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作者：Ait-Sahalia, Y
作者单位：National Bureau of Economic Research
摘要：We propose a nonparametric estimation procedure for continuous-time stochastic models. Because prices of derivative securities depend crucially on the form of the instantaneous volatility of the underlying process, we leave the volatility function unrestricted and estimate it nonparametrically. Only discrete data are used but the estimation procedure still does not rely on replacing the continuous-time model by some discrete approximation. Instead the drift and volatility functions are forced ...
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作者：HEATON, J
摘要：Using a Simulated Method of Moments approach, I evaluate a representative consumer asset pricing model in which the consumer is assumed to have time nonseparable preferences of several forms. Examining the model's implications for several moments of asset returns, I find evidence for the local substitution of consumption with habit formation occurring over longer periods of time. The interaction between these two effects is important. I also show that, when accounting for sampling error, a mod...
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作者：CAILLAUD, B; JULLIEN, B; PICARD, P
作者单位：Institut Polytechnique de Paris; ENSAE Paris; Universite Paris Nanterre
摘要：We consider a model where two agents, privately informed about their own characteristics, play a (normal form) game on behalf of two uninformed principals. We analyze the existence of precommitment effects through public announcements of contracts, in a model where agency contracts, designed ex-ante, can always be secretly renegotiated, at the ex-ante and interim stages. We show that the existence of precommitment effects depends both on the strategic complementarity of the agents' actions and...
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作者：LAFFONT, JJ; OSSARD, H; VUONG, Q
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; INRAE; University of Southern California
摘要：In this paper we propose an estimation method for the empirical study of theoretical acuction models. We focus on first-price sealed bid and descending auctions and we adopt the private value paradigm, where each bidder is assumed to have a different private value, only known to him, for the object that is auctioned. Following McFadden (1989) and Pakes and Pollard (1989), our proposed method is based on simulations. Specifically, the method relies on a simulated nonlinear least squares objecti...
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作者：HANSEN, BE
摘要：A new asymptotic theory of regression is introduced for possibly nonstationary time series. The regressors are assumed to be generated by a linear process with martingale difference innovations. The conditional variances of these martingale differences are specified as autoregressive stochastic volatility processes, with autoregressive roots which are local to unity. We find conditions under which the least squares estimates are consistent and asymptotically normal. A simple adaptive estimator...
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作者：ANDERLINI, L; SABOURIAN, H
摘要：A common interest game is a game in which there exists a unique pair of payoffs which strictly Pareto-dominates all other payoffs. We consider the undiscounted repeated game obtained by the infinite repetition of such a two-player stage game. We show that if supergame strategies are restricted to be computable within Church's thesis, the only pair of payoffs which survives any computable tremble with sufficiently large support is the Pareto-efficient pair. The result is driven by the ability o...
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作者：RITZBERGER, K; WEIBULL, JW
作者单位：Stockholm School of Economics
摘要：This paper investigates stability properties of evolutionary selection dynamics in normal-form games. The analysis is focused on deterministic dynamics in continuous time and on asymptotic stability of sets of population states, more precisely of faces of the mixed-strategy space. The main result is a characterization of those faces which are asymptotically stable in all dynamics from a certain class, and we show that every such face contains an essential component of the set of Nash equilibri...
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作者：GOLDBERG, PK
摘要：This paper develops and estimates a model of the U.S. Automobile Industry. On the demand side, a discrete choice model is adopted, that is estimated using micro data from the Consumer Expenditure Survey. The estimation results are used in conjunction with population weights to derive aggregate demand. On the supply side, the automobile industry is modelled as an oligopoly with product differentiation. Equilibrium is characterized by the first order conditions of the profit maximizing firms. Th...
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作者：LINTON, O
摘要：We examine the second order properties of various quantities of interest in the partially linear regression model. We obtain a stochastic expansion with remainder o(p)(n(-2 mu)), where mu < 1/2, for the standardized semiparametric least squares estimator, a standard error estimator, and a studentized statistic. We use the second order expansions to correct the standard error estimates for second order effects, and to define a method of bandwidth choice. A Monte Carlo experiment provides favora...
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作者：KIM, SK
摘要：Different information systems are compared in terms of their relative efficiencies in an agency model. The mean preserving spread relation between the likelihood ratio distributions derived from the original information systems is found to be sufficient to rank information systems under quite general assumptions about the agent's utility function. Furthermore, it is shown that the mean preserving spread criterion can be applied to a broader set of information systems than Holmstrom's informati...
