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作者：Angeletos, George-Marios; Hellwig, Christian; Pavan, Alessandro
摘要：Global games of regime change-coordination games of incomplete information in which a status quo is abandoned once a sufficiently large fraction of agents attack it-have been used to study crises phenomena such as currency attacks, bank runs, debt crises, and political change. We extend the static benchmark examined in the literature by allowing agents to take actions in many periods and to learn about the underlying fundamentals over time. We first provide a simple recursive algorithm for the...
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作者：Das, Sanghamitra; Roberts, Mark J.; Tybout, James R.
摘要：As the exchange rate, foreign demand, and production costs evolve, domestic producers are continually faced with two choices: whether to be an exporter and, if so, how much to export. We develop a dynamic structural model of export supply that characterizes these two decisions. The model embodies plant-level heterogeneity in export profits, uncertainty about the determinants of future profits, and market entry costs for new exporters. Using a Bayesian Monte Carlo Markov chain estimator, we fit...
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作者：Mikusheva, Anna
作者单位：Massachusetts Institute of Technology (MIT)
摘要：The purpose of this paper is to provide theoretical justification for some existing methods for constructing confidence intervals for the sum of coefficients in autoregressive models. We show that the methods of Stock (1991), Andrews (1993), and Hansen (1999) provide asymptotically valid confidence intervals, whereas the subsampling method of Romano and Wolf (2001) does not. In addition, we generalize the three valid methods to a larger class of statistics. We also clarify the difference betwe...
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作者：Kubler, Felix
作者单位：University of Pennsylvania
摘要：In this paper I demonstrate how one can generalize finitely many examples to statements about (infinite) classes of economic models. If there exist upper bounds on the number of connected components of one-dimensional linear subsets of the set of parameters for which a conjecture is true, one can conclude that it is correct for all parameter values in the class considered, except for a small residual set, once one has verified the conjecture for a predetermined finite set of points. I show how...
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作者：Sannikov, Yuliy
作者单位：University of California System; University of California Berkeley
摘要：This paper investigates a new class of two-player games in continuous time, in which the players' observations of each other's actions are distorted by Brownian motions. These games are analogous to repeated games with imperfect monitoring in which the players take actions frequently. Using a differential equation, we find the set epsilon(r) of payoff pairs achievable by all public perfect equilibria of the continuous-time game, where r is the discount rate. The same differential equation allo...
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作者：Vytlacil, Edward; Yildiz, Nese
摘要：In this paper, we consider the nonparametric identification and estimation of the average effect of a dummy endogenous regressor in models where the regressors are weakly but not additively separable from the error term. The model is not required to be strictly increasing in the error term, and the class of models considered includes limited dependent variable models such as discrete choice models. Conditions are established conditions under which it is possible to identify the average effect ...
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作者：Weinstein, Jonathan; Yildiz, Muhamet
作者单位：Northwestern University; Massachusetts Institute of Technology (MIT)
摘要：Rationalizability is a central solution concept of game theory. Economic models often have many rationalizable outcomes, motivating economists to use refinements of rationalizabitity, including equilibrium refinements. In this paper we try to achieve a general understanding of when this multiplicity occurs and how one should deal with it. Assuming that the set of possible payoff functions and belief structures is sufficiently rich, we establish a revealing structure of the correspondence of be...
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作者：Lobato, Ignacio N.; Velasco, Carlos
作者单位：Instituto Tecnologico Autonomo de Mexico; Universidad Carlos III de Madrid
摘要：In this article we introduce efficient Wald tests for testing the null hypothesis of the unit root against the alternative of the fractional unit root. In a local alternative framework, the proposed tests are locally asymptotically equivalent to the optimal Robinson Lagrange Multiplier tests. Our results contrast with the tests for fractional unit roots, introduced by Dolado, Gonzalo, and Mayoral, which are inefficient. In the presence of short range serial correlation, we propose a simple and...
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作者：Cho, Jin Seo; White, Halbert
作者单位：Victoria University Wellington; University of California System; University of California San Diego
摘要：We analyze use of a quasi-likelihood ratio statistic for a mixture model to test the null hypothesis of one regime versus the alternative of two regimes in a Markov regime-switching context. This test exploits mixture properties implied by the regime-switching process, but ignores certain implied serial correlation properties. When formulated in the natural way, the setting is nonstandard, involving nuisance parameters on the boundary of the parameter space, nuisance parameters identified only...
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作者：Crawford, Vincent P.; Iriberri, Nagore
作者单位：University of California System; University of California San Diego; Pompeu Fabra University
摘要：This paper proposes a structural nonequilibrium model of initial responses to incomplete-information games based on level-k thinking, which describes behavior in many experiments with complete-information games. We derive the model's implications in first- and second-price auctions with general information structures, compare them to equilibrium and Eyster and Rabin's (2005) cursed equilibrium, and evaluate the model's potential to explain nonequilibrium bidding in auction experiments. The lev...
