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作者：Bergemann, D; Morris, S
作者单位：Yale University; Princeton University
摘要：The mechanism design literature assumes too much common knowledge of the environment among the players and planner. We relax this assumption by studying mechanism design on richer type spaces. We ask when ex post implementation is equivalent to interim (or Bayesian) implementation for all possible type spaces. The equivalence holds in the case of separable environments; examples of separable environments arise (1) when the planner is implementing a social choice function (not correspondence) a...
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作者：Chesher, A
作者单位：University of London; University College London; London School Economics & Political Science; University of London; University College London
摘要：This paper provides weak conditions under which there is nonparametric interval identification of local features of a structural function that depends on a discrete endogenous variable and is nonseparable in latent variates. The function delivers values of a discrete or continuous outcome and instruments may be discrete valued. Application of the analog principle leads to quantile regression based interval estimators of values and partial differences of structural functions. The results are us...
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作者：Rivkin, SG; Hanushek, EA; Kain, JF
作者单位：Amherst College; Stanford University; University of Texas System; University of Texas Dallas
摘要：This paper disentangles the impact of schools and teachers in influencing achievement with special attention given to the potential problems of omitted or mismeasured variables and of student and school selection. Unique matched panel data from the UTD Texas Schools Project permit the identification of teacher quality based on student performance along with the impact of specific, measured components of teachers and schools. Semiparametric lower bound estimates of the variance in teacher quali...
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作者：Klibanoff, P; Marinacci, M; Mukerji, S
作者单位：Northwestern University; University of Turin; University of Turin
摘要：We propose and characterize a model of preferences over acts such that the decision maker prefers act f to act g if and only if E-mu phi (E(pi)u circle f) >= E-mu phi (E(pi)u circle g), where E is the expectation operator, u is a von Neumann-Morgenstern utility function, phi is an increasing transformation, and mu is a subjective probability over the set Pi of probability measures pi that the decision maker thinks are relevant given his subjective information. A key feature of our model is tha...
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作者：Hong, YM; White, H
作者单位：Cornell University; Cornell University; Tsinghua University; University of California System; University of California San Diego
摘要：Entropy is a classical statistical concept with appealing properties. Establishing asymptotic distribution theory for smoothed nonparametric entropy measures of dependence has so far proved challenging. In this paper, we develop an asymptotic theory for a class of kernel-based smoothed nonparametric entropy measures of serial dependence in a time-series context. We use this theory to derive the limiting distribution of Granger and Lin's (1994) normalized entropy measure of serial dependence, w...
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作者：Andersen, TG; Bollerslev, T; Meddahi, N
作者单位：Northwestern University; National Bureau of Economic Research; Duke University; Universite de Montreal
摘要：We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit recent nonparametric asymptotic distributional results, are both easy-to-implement and highly accurate in empirically realistic situations. We also illustrate that properly accounting for the measurement errors in the volatility forecast evaluations reported in the existing literature can result...
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作者：Santos, MS; Peralta-Alva, A
作者单位：Arizona State University; Arizona State University-Tempe; University of Miami
摘要：This paper is concerned with accuracy properties of simulations of approximate solutions for stochastic dynamic models. Our analysis rests upon a continuity property of invariant distributions and a generalized law of large numbers. We then show that the statistics generated by any sufficiently good numerical approximation are arbitrarily close to the set of expected values of the model's invariant distributions. Also, under a contractivity condition on the dynamics, we establish error bounds....
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作者：Hart, S
摘要：We exhibit a large class of simple rules of behavior, which we call adaptive heuristics, and show that they generate rational behavior in the long run. These adaptive heuristics are based on natural regret measures, and may be viewed as a bridge between rational and behavioral viewpoints. Taken together, the results presented here establish a solid connection between the dynamic approach of adaptive heuristics and the static approach of correlated equilibria.
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作者：Gomes, A
作者单位：University of Pennsylvania
摘要：This paper proposes a model for multilateral contracting, where contracts are written and renegotiated over time, and where contracts may impose externalities on other agents. Equilibria always exist and the equilibrium value function is linear and monotonically increasing on the contracts. If the grand coalition, or contracting among all agents, is inefficient, we show that bargaining delays arise in positive-externality games and equilibrium inefficiency may remain bounded away from zero eve...
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作者：Hurvich, CM; Moulines, E; Soulier, P
作者单位：New York University
摘要：We consider semiparametric estimation of the memory parameter in a model that includes as special cases both long-memory stochastic volatility and fractionally integrated exponential GARCH (FIEGARCH) models. Under our general model the logarithms of the squared returns can be decomposed into the sum of a long-memory signal and a white noise. We consider periodogram-based estimators using a local Whittle criterion function. We allow the optional inclusion of an additional term to account for po...
