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作者：Komunjer, Ivana; Ng, Serena
作者单位：University of California System; University of California San Diego; Columbia University
摘要：This paper studies dynamic identification of parameters of a dynamic stochastic general equilibrium model from the first and second moments of the data. Classical results for dynamic simultaneous equations do not apply because the state space solution of the model does not constitute a standard reduced form. Full rank of the Jacobian matrix of derivatives of the solution parameters with respect to the parameters of interest is necessary but not sufficient for identification. We use restriction...
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作者：Eckstein, Zvi; Lifshitz, Osnat
作者单位：Tel Aviv University; Reichman University; Academic College of Tel Aviv Yaffo
摘要：The increase in female employment and participation rates is one of the most dramatic changes to have taken place in the economy during the last century. However, while the employment rate of married women more than doubled during the last 50 years, that of unmarried women remained almost constant. To empirically analyze these trends, we estimate a female dynamic labor supply model using an extended version of Eckstein and Wolpin (1989) to compare the various explanations in the literature for...
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作者：Beresteanu, Arie; Molchanov, Ilya; Molinari, Francesca
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University of Bern; Cornell University
摘要：We provide a tractable characterization of the sharp identification region of the parameter vector ? in a broad class of incomplete econometric models. Models in this class have set-valued predictions that yield a convex set of conditional or unconditional moments for the observable model variables. In short, we call these models with convex moment predictions. Examples include static, simultaneous-move finite games of complete and incomplete information in the presence of multiple equilibria;...
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作者：Vives, Xavier
作者单位：University of Navarra; IESE Business School
摘要：A finite number of sellers (n) compete in schedules to supply an elastic demand. The cost of each seller is random, with common and private value components, and the seller receives a private signal about it. A Bayesian supply function equilibrium is characterized: The equilibrium is privately revealing and the incentives to rely on private signals are preserved. Supply functions are steeper with higher correlation among the cost parameters. For high (positive) correlation, supply functions ar...
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作者：Arcidiacono, Peter; Miller, Robert A.
作者单位：Duke University; Carnegie Mellon University
摘要：We adapt the expectationmaximization algorithm to incorporate unobserved heterogeneity into conditional choice probability (CCP) estimators of dynamic discrete choice problems. The unobserved heterogeneity can be time-invariant or follow a Markov chain. By developing a class of problems where the difference in future value terms depends on a few conditional choice probabilities, we extend the class of dynamic optimization problems where CCP estimators provide a computationally cheap alternativ...
