-
作者：Plagborg-Moller, Mikkel
作者单位：Princeton University
摘要：I propose to estimate structural impulse responses from macroeconomic time series by doing Bayesian inference on the Structural Vector Moving Average representation of the data. This approach has two advantages over Structural Vector Autoregressions. First, it imposes prior information directly on the impulse responses in a flexible and transparent manner. Second, it can handle noninvertible impulse response functions, which are often encountered in applications. Rapid simulation of the poster...
-
作者：Setty, Ofer
作者单位：Tel Aviv University
摘要：I model job-search monitoring in the optimal unemployment insurance framework, in which job-search effort is the worker's private information. In the model, monitoring provides costly information upon which the government conditions unemployment benefits. Using a simple one-period model with two effort levels, I show analytically that the monitoring precision increases and the utility spread decreases if and only if the inverse of the worker's utility in consumption has a convex derivative. Th...
-
作者：Van Zandweghe, Willem; Wolman, Alexander L.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Kansas City; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：We study discretionary equilibrium in the Calvo pricing model for a monetary authority that chooses the money supply, producing three main contributions. First, price-adjusting firms have a unique equilibrium price for a broad range of parameterizations, in contrast to earlier results for the Taylor pricing model. Second, a generalized Euler equation makes transparent how the monetary authority affects future welfare through its influence on the future state of the economy. Third, we provide g...
-
作者：Bugni, Federico A.; Canay, Ivan A.; Shaikh, Azeem M.
作者单位：Duke University; Northwestern University; University of Chicago
摘要：This paper studies inference in randomized controlled trials with covariate-adaptive randomization when there are multiple treatments. More specifically, we study in this setting inference about the average effect of one or more treatments relative to other treatments or a control. As in Bugni, Canay, and Shaikh (2018), covariate-adaptive randomization refers to randomization schemes that first stratify according to baseline covariates and then assign treatment status so as to achieve balance ...
-
作者：Harenberg, Daniel; Marelli, Stefano; Sudret, Bruno; Winschel, Viktor
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich; Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：We present a global sensitivity analysis that quantifies the impact of parameter uncertainty on model outcomes. Specifically, we propose variance-decomposition-based Sobol' indices to establish an importance ranking of parameters and univariate effects to determine the direction of their impact. We employ the state-of-the-art approach of constructing a polynomial chaos expansion of the model, from which Sobol' indices and univariate effects are then obtained analytically, using only a limited ...
-
作者：Elsby, Michael W. L.; Michaels, Ryan; Ratner, David
作者单位：University of Edinburgh; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Labor market frictions are able to induce sluggish aggregate employment dynamics. However, these frictions have strong implications for the source of this propagation: they distort the path of aggregate employment by impeding the flow of labor across firms. For a canonical class of frictions, we show how observable measures of such flows can be used to assess the effect of frictions on aggregate employment dynamics. Application of this approach to establishment microdata for the United States ...
-
作者：Li, Jia; Todorov, Viktor; Tauchen, George
作者单位：Duke University; Northwestern University
摘要：We develop tests for deciding whether a large cross-section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing cross-sectional dimension and sampling frequency, and essentially no restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high-frequency returns at the times when...
-
作者：Chalak, Karim
作者单位：University of Virginia
摘要：This paper studies measuring various average effects of X on Y in general structural systems with unobserved confounders U, a potential instrument Z, and a proxy W for U. We do not require X or Z to be exogenous given the covariates or W to be a perfect one-to-one mapping of U. We study the identification of coefficients in linear structures as well as covariate-conditioned average nonparametric discrete and marginal effects (e.g., average treatment effect on the treated), and local and margin...
-
作者：Andrews, Donald W. K.; Marmer, Vadim; Yu, Zhengfei
作者单位：Yale University; University of British Columbia; University of Tsukuba
摘要：This paper considers tests and confidence sets (CSs) concerning the coefficient on the endogenous variable in the linear IV regression model with homoskedastic normal errors and one right-hand side endogenous variable. The paper derives a finite-sample lower bound function for the probability that a CS constructed using a two-sided invariant similar test has infinite length and shows numerically that the conditional likelihood ratio (CLR) CS of Moreira (2003) is not always very close, say 0.00...
-
作者：Gillingham, Kenneth; Tsvetanov, Tsvetan
作者单位：Yale University; National Bureau of Economic Research; University of Kansas
摘要：This paper estimates demand for residential solar photovoltaic (PV) systems using a new approach to address three empirical challenges that often arise with count data: excess zeros, unobserved heterogeneity, and endogeneity of price. Our results imply a price elasticity of demand for solar PV systems of -0.65. Counterfactual policy simulations indicate that reducing state financial incentives in half would have led to 9% fewer new installations in Connecticut in 2014. Calculations suggest a s...
