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作者：Chatterjee, Satyajit; Corbae, Dean; Nakaiima, Makoto; Rios-Rull, Jose-Victor
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Texas System; University of Texas Austin; University of Illinois System; University of Illinois Urbana-Champaign; University of Pennsylvania; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Minnesota System; University of Minnesota Twin Cities
摘要：We study, theoretically and quantitatively, the general equilibrium of an economy in which households smooth consumption by means of both a riskless asset and unsecured loans with the option to default. The default option resembles a bankruptcy filing under Chapter 7 of the U.S. Bankruptcy Code. Competitive financial intermediaries offer a menu of loan sizes and interest rates wherein each loan makes zero profits. We prove the existence of a steady-state equilibrium and characterize the circum...
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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：Phillips, Peter C. B.; Sul, Donggyu
作者单位：Yale University; University of Auckland; University of York - UK; University of Auckland
摘要：A new panel data model is proposed to represent the behavior of economies in transition, allowing for a wide range of possible time paths and individual heterogeneity. The model has both common and individual specific components, and is formulated as a nonlinear time varying factor model. When applied to a micro panel, the decomposition provides flexibility in idiosyncratic behavior over time and across section, while retaining some commonality across the panel by means of an unknown common gr...
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作者：Blundell, Richard; Chen, Xiaohong; Kristensen, Dennis
作者单位：University of London; University College London; Yale University; Columbia University
摘要：This paper studies a shape-invariant Engel curve system with endogenous total expenditure, in which the shape-invariant specification involves a common shift parameter for each demographic group in a pooled system of nonparametric Engel curves. We focus on the identification and estimation of both the nonparametric shapes of the Engel curves and the parametric specification of the demographic scaling parameters. The identification condition relates to the bounded completeness and the estimatio...
