-
作者：Su, Che-Lin; Judd, Kenneth L.
作者单位：University of Chicago; National Bureau of Economic Research
摘要：Estimating structural models is often viewed as computationally difficult, an impression partly due to a focus on the nested fixed-point (NFXP) approach. We propose a new constrained optimization approach for structural estimation. We show that our approach and the NFXP algorithm solve the same estimation problem, and yield the same estimates. Computationally, our approach can have speed advantages because we do not repeatedly solve the structural equation at each guess of structural parameter...
-
作者：Hirano, Keisuke; Porter, Jack R.
作者单位：University of Arizona; University of Wisconsin System; University of Wisconsin Madison
摘要：We examine challenges to estimation and inference when the objects of interest are nondifferentiable functionals of the underlying data distribution. This situation arises in a number of applications of bounds analysis and moment inequality models, and in recent work on estimating optimal dynamic treatment regimes. Drawing on earlier work relating differentiability to the existence of unbiased and regular estimators, we show that if the target object is not differentiable in the parameters of ...
-
作者：Beaudry, Paul; Green, David A.; Sand, Benjamin
作者单位：University of British Columbia; National Bureau of Economic Research; York University - Canada
摘要：Does switching the composition of jobs between low-paying and high-paying industries have important effects on wages in other sectors? In this paper, we build on search and bargaining theory to clarify a key general equilibrium channel through which changes in industrial composition could have substantial effects on wages in all sectors. In this class of models, wage determination takes the form of a social interaction problem and we illustrate how the implied sectoral linkages can be empirica...
-
作者：Bouton, Laurent; Castanheira, Micael
作者单位：Boston University; Universite Libre de Bruxelles
摘要：This paper shows that information imperfections and common values can solve coordination problems in multicandidate elections. We analyze an election in which (i)similar to the majority is divided between two alternatives and (ii)similar to the minority backs a third alternative, which the majority views as strictly inferior. Standard analyses assume voters have a fixed preference ordering over candidates. Coordination problems cannot be overcome in such a case, and it is possible that inferio...
-
作者：Mikusheva, Anna
作者单位：Massachusetts Institute of Technology (MIT)
摘要：This paper examines the problem of testing and confidence set construction for one-dimensional functions of the coefficients in autoregressive (AR(p)) models with potentially persistent time series. The primary example concerns inference on impulse responses. A new asymptotic framework is suggested and some new theoretical properties of known procedures are demonstrated. I show that the likelihood ratio (LR) and LR +/- statistics for a linear hypothesis in an AR(p) can be uniformly approximate...
-
作者：Govindan, Srihari; Wilson, Robert
作者单位：University of Rochester; Stanford University
摘要：For a finite game with perfect recall, a refinement of its set of Nash equilibria selects closed connected subsets, called solutions. Assume that each solution's equilibria use undominated strategies and some of its equilibria are quasi-perfect, and that all solutions are immune to presentation effects; namely, if the game is embedded in a larger game with more pure strategies and more players such that the original players' feasible mixed strategies and expected payoffs are preserved regardle...
-
作者：Chen, Bin; Hong, Yongmiao
作者单位：University of Rochester; Cornell University; Cornell University; Xiamen University; Xiamen University
摘要：Checking parameter stability of econometric models is a long-standing problem. Almost all existing structural change tests in econometrics are designed to detect abrupt breaks. Little attention has been paid to smooth structural changes, which may be more realistic in economics. We propose a consistent test for smooth structural changes as well as abrupt structural breaks with known or unknown change points. The idea is to estimate smooth time-varying parameters by local smoothing and compare ...
-
作者：Chetty, Raj
作者单位：Harvard University
摘要：How can price elasticities be identified when agents face optimization frictions such as adjustment costs or inattention? I derive bounds on structural price elasticities that are a function of the observed effect of a price change on demand, the size of the price change, and the degree of frictions. The degree of frictions is measured by the utility losses agents tolerate to deviate from the frictionless optimum. The bounds imply that frictions affect intensive margin elasticities much more t...
-
作者：Daley, Brendan; Green, Brett
作者单位：Duke University; University of California System; University of California Berkeley
摘要：We study a dynamic setting in which stochastic information (news) about the value of a privately informed seller's asset is gradually revealed to a market of buyers. We construct an equilibrium that involves periods of no trade or market failure. The no-trade period ends in one of two ways: either enough good news arrives, restoring confidence and markets reopen, or bad news arrives, making buyers more pessimistic and forcing capitulation that is, a partial sell-off of low-value assets. Condit...
-
作者：Abbring, Jaap H.
作者单位：Tilburg University
摘要：We study mixed hitting-time models that specify durations as the first time a Levy processa continuous-time process with stationary and independent incrementscrosses a heterogeneous threshold. Such models are of substantial interest because they can be deduced from optimal-stopping models with heterogeneous agents that do not naturally produce a mixed proportional hazards structure. We show how strategies for analyzing the identifiability of the mixed proportional hazards model can be adapted ...
