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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...
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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：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...
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作者：Davila, Julio; Hong, Jay H.; Krusell, Per; Rios-Rull, Jose-Victor
作者单位：Centre National de la Recherche Scientifique (CNRS); Paris School of Economics; University of Rochester; Stockholm University; University of Gothenburg; University of Minnesota System; University of Minnesota Twin Cities; Center for Economic & Policy Research (CEPR); Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; National Bureau of Economic Research
摘要：We investigate the welfare properties of the one-sector neoclassical growth model with uninsurable idiosyncratic shocks. We focus on the notion of constrained efficiency used in the general equilibrium literature. Our characterization of constrained efficiency uses the first-order condition of a constrained planner's problem. This condition highlights the margins of relevance for whether capital is too high or too low: the factor composition of income of the (consumption-)poor. Using three cal...
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作者：Hortacsu, Ali; Kastl, Jakub
作者单位：University of Chicago; National Bureau of Economic Research; Stanford University
摘要：In many financial markets, dealers have the advantage of observing the orders of their customers. To quantify the economic benefit that dealers derive from this advantage, we study detailed data from Canadian Treasury auctions, where dealers observe customer bids while preparing their own bids. In this setting, dealers can use information on customer bids to learn about (i) competition, that is, the distribution of competing bids in the auction, and (ii) fundamentals, that is, the ex post valu...
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作者：Duffie, Darrell; Strulovici, Bruno
作者单位：Stanford University; Northwestern University
摘要：We present a model for the equilibrium movement of capital between asset markets that are distinguished only by the levels of capital invested in each. Investment in that market with the greatest amount of capital earns the lowest risk premium. Intermediaries optimally trade off the costs of intermediation against fees that depend on the gain they can offer to investors for moving their capital to the market with the higher mean return. The bargaining power of an investor depends on potential ...
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作者：Johansen, Soren; Nielsen, Morten Orregaard
作者单位：University of Copenhagen; CREATES; Queens University - Canada
摘要：We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model, based on the Gaussian likelihood conditional on initial values. We give conditions on the parameters such that the process X-t is fractional of order d and cofractional of order d-b; that is, there exist vectors beta for which beta'X-t is fractional of order d-b and no other fractionality order is possible. For b=1, the model nests the I(d-1) vector autoregressive model. We define th...
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作者：Schmitt-Grohe, Stephanie; Uribe, Martin
作者单位：Columbia University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：In the context of a dynamic, stochastic, general equilibrium model, we perform classical maximum likelihood and Bayesian estimations of the contribution of anticipated shocks to business cycles in the postwar United States. Our identification approach relies on the fact that forward-looking agents react to anticipated changes in exogenous fundamentals before such changes materialize. It further allows us to distinguish changes in fundamentals by their anticipation horizon. We find that anticip...
