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作者：Mehta, Nirav
作者单位：Western University (University of Western Ontario)
摘要：Researchers commonly shrink raw quality measures based on statistical criteria. This paper studies when and how this transformation's statistical properties would confer economic benefits to a utility-maximizing decision-maker across common asymmetric information environments. I develop the results for an application measuring teacher quality. The presence of a systematic relationship between teacher quality and class size could cause the data transformation to do either worse or better than t...
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作者：Aguirregabiria, Victor; Mira, Pedro
作者单位：University of Toronto; Center for Economic & Policy Research (CEPR)
摘要：This paper deals with identification of discrete games of incomplete information when we allow for three types of unobservables: payoff-relevant variables, both players' private information and common knowledge, and nonpayoff-relevant variables that determine the selection between multiple equilibria. The specification of the payoff function and the distributions of the common knowledge unobservables is nonparametric with finite support (i.e., finite mixture model). We provide necessary and su...
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作者：Almuzara, Martin; Amengual, Dante; Sentana, Enrique
摘要：We exploit the rationale behind the Expectation Maximization algorithm to derive simple to implement and interpret LM normality tests for the innovations of the latent variables in linear state space models against generalized hyperbolic alternatives, including symmetric and asymmetric Student ts. We decompose our tests into third and fourth moment components, and obtain one-sided likelihood ratio analogues, whose asymptotic distribution we provide. When we apply our tests to a common trend mo...
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作者：Andrews, Donald W. K.; Guggenberger, Patrik
作者单位：Yale University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：This paper introduces a new identification- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) test and a new identification- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment condition models. Both tests are very fast to compute. The paper shows that the tests have correct asymptotic size and are asymptotically similar (in a uniform sense) under very weak conditions. For example, in i.i.d. scenarios, all that is required is that the...
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作者：Tischbirek, Andreas
作者单位：University of Lausanne
摘要：Formal dynamic analyses of household portfolio choice in the literature focus on holdings of equity and a risk-free asset or bonds of different maturities, neglecting the interdependence of the decisions to invest in equity, short-term and long-term bonds made by households. Data from the Survey of Consumer Finances is used to derive stylized facts about participation in the long-term government-debt market and conditional portfolio shares. To explain the mechanisms underlying these facts, I d...
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作者：Peterman, William B.; Sommer, Kamila
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：A well-established result in the literature is that Social Security reduces steady state welfare in a standard life cycle model. However, less is known about the historical quantitative effects of the program on agents who were alive when the program was adopted. In a computational life cycle model that simulates the Great Depression and the enactment of Social Security, this paper quantifies the welfare effects of the program's enactment on the cohorts of agents who experienced it. In contras...
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作者：Carvalho, Jose Raimundo; Magnac, Thierry; Xiong, Qizhou
作者单位：Universidade Federal do Ceara; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：We use rich microeconomic data on performance and choices of students at college entry to analyze interactions between the selection mechanism, eliciting college preferences through exams, and the allocation mechanism. We set up a framework in which success probabilities and student preferences are shown to be identified from data on their choices and their exam grades under exclusion restrictions and support conditions. The counterfactuals we consider balance the severity of congestion and th...
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作者：Han, Sukjin; McCloskey, Adam
作者单位：University of Texas System; University of Texas Austin; University of Colorado System; University of Colorado Boulder
摘要：This paper develops extremum estimation and inference results for nonlinear models with very general forms of potential identification failure when the source of this identification failure is known. We examine models that may have a general deficient rank Jacobian in certain parts of the parameter space. When identification fails in one of these models, it becomes underidentified and the identification status of individual parameters is not generally straightforward to characterize. We provid...
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作者：Hayashi, Fumio; Koeda, Junko
作者单位：National Graduate Institute for Policy Studies; Waseda University
摘要：We propose an empirical framework for analyzing the macroeconomic effects of quantitative easing (QE) and apply it to Japan. The framework is a regime-switching structural vector autoregression in which the monetary policy regime, chosen by the central bank responding to economic conditions, is endogenous and observable. QE is modeled as one of the regimes. The model incorporates an exit condition for terminating QE. We find that higher reserves at the effective lower bound raise inflation and...
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作者：Holter, Hans A.; Krueger, Dirk; Stepanchuk, Serhiy
作者单位：University of Oslo; Center for Economic & Policy Research (CEPR); University of Pennsylvania; National Bureau of Economic Research; University of Southampton
摘要：How much additional tax revenue can the government generate by increasing the level of labor income taxes? In this paper, we argue that the degree of tax progressivity is a quantitatively important determinant of the answer to this question. To make this point, we develop a large scale overlapping generations model with single and married households facing idiosyncratic income risk, extensive and intensive margins of labor supply, as well as endogenous accumulation of human capital through lab...
