-
作者：Glasserman, Paul; Nouri, Behzad
作者单位：Columbia University
摘要：We analyze the internal consistency of using the market price of a firm's equity to trigger a contractual change in the firm's capital structure, given that the value of the equity itself depends on the firm's capital structure. Of particular interest is the case of contingent capital for banks, in the form of debt that converts to equity, when conversion is triggered by a decline in the bank's stock price. We analyze the problem of existence and uniqueness of equilibrium values for a firm's l...
-
作者：Muller, Ulrich K.; Norets, Andriy
作者单位：Princeton University; Brown University
摘要：Confidence intervals are commonly used to describe parameter uncertainty. In nonstandard problems, however, their frequentist coverage property does not guarantee that they do so in a reasonable fashion. For instance, confidence intervals may be empty or extremely short with positive probability, even if they are based on inverting powerful tests. We apply a betting framework and a notion of bet-proofness to formalize the reasonableness of confidence intervals as descriptions of parameter unce...
-
作者：Porter, Robert
-
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...
-
作者：McQuillin, Ben; Sugden, Robert
作者单位：University of East Anglia; University of East Anglia
摘要：We present a noncooperative game model of coalitional bargaining, closely based on that of Gul (1989) but solvable by backward induction. In this game, Gul's condition of value additivity does not suffice to ensure the existence of a subgame perfect Nash equilibrium that supports the Shapley value, but a related conditionno positive value-externalitiesdoes. Multiple equilibria can arise only in the event of ties, and with a mild restriction on tie-break rules these equilibria all support the S...
-
作者：[Anonymous]
-
作者：Lu, Jay
作者单位：University of California System; University of California Los Angeles
摘要：We consider an agent who chooses an option after receiving some private information. This information, however, is unobserved by an analyst, so from the latter's perspective, choice is probabilistic or random. We provide a theory in which information can be fully identified from random choice. In addition, the analyst can perform the following inferences even when information is unobservable: (1) directly compute ex ante valuations of menus from random choice and vice versa, (2) assess which a...
-
作者：Gabaix, Xavier; Lasry, Jean-Michel; Lions, Pierre-Louis; Moll, Benjamin
作者单位：Harvard University; Universite PSL; Universite Paris-Dauphine; Universite PSL; College de France; Princeton University
摘要：The past forty years have seen a rapid rise in top income inequality in the United States. While there is a large number of existing theories of the Pareto tail of the long-run income distributions, almost none of these address the fast rise in top inequality observed in the data. We show that standard theories, which build on a random growth mechanism, generate transition dynamics that are too slow relative to those observed in the data. We then suggest two parsimonious deviations from the ca...
-
作者：Sethi, Rajiv; Yildiz, Muhamet
作者单位：Columbia University; Massachusetts Institute of Technology (MIT)
摘要：Consider a group of individuals with unobservable perspectives (subjective prior beliefs) about a sequence of states. In each period, each individual receives private information about the current state and forms an opinion (a posterior belief). She also chooses a target individual and observes the target's opinion. This choice involves a trade-off between well-informed targets, whose signals are precise, and well-understood targets, whose perspectives are well known. Opinions are informative ...
-
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...
