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作者：Duclos, JY; Esteban, J; Ray, D
作者单位：Laval University; Laval University; Consejo Superior de Investigaciones Cientificas (CSIC); CSIC - Institut d'Analisi Economica (IAE); Autonomous University of Barcelona; Pompeu Fabra University; New York University
摘要：We develop the measurement theory of polarization for the case in which income distributions can be described using density functions. The main theorem uniquely characterizes a class of polarization measures that fits into what we call the identity-alienation framework, and simultanously satisfies a set of axioms. Second, we provide sample estimators of population polarization indices that can be used to compare polarization across time or entities. Distribution-free statistical inference resu...
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作者：Lee, LF
作者单位：University System of Ohio; Ohio State University
摘要：This paper investigates asymptotic properties of the maximum likelihood estimator and the quasi-maximum likelihood estimator for the spatial autoregressive model. The rates of convergence of those estimators may depend on some general features of the spatial weights matrix of the model. It is important to make the distinction with different spatial scenarios. Under the scenario that each unit will be influenced by only a few neighboring units, the estimators may have rootn-rate of convergence ...
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作者：Heinemann, F; Nagel, R; Ockenfels, P
作者单位：University of Munich; Pompeu Fabra University
摘要：The theory of global games has shown that coordination games with multiple equilibria may have a unique equilibrium if certain parameters of the payoff function are private information instead of common knowledge. We report the results of an experiment designed to test the predictions of this theory. Comparing sessions with common and private information, we observe only small differences in behavior. For common information, subjects coordinate on threshold strategies that deviate from the glo...
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作者：Bogomolnaia, A; Moulin, H
作者单位：Rice University
摘要：We consider bilateral matching problems where each person views those on the other side of the market as either acceptable or unacceptable: an acceptable mate is preferred to remaining single, and the latter to an unacceptable mate; all acceptable mates are welfare-wise identical. Using randomization, many efficient and fair matching methods define strategyproof revelation mechanisms. Randomly selecting a priority ordering of the participants is a simple example. Equalizing as much as possible...
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作者：Chernozhukov, V; Hong, A
作者单位：Massachusetts Institute of Technology (MIT); Duke University
摘要：We study inference in structural models with a jump in the conditional density, where location and size of the jump are described by regression curves. Two prominent examples are auction models, where the bid density jumps from zero to a positive value at the lowest cost, and equilibrium job-search models, where the wage density jumps from one positive level to another at the reservation wage. General inference in such models remained a long-standing, unresolved problem, primarily due to nonre...
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作者：Bai, JS; Ng, S
作者单位：New York University; University of Michigan System; University of Michigan
摘要：This paper develops a new methodology that makes use of the factor structure of large dimensional panels to understand the nature of nonstationarity in the data. We refer to it as PANIC-Panel Analysis of Nonstationarity in Idiosyncratic and Common components. PANIC can detect whether the nonstationarity in a series is pervasive, or variable-specific, or both. It can determine the number of independent stochastic trends driving the common factors. PANIC also permits valid pooling of individual ...
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作者：Back, K; Baruch, S
作者单位：Washington University (WUSTL); Utah System of Higher Education; University of Utah
摘要：This paper analyzes models of securities markets with a single strategic informed trader and competitive market makers. In one version, uninformed trades arrive as a Brownian motion and market makers see only the order imbalance, as in Kyle (1985). In the other version, uninformed trades arrive as a Poisson process and market makers see individual trades. This is similar to the Glosten-Milgrom (1985) model, except that we allow the informed trader to optimize his times of trading. We show ther...
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作者：Jensen, ST; Rahbek, A
作者单位：University of Copenhagen
摘要：We establish consistency and asymptotic normality of the quasi-maximum likelihood estimator in the linear ARCH model. Contrary to the existing literature, we allow the parameters to be in the region where no stationary version of the process exists. This implies that the estimator is always asymptotically normal.
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作者：Gul, F; Pesendorfer, W
作者单位：Princeton University
摘要：To study the behavior of agents who are susceptible to temptation in infinite horizon consumption problems under uncertainty, we define and characterize dynamic self-control (DSC) preferences. DSC preferences are recursive and separable. In economies with DSC agents, equilibria exist but may be inefficient; in such equilibria, steady state consumption is independent of initial endowments and increases in self-control. Increasing the preference for commitment while keeping self-control constant...
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作者：Schennach, SM
作者单位：University of Chicago
摘要：This paper presents a solution to an important econometric problem, namely the root n consistent estimation of nonlinear models with measurement errors in the explanatory variables, when one repeated observation of each mismeasured regressor is available. While a root n consistent estimator has been derived for polynomial specifications (see Hausman, Ichimura, Newey, and Powell (1991)), such an estimator for general nonlinear specifications has so far not been available. Using the additional i...
