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作者：Gagliardini, P.; Gourieroux, C.; Renault, E.
作者单位：Universita della Svizzera Italiana; University of Toronto; University of North Carolina; University of North Carolina Chapel Hill; Universite de Montreal; Swiss Finance Institute (SFI)
摘要：In this paper, we introduce the extended method of moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard generalized method of moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform conditional moment restrictions (i. e., valid for any value of the conditioning variable), but also local conditional moment restrictions valid for a given fixed value of the conditioning variable. Th...
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作者：Mueller, Ulrich K.
作者单位：Princeton University
摘要：The asymptotic validity of tests is usually established by making appropriate primitive assumptions, which imply the weak convergence of a specific function of the data, and an appeal to the continuous mapping theorem. This paper, instead, takes the weak convergence of some function of the data to a limiting random element as the starting point and studies efficiency in the class of tests that remain asymptotically valid for all models that induce the same weak limit. It is found that efficien...
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作者：Benhabib, Jess; Bisin, Alberto; Zhu, Shenghao
作者单位：New York University; National University of Singapore
摘要：We study the dynamics of the distribution of wealth in an overlapping generation economy with finitely lived agents and intergenerational transmission of wealth. Financial markets are incomplete, exposing agents to both labor and capital income risk. We show that the stationary wealth distribution is a Pareto distribution in the right tail and that it is capital income risk, rather than labor income, that drives the properties of the right tail of the wealth distribution. We also study analyti...
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作者：Suri, Tavneet
作者单位：Massachusetts Institute of Technology (MIT)
摘要：This paper investigates an empirical puzzle in technology adoption for developing countries: the low adoption rates of technologies like hybrid maize that increase average farm profits dramatically. I offer a simple explanation for this: benefits and costs of technologies are heterogeneous, so that farmers with low net returns do not adopt the technology. I examine this hypothesis by estimating a correlated random coefficient model of yields and the corresponding distribution of returns to hyb...
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作者：Gabaix, Xavier
作者单位：New York University; National Bureau of Economic Research
摘要：This paper proposes that idiosyncratic firm-level shocks can explain an important part of aggregate movements and provide a microfoundation for aggregate shocks. Existing research has focused on using aggregate shocks to explain business cycles, arguing that individual firm shocks average out in the aggregate. I show that this argument breaks down if the distribution of firm sizes is fat-tailed, as documented empirically. The idiosyncratic movements of the largest 100 firms in the United State...
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作者：Park, Andreas; Sabourian, Hamid
作者单位：University of Toronto; University of Cambridge
摘要：Rational herd behavior and informationally efficient security prices have long been considered to be mutually exclusive but for exceptional cases. In this paper we describe the conditions on the underlying information structure that are necessary and sufficient for informational herding and contrarianism. In a standard sequential security trading model, subject to sufficient noise trading, people herd if and only if, loosely, their information is sufficiently dispersed so that they consider ex...
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作者：Graham, Bryan S.
作者单位：New York University; National Bureau of Economic Research
摘要：This paper shows that the semiparametric efficiency bound for a parameter identified by an unconditional moment restriction with data missing at random (MAR) coincides with that of a particular augmented moment condition problem. The augmented system consists of the inverse probability weighted (IPW) original moment restriction and an additional conditional moment restriction which exhausts all other implications of the MAR assumption. The paper also investigates the value of additional semipa...
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作者：Attanasio, Orazio P.; Pavoni, Nicola
作者单位：University of London; University College London; Bocconi University; Bocconi University; National Bureau of Economic Research
摘要：We study testable implications for the dynamics of consumption and income of models in which first-best allocations are not achieved because of a moral hazard problem with hidden saving. We show that in this environment, agents typically achieve more insurance than that obtained under self-insurance with a single asset. Consumption allocations exhibit excess smoothness, as found and defined by Campbell and Deaton (1989). We argue that excess smoothness, in this context, is equivalent to a viol...
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作者：Horowitz, Joel L.
作者单位：Northwestern University
摘要：Instrumental variables are widely used in applied econometrics to achieve identification and carry out estimation and inference in models that contain endogenous explanatory variables. In most applications, the function of interest (e.g., an Engel curve or demand function) is assumed to be known up to finitely many parameters (e.g., a linear model), and instrumental variables are used to identify and estimate these parameters. However, linear and other finite-dimensional parametric models make...
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作者：Eckstein, Zvi; Lifshitz, Osnat
作者单位：Tel Aviv University; Reichman University; Academic College of Tel Aviv Yaffo
摘要：The increase in female employment and participation rates is one of the most dramatic changes to have taken place in the economy during the last century. However, while the employment rate of married women more than doubled during the last 50 years, that of unmarried women remained almost constant. To empirically analyze these trends, we estimate a female dynamic labor supply model using an extended version of Eckstein and Wolpin (1989) to compare the various explanations in the literature for...
