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作者：Hausman, Jerry A.; Newey, Whitney K.
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：Individual heterogeneity is an important source of variation in demand. Allowing for general heterogeneity is needed for correct welfare comparisons. We consider general heterogeneous demand where preferences and linear budget sets are statistically independent. Only the marginal distribution of demand for each price and income is identified from cross-section data where only one price and income is observed for each individual. Thus, objects that depend on varying price and/or income for an i...
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作者：Collin-Dufresne, Pierre; Fos, Vyacheslav
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Boston College
摘要：We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks to uninformed volume even though the fundamental value is constant. The volatility of price volatility appears 'excessive' because insiders choose to trade more aggressively (and thus more information is revealed) when uninformed volume is hig...
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作者：Li, Jia; Xiu, Dacheng
作者单位：Duke University; University of Chicago
摘要：We propose a semiparametric two-step inference procedure for a finite-dimensional parameter based on moment conditions constructed from high-frequency data. The population moment conditions take the form of temporally integrated functionals of state-variable processes that include the latent stochastic volatility process of an asset. In the first step, we nonparametrically recover the volatility path from high-frequency asset returns. The nonparametric volatility estimator is then used to form...
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作者：Andrews, Isaiah
作者单位：Massachusetts Institute of Technology (MIT)
摘要：We introduce the class of conditional linear combination tests, which reject null hypotheses concerning model parameters when a data-dependent convex combination of two identification-robust statistics is large. These tests control size under weak identification and have a number of optimality properties in a conditional problem. We show that the conditional likelihood ratio test of Moreira, 2003 is a conditional linear combination test in models with one endogenous regressor, and that the cla...
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作者：Christiano, Lawrence J.; Eichenbaum, Martin S.; Trabandt, Mathias
作者单位：Northwestern University; Free University of Berlin
摘要：We develop and estimate a general equilibrium search and matching model that accounts for key business cycle properties of macroeconomic aggregates, including labor market variables. In sharp contrast to leading New Keynesian models, we do not impose wage inertia. Instead we derive wage inertia from our specification of how firms and workers negotiate wages. Our model outperforms a variant of the standard New Keynesian Calvo sticky wage model. According to our estimated model, there is a criti...
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作者：Arieli, Itai; Young, H. Peyton
作者单位：Technion Israel Institute of Technology; University of Oxford
摘要：We study how long it takes for large populations of interacting agents to come close to Nash equilibrium when they adapt their behavior using a stochastic better reply dynamic. Prior work considers this question mainly for 2 x 2 games and potential games; here we characterize convergence times for general weakly acyclic games, including coordination games, dominance solvable games, games with strategic complementarities, potential games, and many others with applications in economics, biology,...
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作者：Blundell, Richard; Costa Dias, Monica; Meghir, Costas; Shaw, Jonathan
作者单位：University of London; University College London; University of London; London School Economics & Political Science; Universidade do Porto; IZA Institute Labor Economics; Yale University; National Bureau of Economic Research
摘要：We estimate a dynamic model of employment, human capital accumulationincluding education, and savings for women in the United Kingdom, exploiting tax and benefit reforms, and use it to analyze the effects of welfare policy. We find substantial elasticities for labor supply and particularly for lone mothers. Returns to experience, which are important in determining the longer-term effects of policy, increase with education, but experience mainly accumulates when in full-time employment. Tax cre...
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作者：Alon, Shiri; Gayer, Gabi
作者单位：Bar Ilan University
摘要：This paper proposes a method for aggregating individual preferences in the context of uncertainty. Individuals are assumed to abide by Savage's model of Subjective Expected Utility, in which everyone has his/her own utility and subjective probability. Disagreement on probabilities among individuals gives rise to uncertainty at the societal level, and thus society may entertain a set of probabilities rather than only one. We assume that social preference admits a Maxmin Expected Utility represe...
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作者：Bai, Ying; Jia, Ruixue
作者单位：Chinese University of Hong Kong; University of California System; University of California San Diego
摘要：This paper studies how the abolition of an elite recruitment systemChina's civil exam system that lasted over 1,300 yearsaffects political stability. Employing a panel data set across 262 prefectures and exploring the variations in the quotas on the entry-level exam candidates, we find that higher quotas per capita were associated with a higher probability of revolution participation after the abolition and a higher incidence of uprisings in 1911 that marked the end of the 2,000 years of imper...
