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作者：Tang, XL; King, I
作者单位：University of Auckland
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作者：Duffie, D; Gârleanu, N; Pedersen, LH
作者单位：Stanford University; University of Pennsylvania; New York University
摘要：We study how intermediation and asset prices in over-the-counter markets are affected by illiquidity associated with search and bargaining. We compute explicitly the prices at which investors trade with each other, as well as marketmakers' bid and ask prices, in a dynamic model with strategic agents. Bid-ask spreads are lower if investors can more easily find other investors or have easier access to multiple marketmakers. With a monopolistic marketmaker, bid-ask spreads are higher if investors...
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作者：Abrevaya, J; Haung, J
作者单位：Purdue University System; Purdue University; University of Iowa
摘要：This paper shows that the bootstrap does not consistently estimate the asymptotic distribution of the maximum score estimator. The theory developed also applies to other estimators within a cube-root convergence class. For some single-parameter estimators in this class, the results suggest a simple method for inference based upon the bootstrap.
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作者：Altonji, JG; Matzkin, RL
作者单位：Yale University; Northwestern University
摘要：We propose two new methods for estimating models with nonseparable errors and endogenous regressors. The first method estimates a local average response. One estimates the response of the conditional mean of the dependent variable to a change in the explanatory variable while conditioning on an external variable and then undoes the conditioning. The second method estimates the nonseparable function and the joint distribution of the observable and unobservable explanatory variables. An external...
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作者：Kocherlakota, NR
摘要：In this paper, I consider a dynamic economy in which a government needs to finance a stochastic process of purchases. The agents in the economy are privately informed about their skills, which evolve stochastically over time; I impose no restriction on the stochastic evolution of skills. I construct a tax system that implements a symmetric constrained Pareto optimal allocation. The tax system is constrained to be linear in an agent's wealth, but can be arbitrarily nonlinear in his current and ...
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作者：Anatolyev, S
作者单位：New Economic School
摘要：For stationary time series models with serial correlation, we consider generalized method of moments (GMM) estimators that use heteroskedasticity and autocorrelation consistent (HAC) positive definite weight matrices and generalized empirical likelihood (GEL) estimators based on smoothed moment conditions. Following the analysis of Newey and Smith (2004) for independent observations, we derive second order asymptotic biases of these estimators. The inspection of bias expressions reveals that t...
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作者：Rigotti, L; Shannon, C
作者单位：Duke University; University of California System; University of California Berkeley
摘要：This paper considers a general equilibrium model in which the distinction between uncertainty and risk is formalized by assuming agents have incomplete preferences over state-contingent consumption bundles, as in Bewley (1986). Without completeness, individual decision making depends on a set of probability distributions over the state space. A bundle is preferred to another if and only if it has larger expected utility for all probabilities in this set. When preferences are complete this set ...
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作者：Heckman, JJ; Vytlacil, E
作者单位：University of Chicago; Stanford University
摘要：This paper uses the marginal treatment effect (MTE) to unify the nonparametric literature on treatment effects with the econometric literature on structural estimation using a nonparametric analog of a policy invariant parameter; to generate a variety of treatment effects from a common serniparametric functional form; to organize the literature on alternative estimators; and to explore what policy questions commonly used estimators in the treatment effect literature answer. A fundamental asymm...
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作者：Feinberg, Y; Skrzypacz, A
作者单位：Stanford University
摘要：We study a one-sided offers bargaining game in which the buyer has private information about the value of the object and the seller has private information about his beliefs about the buyer's valuation. We show that this uncertainty about uncertainties dramatically changes the set of outcomes. In particular, second order beliefs can lead to a delay in reaching agreement even when the seller makes frequent offers. We show that not all types of second order beliefs lead to a delay. When the buye...
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作者：Falk, A; Fehr, E; Fischbacher, U
作者单位：IZA Institute Labor Economics; University of Bonn; University of Zurich
摘要：This paper investigates the driving forces behind informal sanctions in cooperation games and the extent to which theories of fairness and reciprocity capture these forces. We find that cooperators' punishment is almost exclusively targeted toward the defectors, but the latter also impose a considerable amount of spiteful punishment on the cooperators. However, spiteful punishment vanishes if the punishers can no longer affect the payoff differences between themselves and the punished individu...
