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作者：Gagliardini, Patrick; Scaillet, Olivier
作者单位：Universita della Svizzera Italiana; University of Geneva
摘要：We study the asymptotic distribution of Tikhonov regularized estimation of quantile structural effects implied by a nonseparable model. The nonparametric instrumental variable estimator is based on a minimum distance principle. We show that the minimum distance problem without regularization is locally ill-posed, and we consider penalization by the norms of the parameter and its derivatives. We derive pointwise asymptotic normality and develop a consistent estimator of the asymptotic variance....
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作者：Kirkegaard, Rene
作者单位：University of Guelph
摘要：I propose a new mechanism design approach to the problem of ranking standard auctions with two heterogeneous bidders. A key feature of the approach is that it may be possible to rank two auctions even if neither dominates the other for all combinations of types. The approach simplifies the analysis and unifies results in the existing literature. Roughly speaking, the first-price auction is more profitable than the second-price auction when the strong bidder's distribution is flatter and more d...
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作者：Ray, Debraj; Robson, Arthur
作者单位：New York University; Simon Fraser University
摘要：This paper studies endogenous risk-taking by embedding a concern for status (relative consumption) into an otherwise conventional model of economic growth. We prove that if the intertemporal production function is strictly concave, an equilibrium must converge to a unique steady state in which there is recurrent endogenous risk-taking. (The role played by concavity is clarified by considering a special case in which the production function is instead convex, in which there is no persistent ris...
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作者：Ju, Nengjiu; Miao, Jianjun
作者单位：Hong Kong University of Science & Technology; Shanghai Jiao Tong University; Boston University; Zhejiang University; Central University of Finance & Economics
摘要：We propose a novel generalized recursive smooth ambiguity model which permits a three-way separation among risk aversion, ambiguity aversion, and intertemporal substitution. We apply this utility model to a consumption-based asset-pricing model in which consumption and dividends follow hidden Markov regime-switching processes. Our calibrated model can match the mean equity premium, the mean risk-free rate, and the volatility of the equity premium observed in the data. In addition, our model ca...
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作者：Guggenberger, Patrik; Kleibergen, Frank; Mavroeidis, Sophocles; Chen, Linchun
作者单位：University of California System; University of California San Diego; Brown University; University of Oxford
摘要：We consider tests of a simple null hypothesis on a subset of the coefficients of the exogenous and endogenous regressors in a single-equation linear instrumental variables regression model with potentially weak identification. Existing methods of subset inference (i) rely on the assumption that the parameters not under test are strongly identified, or (ii) are based on projection-type arguments. We show that, under homoskedasticity, the subset Anderson and Rubin (1949) test that replaces unkno...
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作者：Ok, Efe A.; Ortoleva, Pietro; Riella, Gil
作者单位：New York University; California Institute of Technology; Universidade de Brasilia
摘要：We investigate the classical AnscombeAumann model of decision-making under uncertainty without the completeness axiom. We distinguish between the dual traits of indecisiveness in beliefs and indecisiveness in tastes. The former is captured by the Knightian uncertainty model, the latter by the single-prior expected multi-utility model. We characterize axiomatically the latter model. Then we show that, under independence and continuity, these two models can be jointly characterized by means of a...
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作者：Altonji, Joseph G.; Ichimura, Hidehiko; Otsu, Taisuke
作者单位：Yale University; University of Tokyo; Yale University
摘要：We present a simple way to estimate the effects of changes in a vector of observable variables X on a limited dependent variable Y when Y is a general nonseparable function of X and unobservables, and X is independent of the unobservables. We treat models in which Y is censored from above, below, or both. The basic idea is to first estimate the derivative of the conditional mean of Y given X at x with respect to x on the uncensored sample without correcting for the effect of x on the censored ...
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作者：Hansen, Lars Peter
作者单位：University of Chicago
摘要：I explore the equilibrium value implications of economic models that incorporate responses to a stochastic environment with growth. I propose dynamic valuation decompositions (DVD's) designed to distinguish components of an underlying economic model that influence values over long investment horizons from components that impact only the short run. A DVD represents the values of stochastically growing claims to consumption payoffs or cash flows using a stochastic discount process that both disc...
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作者：Graham, Bryan S.; Powell, James L.
作者单位：University of California System; University of California Berkeley
摘要：In this paper we study identification and estimation of a correlated random coefficients (CRC) panel data model. The outcome of interest varies linearly with a vector of endogenous regressors. The coefficients on these regressors are heterogenous across units and may covary with them. We consider the average partial effect (APE) of a small change in the regressor vector on the outcome (cf. Chamberlain (1984), Wooldridge (2005a)). Chamberlain (1992) calculated the semiparametric efficiency boun...
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作者：Bugni, Federico A.; Canay, Ivan A.; Guggenberger, Patrik
作者单位：Duke University; Northwestern University; University of California System; University of California San Diego
摘要：This paper studies the behavior, under local misspecification, of several confidence sets (CSs) commonly used in the literature on inference in moment (in)equality models. We propose the amount of asymptotic confidence size distortion as a criterion to choose among competing inference methods. This criterion is then applied to compare across test statistics and critical values employed in the construction of CSs. We find two important results under weak assumptions. First, we show that CSs bas...
