variation in the (shadow) price of usage. We provide evidence that subscribers respond to this variation, and we use their dynamic decisions to estimate a flexible distribution of willingness to pay for different plan characteristics. Using the estimates, we simulate demand under al...
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作者：Coles, Melvyn G.; Mortensen, Dale T.
作者单位：University of Essex; Northwestern University; Aarhus University
摘要：This paper considers equilibrium quit turnover in a frictional labor market with costly hiring by firms, where large firms employ many workers and face both aggregate and firm specific productivity shocks. There is exogenous firm turnover as new (small) startups enter the market over time, while some existing firms fail and exit. Individual firm growth rates are disperse and evolve stochastically. The paper highlights how dynamic monopsony, where firms trade off lower wages against higher (end...
