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作者：Fostel, Ana; Geanakoplos, John
作者单位：University of Virginia; Yale University; The Santa Fe Institute
摘要：Our paper provides a complete characterization of leverage and default in binomial economies with financial assets serving as collateral. Our Binomial No-Default Theorem states that any equilibrium is equivalent (in real allocations and prices) to another equilibrium in which there is no default. Thus actual default is irrelevant, though the potential for default drives the equilibrium and limits borrowing. This result is valid with arbitrary preferences and endowments, contingent or noncontin...
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作者：Noguchi, Yuichi
作者单位：Kanto Gakuin University
摘要：In this paper, I construct players' prior beliefs and show that these prior beliefs lead the players to learn to play an approximate Nash equilibrium uniformly in any infinitely repeated slightly perturbed game with discounting and perfect monitoring. That is, given any epsilon > 0, there exists a (single) profile of players' prior beliefs that leads play to almost surely converge to an epsilon-Nash equilibrium uniformly for any (finite normal form) stage game with slight payoff perturbation a...
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作者：Bernheim, B. Douglas; Ray, Debraj; Yeltekin, Sevin
作者单位：Stanford University; New York University; Carnegie Mellon University
摘要：We argue that poverty can perpetuate itself by undermining the capacity for self-control. In line with a distinguished psychological literature, we consider modes of self-control that involve the self-imposed use of contingent punishments and rewards. We study settings in which consumers with quasi-hyperbolic preferences confront an otherwise standard intertemporal allocation problem with credit constraints. Our main result demonstrates that low initial assets can limit self-control, trapping ...
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作者：Chen, Jing; Micali, Silvio; Pass, Rafael
作者单位：State University of New York (SUNY) System; Stony Brook University; Massachusetts Institute of Technology (MIT); Cornell University
摘要：Mechanism design enables a social planner to obtain a desired outcome by leveraging the players' rationality and their beliefs. It is thus a fundamental, but yet unproven, intuition that the higher the level of rationality of the players, the better the set of obtainable outcomes. In this paper, we prove this fundamental intuition for players with possibilistic beliefs, a model long considered in epistemic game theory. Specifically, center dot We define a sequence of monotonically increasing r...
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作者：Hansen, Peter Reinhard; Timmermann, Allan
作者单位：European University Institute; University of North Carolina; University of North Carolina Chapel Hill; CREATES; University of California System; University of California San Diego; University of California System; University of California San Diego
摘要：We demonstrate the asymptotic equivalence between commonly used test statistics for out-of-sample forecasting performance and conventional Wald statistics. This equivalence greatly simplifies the computational burden of calculating recursive out-of-sample test statistics and their critical values. For the case with nested models, we show that the limit distribution, which has previously been expressed through stochastic integrals, has a simple representation in terms of chi(2)-distributed rand...
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作者：Fan, Jianqing; Liao, Yuan; Yao, Jiawei
作者单位：Princeton University; Capital University of Economics & Business; Sun Yat Sen University; University System of Maryland; University of Maryland College Park
摘要：We propose a novel technique to boost the power of testing a high-dimensional vector H:=0 against sparse alternatives where the null hypothesis is violated by only a few components. Existing tests based on quadratic forms such as the Wald statistic often suffer from low powers due to the accumulation of errors in estimating high-dimensional parameters. More powerful tests for sparse alternatives such as thresholding and extreme value tests, on the other hand, require either stringent condition...
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作者：Cerreia-Vioglio, Simone; Dillenberger, David; Ortoleva, Pietro
作者单位：Bocconi University; Bocconi University; University of Pennsylvania; Columbia University
摘要：Many violations of the independence axiom of expected utility can be traced to subjects' attraction to risk-free prospects. The key axiom in this paper, negative certainty independence ([Dillenberger, 2010]), formalizes this tendency. Our main result is a utility representation of all preferences over monetary lotteries that satisfy negative certainty independence together with basic rationality postulates. Such preferences can be represented as if the agent were unsure of how to evaluate a gi...
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作者：Salanie, Bernard
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作者：Arellano, Manuel
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作者：Blake, Thomas; Nosko, Chris; Tadelis, Steven
作者单位：eBay Inc.; University of Chicago; University of California System; University of California Berkeley; National Bureau of Economic Research
摘要：Internet advertising has been the fastest growing advertising channel in recent years, with paid search ads comprising the bulk of this revenue. We present results from a series of large-scale field experiments done at eBay that were designed to measure the causal effectiveness of paid search ads. Because search clicks and purchase intent are correlated, we show that returns from paid search are a fraction of non-experimental estimates. As an extreme case, we show that brand keyword ads have n...
