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作者：Zhu, Yu
作者单位：Bank of Canada
摘要：This paper studies the inference problem of an infinite-dimensional parameter with a shape restriction. This parameter is identified by arbitrarily many unconditional moment equalities. The shape restriction leads to a convex restriction set. I propose a test of the shape restriction, which controls size uniformly and applies to both point-identified and partially identified models. The test can be inverted to construct confidence sets after imposing the shape restriction. Monte Carlo experime...
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作者：Abbring, Jaap H.; Daljord, Oystein
作者单位：Tilburg University; Center for Economic & Policy Research (CEPR); University of Chicago
摘要：Empirical research often cites observed choice responses to variation that shifts expected discounted future utilities, but not current utilities, as an intuitive source of information on time preferences. We study the identification of dynamic discrete choice models under such economically motivated exclusion restrictions on primitive utilities. We show that each exclusion restriction leads to an easily interpretable moment condition with the discount factor as the only unknown parameter. The...
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作者：Stoltenberg, Christian A.; Singh, Swapnil
作者单位：University of Amsterdam; Tinbergen Institute; Bank of Lithuania; Kaunas University of Technology
摘要：This paper investigates whether assuming that households possess advance information on their income shocks helps to overcome the difficulty of standard models to understand consumption insurance in the US. As our main result, we find that the quantitative relevance of advance information crucially depends on the structure of insurance markets. For a realistic amount of advance information, a complete markets model with endogenous solvency constraints due to limited commitment explains several...
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作者：Bayer, Christian; Luetticke, Ralph
作者单位：University of Bonn; Center for Economic & Policy Research (CEPR); IZA Institute Labor Economics; Centre for Economic Policy Research - UK; University of London; University College London
摘要：This paper describes a method for solving heterogeneous agent models with aggregate risk and many idiosyncratic states formulated in discrete time. It extends the method proposed by Reiter (2009) and complements recent work by Ahn, Kaplan, Moll, Winberry, and Wolf (2017) on how to solve such models in continuous time. We suggest first solving for the stationary equilibrium of the model without aggregate risk. We then write the functionals that describe the dynamic equilibrium as sparse expansi...
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作者：Crawford, Rowena; O'Dea, Cormac
作者单位：University of London; London School Economics & Political Science; Yale University
摘要：Using a lifecycle model of consumption, saving and portfolio choice combined with linked survey and administrative data on wealth and lifetime earnings we evaluate measures of retirement preparedness. We estimate heterogeneous discount factors for households and compare these estimates of their patience to their replacement rates-the simple measure often used to evaluate the adequacy of retirement savings. We find first that the specification of the model's asset structure matters quantitative...
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作者：Han, Sukjin
作者单位：University of Texas System; University of Texas Austin
摘要：This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple nonparametric model of a triangular system. The paper derives a necessary and sufficient rank condition for identification, based on which weak identification is established. Then nonparametric weak instruments are defined as a sequence of reduced-form functions where the associated rank shrinks to zero. The problem of weak instruments is characterized as concurvity, which motivates the...
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作者：Frazier, David T.; Renault, Eric
作者单位：Monash University; University of Warwick
摘要：Indirect Inference (I-I) estimation of structural parameters theta requires matching observed and simulated statistics, which are most often generated using an auxiliary model that depends on instrumental parameters beta. The estimators of the instrumental parameters will encapsulate the statistical information used for inference about the structural parameters. As such, artificially constraining these parameters may restrict the ability of the auxiliary model to accurately replicate features ...
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作者：Maliar, Lilia; Maliar, Serguei; Taylor, John B.; Tsener, Inna
作者单位：City University of New York (CUNY) System; Center for Economic & Policy Research (CEPR); Santa Clara University; Stanford University; National Bureau of Economic Research; Universitat de les Illes Balears
摘要：We consider a class of infinite-horizon dynamic Markov economic models in which the parameters of utility function, production function, and transition equations change over time. In such models, the optimal value and decision functions are time-inhomogeneous: they depend not only on state but also on time. We propose a quantitative framework, called extended function path (EFP), for calibrating, solving, simulating, and estimating such nonstationary Markov models. The EFP framework relies on ...
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作者：Liao, Zhipeng; Shi, Xiaoxia
作者单位：University of California System; University of California Los Angeles; University of Wisconsin System; University of Wisconsin Madison
摘要：This paper proposes a new model selection test for the statistical comparison of semi/non-parametric models based on a general quasi-likelihood ratio criterion. An important feature of the new test is its uniformly exact asymptotic size in the overlapping nonnested case, as well as in the easier nested and strictly nonnested cases. The uniform size control is achieved without using pretesting, sample-splitting, or simulated critical values. We also show that the test has nontrivial power again...
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作者：Armstrong, Timothy B.; Kolesar, Michal
作者单位：Yale University; Princeton University
摘要：We consider the problem of constructing honest confidence intervals (CIs) for a scalar parameter of interest, such as the regression discontinuity parameter, in nonparametric regression based on kernel or local polynomial estimators. To ensure that our CIs are honest, we use critical values that take into account the possible bias of the estimator upon which the CIs are based. We show that this approach leads to CIs that are more efficient than conventional CIs that achieve coverage by undersm...
