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作者：Hansen, Lars Peter
作者单位：University of Chicago
摘要：I explore the equilibrium value implications of economic models that incorporate responses to a stochastic environment with growth. I propose dynamic valuation decompositions (DVD's) designed to distinguish components of an underlying economic model that influence values over long investment horizons from components that impact only the short run. A DVD represents the values of stochastically growing claims to consumption payoffs or cash flows using a stochastic discount process that both disc...
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作者：Graham, Bryan S.; Powell, James L.
作者单位：University of California System; University of California Berkeley
摘要：In this paper we study identification and estimation of a correlated random coefficients (CRC) panel data model. The outcome of interest varies linearly with a vector of endogenous regressors. The coefficients on these regressors are heterogenous across units and may covary with them. We consider the average partial effect (APE) of a small change in the regressor vector on the outcome (cf. Chamberlain (1984), Wooldridge (2005a)). Chamberlain (1992) calculated the semiparametric efficiency boun...
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作者：Bugni, Federico A.; Canay, Ivan A.; Guggenberger, Patrik
作者单位：Duke University; Northwestern University; University of California System; University of California San Diego
摘要：This paper studies the behavior, under local misspecification, of several confidence sets (CSs) commonly used in the literature on inference in moment (in)equality models. We propose the amount of asymptotic confidence size distortion as a criterion to choose among competing inference methods. This criterion is then applied to compare across test statistics and critical values employed in the construction of CSs. We find two important results under weak assumptions. First, we show that CSs bas...
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作者：Hugonnier, J.; Malamud, S.; Trubowitz, E.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：We study the existence of dynamic equilibria with endogenously complete markets in continuous-time, heterogenous agents economies driven by diffusion processes. Our main results show that under appropriate conditions on the transition density of the state variables, market completeness can be deduced from the primitives of the economy. In particular, we prove that a sufficient condition for market completeness is that the volatility of dividends be invertible and provide higher order condition...
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作者：Moon, Hyungsik Roger; Schorfheide, Frank
作者单位：University of Southern California; University System of Maryland; University of Maryland College Park; University of Pennsylvania; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：A large-sample approximation of the posterior distribution of partially identified structural parameters is derived for models that can be indexed by an identifiable finite-dimensional reduced-form parameter vector. It is used to analyze the differences between Bayesian credible sets and frequentist confidence sets. We define a plug-in estimator of the identified set and show that asymptotically Bayesian highest-posterior-density sets exclude parts of the estimated identified set, whereas it i...
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作者：Belloni, A.; Chen, D.; Chernozhukov, V.; Hansen, C.
作者单位：Duke University; Swiss Federal Institutes of Technology Domain; ETH Zurich; Massachusetts Institute of Technology (MIT); University of Chicago
摘要：We develop results for the use of Lasso and post-Lasso methods to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments, p. Our results apply even when p is much larger than the sample size, n. We show that the IV estimator based on using Lasso or post-Lasso in the first stage is root-n consistent and asymptotically normal when the first stage is approximately sparse, that is, when the conditional expectation of the end...
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作者：Bonhomme, Stephane
摘要：In nonlinear panel data models, the incidental parameter problem remains a challenge to econometricians. Available solutions are often based on ingenious, model-specific methods. In this paper, we propose a systematic approach to construct moment restrictions on common parameters that are free from the individual fixed effects. This is done by an orthogonal projection that differences out the unknown distribution function of individual effects. Our method applies generally in likelihood models...
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作者：Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert
作者单位：University of Bologna; University of Copenhagen; University of Nottingham
摘要：This paper discusses a consistent bootstrap implementation of the likelihood ratio (LR) co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates of the underlying vector autoregressive (VAR) model that obtain under the reduced rank null hypothesis. A full asymptotic theory is provided that shows that, unlike the bootstrap procedure in Swensen (2006) where a combination of u...
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作者：Deneckere, Raymond; Peck, James
作者单位：University of Wisconsin System; University of Wisconsin Madison; University System of Ohio; Ohio State University
摘要：This paper studies a dynamic model of perfectly competitive price posting under demand uncertainty. Firms must produce output in advance. After observing aggregate sales in prior periods, firms post prices for their unsold output. In each period, the demand of a new batch of consumers is randomly activated. Existing customers who have not yet bought and then new customers arrive at the market in random order, observe the posted prices, and either purchase at the lowest available price or delay...
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作者：Combes, Pierre-Philippe; Duranton, Gilles; Gobillon, Laurent; Puga, Diego; Roux, Sebastien
作者单位：Centre National de la Recherche Scientifique (CNRS); Aix-Marseille Universite; University of Pennsylvania; Centre for Economic Policy Research - UK; IZA Institute Labor Economics; Institut Polytechnique de Paris; ENSAE Paris
摘要：Firms are more productive, on average, in larger cities. Two main explanations have been offered: firm selection (larger cities toughen competition, allowing only the most productive to survive) and agglomeration economies (larger cities promote interactions that increase productivity), possibly reinforced by localized natural advantage. To distinguish between them, we nest a generalized version of a tractable firm selection model and a standard model of agglomeration. Stronger selection in la...
