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作者：Kubler, Felix
作者单位：University of Pennsylvania
摘要：In this paper I demonstrate how one can generalize finitely many examples to statements about (infinite) classes of economic models. If there exist upper bounds on the number of connected components of one-dimensional linear subsets of the set of parameters for which a conjecture is true, one can conclude that it is correct for all parameter values in the class considered, except for a small residual set, once one has verified the conjecture for a predetermined finite set of points. I show how...
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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：Angeletos, George-Marios; Pavan, Alessandro
作者单位：Massachusetts Institute of Technology (MIT); Northwestern University; National Bureau of Economic Research
摘要：This paper analyzes equilibrium and welfare for a tractable class of economies (games) that have externalities, strategic complementarity or substitutability, and heterogeneous information. First, we characterize the equilibrium use of information: complementarity heightens the sensitivity of equilibrium actions to public information, raising aggregate volatility, whereas substitutability heightens the sensitivity to private information, raising cross-sectional dispersion. Next, we define and ...
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作者：Milgrom, Paul
作者单位：Stanford University
摘要：We report recent advances concerning the package allocation problem, in which traders seek to buy or sell combinations of goods. The problems are most difficult when some goods are not substitutes. In that case, competitive equilibrium typically fail to exist but the core is non-empty and comprises the competitive solutions. Also in that case, the Vickrey auction fails to select core allocations and yield revenues that are less than competitive. The Ausubel-Milgrom auction generally selects co...
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作者：Golosov, Mikhail; Jones, Larry E.; Tertilt, Michele
作者单位：Massachusetts Institute of Technology (MIT); University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; Stanford University
摘要：In this paper, we generalize the notion of Pareto efficiency to make it applicable to environments with endogenous populations. Two efficiency concepts are proposed: -efficiency and -efficiency. The two concepts differ in how they treat potential agents that are not born. We show that these concepts are closely related to the notion of Pareto efficiency when fertility is exogenous. We prove a version of the first welfare theorem for Barro-Becker type fertility choice models and discuss how thi...
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作者：Horowitz, Joel L.; Lee, Sokbae
作者单位：Northwestern University; University of London; University College London
摘要：We consider nonparametric estimation of a regression function that is identified by requiring a specified quantile of the regression error conditional on an instrumental variable to be zero. The resulting estimating equation is a nonlinear integral equation of the first kind, which generates an ill-posed inverse problem. The integral operator and distribution of the instrumental variable are unknown and must be estimated nonparametrically. We show that the estimator is mean-square consistent, ...
