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作者：Dekel, Eddie; Lipman, Barton L.; Rustichini, Aldo; Sarver, Todd
作者单位：Northwestern University; Tel Aviv University; Boston University; University of Minnesota System; University of Minnesota Twin Cities
摘要：Dekel, Lipman and Rustichini (2001) (henceforth DER) axiomatically characterized three representations of preferences that allow for a desire for flexibility and/or commitment. In one of these representations (ordinal expected utility), the independence axiom is stated in a weaker form than is necessary to obtain the representation; in another (additive expected utility), the continuity axiom is too weak. In this erratum we provide examples showing that the axioms used by DLR are not sufficien...
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作者：Bossaerts, Peter; Plott, Charles; Zame, William R.
作者单位：California Institute of Technology; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; University of California System; University of California Los Angeles
摘要：Many tests of asset-pricing models address only the pricing predictions, but these pricing predictions rest on portfolio choice predictions that seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices based on unobserved heterogeneity. This approach yields the standard pricing conclusions of classical models but is consistent with very different portfolio choices. Novel econometric tests link the price and portfolio predictions and take into account the ...
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作者：Bajari, Patrick; Benkard, C. Lanier; Levin, Jonathan
作者单位：University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; Stanford University; Stanford University
摘要：We describe a two-step algorithm for estimating dynamic games under the assumption that behavior is consistent with Markov perfect equilibrium. In the first step, the policy functions and the law of motion for the state variables are estimated. In the second step, the remaining structural parameters are estimated using the optimality conditions for equilibrium. The second step estimator is a simple simulated minimum distance estimator. The algorithm applies to a broad class of models, includin...
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作者：Lewbel, Arthur
作者单位：Boston College
摘要：This paper considers identification and estimation of the effect of a mismeasured binary regressor in a nonparametric or serniparametric regression, or the conditional average effect of a binary treatment or policy on some outcome where treatment may be misclassified. Failure to account for misclassification is shown to result in attenuation bias in the estimated treatment effect. An identifying assumption that overcomes this bias is the existence of an instrument for the binary regressor that...
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作者：Fehr, Ernst; Klein, Alexander; Schmidt, Klaus M.
作者单位：University of Zurich; University of Munich
摘要：We show experimentally that fairness concerns may have a decisive impact on the actual and optimal choice of contracts in a moral hazard context. Bonus contracts that offer a voluntary and unenforceable bonus for satisfactory performance provide powerful incentives and are superior to explicit incentive contracts when there are some fair-minded players, but trust contracts that pay a generous wage up front are less efficient than incentive contracts. The principals understand this and predomin...
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作者：Chernozhukov, Victor; Hong, Han; Tamer, Elie
作者单位：Massachusetts Institute of Technology (MIT)
摘要：This paper develops a framework for performing estimation and inference in econometric models with partial identification, focusing particularly on models characterized by moment inequalities and equalities. Applications of this framework include the analysis of game-theoretic models, revealed preference restrictions, regressions with missing and corrupted data, auction models, structural quantile regressions, and asset pricing models. Specifically, we provide estimators and confidence regions...
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作者：Zame, William R.
作者单位：University of California System; University of California Los Angeles
摘要：This paper takes steps toward integrating firm theory in the spirit of Alchian and Demsetz (1972) and Grossman and Hart (1986), contract theory in the spirit of Holmstrom (1979), and general equilibrium theory in the spirit of Arrow and Debreu (1954) and McKenzie ( 1959). In the model presented here, the set of firms that form and the contractual arrangements that appear, the assignments of agents to firms, the prices faced by firms for inputs and outputs, and the incentives to agents are all ...
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作者：Schennach, Susanne M.
作者单位：University of Chicago
摘要：This paper establishes that instruments enable the identification of nonparametric regression models in the presence of measurement error by providing a closed form solution for the regression function in terms of Fourier transforms of conditional expectations of observable variables. For parametrically specified regression functions, we propose a root n consistent and asymptotically normal estimator that takes the familiar form of a generalized method of moments estimator with a plugged-in no...
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作者：Angeletos, George-Marios; Pavan, Alessandro
作者单位：Massachusetts Institute of Technology (MIT); Northwestern University; National Bureau of Economic Research
摘要：This paper analyzes equilibrium and welfare for a tractable class of economies (games) that have externalities, strategic complementarity or substitutability, and heterogeneous information. First, we characterize the equilibrium use of information: complementarity heightens the sensitivity of equilibrium actions to public information, raising aggregate volatility, whereas substitutability heightens the sensitivity to private information, raising cross-sectional dispersion. Next, we define and ...
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作者：Milgrom, Paul
作者单位：Stanford University
摘要：We report recent advances concerning the package allocation problem, in which traders seek to buy or sell combinations of goods. The problems are most difficult when some goods are not substitutes. In that case, competitive equilibrium typically fail to exist but the core is non-empty and comprises the competitive solutions. Also in that case, the Vickrey auction fails to select core allocations and yield revenues that are less than competitive. The Ausubel-Milgrom auction generally selects co...
