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作者：Berry, Steven T.; Haile, Philip A.
作者单位：Yale University; National Bureau of Economic Research
摘要：We present new identification results for a class of nonseparable nonparametric simultaneous equations models introduced by Matzkin (2008). These models combine traditional exclusion restrictions with a requirement that each structural error enter through a residual index. Our identification results are constructive and encompass a range of special cases with varying demands on the exogenous variation provided by instruments and the shape of the joint density of the structural errors. The most...
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作者：Back, Kerry; Collin-Dufresne, Pierre; Fos, Vyacheslav; Li, Tao; Ljungqvist, Alexander
作者单位：Rice University; Rice University; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Center for Economic & Policy Research (CEPR); Boston College; City University of Hong Kong; Swedish House of Finance; Stockholm School of Economics; National Bureau of Economic Research
摘要：We analyze dynamic trading by an activist investor who can expend costly effort to affect firm value. We obtain the equilibrium in closed form for a general activism technology, including both binary and continuous outcomes. Variation in parameters can produce either positive or negative relations between market liquidity and economic efficiency, depending on the activism technology and model parameters. Two results that contrast with the previous literature are that (a) the relationship betwe...
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作者：Nocke, Volker; Schutz, Nicolas
作者单位：University of California System; University of California Los Angeles; Center for Economic & Policy Research (CEPR); University of Mannheim
摘要：We develop an aggregative games approach to study oligopolistic price competition with multiproduct firms. We introduce a new class of IIA demand systems, derived from discrete/continuous choice, and nesting CES and logit demands. The associated pricing game with multiproduct firms is aggregative and a firm's optimal price vector can be summarized by a uni-dimensional sufficient statistic, the -markup. We prove existence of equilibrium using a nested fixed-point argument, and provide condition...
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作者：Bloom, Nicholas; Floetotto, Max; Jaimovich, Nir; Saporta-Eksten, Itay; Terry, Stephen J.
作者单位：Stanford University; University of Zurich; Tel Aviv University; University of London; University College London; Boston University
摘要：We investigate the role of uncertainty in business cycles. First, we demonstrate that microeconomic uncertainty rises sharply during recessions, including during the Great Recession of 2007-2009. Second, we show that uncertainty shocks can generate drops in gross domestic product of around 2.5% in a dynamic stochastic general equilibrium model with heterogeneous firms. However, we also find that uncertainty shocks need to be supplemented by first-moment shocks to fit consumption over the cycle...
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作者：Salanie, Bernard
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作者：Kitamura, Yuichi; Stoye, Jorg
作者单位：Yale University; Cornell University; University of Bonn; University of Bonn
摘要：This paper develops and implements a nonparametric test of random utility models. The motivating application is to test the null hypothesis that a sample of cross-sectional demand distributions was generated by a population of rational consumers. We test a necessary and sufficient condition for this that does not restrict unobserved heterogeneity or the number of goods. We also propose and implement a control function approach to account for endogenous expenditure. An econometric result of ind...
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作者：Sobel, Joel; Bergemann, Dirk; Einav, Liran; Gilboa, Itzhak; Muller, Ulrich K.; Violante, Giovanni L.; Zilibotti, Fabrizio
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作者：Chan, David C.
作者单位：Stanford University
摘要：Work schedules play an important role in utilizing labor in organizations. In this study of emergency department physicians in shift work, schedules induce two distortions: First, physicians slack off by accepting fewer patients near end of shift (EOS). Second, physicians distort patient care, incurring higher costs as they spend less time on patients assigned near EOS. Examining how these effects change with shift overlap reveals a tradeoff between the two. Within an hour after the normal tim...
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作者：Belloni, A.; Chernozhukov, V.; Fernandez-Val, I.; Hansen, C.
作者单位：Duke University; Massachusetts Institute of Technology (MIT); Boston University; University of Chicago
摘要：In this paper, we provide efficient estimators and honest confidence bands for a variety of treatment effects including local average (LATE) and local quantile treatment effects (LQTE) in data-rich environments. We can handle very many control variables, endogenous receipt of treatment, heterogeneous treatment effects, and function-valued outcomes. Our framework covers the special case of exogenous receipt of treatment, either conditional on controls or unconditionally as in randomized control...
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作者：Qin, Likuan; Linetsky, Vadim
作者单位：Northwestern University
摘要：This paper extends the long-term factorization of the stochastic discount factor introduced and studied by Alvarez and Jermann (2005) in discrete-time ergodic environments and by Hansen and Scheinkman (2009) and Hansen (2012) in Markovian environments to general semimartingale environments. The transitory component discounts at the stochastic rate of return on the long bond and is factorized into discounting at the long-term yield and a positive semimartingale that extends the principal eigenf...
