Econometrica

最新文章

• Estimation of a panel data sample selection model AI翻译
  作者：Kyriazidou, E
  摘要：We consider the problem of estimation in a panel data sample selection model, where both the selection and the regression equation of interest contain unobservable individual-specific effects. We propose a two-step estimation procedure, which ''differences out'' both the sample selection effect and the unobservable individual effect from the equation of interest. In the first step, the unknown coefficients of the ''selection'' equation are consistently estimated. The estimates are then used to...
• Two mixed normal densities from cointegration analysis AI翻译
  作者：Abadir, KM; Paruolo, P
  作者单位：University of York - UK; University of Bologna
• Continuous record asymptotics for rolling sample variance estimators AI翻译
  作者：Foster, DP; Nelson, DB
  作者单位：University of Chicago; National Bureau of Economic Research
  摘要：It is widely known that conditional covariances of asset returns change over time. Researchers doing empirical work have adopted many strategies for accommodating conditional heteroskedasticity. Among the popular strategies are: (a) chopping the available data into short blocks of time and assuming homoskedasticity within the blocks, (b) performing one-sided rolling regressions, in which only data from, say, the preceding five year period is used to estimate the conditional covariance of retur...
• Learning by doing and the choice of technology AI翻译
  作者：Jovanovic, B; Nyarko, Y
  作者单位：New York University
  摘要：This is a one-agent Bayesian model of learning by doing and technology choice. The more the agent uses a technology, the better he learns its parameters, and the more productive he gets. This expertise is a form of human capital. Any given technology has bounded productivity, which therefore can grow in the long run only if the agent keeps switching to better technologies. But a switch of technologies temporarily reduces expertise: The bigger is the technological leap, the bigger the loss in e...
• Inference when a nuisance parameter is not identified under the null hypothesis AI翻译
  作者：Hansen, BE
  摘要：Many econometric testing problems involve nuisance parameters which are not identified under the null hypotheses. This paper studies the asymptotic distribution theory for such tests. The asymptotic distributions of standard test statistics are described as functionals of chi-square processes. In general, the distributions depend upon a large number of unknown parameters. We show that a transformation based upon a conditional probability measure yields an asymptotic distribution free of nuisan...
• Econometric model determination AI翻译
  作者：Phillips, PCB
  摘要：Our general subject is model determination methods and their use in the prediction of economic time series. The methods suggested are Bayesian in spirit but they can be justified by classical as well as Bayesian arguments. The main part of the paper is concerned with model determination, forecast evaluation, and the construction of evolving sequences of models that can adapt in dimension and form (including the way in which any nonstationarity in the data is modelled) as new characteristics in...
• Labor market institutions and the distribution of wages, 1973-1992: A semiparametric approach AI翻译
  作者：DiNardo, J; Fortin, NM; Lemieux, T
  作者单位：Universite de Montreal
  摘要：This paper presents a semiparametric procedure to analyze the effects of institutional and labor market factors on recent changes in the U.S. distribution of wages. The effects of these factors are estimated by applying kernel density methods to appropriately weighted samples. The procedure provides a visually clear representation of where in the density of wages these various factors exert the greatest impact. Using data from the Current Population Survey, we find, as in previous research, th...
• Robustness properties of inequality measures AI翻译
  作者：Cowell, FA; VictoriaFeser, MP
  作者单位：University of London; London School Economics & Political Science
  摘要：Inequality measures are often used to summarize information about empirical income distributions. However the resulting picture of the distribution and of changes in the distribution can be severely distorted if the data are contaminated. The nature of this distortion will in general depend upon the underlying properties of the inequality measure. We investigate this issue theoretically using a technique based on the influence function, and illustrate the magnitude of the effect using a simula...
• Semiparametric estimation of a regression model with an unknown transformation of the dependent variable AI翻译
  作者：Horowitz, JL
  摘要：This paper presents a method for estimating the model Lambda(Y) = beta'X + U, where Y is a scalar, Lambda is an unknown increasing function, X is a vector of explanatory variables, beta is a vector of unknown parameters, and U has unknown cumulative distribution function F. It is not assumed that Lambda and F belong to known parametric families; they are estimated nonparametrically. This model generalizes a large number of widely used models that make stronger a priori assumptions about Lambda...
• Cheap talk and sequential equilibria in signaling games AI翻译
  作者：Manelli, AM
  摘要：Well-behaved infinite signaling games may have no sequential equilibria. We prove that adding cheap talk to these games ''solves'' the nonexistence problem: the limit of sequential equilibrium outcomes of finite approximating games is a sequential equilibrium outcome of the cheap-talk extension of the limit game. In addition, when the signaling space has no isolated points, any cheap-talk sequential equilibrium outcome can be approximated by a sequential epsilon-equilibrium of the game without...