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作者：Honore, Bo E.; Muris, Chris; Weidner, Martin
作者单位：Princeton University; McMaster University; University of Oxford; University of Oxford
摘要：This paper studies a dynamic ordered logit model for panel data with fixed effects. The main contribution of the paper is to construct a set of valid moment conditions that are free of the fixed effects. The moment functions can be computed using four or more periods of data, and the paper presents sufficient conditions for the moment conditions to identify the common parameters of the model, namely the regression coefficients, the autoregressive parameters, and the threshold parameters. The a...
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作者：Cheela, Bhagath; Dehon, Andre; Fernandez-Villaverde, Jesus; Peri, Alessandro
作者单位：University of Pennsylvania; University of Pennsylvania; University of Colorado System; University of Colorado Boulder
摘要：We show how to use field-programmable gate arrays (FPGAs) and their associated high-level synthesis (HLS) compilers to solve heterogeneous agent models with incomplete markets and aggregate uncertainty (Krusell and Smith (1998)). We document that the acceleration delivered by one single FPGA is comparable to that provided by using 69 CPU cores in a conventional cluster. The time to solve 1200 versions of the model drops from 8 hours to 7 minutes, illustrating a great potential for structural e...
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作者：Mikusheva, Anna; Solvsten, Mikkel
作者单位：Massachusetts Institute of Technology (MIT); Aarhus University
摘要：This paper studies linear time-series regressions with many regressors. Weak exogeneity is the most used identifying assumption in time series. Weak exogeneity requires the structural error to have zero conditional expectation given present and past regressor values, allowing errors to correlate with future regressor realizations. We show that weak exogeneity in time-series regressions with many controls may produce substantial biases and render the least squares (OLS) estimator inconsistent. ...
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作者：Andrews, Donald W. K.; Li, Ming
作者单位：Yale University; National University of Singapore; National University of Singapore
摘要：This paper considers nonparametric estimation and inference in first-order autoregressive (AR(1)) models with deterministically time-varying parameters. A key feature of the proposed approach is to allow for time-varying stationarity in some time periods, time-varying nonstationarity (i.e., unit root or local-to-unit root behavior) in other periods, and smooth transitions between the two. The estimation of the AR parameter at any time point is based on a local least squares regression method, ...
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作者：Behrman, Jere R.; Parker, Susan W.; Todd, Petra; Zhang, Weilong
作者单位：University of Pennsylvania; University System of Maryland; University of Maryland College Park; University of Pennsylvania; National Bureau of Economic Research; University of Cambridge
摘要：This paper develops and estimates a dynamic model, which integrates value-added and school-choice models, to evaluate grade-by-grade and cumulative impacts of the Mexican Prospera conditional cash transfer (CCT) program on educational achievement. The empirical application advances the previous literature by estimating policy impacts on learning, accounting for dynamic selective school attendance, and incorporating both observed and unobserved heterogeneity. A dynamic framework is critical for...
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作者：Kleibergen, Frank; Zhan, Zhaoguo
作者单位：University of Amsterdam; University System of Georgia; Kennesaw State University
摘要：We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the minimizer of the population continuous updating objective function. The (bounding) chi 2 limiting distribution of the DRLM statistic is robust to both misspecification and weak identification, hence its name. The minimizer is the so-called pseudo-true value, which equals the true value of the structural parameter under correct specification. To emphasize its importance for applied work whe...
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作者：Garibaldi, Pietro; Gomes, Pedro; Sopraseuth, Thepthida
作者单位：University of Turin; University of London; Birkbeck University London; CY Cergy Paris Universite
摘要：We study two first-order economic consequences of vertical mismatch, using a simple (neoclassical) model of under and overemployment. Individuals of high type can perform both skilled and unskilled jobs, but only a fraction of low-type workers can perform skilled jobs. People have different costs over these jobs. First, we calibrate the model to match U.S. CPS time series since the 1980s. To control for unobserved heterogeneity, we compute wages based on workers who have switched between skill...
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作者：Kinnerud, Karin
作者单位：BI Norwegian Business School
摘要：Housing and mortgage choices are among the largest financial decisions households make and they substantially impact households' liquidity. This paper explores how monetary policy affects aggregate demand by influencing these portfolio choices. To quantify this channel, I build a heterogeneous-agent life-cycle model with long-term mortgages and endogenous house prices. I find that, although only a small fraction of households adjust their housing and mortgage holdings in response to an expansi...
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作者：Drewianka, Scott; Oberg, Phillip
作者单位：University of Wisconsin System; University of Wisconsin Milwaukee
摘要：We add to the debate about whether models of earnings dynamics should allow for unobservable heterogeneity in expected earnings growth rates by examining implications for a statistic originally proposed to estimate the variance of persistent earnings shocks. While that statistic is unbiased under a common specification, we derive biases that would arise under alternative models and use them to draw inferences about their empirical relevance and to estimate key parameters. Most results cast dou...
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作者：Forni, Mario; Franconi, Alessandro; Gambetti, Luca; Sala, Luca
作者单位：Universita di Modena e Reggio Emilia; University of Pavia; Autonomous University of Barcelona; University of Turin; Bocconi University; Bocconi University
摘要：We provide new evidence on the asymmetries in the transmission of oil supply news shocks in the US using a nonlinear Proxy-SVAR. A shock that increases oil prices has large and persistent effects on real activity and relatively small effects on prices. On the contrary, a shock that reduces oil prices has smaller real effects and large effects on prices. We rationalize these findings through the behavior of uncertainty: uncertainty increases independently of the sign of the shock, amplifying th...
