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作者：Anatolyev, S
作者单位：New Economic School
摘要：For stationary time series models with serial correlation, we consider generalized method of moments (GMM) estimators that use heteroskedasticity and autocorrelation consistent (HAC) positive definite weight matrices and generalized empirical likelihood (GEL) estimators based on smoothed moment conditions. Following the analysis of Newey and Smith (2004) for independent observations, we derive second order asymptotic biases of these estimators. The inspection of bias expressions reveals that t...
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作者：Rigotti, L; Shannon, C
作者单位：Duke University; University of California System; University of California Berkeley
摘要：This paper considers a general equilibrium model in which the distinction between uncertainty and risk is formalized by assuming agents have incomplete preferences over state-contingent consumption bundles, as in Bewley (1986). Without completeness, individual decision making depends on a set of probability distributions over the state space. A bundle is preferred to another if and only if it has larger expected utility for all probabilities in this set. When preferences are complete this set ...
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作者：Heckman, JJ; Vytlacil, E
作者单位：University of Chicago; Stanford University
摘要：This paper uses the marginal treatment effect (MTE) to unify the nonparametric literature on treatment effects with the econometric literature on structural estimation using a nonparametric analog of a policy invariant parameter; to generate a variety of treatment effects from a common serniparametric functional form; to organize the literature on alternative estimators; and to explore what policy questions commonly used estimators in the treatment effect literature answer. A fundamental asymm...
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作者：Feinberg, Y; Skrzypacz, A
作者单位：Stanford University
摘要：We study a one-sided offers bargaining game in which the buyer has private information about the value of the object and the seller has private information about his beliefs about the buyer's valuation. We show that this uncertainty about uncertainties dramatically changes the set of outcomes. In particular, second order beliefs can lead to a delay in reaching agreement even when the seller makes frequent offers. We show that not all types of second order beliefs lead to a delay. When the buye...
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作者：Falk, A; Fehr, E; Fischbacher, U
作者单位：IZA Institute Labor Economics; University of Bonn; University of Zurich
摘要：This paper investigates the driving forces behind informal sanctions in cooperation games and the extent to which theories of fairness and reciprocity capture these forces. We find that cooperators' punishment is almost exclusively targeted toward the defectors, but the latter also impose a considerable amount of spiteful punishment on the cooperators. However, spiteful punishment vanishes if the punishers can no longer affect the payoff differences between themselves and the punished individu...
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作者：Dufour, JM; Taamouti, M
作者单位：Universite de Montreal; Universite de Montreal; Universite de Montreal
摘要：It is well known that standard asymptotic theory is not applicable or is very unreliable in models with identification problems or weak instruments. One possible way out consists of using a variant of the Anderson-Rubin ((1949), AR) procedure. The latter allows one to build exact tests and confidence sets only for the full vector of the coefficients of the endogenous explanatory variables in a structural equation, but not for individual coefficients. This problem may in principle be overcome b...
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作者：Linton, O; Mammen, E
作者单位：University of London; London School Economics & Political Science; University of Mannheim
摘要：We investigate a class of semiparametric ARCH(infinity) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the news impact function. We show that the functional part of the model satisfies a type II linear integral equation and give simple conditions under which there is a unique solution. We propose an estimation method that is based on kernel smo...
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作者：Pinkse, J; Tan, GF
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Southern California
摘要：We study the monotonicity of the equilibrium bid with respect to the number of bidders n in affiliated private-value models of first-price sealed-bid auctions and prove the existence of a large class of such models in which the equilibrium bid function is not increasing in n. We moreover decompose the effect of a change in n on the bid level into a competition effect and an affiliation effect. The latter suggests to the winner of the auction that competition is less intense than she had though...
