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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...
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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....
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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...
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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...
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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 ...
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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：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：Einav, Liran; Jenkins, Mark; Levin, Jonathan
作者单位：Stanford University; National Bureau of Economic Research; University of Pennsylvania
摘要：We analyze subprime consumer lending and the role played by down payment requirements in screening high-risk borrowers and limiting defaults. To do this, we develop an empirical model of the demand for financed purchases that incorporates both adverse selection and repayment incentives. We estimate the model using detailed transaction-level data on subprime auto loans. We show how different elements of loan contracts affect the quality of the borrower pool and subsequent loan performance. We a...
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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 ...
