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作者：Kaido, Hiroaki; Wuthrich, Kaspar
作者单位：Boston University; University of California System; University of California San Diego
摘要：The instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen (2005)) is a popular tool for estimating causal quantile effects with endogenous covariates. However, estimation is complicated by the nonsmoothness and nonconvexity of the IVQR GMM objective function. This paper shows that the IVQR estimation problem can be decomposed into a set of conventional quantile regression subproblems which are convex and can be solved efficiently. This reformulation leads to new ident...
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作者：Sontuoso, Alessandro; Bhatia, Sudeep
作者单位：Chapman University System; Chapman University; University of Pennsylvania; University of Pennsylvania
摘要：We study games with natural-language labels (i.e., strategic problems where options are denoted by words), for which we propose and test a measurable characterization of prominence. We assume that-ceteris paribus-players find particularly prominent those strategies that are denoted by words more frequently used in their everyday language. To operationalize this assumption, we suggest that the prominence of a strategy-label is correlated with its frequency of occurrence in large text corpora, s...
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作者：Bollerslev, Tim; Li, Jia; Liao, Zhipeng
作者单位：Duke University; University of California System; University of California Los Angeles
摘要：We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale asset price process. In contrast to existing theories based on the asymptotic notion of an increasing number of observations in local estimation blocks, our theory treats the estimation block size k as fixed. While the resulting spot volatility estimator is no longer consistent, the new theory permits the construction of asymptotically valid and easy-to-calculate pointwise co...
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作者：Amir-Ahmadi, Pooyan; Drautzburg, Thorsten
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：We propose to add ranking restrictions on impulse-responses to sign restrictions to narrow the identified set in vector autoregressions (VARs). Ranking restrictions come from micro data on heterogeneous industries in VARs, bounds on elasticities, or restrictions on dynamics. Using both a fully Bayesian conditional uniform prior and prior-robust inference, we show that these restrictions help to identify productivity news shocks in the data. In the prior-robust paradigm, ranking restrictions, b...
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作者：Frandsen, Brigham R.; Lefgren, Lars J.
作者单位：Brigham Young University
摘要：We bound the distribution of treatment effects under plausible and testable assumptions on the joint distribution of potential outcomes, namely that potential outcomes are mutually stochastically increasing. We show how to test the empirical restrictions implied by those assumptions. The resulting bounds substantially sharpen bounds based on classical inequalities. We apply our method to estimate bounds on the distribution of effects of attending a Knowledge is Power Program (KIPP) charter sch...
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作者：Donaldson, John B.; Mehra, Rajnish
作者单位：Columbia University; Arizona State University; Arizona State University-Tempe; National Bureau of Economic Research
摘要：This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the Average Crossing Time or ACT. We argue that the ACT measure, per se, provides not only a useful benchmark for the degree of mean reversion/aversion, but also an intuitive, and easily quantified sense of one time series being more strongly mean-reverting/avert...
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作者：Kalouptsidi, Myrto; Scott, Paul T.; Souza-Rodrigues, Eduardo
作者单位：Harvard University; New York University; University of Toronto
摘要：Dynamic discrete choice (DDC) models are not identified nonparametrically, but the non-identification of models does not necessarily imply the nonidentification of counterfactuals. We derive novel results for the identification of counterfactuals in DDC models, such as non-additive changes in payoffs or changes to agents' choice sets. In doing so, we propose a general framework that allows the investigation of the identification of a broad class of counterfactuals (covering virtually any count...
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作者：Liu, Ruixuan
作者单位：Emory University
摘要：This paper proposes a new bivariate competing risks model in which both durations are the first passage times of dependent Levy subordinators with exponential thresholds and multiplicative covariates effects. Our specification extends the mixed proportional hazards model, as it allows for the time-varying heterogeneity represented by the unobservable Levy processes and it generates the simultaneous termination of both durations with positive probability. We obtain nonparametric identification ...
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作者：Ortu, Fulvio; Severino, Federico; Tamoni, Andrea; Tebaldi, Claudio
作者单位：Bocconi University; Bocconi University; Laval University; Universita della Svizzera Italiana; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
摘要：This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of process innovations. Thanks to the uncorrelatedness of components, our representation of a time series naturally induces a persistence-based variance decomposition of any weakly stationary process. We pro...
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作者：Auray, Stephane; Fuller, David L.
作者单位：Ecole Nationale de la Statistique et de l'Analyse de l'Information (ENSAI); Universite du Littoral-Cote-d'Opale; University of Wisconsin System
摘要：In this paper, we investigate the causes and consequences of unclaimed unemployment insurance (UI) benefits. A search model is developed where the costs to collecting UI benefits include both a traditional fixed administrative cost and an endogenous cost arising from worker and firm interactions. Experience rated taxes give firms an incentive to challenge a worker's UI claim, and these challenges are costly for the worker. Exploiting data on improper denials of UI benefits across states in the...
