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作者：Horowitz, JL
作者单位：Northwestern University
摘要：The block bootstrap is the best known bootstrap method for time-series data when the analyst does not have a parametric model that reduces the data generation process to simple random sampling. However, the errors made by the block bootstrap converge to zero only slightly faster than those made by first-order asymptotic approximations. This paper describes a bootstrap procedure for data that are generated by a Markov process or a process that can be approximated by a Markov process with suffic...
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作者：Kubler, F; Schmedders, K
作者单位：Stanford University; Northwestern University
摘要：We consider an infinite-horizon exchange economy with incomplete markets and collateral constraints. As in the two-period model of Geanakoplos and Zame (2002), households can default on their liabilities at any time, and financial securities are only traded if the promises associated with these securities are backed by collateral. We examine an economy with a single perishable consumption good, where the only collateral available consists of productive assets. In this model, competitive equili...
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作者：Burdett, K; Coles, M
作者单位：University of Essex; University of Pennsylvania; Consejo Superior de Investigaciones Cientificas (CSIC); CSIC - Institut d'Analisi Economica (IAE)
摘要：In this study we consider a labor market matching model where firms post wage-tenure contracts and workers, both employed and unemployed, search for new job opportunities. Given workers are risk averse, we establish there is a unique equilibrium in the environment considered. Although firms in the market make different offers in equilibrium, all post a wage-tenure contract that implies a worker's wage increases smoothly with tenure at the firm. As firms make different offers, there is job turn...
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作者：Ruszczynski, A; Vanderbei, RJ
作者单位：Rutgers University System; Rutgers University New Brunswick; Princeton University
摘要：We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose mean-risk models that are solvable by linear programming and generate portfolios whose returns are nondominated in the sense of second-order stochastic dominance. Next, we develop a specialized parametric method for recovering the entire mean-risk efficient frontiers of these models and we illustrate its operation on a large data set involving tho...
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作者：Robinson, PM; Hualde, J
摘要：Cointegrated bivariate nonstationary time series are considered in a fractional context, without allowance for deterministic trends. Both the observable series and the cointegrating error can be fractional processes. The familiar situation in which the respective integration orders are I and 0 is nested, but these values have typically been assumed known. We allow one or more of them to be unknown real values, in which case Robinson and Marinucci (2001, 2003) have justified least squares estim...
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作者：Ai, CR; Chen, XH
作者单位：State University System of Florida; University of Florida; New York University
摘要：We propose an estimation method for models of conditional moment restrictions, which contain finite dimensional unknown parameters (theta) and infinite dimensional unknown functions (h). Our proposal is to approximate h with a sieve and to estimate theta and the sieve parameters jointly by applying the method of minimum distance. We show that: (i) the sieve estimator of h is consistent with a rate faster than n(-1/4) under certain metric; (ii) the estimator of theta is rootn consistent and asy...
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作者：Barrett, GF; Donald, SG
作者单位：University of New South Wales Sydney; University of Texas System; University of Texas Austin
摘要：Methods are proposed for testing stochastic dominance of any pre-specified order, with primary-interest in the distributions of income. We consider consistent tests, that are similar to Kolmogorov-Smirnov tests, of the complete set of restrictions that relate to the various forms of stochastic dominance. For such tests, in the case of tests for stochastic dominance beyond first order, we propose and justify a variety of approaches to inference based on simulation and the bootstrap. We compare ...
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作者：Prat, A; Rustichini, A
作者单位：University of London; London School Economics & Political Science; University of London; London School Economics & Political Science; University of Minnesota System; University of Minnesota Twin Cities
摘要：We introduce a game of complete information with multiple principals and multiple common agents. Each agent makes a decision that can affect the payoffs of all principals. Each principal offers monetary transfers to each agent conditional on the action taken by the agent. We characterize pure-strategy equilibria and we provide conditions-in terms of game balancedness-for the existence of an equilibrium with an efficient outcome. Games played through agents display a type of strategic inefficie...
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作者：Benaïm, M; Weibull, JW
作者单位：CY Cergy Paris Universite; Boston University
摘要：This paper provides deterministic approximation results for stochastic processes that arise when finite populations recurrently play finite games. The processes are Markov chains, and the approximation is defined in continuous time as a system of ordinary differential equations of the type studied in evolutionary game theory. We establish precise connections between the long-run behavior of the discrete stochastic process, for large populations, and its deterministic flow approximation. In par...
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作者：Geweke, J; Gowrisankaran, G; Town, RJ
作者单位：University of Iowa; University of Iowa; Harvard University; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities
摘要：This paper develops new econometric methods to infer hospital quality in a model with discrete dependent variables and nonrandom selection. Mortality rates in patient discharge records are widely used to infer hospital quality. However, hospital admission is not random and some hospitals may attract patients with greater unobserved severity of illness than others. In this situation the assumption of random admission leads to spurious inference about hospital quality. This study controls for ho...
