-
作者：Biais, B; Martimort, D; Rochet, JC
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Universite de Pau et des Pays de l'Adour
摘要：Consider strategic risk-neutral traders competing in schedules to supply liquidity to a risk-averse agent who is privately informed about the value of the asset and his hedging needs. Imperfect competition in this common value environment is analyzed as a multi-principal game in which liquidity suppliers offer trading mechanisms in a decentralized way. Each liquidity supplier behaves as a monopolist facing a residual demand curve resulting from the maximizing behavior of the informed agent and...
-
作者：Feltovich, N
作者单位：University of Houston System; University of Houston
摘要：This paper examines the abilities of learning models to describe subject behavior in experiments. A new experiment involving multistage asymmetric-information games is conducted, and the experimental data are compared with the predictions of Nash equilibrium and two types of learning model: a reinforcement-based model similar to that used by Roth and Erev (1995), and belief-based models similar to the cautious fictitious play of Fudenberg and Levine (1995, 1998). These models make predictions...
-
作者：Duffie, D; Pan, J; Singleton, K
作者单位：Stanford University; Massachusetts Institute of Technology (MIT)
摘要：In the setting of affine jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example applications include fixed-income pricing models, with a role for intensity-based models of default, as well as a wide range of option-pricing applications. An illustrative example examines the implications of s...
-
作者：Krusell, P; Ohanian, LE; Ríos-Rull, JV; Violante, GL
作者单位：University of Rochester; University of California System; University of California Los Angeles; University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; University of Pennsylvania; University of London; University College London
摘要：The supply and price of skilled labor relative to unskilled labor have changed dramatically over the postwar period. The relative quantity of skilled labor has increased substantially, and the skill premium, which is the wage of skilled labor relative to that of unskilled labor, has grown significantly since 1980. Many studies have found that accounting for the increase in the skill premium on the basis of observable variables is difficult and have concluded implicitly that latent skill-biased...
-
作者：White, H
作者单位：University of California System; University of California San Diego
摘要：Data snooping occurs when a given set of data is used more than once for purposes of inference or model selection. When such data reuse occurs, there is always the possibility that any satisfactory results obtained may simply be due to chance rather than to any merit inherent in the method yielding the results. This problem is practically unavoidable in the analysis of time-series data, as typically only a single history measuring a given phenomenon of interest is available for analysis: It is...
-
作者：Hendricks, K; Piccione, M; Tan, GF
作者单位：University of British Columbia; University of Southampton; Hong Kong University of Science & Technology
摘要：We study a model in which two carriers choose networks to connect cities and compete for customers. We show that if carriers compete aggressively (e.g., Bertrand-like behavior), one carrier operating a single hub-spoke network is an equilibrium outcome. Competing hub-spoke networks are not an equilibrium outcome, although duopoly equilibria in nonhub networks can exist. If carriers do not compete aggressively, an equilibrium with competing hub-spoke networks exists as long as the number of cit...
-
作者：Wooldridge, JM
作者单位：Michigan State University
摘要：I provide a systematic treatment of the asymptotic properties of weighted M-estimators under variable probability stratified sampling. The characterization of the sampling scheme and representation of the objective function allow for a straightforward analysis. Simple, consistent asymptotic variance matrix estimators are proposed for a large class of problems. When stratification is based on exogenous variables, I show that the unweighted M-estimator is more efficient than the weighted estimat...
-
作者：Al-Najjar, NI
作者单位：Northwestern University
-
作者：Ciccone, A; Matsuyama, K
作者单位：University of California System; University of California Berkeley; Northwestern University
摘要：When do dynamic nonconvexities at the disaggregate level translate into dynamic nonconvexities at the aggregate level? We address this question in a framework where the production of differentiated intermediate inputs is subject to dynamic nonconvexities, and we show that the answer depends on the degree of Hicks-Alien complementarity (substitutability) between differentiated inputs. In our simplest model, a generalization of judd (1985) and Grossman and Helpman (1991) among many others, there...
-
作者：Phillips, PCB; Moon, HR
作者单位：Yale University; University of California System; University of California Santa Barbara
摘要：This paper develops a regression limit theory for nonstationary panel data with large numbers of cross section (n) and time series (T) observations. The limit theory allows for both sequential limits, wherein T --> infinity followed by n --> infinity, and joint limits where T, n --> infinity simultaneously; and the relationship between these multidimensional limits is explored. The panel structures considered allow for no time series cointegration, heterogeneous cointegration, homogeneous coin...
