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作者：Weinstein, Jonathan; Yildiz, Muhamet
作者单位：Northwestern University; Massachusetts Institute of Technology (MIT)
摘要：Rationalizability is a central solution concept of game theory. Economic models often have many rationalizable outcomes, motivating economists to use refinements of rationalizabitity, including equilibrium refinements. In this paper we try to achieve a general understanding of when this multiplicity occurs and how one should deal with it. Assuming that the set of possible payoff functions and belief structures is sufficiently rich, we establish a revealing structure of the correspondence of be...
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作者：Lobato, Ignacio N.; Velasco, Carlos
作者单位：Instituto Tecnologico Autonomo de Mexico; Universidad Carlos III de Madrid
摘要：In this article we introduce efficient Wald tests for testing the null hypothesis of the unit root against the alternative of the fractional unit root. In a local alternative framework, the proposed tests are locally asymptotically equivalent to the optimal Robinson Lagrange Multiplier tests. Our results contrast with the tests for fractional unit roots, introduced by Dolado, Gonzalo, and Mayoral, which are inefficient. In the presence of short range serial correlation, we propose a simple and...
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作者：Cho, Jin Seo; White, Halbert
作者单位：Victoria University Wellington; University of California System; University of California San Diego
摘要：We analyze use of a quasi-likelihood ratio statistic for a mixture model to test the null hypothesis of one regime versus the alternative of two regimes in a Markov regime-switching context. This test exploits mixture properties implied by the regime-switching process, but ignores certain implied serial correlation properties. When formulated in the natural way, the setting is nonstandard, involving nuisance parameters on the boundary of the parameter space, nuisance parameters identified only...
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作者：Crawford, Vincent P.; Iriberri, Nagore
作者单位：University of California System; University of California San Diego; Pompeu Fabra University
摘要：This paper proposes a structural nonequilibrium model of initial responses to incomplete-information games based on level-k thinking, which describes behavior in many experiments with complete-information games. We derive the model's implications in first- and second-price auctions with general information structures, compare them to equilibrium and Eyster and Rabin's (2005) cursed equilibrium, and evaluate the model's potential to explain nonequilibrium bidding in auction experiments. The lev...
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作者：Dekel, Eddie; Lipman, Barton L.; Rustichini, Aldo; Sarver, Todd
作者单位：Northwestern University; Tel Aviv University; Boston University; University of Minnesota System; University of Minnesota Twin Cities
摘要：Dekel, Lipman and Rustichini (2001) (henceforth DER) axiomatically characterized three representations of preferences that allow for a desire for flexibility and/or commitment. In one of these representations (ordinal expected utility), the independence axiom is stated in a weaker form than is necessary to obtain the representation; in another (additive expected utility), the continuity axiom is too weak. In this erratum we provide examples showing that the axioms used by DLR are not sufficien...
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作者：Bossaerts, Peter; Plott, Charles; Zame, William R.
作者单位：California Institute of Technology; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; University of California System; University of California Los Angeles
摘要：Many tests of asset-pricing models address only the pricing predictions, but these pricing predictions rest on portfolio choice predictions that seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices based on unobserved heterogeneity. This approach yields the standard pricing conclusions of classical models but is consistent with very different portfolio choices. Novel econometric tests link the price and portfolio predictions and take into account the ...
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作者：Bajari, Patrick; Benkard, C. Lanier; Levin, Jonathan
作者单位：University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; Stanford University; Stanford University
摘要：We describe a two-step algorithm for estimating dynamic games under the assumption that behavior is consistent with Markov perfect equilibrium. In the first step, the policy functions and the law of motion for the state variables are estimated. In the second step, the remaining structural parameters are estimated using the optimality conditions for equilibrium. The second step estimator is a simple simulated minimum distance estimator. The algorithm applies to a broad class of models, includin...
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作者：Lewbel, Arthur
作者单位：Boston College
摘要：This paper considers identification and estimation of the effect of a mismeasured binary regressor in a nonparametric or serniparametric regression, or the conditional average effect of a binary treatment or policy on some outcome where treatment may be misclassified. Failure to account for misclassification is shown to result in attenuation bias in the estimated treatment effect. An identifying assumption that overcomes this bias is the existence of an instrument for the binary regressor that...
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作者：Fehr, Ernst; Klein, Alexander; Schmidt, Klaus M.
作者单位：University of Zurich; University of Munich
摘要：We show experimentally that fairness concerns may have a decisive impact on the actual and optimal choice of contracts in a moral hazard context. Bonus contracts that offer a voluntary and unenforceable bonus for satisfactory performance provide powerful incentives and are superior to explicit incentive contracts when there are some fair-minded players, but trust contracts that pay a generous wage up front are less efficient than incentive contracts. The principals understand this and predomin...
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作者：Chernozhukov, Victor; Hong, Han; Tamer, Elie
作者单位：Massachusetts Institute of Technology (MIT)
摘要：This paper develops a framework for performing estimation and inference in econometric models with partial identification, focusing particularly on models characterized by moment inequalities and equalities. Applications of this framework include the analysis of game-theoretic models, revealed preference restrictions, regressions with missing and corrupted data, auction models, structural quantile regressions, and asset pricing models. Specifically, we provide estimators and confidence regions...
