-
作者：Han, Jiequn; Yang, Yucheng; Weinan, E.
作者单位：Simons Foundation; Flatiron Institute; University of Zurich; Peking University; Peking University
摘要：We propose an efficient, reliable, and interpretable global solution method, the Deep learning-based algorithm for Heterogeneous Agent Models (DeepHAM), for solving high-dimensional heterogeneous agent models with aggregate shocks. The state distribution is approximately represented by a set of optimal generalized moments. Deep neural networks are used to approximate the value and policy functions, and the objective is optimized over directly simulated paths. In addition to being an accurate g...
-
作者：Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan
作者单位：University of Cambridge; University of Southern California; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Tinbergen Institute; University of California System; University of California San Diego; University of California System; University of California San Diego
摘要：We provide a comprehensive examination of the predictive accuracy of panel forecasting methods based on individual, pooling, fixed effects, and empirical Bayes estimation, and propose optimal weights for forecast combination schemes. We consider linear panel data models, allowing for weakly exogenous regressors and correlated heterogeneity. We quantify the gains from exploiting panel data and demonstrate how forecasting performance depends on the degree of parameter heterogeneity, whether such...
-
作者：Chan, Joshua C. C.; Matthes, Christian; Yu, Xuewen
作者单位：Purdue University System; Purdue University; University of Notre Dame; Fudan University
摘要：Large VARs are increasingly used in structural analysis as a unified framework to study the impacts of multiple structural shocks simultaneously. However, the concurrent identification of multiple shocks using sign and ranking restrictions poses significant practical challenges to the point where existing algorithms cannot be used with such large VARs. To address this, we introduce a new numerically efficient algorithm that facilitates the estimation of impulse responses and related measures i...
-
作者：Aastveit, Knut Are; Bjornland, Hilde C.; Gundersen, Thomas S.
作者单位：Norges Bank; BI Norwegian Business School
摘要：We show that U.S. shale oil producers exhibit a high degree of short-run price responsiveness, primarily through the timing of well completions and refracturing. Using a novel monthly well-level panel covering over 120,000 shale wells across ten states from 2005 to 2019, we document significant supply adjustments to price signals. The response varies significantly across states and firm types, highlighting the importance of accounting for micro-level heterogeneity in production behavior. Mecha...
-
作者：Allen, Roy; Rehbeck, John
作者单位：Western University (University of Western Ontario); University System of Ohio; Ohio State University
摘要：This paper studies approximation error in the quasilinear utility model. Error arises because individuals do not perfectly optimize, and instead satisfice. We investigate the consequences of individual satisficing for modeling aggregate demand, providing an approximate aggregation theorem. We present a simple method for statistical inference on the minimal level of satisficing needed to explain aggregate data. In an illustrative application to scanner panel data, we find that individual-level ...
-
作者：Blundell, Richard; Gu, Ran; Leth-petersen, Soren; Low, Hamish; Meghir, Costas
作者单位：Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science
摘要：Private information on car quality means the sale price reflects the average quality of cars sold, which can be lower than the average quality in the population. This difference is the lemons penalty imposed on holders of high-quality cars. We estimate the evolution of the lemons penalty through an equilibrium model of car ownership with private information using Danish linked registry data on car ownership, income, and wealth. We examine the aggregate implications and distributional consequen...
-
作者：Carroll, Christopher D.; Crawley, Edmund; Du, William; Frankovic, Ivan; Tretvoll, Hakon
作者单位：Johns Hopkins University; Federal Reserve System - USA; Federal Reserve System Board of Governors; Deutsche Bundesbank; Statistics Norway; BI Norwegian Business School; BI Norwegian Business School
摘要：Using a heterogeneous agent model calibrated to match spending dynamics over four years following an income shock (Fagereng, Holm, and Natvik (2021)), we assess the effectiveness of three fiscal stimulus policies implemented during recent recessions. Unemployment insurance (UI) extensions are the bang for the buck winner when the metric is effectiveness in boosting utility. Stimulus checks are second-best and have two advantages (over UI): they arrive faster, and are scalable. A temporary (two...
-
作者：Del Bono, Emilia; Kinsler, Josh; Pavan, Ronni
作者单位：University of Essex; University System of Georgia; University of Georgia; University of Rochester
摘要：This paper develops a framework to address issues of contamination in parent-reported measures of child noncognitive skills. We estimate a dynamic model in which child and parental skills evolve jointly and leverage information provided by teachers and interviewers to deal with contamination of parent-reported measures. The model also allows us to examine the relative importance of mothers and fathers in the evolution of child skills. Our findings reveal that ignoring contamination significant...
-
作者：Bjornland, Hilde C.; Chang, Yoosoon; Cross, Jamie L.
作者单位：BI Norwegian Business School; Indiana University Bloomington; Indiana University System; Indiana University Bloomington; University of Melbourne
摘要：This paper proposes a new mixed vector autoregression (MVAR) model to examine the relationship between aggregate time series and functional variables in a multivariate setting. The model facilitates a reexamination of the oil-stock price nexus by estimating the effects of demand and supply shocks from the global market for crude oil on the entire distribution of U.S. stock returns since the late 1980s. We show that the MVAR effectively extracts information from the returns distribution that is...
-
作者：Freyaldenhoven, Simon
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：Linear factor models are generally not identified. We provide sufficient conditions for identification: Under a natural sparsity assumption (the presence of local factors that affect only subsets of observables), the true loading matrix is the sparsest rotation and can be recovered by minimizing the & ell; 1-norm of the loading matrix. This enables economically meaningful interpretation of the individual factors. More generally, our & ell; 1-rotation criterion offers a novel approach to simpli...
