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作者：Dou, Liyu
作者单位：Singapore Management University; The Chinese University of Hong Kong, Shenzhen
摘要：This paper considers the problem of deriving heteroskedasticity and autocorrelation robust (HAR) inference about a scalar parameter of interest. The main assumption is that there is a known upper bound on the degree of persistence in data. I derive finite-sample optimal tests in the Gaussian location model and show that the robustness-efficiency tradeoffs embedded in the optimal tests are essentially determined by the maximal persistence. I find that with an appropriate adjustment to the criti...
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作者：Cho, JoonHwan; Luo, Yao; Xiao, Ruli
作者单位：State University of New York (SUNY) System; Binghamton University, SUNY; University of Toronto; Indiana University System; Indiana University Bloomington
摘要：Economic data are often contaminated by measurement errors and truncated by ranking. This paper shows that the classical measurement error model with independent and additive measurement errors is identified nonparametrically using only two order statistics of repeated measurements. The identification result confirms a hypothesis by Athey and Haile (2002) for a symmetric ascending auction model with unobserved heterogeneity. Extensions allow for heterogeneous measurement errors, broadening the...
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作者：Foltyn, Richard; Olsson, Jonna
作者单位：University of Glasgow; University of Glasgow
摘要：This paper examines how objective and subjective heterogeneity in life expectancy affects savings behavior of healthy and unhealthy people. Using data from the Health and Retirement Study, we first document systematic biases in survival beliefs across self-reported health: those in poor health not only have a shorter actual lifespan but also underestimate their remaining life time. To gauge the effect on savings behavior and wealth accumulation, we use an overlapping-generations model where su...
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作者：D'Haultfoeuille, Xavier; Tuvaandorj, Purevdorj
作者单位：Institut Polytechnique de Paris; ENSAE Paris; York University - Canada
摘要：We develop a new permutation test for inference on a subvector of coefficients in linear models. The test is exact when the regressors and the error terms are independent. Then we show that the test is asymptotically of correct level, consistent, and has power against local alternatives when the independence condition is relaxed, under two main conditions. The first is a slight reinforcement of the usual absence of correlation between the regressors and the error term. The second is that the n...
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作者：Duarte, Marco; Magnolfi, Lorenzo; Solvsten, Mikkel; Sullivan, Christopher
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of Wisconsin System; University of Wisconsin Madison; Aarhus University
摘要：Evaluating policy in imperfectly competitive markets requires understanding firm behavior. While researchers test conduct via model selection and assessment, we present the advantages of Rivers and Vuong (2002) (RV) model selection under misspecification. However, degeneracy of RV invalidates inference. With a novel definition of weak instruments for testing, we connect degeneracy to instrument strength, derive weak instrument properties of RV, and provide a diagnostic for weak instruments by ...
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作者：Cho, Yunho; Li, Shuyun May; Uren, Lawrence
作者单位：University of Jinan; University of Melbourne
摘要：Property transaction taxes-also known as stamp duty-are widely viewed as an inefficient form of taxation. In this paper, we examine the welfare implications of removing stamp duty in a general equilibrium overlapping generation model with heterogeneous agents. Our model features an idiosyncratic shock to housing preferences, which may create mismatch or induce households to move. We calibrate the model to the Australian housing market, and conduct counterfactual policy experiments where stamp ...
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作者：Hsu, Yu-Chin; Shen, Shu
作者单位：Academia Sinica - Taiwan; National Central University; National Chengchi University; National Taiwan University; University of California System; University of California Davis
摘要：Regression discontinuity is a popular tool for analyzing economic policies or treatment interventions. This research extends the classic static RD model to a dynamic framework, where observations are eligible for repeated RD events and, therefore, treatments. Such dynamics often complicate the identification and estimation of long-term average treatment effects. Empirical papers with such designs have so far ignored the dynamics or adopted restrictive identifying assumptions. This paper presen...
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作者：Valaitis, Vytautas; Villa, Alessandro T.
作者单位：University of Surrey; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We use supervised machine learning to approximate the expectations typically contained in the optimality conditions of an economic model in the spirit of the parameterized expectations algorithm (PEA) with stochastic simulation. When the set of state variables is generated by a stochastic simulation, it is likely to suffer from multicollinearity. We show that a neural network-based expectations algorithm can deal efficiently with multicollinearity by extending the optimal debt management probl...
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作者：Dzemski, Andreas; Okui, Ryo
作者单位：University of Gothenburg; Keio University
摘要：Our confidence set quantifies the statistical uncertainty from data-driven group assignments in grouped panel models. It covers the true group memberships jointly for all units with pre-specified probability and is constructed by inverting many simultaneous unit-specific one-sided tests for group membership. We justify our approach under N,T -> infinity asymptotics using tools from high-dimensional statistics, some of which we extend in this paper. We provide Monte Carlo evidence that the conf...
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作者：Ke, Shikun; Olea, Jose Luis Montiel; Nesbit, James
作者单位：Yale University; Cornell University
摘要：We study the Latent Dirichlet Allocation model, a popular Bayesian algorithm for text analysis. We show that the model's parameters are not identified, which suggests that the choice of prior matters. We characterize the range of values that the posterior mean of a given functional of the model's parameters can attain in response to a change in the prior, and we suggest two algorithms that report this range. Both of our algorithms rely on obtaining multiple Nonnegative Matrix Factorizations of...
