Econometrica

最新文章

• Endogenous Completeness of Diffusion Driven Equilibrium Markets AI翻译
  作者：Hugonnier, J.; Malamud, S.; Trubowitz, E.
  作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; ETH Zurich
  摘要：We study the existence of dynamic equilibria with endogenously complete markets in continuous-time, heterogenous agents economies driven by diffusion processes. Our main results show that under appropriate conditions on the transition density of the state variables, market completeness can be deduced from the primitives of the economy. In particular, we prove that a sufficient condition for market completeness is that the volatility of dividends be invertible and provide higher order condition...
• Bayesian and Frequentist Inference in Partially Identified Models AI翻译
  作者：Moon, Hyungsik Roger; Schorfheide, Frank
  作者单位：University of Southern California; University System of Maryland; University of Maryland College Park; University of Pennsylvania; Centre for Economic Policy Research - UK; National Bureau of Economic Research
  摘要：A large-sample approximation of the posterior distribution of partially identified structural parameters is derived for models that can be indexed by an identifiable finite-dimensional reduced-form parameter vector. It is used to analyze the differences between Bayesian credible sets and frequentist confidence sets. We define a plug-in estimator of the identified set and show that asymptotically Bayesian highest-posterior-density sets exclude parts of the estimated identified set, whereas it i...
• Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain AI翻译
  作者：Belloni, A.; Chen, D.; Chernozhukov, V.; Hansen, C.
  作者单位：Duke University; Swiss Federal Institutes of Technology Domain; ETH Zurich; Massachusetts Institute of Technology (MIT); University of Chicago
  摘要：We develop results for the use of Lasso and post-Lasso methods to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments, p. Our results apply even when p is much larger than the sample size, n. We show that the IV estimator based on using Lasso or post-Lasso in the first stage is root-n consistent and asymptotically normal when the first stage is approximately sparse, that is, when the conditional expectation of the end...
• Functional Differencing AI翻译
  作者：Bonhomme, Stephane
  摘要：In nonlinear panel data models, the incidental parameter problem remains a challenge to econometricians. Available solutions are often based on ingenious, model-specific methods. In this paper, we propose a systematic approach to construct moment restrictions on common parameters that are free from the individual fixed effects. This is done by an orthogonal projection that differences out the unknown distribution function of individual effects. Our method applies generally in likelihood models...
• Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models AI翻译
  作者：Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert
  作者单位：University of Bologna; University of Copenhagen; University of Nottingham
  摘要：This paper discusses a consistent bootstrap implementation of the likelihood ratio (LR) co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates of the underlying vector autoregressive (VAR) model that obtain under the reduced rank null hypothesis. A full asymptotic theory is provided that shows that, unlike the bootstrap procedure in Swensen (2006) where a combination of u...
• Dynamic Competition With Random Demand and Costless Search: A Theory of Price Posting AI翻译
  作者：Deneckere, Raymond; Peck, James
  作者单位：University of Wisconsin System; University of Wisconsin Madison; University System of Ohio; Ohio State University
  摘要：This paper studies a dynamic model of perfectly competitive price posting under demand uncertainty. Firms must produce output in advance. After observing aggregate sales in prior periods, firms post prices for their unsold output. In each period, the demand of a new batch of consumers is randomly activated. Existing customers who have not yet bought and then new customers arrive at the market in random order, observe the posted prices, and either purchase at the lowest available price or delay...
• The Productivity Advantages of Large Cities: Distinguishing Agglomeration From Firm Selection AI翻译
  作者：Combes, Pierre-Philippe; Duranton, Gilles; Gobillon, Laurent; Puga, Diego; Roux, Sebastien
  作者单位：Centre National de la Recherche Scientifique (CNRS); Aix-Marseille Universite; University of Pennsylvania; Centre for Economic Policy Research - UK; IZA Institute Labor Economics; Institut Polytechnique de Paris; ENSAE Paris
  摘要：Firms are more productive, on average, in larger cities. Two main explanations have been offered: firm selection (larger cities toughen competition, allowing only the most productive to survive) and agglomeration economies (larger cities promote interactions that increase productivity), possibly reinforced by localized natural advantage. To distinguish between them, we nest a generalized version of a tractable firm selection model and a standard model of agglomeration. Stronger selection in la...
• Constrained Efficiency in the Neoclassical Growth Model With Uninsurable Idiosyncratic Shocks AI翻译
  作者：Davila, Julio; Hong, Jay H.; Krusell, Per; Rios-Rull, Jose-Victor
  作者单位：Centre National de la Recherche Scientifique (CNRS); Paris School of Economics; University of Rochester; Stockholm University; University of Gothenburg; University of Minnesota System; University of Minnesota Twin Cities; Center for Economic & Policy Research (CEPR); Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; National Bureau of Economic Research
  摘要：We investigate the welfare properties of the one-sector neoclassical growth model with uninsurable idiosyncratic shocks. We focus on the notion of constrained efficiency used in the general equilibrium literature. Our characterization of constrained efficiency uses the first-order condition of a constrained planner's problem. This condition highlights the margins of relevance for whether capital is too high or too low: the factor composition of income of the (consumption-)poor. Using three cal...
• Set Identified Linear Models AI翻译
  作者：Bontemps, Christian; Magnac, Thierry; Maurin, Eric
  作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Paris School of Economics
  摘要：We analyze the identification and estimation of parameters beta satisfying the incomplete linear moment restrictions E(z(inverted perpendicular)(x beta-y)) = E(z(inverted perpendicular)u(z)), where z is a set of instruments and u(z) an unknown bounded scalar function. We first provide empirically relevant examples of such a setup. Second, we show that these conditions set identify beta where the identified set B is bounded and convex. We provide a sharp characterization of the identified set n...
• Price Inference in Small Markets AI翻译
  作者：Rostek, Marzena; Weretka, Marek
  作者单位：University of Wisconsin System; University of Wisconsin Madison
  摘要：This paper investigates the effects of market size on the ability of price to aggregate traders' private information. To account for heterogeneity in correlation of trader values, a Gaussian model of double auction is introduced that departs from the standard information structure based on a common (fundamental) shock. The paper shows that markets are informationally efficient only if correlations of values coincide across all bidder pairs. As a result, with heterogeneously interdependent valu...