Econometrica

最新文章

• Optimal contracts when enforcement is a decision variable: A reply AI翻译
  作者：Krasa, S; Villamil, AP
  作者单位：University of Illinois System; University of Illinois Urbana-Champaign
• A subjective spin on roulette wheels AI翻译
  作者：Ghirardato, P; Maccheroni, F; Marinacci, M; Siniscalchi, M
  摘要：We provide a simple behavioral definition of 'subjective mixture' of acts for a large class of (not necessarily expected-utility) preferences. Subjective mixtures enjoy the same algebraic properties as the 'objective mixtures' used to great advantage in the decision setting introduced by Anscombe and Aumann (1963). This makes it possible to formulate mixture-space axioms in a fully subjective setting. For illustration, we present simple subjective axiomatizations of some models of choice under...
• A bias-reduced log-periodogram regression estimator for the long-memory parameter AI翻译
  作者：Andrews, DWK; Guggenberger, P
  作者单位：Yale University
  摘要：In this paper, we propose a simple bias-reduced log-periodogram regression estimator, (d) over cap (r), of the long-memory parameter, d, that eliminates the first- and higher-order biases of the Geweke and Porter-Hudak (1983) (GPH) estimator. The bias-reduced estimator is the same as the GPH estimator except that one includes frequencies to the power 2k for k = 1,...,r, for some positive integer r, as additional regressors in the pseudo-regression model that yields the GPH estimator. The reduc...
• Comparative statics by adaptive dynamics and the correspondence principle AI翻译
  作者：Echenique, F
  作者单位：Universidad Torcuato Di Tella
• Identification of standard auction models AI翻译
  作者：Athey, S; Haile, PA
  作者单位：Stanford University; University of Wisconsin System; University of Wisconsin Madison
  摘要：This paper presents new identification results for models of first-price, second-price, ascending (English), and descending (Dutch) auctions. We consider a general specification of the latent demand and information structure, nesting both private values and common values models, and allowing correlated types as well as ex ante asymmetry. We address identification of a series of nested models and derive testable restrictions enabling discrimination between models on the basis of observed data. ...
• Testing Lorenz curves with non-simple random samples AI翻译
  作者：Zheng, BH
  作者单位：University of Colorado System; University of Colorado Denver
• Multiple referrals and multidimensional cheap talk AI翻译
  作者：Battaglini, M
  摘要：In previous work on cheap talk, uncertainty has almost always been modeled using a single-dimensional state variable. In this paper we prove that the dimensionality of the uncertain variable has an important qualitative impact on results and yields interesting insights into the mechanics of information transmission. Contrary to the unidimensional case, if there is more than one sender, full revelation of information in all states of nature is generically possible, even when the conflict of int...
• A fractional Dickey-Fuller test for unit roots AI翻译
  作者：Dolado, JJ; Gonzalo, J; Mayoral, L
  作者单位：Universidad Carlos III de Madrid
  摘要：This paper presents a new test for fractionally integrated (FI) processes. In particular, we propose a testing procedure in the time domain that extends the well-known Dickey-Fuller approach, originally designed for the I(1) versus I(0) case, to the more general setup of FI(d(0)) versus FI(d(1)), with d(1) < d(0). When d(0) = 1, the proposed test statistics are based on the OLS estimator, or its t-ratio, of the coefficient on Delta(d1)y(t-1) in a regression of Deltay(t) on Delta(d1)y(t-1) and,...
• Nonparametric estimation with nonlinear budget sets AI翻译
  作者：Blomquist, S; Newey, W
  作者单位：Uppsala University; Massachusetts Institute of Technology (MIT)
  摘要：Choice models with nonlinear budget sets provide a precise way of accounting for the nonlinear tax structures present in many applications. In this paper we propose a nonparametric approach to estimation of these models. The basic idea is to think of the choice, in our case hours of labor supply, as being a function of the entire budget set. Then we can do nonparametric regression where the variable in the regression is the budget set. We reduce the dimensionality of this problem by exploiting...
• Ambiguity, risk, and asset returns in continuous time AI翻译
  作者：Chen, ZJ; Epstein, L
  作者单位：Universite PSL; Universite Paris-Dauphine
  摘要：Models of utility in stochastic continuous-time settings typically assume that beliefs are represented by a probability measure, hence ruling out a priori any concern with ambiguity. This paper formulates a continuous-time intertemporal version of multiple-priors utility, where aversion to ambiguity is admissible. In a representative agent asset market setting, the model delivers restrictions on excess returns that admit interpretations reflecting a premium for risk and a separate premium for ...