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作者：Newey, WK
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Conditional moment restrictions can be combined through GMM estimation to construct more efficient semiparametric estimators. This paper is about attainable efficiency for such estimators. We define and use a moment tangent set, the directions of departure from the truth allowed by the moments, to characterize when the semiparametric efficiency bound can be attained. The efficiency condition is that the moment tangent set equals the model tangent set. We apply these results to transformed, cen...
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作者：Mookherjee, D; Tsumagari, M
作者单位：Boston University; Keio University
摘要：In a one-principal two-agent model with adverse selection and collusion among agents, we show that delegating to one agent the right to subcontract with the other agent always earns lower profit for the principal compared with centralized contracting. Delegation to an intermediary is also not in the principal's interest if the agents supply substitutes. It can be beneficial if the agents produce complements and the intermediary is well informed.
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作者：Glazer, J; Rubinstein, A
作者单位：Tel Aviv University; Boston University; Tel Aviv University; New York University
摘要：A speaker wishes to persuade a listener to accept a certain request. The conditions under which the request is justified, from the listener's point of view, depend on the values of two aspects. The values of the aspects are known only to the speaker and the listener can check the value of at most one. A mechanism specifies a set of messages that the speaker can send and a rule that determines the listener's response, namely, which aspect he checks and whether he accepts or rejects the speaker'...
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作者：Barndorff-Nielsen, OE; Shephard, N
作者单位：Aarhus University; University of Oxford
摘要：This paper analyses multivariate high frequency financial data using realized covariation. We provide a new asymptotic distribution theory for standard methods such as regression, correlation analysis, and covariance. It will be based on a fixed interval of time (e.g., a day or week), allowing the number of high frequency returns during this period to go to infinity. Our analysis allows us to study how high frequency correlations, regressions, and covariances change through time. In particular...
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作者：Moon, HR; Phillips, PCB
作者单位：University of Southern California; Yale University; University of Auckland; University of York - UK
摘要：This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near unity with panel data and incidental deterministic trends. Such models arise in empirical econometric studies of firm size and in dynamic panel data modeling with weak instruments. The two moment conditions in the GMM approach are obtained by constructing bias corrections to the score functions under OLS and GLS detrending, respectively. It is shown that the moment condition un...
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作者：Palacios-Huerta, I; Volij, O
作者单位：Brown University; Iowa State University
摘要：This paper examines the problem of measuring intellectual influence based on data on citations between scholarly publications. We follow an axiomatic approach and find that the properties of invariance to reference intensity, weak homogeneity, weak consistency, and invariance to splitting of journals characterize a unique ranking method. This method is different from those regularly used in economics and other social sciences.
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作者：Domínguez, MA; Lobato, IN
作者单位：Instituto Tecnologico Autonomo de Mexico
摘要：In econometrics, models stated as conditional moment restrictions are typically estimated by means of the generalized method of moments (GMM). The GMM estimation procedure can render inconsistent estimates since the number of arbitrarily chosen instruments is finite. In fact, consistency of the GMM estimators relies on additional assumptions that imply unclear restrictions on the data generating process. This article introduces a new, simple and consistent estimation procedure for these models...
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作者：Fiorentini, G; Sentana, E; Shephard, N
作者单位：University of Florence; University of Oxford
摘要：GARCH models are commonly used as latent processes in econometrics, financial economics, and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation of a classical estimator via the simulated EM algorithm or a Bayesian solution in O(T) computational operations, where T denotes the sample size. We assess the performance of our proposed algorithm in...
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作者：Cosslett, SR
作者单位：University System of Ohio; Ohio State University
摘要：An asymptotically efficient likelihood-based semiparametric estimator is derived for the censored regression (tobit) model, based on a new approach for estimating the density function of the residuals in a partially observed regression. Smoothing the self-consistency equation for the nonparametric maximum likelihood estimator of the distribution of the residuals yields an integral equation, which in some cases can be solved explicitly. The resulting estimated density is smooth enough to be use...
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作者：Brown, M; Falk, A; Fehr, E
作者单位：University of Zurich; IZA Institute Labor Economics
摘要：We provide evidence that long-term relationships between trading parties emerge endogenously in the absence of third party enforcement of contracts and are associated with a fundamental change in the nature of market interactions. Without third party enforcement, the vast majority of trades are initiated with private offers and the parties share the gains from trade equally. Low effort or bad quality is penalized by the termination of the relationship, wielding a powerful effect on contract en...
