-
作者：Duggan, John
作者单位：University of Rochester; University of Rochester
摘要：This paper establishes existence of a stationary Markov perfect equilibrium in general stochastic games with noisea component of the state that is nonatomically distributed and not directly affected by the previous period's state and actions. Noise may be simply a payoff-irrelevant public randomization device, delivering known results on the existence of correlated equilibrium as a special case. More generally, noise can take the form of shocks that enter into players' stage payoffs and the tr...
-
作者：Fudenberg, Drew; Levine, David K.
作者单位：Harvard University; Washington University (WUSTL)
摘要：The standard dual-self model of self-control, with a shorter-run self who cares only about the current period, is excessively sensitive to the timing of decisions and to the interpolation of additional no-action time periods in between the dates when decisions are made. We show that when the shorter-run self is not completely myopic, this excess sensitivity goes away. To accommodate the combination of short time periods and convex costs of self-control, we introduce a cognitive resource variab...
-
作者：Oury, Marion; Tercieux, Olivier
作者单位：CY Cergy Paris Universite; Paris School of Economics
摘要：In this paper, we introduce a notion of continuous implementation and characterize when a social choice function is continuously implementable. More specifically, we say that a social choice function is continuously (partially) implementable if it is (partially) implementable for types in the model under study and it continues to be (partially) implementable for types close to this initial model. Our results show that this notion is tightly connected to full implementation in rationalizable st...
-
作者：Gagliardini, Patrick; Scaillet, Olivier
作者单位：Universita della Svizzera Italiana; University of Geneva
摘要：We study the asymptotic distribution of Tikhonov regularized estimation of quantile structural effects implied by a nonseparable model. The nonparametric instrumental variable estimator is based on a minimum distance principle. We show that the minimum distance problem without regularization is locally ill-posed, and we consider penalization by the norms of the parameter and its derivatives. We derive pointwise asymptotic normality and develop a consistent estimator of the asymptotic variance....
-
作者：Kirkegaard, Rene
作者单位：University of Guelph
摘要：I propose a new mechanism design approach to the problem of ranking standard auctions with two heterogeneous bidders. A key feature of the approach is that it may be possible to rank two auctions even if neither dominates the other for all combinations of types. The approach simplifies the analysis and unifies results in the existing literature. Roughly speaking, the first-price auction is more profitable than the second-price auction when the strong bidder's distribution is flatter and more d...
-
作者：Ray, Debraj; Robson, Arthur
作者单位：New York University; Simon Fraser University
摘要：This paper studies endogenous risk-taking by embedding a concern for status (relative consumption) into an otherwise conventional model of economic growth. We prove that if the intertemporal production function is strictly concave, an equilibrium must converge to a unique steady state in which there is recurrent endogenous risk-taking. (The role played by concavity is clarified by considering a special case in which the production function is instead convex, in which there is no persistent ris...
-
作者：Ju, Nengjiu; Miao, Jianjun
作者单位：Hong Kong University of Science & Technology; Shanghai Jiao Tong University; Boston University; Zhejiang University; Central University of Finance & Economics
摘要：We propose a novel generalized recursive smooth ambiguity model which permits a three-way separation among risk aversion, ambiguity aversion, and intertemporal substitution. We apply this utility model to a consumption-based asset-pricing model in which consumption and dividends follow hidden Markov regime-switching processes. Our calibrated model can match the mean equity premium, the mean risk-free rate, and the volatility of the equity premium observed in the data. In addition, our model ca...
-
作者：Guggenberger, Patrik; Kleibergen, Frank; Mavroeidis, Sophocles; Chen, Linchun
作者单位：University of California System; University of California San Diego; Brown University; University of Oxford
摘要：We consider tests of a simple null hypothesis on a subset of the coefficients of the exogenous and endogenous regressors in a single-equation linear instrumental variables regression model with potentially weak identification. Existing methods of subset inference (i) rely on the assumption that the parameters not under test are strongly identified, or (ii) are based on projection-type arguments. We show that, under homoskedasticity, the subset Anderson and Rubin (1949) test that replaces unkno...
-
作者：Ok, Efe A.; Ortoleva, Pietro; Riella, Gil
作者单位：New York University; California Institute of Technology; Universidade de Brasilia
摘要：We investigate the classical AnscombeAumann model of decision-making under uncertainty without the completeness axiom. We distinguish between the dual traits of indecisiveness in beliefs and indecisiveness in tastes. The former is captured by the Knightian uncertainty model, the latter by the single-prior expected multi-utility model. We characterize axiomatically the latter model. Then we show that, under independence and continuity, these two models can be jointly characterized by means of a...
-
作者：Altonji, Joseph G.; Ichimura, Hidehiko; Otsu, Taisuke
作者单位：Yale University; University of Tokyo; Yale University
摘要：We present a simple way to estimate the effects of changes in a vector of observable variables X on a limited dependent variable Y when Y is a general nonseparable function of X and unobservables, and X is independent of the unobservables. We treat models in which Y is censored from above, below, or both. The basic idea is to first estimate the derivative of the conditional mean of Y given X at x with respect to x on the uncensored sample without correcting for the effect of x on the censored ...
