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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：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：Chattopadhyay, R; Duflo, E
作者单位：Indian Institute of Management (IIM System); Indian Institute of Management Calcutta; Massachusetts Institute of Technology (MIT)
摘要：This paper uses political reservations for women in India to study the impact of women's leadership on policy decisions. Since the mid-1990's, one third of Village Council head positions in India have been randomly reserved for a woman: In these councils only women could be elected to the position of head. Village Councils are responsible for the provision of many local public goods in rural areas. Using a dataset we collected on 265 Village Councils in West Bengal and Rajasthan, we compare th...
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作者：Domínguez, MA; Lobato, IN
作者单位：Instituto Tecnologico Autonomo de Mexico
摘要：In econometrics, models stated as conditional moment restrictions are typically estimated by means of the generalized method of moments (GMM). The GMM estimation procedure can render inconsistent estimates since the number of arbitrarily chosen instruments is finite. In fact, consistency of the GMM estimators relies on additional assumptions that imply unclear restrictions on the data generating process. This article introduces a new, simple and consistent estimation procedure for these models...
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作者：Fiorentini, G; Sentana, E; Shephard, N
作者单位：University of Florence; University of Oxford
摘要：GARCH models are commonly used as latent processes in econometrics, financial economics, and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation of a classical estimator via the simulated EM algorithm or a Bayesian solution in O(T) computational operations, where T denotes the sample size. We assess the performance of our proposed algorithm in...
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作者：Hong, YM; Kao, CW
作者单位：Cornell University; Cornell University; Tsinghua University; Syracuse University; Syracuse University
摘要：Wavelet analysis is a new mathematical method developed as a unified field of science over the last decade or so. As a spatially adaptive analytic tool, wavelets are useful for capturing serial correlation where the spectrum has peaks or kinks, as can arise from persistent dependence, seasonality, and other kinds of periodicity. This paper proposes a new class of generally applicable wavelet-based tests for serial correlation of unknown form in the estimated residuals of a panel regression mod...
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作者：Collin-Dufresne, P; Goldstein, R; Hugonnier, J
作者单位：University of California System; University of California Berkeley; University of Minnesota System; University of Minnesota Twin Cities; University of Lausanne
摘要：Previous research has shown that under a suitable no-jump condition, the price of a defaultable security is equal to its risk-neutral expected discounted cash flows if a modified discount rate is introduced to account for the possibility of default. Below, we generalize this result by demonstrating that one can always value defaultable claims using expected risk-adjusted discounting provided that the expectation is taken under a slightly modified probability measure. This new probability measu...
