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作者：Bai, Jushan
作者单位：New York University; Tsinghua University; Central University of Finance & Economics
摘要：This paper considers large N and large T panel data models with unobservable multiple interactive effects, which are correlated with the regressors. In earnings studies, for example, workers' motivation, persistence, and diligence combined to influence the earnings in addition to the usual argument of innate ability. In macroeconomics, interactive effects represent unobservable common shocks and their heterogeneous impacts on cross sections. We consider identification, consistency, and the lim...
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作者：Lagos, Ricardo; Rocheteau, Guillaume
作者单位：New York University; University of California System; University of California Irvine; Federal Reserve System - USA; Federal Reserve Bank - Cleveland
摘要：We develop a search-theoretic model of financial intermediation in an over-the-counter market and study how trading frictions affect the distribution of asset holdings and standard measures of liquidity. A distinctive feature of our theory is that it allows for unrestricted asset holdings, so market participants can accommodate trading frictions by adjusting their asset positions. We show that these individual responses of asset demands constitute a fundamental feature of illiquid markets: the...
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作者：Guerrieri, Veronica; Lorenzoni, Guido
作者单位：University of Chicago; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：In this paper, we build a model where the presence of liquidity constraints tends to magnify the economy's response to aggregate shocks. We consider a decentralized model of trade, where agents may use money or credit to buy goods. When agents do not have access to credit and the real value of money balances is low, agents are more likely to be liquidity constrained. This makes them more concerned about their short-term earning prospects when making their consumption decisions and about their ...
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作者：Hu, Yingyao; Schennach, Susanne M.
作者单位：Johns Hopkins University; University of Chicago
摘要：While the literature on nonclassical measurement error traditionally relies on the availability of an auxiliary data set containing correctly measured observations, we establish that the availability of instruments enables the identification of a large class of nonclassical nonlinear errors-in-variables models with continuously distributed variables. Our main identifying assumption is that, conditional on the value of the true regressors, some measure of location of the distribution of the mea...
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作者：Jia, Panle
作者单位：Massachusetts Institute of Technology (MIT)
摘要：In the past few decades multistore retailers, especially those with 100 or more stores, have experienced substantial growth. At the same time, there is widely reported public outcry over the impact of these chain stores on other retailers and local communities. This paper develops an empirical model to assess the impact of chain stores on other discount retailers and to quantify the size of the scale economies within a chain. The model has two key features. First, it allows for flexible compet...
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作者：Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil
作者单位：Aarhus University; CREATES; Aarhus University; Stanford University; Aarhus University; University of Oxford; University of Oxford
摘要：This paper shows how to use realized kernels to carry out efficient feasible inference on the ex post variation of underlying equity prices in the presence of simple models of market frictions. The weights can be chosen to achieve the best possible rate of convergence and to have an asymptotic variance which equals that of the maximum likelihood estimator in the parametric version of this problem. Realized kernels can also be selected to (i) be analyzed using endogenously spaced data such as t...
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作者：Feinberg, Yossi; Stewart, Colin
作者单位：Stanford University; University of Toronto
摘要：We consider a cross-calibration test of predictions by multiple potential experts in a stochastic environment. This test checks whether each expert is calibrated conditional on the predictions made by other experts. We show that this test is good in the sense that a true expert-one informed of the true distribution of the process-is guaranteed to pass the test no matter what the other potential experts do, and false experts will fail the test on all but a small (category I) set of true distrib...
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作者：Athey, Susan; Bagwell, Kyle
作者单位：Harvard University; Columbia University; Columbia University; National Bureau of Economic Research
摘要：We consider a dynamic Bertrand game in which prices are publicly observed and each firm receives a privately observed cost shock in each period. Although cost shocks are independent across firms, within a firm costs follow a first-order Markov process. We analyze the set of collusive equilibria available to firms, emphasizing the best collusive scheme for the firms at the start of the game. In general, there is a trade-off between productive efficiency, whereby the low-cost firm serves the mar...
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作者：Graham, Bryan S.
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research
摘要：This paper proposes a new method for identifying social interactions using conditional variance restrictions. The method provides a consistent estimate of the social multiplier when social interactions take the linear-in-means form (Manski (1993)). When social interactions are not of the linear-in-means form, the estimator, under certain conditions, continues to form the basis of a consistent test of the no social interactions null with correct large sample size. The methods are illustrated us...
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作者：Bellemare, Charles; Kroeger, Sabine; Van Soest, Arthur
作者单位：Laval University; Tilburg University
摘要：We combine choice data in the ultimatum game with the expectations of proposers elicited by subjective probability questions to estimate a structural model of decision making under uncertainty. The model, estimated using a large representative sample of subjects from the Dutch population, allows both nonlinear preferences for equity and expectations to vary across socioeconomic groups. Our results indicate that inequity aversion to one's own disadvantage is an increasing and concave function o...
