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作者：Francq, Christian; Zakoian, Jean-Michel
作者单位：Universite de Lille; Institut Polytechnique de Paris; ENSAE Paris
摘要：This paper studies the asymptotic properties of the quasi-maximum likelihood estimator of (generalized autoregressive conditional heteroscedasticity) GARCH(1, 1) models without strict stationarity constraints and considers applications to testing problems. The estimator is unrestricted in the sense that the value of the intercept, which cannot be consistently estimated in the explosive case, is not fixed. A specific behavior of the estimator of the GARCH coefficients is obtained at the boundar...
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作者：Carroll, Gabriel
作者单位：Massachusetts Institute of Technology (MIT)
摘要：We study the question of whether local incentive constraints are sufficient to imply full incentive compatibility in a variety of mechanism design settings, allowing for probabilistic mechanisms. We give a unified approach that covers both continuous and discrete type spaces. On many common preference domainsincluding any convex domain of cardinal or ordinal preferences, single-peaked ordinal preferences, and successive single-crossing ordinal preferenceslocal incentive compatibility (suitably...
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作者：Lilienfeld-Toal, Ulf von; Mookherjee, Dilip; Visaria, Sujata
作者单位：Stockholm School of Economics; Boston University; Hong Kong University of Science & Technology
摘要：It is generally presumed that stronger legal enforcement of lender rights increases credit access for all borrowers because it expands the set of incentive compatible loan contracts. This result relies on an assumption that the supply of credit is infinitely elastic. In contrast, with inelastic supply, stronger enforcement generates general equilibrium effects that may reduce credit access for small borrowers and expand it for wealthy borrowers. In a firm-level panel, we find evidence that an ...
