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作者：Guvenen, Fatih
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：I study asset prices in a two-agent macroeconomic model with two key features: limited stock market participation and heterogeneity in the elasticity of intertemporal substitution in consumption (EIS). The model is consistent with some prominent features of asset prices, such as a high equity premium, relatively smooth interest rates, procyclical stock prices, and countercyclical variation in the equity premium, its volatility, and in the Sharpe ratio. In this model, the risk-free asset market...
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作者：Guerre, Emmanuel; Perrigne, Isabelle; Vuong, Quang
作者单位：University of London; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：This paper studies the nonparametric identification of the first-price auction model with risk averse bidders within the private value paradigm. First, we show that the benchmark model is nonindentified from observed bids. We also derive the restrictions imposed by the model on observables and show that these restrictions are weak. Second, we establish the nonparametric identification of the bidders' utility function under exclusion restrictions. Our primary exclusion restriction takes the for...
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作者：Firpo, Sergio; Fortin, Nicole M.; Lemieux, Thomas
作者单位：Getulio Vargas Foundation; Canadian Institute for Advanced Research (CIFAR); University of British Columbia
摘要：We propose a new regression method to evaluate the impact of changes in the distribution of the explanatory variables on quantiles of the unconditional (marginal) distribution of an outcome variable. The proposed method consists of running a regression of the (recentered) influence function (RIF) of the unconditional quantile on the explanatory variables. The influence function, a widely used tool in robust estimation, is easily computed for quantiles, as well as for other distributional stati...
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作者：Karni, Edi
作者单位：Johns Hopkins University
摘要：This paper describes a direct revelation mechanism for eliciting agents' subjective probabilities. The game induced by the mechanism has a dominant strategy equilibrium in which the players reveal their subjective probabilities.
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作者：Andreoni, James; Bernheim, B. Douglas
作者单位：University of California System; University of California San Diego; National Bureau of Economic Research; Stanford University
摘要：A norm of 50-50 division appears to have considerable force in a wide range of economic environments. both In the real world and in the laboratory. Even in settings where one party unilaterally determines the allocation of a prize (the dictator game). many subjects voluntarily cede exactly half to another individual The hypothesis that people care about fairness does not by itself account for key experimental patterns. We consider :in alternative explanation, which adds the hypothesis that peo...
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作者：Ellison, Glenn; Ellison, Sara Fisher
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We examine the competition between a group of Internet retailers who operate in an environment where a price search engine plays a dominant role. We show that for some products in this environment, the easy price search makes demand tremendously price-sensitive. Retailers, though, engage in obfuscation-practices that frustrate consumer search or make it less damaging to firms-resulting in much less price sensitivity on some other products. We discuss several models of obfuscation and examine i...
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作者：Kasahara, Hiroyuki; Shimotsu, Katsumi
作者单位：Western University (University of Western Ontario); Queens University - Canada
摘要：In dynamic discrete choice analysis, controlling for unobserved heterogeneity is an important issue, and finite mixture models provide flexible ways to account for it. This paper studies nonparametric identifiability of type probabilities and type-specific component distributions in finite mixture models of dynamic discrete choices. We derive sufficient conditions for nonparametric identification for various finite mixture models of dynamic discrete choices used in applied work under different...
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作者：Riedel, Frank
作者单位：University of Bielefeld
摘要：We develop a theory of optimal stopping under Knightian uncertainty. A suitable martingale theory for multiple priors is derived that extends the classical dynamic programming or Snell envelope approach to multiple priors. We relate the multiple prior theory to the classical setup via a minimax theorem. In a multiple prior version of the classical model of independent and identically distributed random variables, we discuss several examples from microeconomics, operation research, and finance....
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作者：Imbens, Guido W.; Newey, Whitney K.
作者单位：Harvard University; Massachusetts Institute of Technology (MIT)
摘要：This paper uses control variables to identify and estimate models with nonseparable, multidimensional disturbances Triangular simultaneous equations models are considered, with instruments and disturbances that arc independent and it reduced form that is strictly monotonic in it scalar disturbance. Here it is shown that the conditional cumulative distribution function of the endogenous variable given the instruments is a control variable Also, for any control variable, identification results a...
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作者：Norets, Andriy
作者单位：Princeton University
摘要：This paper develops a method for inference in dynamic discrete choice models with serially correlated unobserved state variables. Estimation of these models involves computing high-dimensional integrals that are present in the solution to the dynamic program and in the likelihood function. First, the paper proposes it Bayesian Markov chain Monte Carlo estimation procedure that can handle the problem of multidimensional integration in the likelihood function. Second, the paper presents an effic...
