-
作者：Chen, Xiaohong; Christensen, Timothy M.; Tamer, Elie
作者单位：Yale University; New York University; Harvard University
摘要：It is generally difficult to know whether the parameters in nonlinear econometric models are point-identified. We provide computationally attractive procedures to construct confidence sets (CSs) for identified sets of the full parameter vector and of subvectors in models defined through a likelihood or a vector of moment equalities or inequalities. The CSs are based on level sets of optimal criterion functions (such as likelihoods, optimally-weighted or continuously-updated GMM criterions). Th...
-
作者：Pons, Vincent; Tricaud, Clemence
作者单位：Harvard University; National Bureau of Economic Research; Institut Polytechnique de Paris; Ecole Polytechnique; ENSAE Paris
摘要：In French parliamentary and local elections, candidates ranked first and second in the first round automatically qualify for the second round, while a third candidate qualifies only when selected by more than 12.5 percent of registered citizens. Using a fuzzy RDD around this threshold, we find that the third candidate's presence substantially increases the share of registered citizens who vote for any candidate and reduces the vote share of the top two candidates. It disproportionately harms t...
-
作者：Lambert, Nicolas S.; Ostrovsky, Michael; Panov, Mikhail
作者单位：Stanford University; National Bureau of Economic Research; New York University
摘要：We study trading behavior and the properties of prices in informationally complex markets. Our model is based on the single-period version of the linear-normal framework of Kyle (1985). We allow for essentially arbitrary correlations among the random variables involved in the model: the value of the traded asset, the signals of strategic traders and competitive market makers, and the demand from liquidity traders. We show that there always exists a unique linear equilibrium, characterize it an...
-
作者：Duflo, Esther; Greenstone, Michael; Pande, Rohini; Ryan, Nicholas
作者单位：Massachusetts Institute of Technology (MIT); University of Chicago; Harvard University; Yale University
摘要：High pollution persists in many developing countries despite strict environmental rules. We use a field experiment and a structural model to study how plant emission standards are enforced. In collaboration with an Indian environmental regulator, we experimentally doubled the rate of inspection for treatment plants and required that the extra inspections be assigned randomly. We find that treatment plants only slightly increased compliance. We hypothesize that this weak effect is due to poor t...
-
作者：Armstrong, Timothy B.; Kolesar, Michal
作者单位：Yale University; Princeton University; Princeton University
摘要：We consider the problem of constructing confidence intervals (CIs) for a linear functional of a regression function, such as its value at a point, the regression discontinuity parameter, or a regression coefficient in a linear or partly linear regression. Our main assumption is that the regression function is known to lie in a convex function class, which covers most smoothness and/or shape assumptions used in econometrics. We derive finite-sample optimal CIs and sharp efficiency bounds under ...
-
作者：Babus, Ana; Kondor, Peter
作者单位：Washington University (WUSTL); University of London; London School Economics & Political Science
摘要：We propose a model of trade in over-the-counter (OTC) markets in which each dealer with private information can engage in bilateral transactions with other dealers, as determined by her links in a network. Each dealer's strategy is represented as a quantity-price schedule. We analyze the effect of trade decentralization and adverse selection on information diffusion, expected profits, trading costs, and welfare. Information diffusion through prices is not affected by dealers' strategic trading...
-
作者：Ai, Hengjie; Bansal, Ravi
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Duke University; National Bureau of Economic Research
摘要：This paper develops a revealed preference theory for the equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium. We provide a characterization theorem for the set of intertemporal preferences that generates a nonnegative announcement premium. Our theory establishes that the announcement premium identifies a significant deviatio...
-
作者：Onatski, Alexei; Wang, Chen
作者单位：University of Cambridge; University of Hong Kong
摘要：Johansen's (1988,1991) likelihood ratio test for cointegration rank of a vector autoregression (VAR) depends only on the squared sample canonical correlations between current changes and past levels of a simple transformation of the data. We study the asymptotic behavior of the empirical distribution of those squared canonical correlations when the number of observations and the dimensionality of the VAR diverge to infinity simultaneously and proportionally. We find that the distribution weakl...
-
作者：Fudenberg, Drew; He, Kevin
作者单位：Massachusetts Institute of Technology (MIT); Harvard University
摘要：Which equilibria will arise in signaling games depends on how the receiver interprets deviations from the path of play. We develop a micro-foundation for these off-path beliefs, and an associated equilibrium refinement, in a model where equilibrium arises through non-equilibrium learning by populations of patient and long-lived senders and receivers. In our model, young senders are uncertain about the prevailing distribution of play, so they rationally send out-of-equilibrium signals as experi...
-
作者：Agarwal, Nikhil; Somaini, Paulo
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Stanford University
摘要：Several school districts use assignment systems that give students an incentive to misrepresent their preferences. We find evidence consistent with strategic behavior in Cambridge. Such strategizing can complicate preference analysis. This paper develops empirical methods for studying random utility models in a new and large class of school choice mechanisms. We show that preferences are nonparametrically identified under either sufficient variation in choice environments or a preference shift...
