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作者：Cripps, MW; Swinkels, JM
作者单位：Washington University (WUSTL)
摘要：We consider large double auctions with private values. Values need be neither symmetric nor independent. Multiple units may be owned or desired. Participation may be stochastic. We introduce a very mild notion of a little independence. We prove that all nontrivial equilibria of auctions that satisfy this notion are asymptotically efficient. For any alpha > 0, inefficiency disappears at rate 1/n(2-alpha).
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作者：Gul, F; Pesendorfer, W
作者单位：Princeton University
摘要：We develop and analyze a model of random choice and random expected utility. A decision problem is a finite set of lotteries that describe the feasible choices. A random choice rule associates with each decision problem a probability measure over choices. A random utility function is a probability measure over von Neumann-Morgenstern utility functions. We show that a random choice rule maximizes some random utility function if and only if it is mixture continuous, monotone (the probability tha...
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作者：Fernández-Villaverde, JF; Rubio-Ramírez, JF; Santos, MS
作者单位：University of Pennsylvania; Arizona State University; Arizona State University-Tempe; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, their policy functions are approximated by numerical methods. Hence, the researcher can only evaluate an approximated likelihood associated with the approximated policy function rather than the exact likelihood implied by the exact policy function. What are the consequences for inference of the use of approximated likelihoods? First, we find conditions under which, as the a...
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作者：Han, C; Phillips, PCB
作者单位：Victoria University Wellington; Yale University; University of Auckland; University of York - UK
摘要：This paper provides a first order asymptotic theory for generalized method of moments (GMM) estimators when the number of moment conditions is allowed to increase with the sample size and the moment conditions may be weak. Examples in which these asymptotics are relevant include instrumental variable (IV) estimation with many (possibly weak or uninformed) instruments and some panel data models that cover moderate time spans and have correspondingly large numbers of instruments. Under certain r...
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作者：Heifetz, A; Neeman, Z
作者单位：Open University Israel; Boston University; Hebrew University of Jerusalem; Hebrew University of Jerusalem
摘要：A number of studies, most notably Cremer and McLean (1985, 1988), have shown that in generic type spaces that admit a common prior and are of a fixed finite size, an uninformed seller can design mechanisms that extract all the surplus from privately informed bidders. We show that this result hinges on the nonconvexity of such a family of priors. When the ambient family of priors is convex, generic priors do not allow for full surplus extraction provided that for at least one prior in this fami...
