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作者：Aase, Knut K.
作者单位：Norwegian School of Economics (NHH)
摘要：Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum principle to analyze the model. This method uses forward/backward stochastic differential equations, and works when the economy is notMarkovian, which can be the case with recursive utility. With existence granted, the wealth portfolio is characterized in equilibrium in terms...
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作者：Mogstad, Magne; Wiswall, Matthew
作者单位：Arizona State University; Arizona State University-Tempe
摘要：We examine the relationship between child quantity and quality. Motivated by the theoretical ambiguity regarding the sign of the marginal effects of additional siblings on children's outcomes, our empirical model allows for an unrestricted relationship between family size and child outcomes. We find that the conclusion in Black, Devereux, and Salvanes (2005) of no family size effect does not hold after relaxing their linear specification in family size. We find nonzero effects of family size i...
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作者：Chang, Yoosoon; Choi, Yongok; Kim, Hwagyun; Park, Joon Y.
作者单位：Indiana University System; Indiana University Bloomington; Korea Development Institute (KDI); Texas A&M University System; Texas A&M University College Station; Sungkyunkwan University (SKKU)
摘要：This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities with leverage effects. We find that the conventional regression approach often leads to misleading and inconsistent test results when applied to high-frequency data. We overcome this by using samples c...
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作者：Li, Xin; Narajabad, Borghan; Temzelides, Ted
作者单位：International Monetary Fund; Federal Reserve System - USA; Rice University; Rice University
摘要：We study a dynamic stochastic general equilibrium model in which agents are concerned about model uncertainty regarding climate change. An externality from greenhouse gas emissions damages the economy's capital stock. We assume that the mapping from climate change to damages is subject to uncertainty, as opposed to risk, and we use robust control to study efficiency and optimal policy. We obtain a sharp analytical solution for the implied environmental externality and characterize dynamic opti...
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作者：Foerster, Andrew; Rubio-Ramirez, Juan F.; Waggoner, Daniel F.; Zha, Tao
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Kansas City; Emory University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：Markov-switching dynamic stochastic general equilibrium (MSDSGE) modeling has become a growing body of literature on economic and policy issues related to structural shifts. This paper develops a general perturbation methodology for constructing high-order approximations to the solutions of MSDSGE models. Our new method-the partition perturbation method-partitions the Markov-switching parameter space to keep a maximum number of time-varying parameters from perturbation. For this method to work...
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作者：Gorry, Aspen
作者单位：Utah System of Higher Education; Utah State University
摘要：This paper studies the role of worker learning in a labor market where workers have incomplete information about the quality of their employment match. The amount of information about the quality of a new match depends on a worker's past job experience. Allowing workers to learn from experience generates a decline in job finding probabilities with age that is consistent with patterns found in the data. Moreover, workers with more past experience will on average have less wage volatility on new...
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作者：Kline, Brendan; Tamer, Elie
作者单位：University of Texas System; University of Texas Austin; Harvard University
摘要：This paper develops a Bayesian approach to inference in a class of partially identified econometric models. Models in this class are characterized by a known mapping between a point identified reduced-form parameter mu and the identified set for a partially identified parameter theta. The approach maps posterior inference about mu to various posterior inference statements concerning the identified set for theta, without the specification of a prior for theta. Many posterior inference statement...
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作者：Arcidiacono, Peter; Beauchamp, Andrew; McElroy, Marjorie
作者单位：Duke University; National Bureau of Economic Research; University System of Ohio; Wright State University Dayton
摘要：We develop a two-sided directed search model of relationship formation that can be used to disentangle male and female preferences over partner characteristics and over relationship terms from only a cross section of observed matches. Individuals direct their search for a partner on the basis of (i) the terms of the relationship, (ii) the partners' characteristics, and (iii) the endogenously determined probability of matching. Using data from the National Longitudinal Study of Adolescent Healt...
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作者：Kline, Brendan
作者单位：University of Texas System; University of Texas Austin
摘要：This paper develops a strategy for identification and estimation of complete information games that does not require a regressor that has large support or a parametric specification for the distribution of the unobservables. The identification result uses a nonstandard but plausible condition on the unobservables: the assumption that the joint density of the unobservables of all agents is unimodal in the sense of achieving the global maximum at a unique point. Also, a three-step semiparametric...
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作者：Otsu, Taisuke; Pesendorfer, Martin; Takahashi, Yuya
作者单位：University of London; London School Economics & Political Science; Johns Hopkins University
摘要：This paper proposes several statistical tests for finite state Markov games to examine whether data from distinct markets can be pooled. We formulate homogeneity tests of (i) the conditional choice and state transition probabilities, (ii) the steady-state distribution, and (iii) the conditional state distribution given an initial state. The null hypotheses of these homogeneity tests are necessary conditions (or maintained assumptions) for poolability of the data. Thus rejections of these null ...
