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作者：Dufour, JM; Taamouti, M
作者单位：Universite de Montreal; Universite de Montreal; Universite de Montreal
摘要：It is well known that standard asymptotic theory is not applicable or is very unreliable in models with identification problems or weak instruments. One possible way out consists of using a variant of the Anderson-Rubin ((1949), AR) procedure. The latter allows one to build exact tests and confidence sets only for the full vector of the coefficients of the endogenous explanatory variables in a structural equation, but not for individual coefficients. This problem may in principle be overcome b...
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作者：Linton, O; Mammen, E
作者单位：University of London; London School Economics & Political Science; University of Mannheim
摘要：We investigate a class of semiparametric ARCH(infinity) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the news impact function. We show that the functional part of the model satisfies a type II linear integral equation and give simple conditions under which there is a unique solution. We propose an estimation method that is based on kernel smo...
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作者：Pinkse, J; Tan, GF
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Southern California
摘要：We study the monotonicity of the equilibrium bid with respect to the number of bidders n in affiliated private-value models of first-price sealed-bid auctions and prove the existence of a large class of such models in which the equilibrium bid function is not increasing in n. We moreover decompose the effect of a change in n on the bid level into a competition effect and an affiliation effect. The latter suggests to the winner of the auction that competition is less intense than she had though...
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作者：Duclos, JY; Esteban, J; Ray, D
作者单位：Laval University; Laval University; Consejo Superior de Investigaciones Cientificas (CSIC); CSIC - Institut d'Analisi Economica (IAE); Autonomous University of Barcelona; Pompeu Fabra University; New York University
摘要：We develop the measurement theory of polarization for the case in which income distributions can be described using density functions. The main theorem uniquely characterizes a class of polarization measures that fits into what we call the identity-alienation framework, and simultanously satisfies a set of axioms. Second, we provide sample estimators of population polarization indices that can be used to compare polarization across time or entities. Distribution-free statistical inference resu...
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作者：Lee, LF
作者单位：University System of Ohio; Ohio State University
摘要：This paper investigates asymptotic properties of the maximum likelihood estimator and the quasi-maximum likelihood estimator for the spatial autoregressive model. The rates of convergence of those estimators may depend on some general features of the spatial weights matrix of the model. It is important to make the distinction with different spatial scenarios. Under the scenario that each unit will be influenced by only a few neighboring units, the estimators may have rootn-rate of convergence ...
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作者：Heinemann, F; Nagel, R; Ockenfels, P
作者单位：University of Munich; Pompeu Fabra University
摘要：The theory of global games has shown that coordination games with multiple equilibria may have a unique equilibrium if certain parameters of the payoff function are private information instead of common knowledge. We report the results of an experiment designed to test the predictions of this theory. Comparing sessions with common and private information, we observe only small differences in behavior. For common information, subjects coordinate on threshold strategies that deviate from the glo...
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作者：Bogomolnaia, A; Moulin, H
作者单位：Rice University
摘要：We consider bilateral matching problems where each person views those on the other side of the market as either acceptable or unacceptable: an acceptable mate is preferred to remaining single, and the latter to an unacceptable mate; all acceptable mates are welfare-wise identical. Using randomization, many efficient and fair matching methods define strategyproof revelation mechanisms. Randomly selecting a priority ordering of the participants is a simple example. Equalizing as much as possible...
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作者：Chernozhukov, V; Hong, A
作者单位：Massachusetts Institute of Technology (MIT); Duke University
摘要：We study inference in structural models with a jump in the conditional density, where location and size of the jump are described by regression curves. Two prominent examples are auction models, where the bid density jumps from zero to a positive value at the lowest cost, and equilibrium job-search models, where the wage density jumps from one positive level to another at the reservation wage. General inference in such models remained a long-standing, unresolved problem, primarily due to nonre...
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作者：Bai, JS; Ng, S
作者单位：New York University; University of Michigan System; University of Michigan
摘要：This paper develops a new methodology that makes use of the factor structure of large dimensional panels to understand the nature of nonstationarity in the data. We refer to it as PANIC-Panel Analysis of Nonstationarity in Idiosyncratic and Common components. PANIC can detect whether the nonstationarity in a series is pervasive, or variable-specific, or both. It can determine the number of independent stochastic trends driving the common factors. PANIC also permits valid pooling of individual ...
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作者：Back, K; Baruch, S
作者单位：Washington University (WUSTL); Utah System of Higher Education; University of Utah
摘要：This paper analyzes models of securities markets with a single strategic informed trader and competitive market makers. In one version, uninformed trades arrive as a Brownian motion and market makers see only the order imbalance, as in Kyle (1985). In the other version, uninformed trades arrive as a Poisson process and market makers see individual trades. This is similar to the Glosten-Milgrom (1985) model, except that we allow the informed trader to optimize his times of trading. We show ther...
