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作者：Sobel, Joel; Bergemann, Dirk; Gilboa, Itzhak; Mueller, Ulrich K.; Nevo, Aviv; Violante, Giovanni L.; Zilibotti, Fabrizio
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作者：Schennach, Susanne M.
作者单位：Brown University
摘要：Many time series exhibit long memory: Their autocorrelation function decays slowly with lag. This behavior has traditionally been modeled via unit roots or fractional Brownian motion and explained via aggregation of heterogeneous processes, nonlinearity, learning dynamics, regime switching, or structural breaks. This paper identifies a different and complementary mechanism for long-memory generation by showing that it can naturally arise when a large number of simple linear homogeneous economi...
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作者：Chudik, A.; Kapetanios, G.; Pesaran, M. Hashem
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Dallas; University of London; King's College London; University of Southern California; University of Cambridge
摘要：This paper provides an alternative approach to penalized regression for model selection in the context of high-dimensional linear regressions where the number of covariates is large, often much larger than the number of available observations. We consider the statistical significance of individual covariates one at a time, while taking full account of the multiple testing nature of the inferential problem involved. We refer to the proposed method as One Covariate at a Time Multiple Testing (OC...
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作者：Molavi, Pooya; Tahbaz-Salehi, Alireza; Jadbabaie, Ali
作者单位：Massachusetts Institute of Technology (MIT); Northwestern University; Massachusetts Institute of Technology (MIT)
摘要：This paper studies the behavioral foundations of non-Bayesian models of learning over social networks and develops a taxonomy of conditions for information aggregation in a general framework. As our main behavioral assumption, we postulate that agents follow social learning rules that satisfy imperfect recall, according to which they treat the current beliefs of their neighbors as sufficient statistics for the entire history of their observations. We augment this assumption with various restri...
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作者：Shi, Xiaoxia; Shum, Matthew; Song, Wei
作者单位：University of Wisconsin System; University of Wisconsin Madison; California Institute of Technology; Xiamen University; Xiamen University
摘要：This paper proposes a new semi-parametric identification and estimation approach to multinomial choice models in a panel data setting with individual fixed effects. Our approach is based on cyclic monotonicity, which is a defining convex-analytic feature of the random utility framework underlying multinomial choice models. From the cyclic monotonicity property, we derive identifying inequalities without requiring any shape restrictions for the distribution of the random utility shocks. These i...
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作者：Miller, Joshua B.; Sanjurjo, Adam
作者单位：Universitat d'Alacant
摘要：We prove that a subtle but substantial bias exists in a common measure of the conditional dependence of present outcomes on streaks of past outcomes in sequential data. The magnitude of this streak selection bias generally decreases as the sequence gets longer, but increases in streak length, and remains substantial for a range of sequence lengths often used in empirical work. We observe that the canonical study in the influential hot hand fallacy literature, along with replications, are vulne...
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作者：Sarver, Todd
作者单位：Duke University
摘要：To study intertemporal decisions under risk, we develop a new recursive model of non-expected-utility preferences. The main axiom of our analysis is called mixture aversion, as it captures a dislike of probabilistic mixtures of lotteries. Our representation for mixture-averse preferences can be interpreted as if an individual optimally selects her risk attitude from some feasible set. We describe some useful parametric examples of our representation and provide comparative statics that tightly...
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作者：Schweighofer-Kodritsch, Sebastian
作者单位：Humboldt University of Berlin
摘要：This paper presents an analysis of general time preferences in the canonical Rubinstein (1982) model of bargaining, allowing for arbitrarily history-dependent strategies. I derive a simple sufficient structure for optimal punishments and thereby fully characterize (i) the set of equilibrium outcomes for any given preference profile, and (ii) the set of preference profiles for which equilibrium is unique. Based on this characterization, I establish that a weak notion of present biasimplied, for...
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作者：Noeldeke, Georg; Samuelson, Larry
作者单位：University of Basel; Yale University
摘要：Conjugate duality relationships are pervasive in matching and implementation problems and provide much of the structure essential for characterizing stable matches and implementable allocations in models with quasilinear (or transferable) utility. In the absence of quasilinearity, a more abstract duality relationship, known as a Galois connection, takes the role of (generalized) conjugate duality. While weaker, this duality relationship still induces substantial structure. We show that this st...
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作者：Pagel, Michaela
作者单位：National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：Recent evidence suggests that investors are inattentive to their portfolios and hire expensive portfolio managers. This paper develops a life-cycle portfolio-choice model in which the investor experiences loss-averse utility over news and can ignore his portfolio. In such a model, the investor prefers to ignore and not rebalance his portfolio most of the time because he dislikes bad news more than he likes good news such that expected news causes a first-order decrease in utility. Consequently...
