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作者：Chesher, Andrew; Rosen, Adam M.; Smolinski, Konrad
作者单位：University of London; University College London
摘要：This paper studies identification in multiple discrete choice models in which there may be endogenous explanatory variables, that is, explanatory variables that are not restricted to be distributed independently of the unobserved determinants of latent utilities. The model does not employ large support, special regressor, or control function restrictions; indeed, it is silent about the process that delivers values of endogenous explanatory variables, and in this respect it is incomplete. Inste...
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作者：Menzel, Konrad; Morganti, Paolo
作者单位：New York University
摘要：For symmetric auctions, there is a close relationship between distributions of order statistics of bidders' valuations and observable bids that is often used to estimate or bound the valuation distribution, optimal reserve price, and other quantities of interest nonparametrically. However, we show that the functional mapping from distributions of order statistics to their parent distribution is, in general, not Lipschitz continuous and, therefore, introduces an irregularity into the estimation...
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作者：Geyer, Judy; Sieg, Holger
作者单位：ABT Associates; University of Pennsylvania; National Bureau of Economic Research
摘要：The purpose of this paper is to develop and estimate a new equilibrium model of public housing that acknowledges the fact that the demand for public housing may exceed the available supply. We show that ignoring these supply side restrictions leads to an inconsistent estimator of household preferences. We estimate the parameters of the model based on a unique panel data set of low-income households in Pittsburgh. We find that public housing is an attractive option for seniors and exceedingly p...
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作者：Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; North Carolina State University; University of Michigan System; University of Michigan
摘要：A common problem in estimating dynamic stochastic general equilibrium models is that the structural parameters of economic interest are only weakly identified. As a result, classical confidence sets and Bayesian credible sets will not coincide even asymptotically, and the mean, mode, or median of the posterior distribution of the structural parameters can no longer be viewed as a consistent estimator. We propose two methods of constructing confidence intervals for structural model parameters t...
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作者：Chen, Xiaohong; Favilukis, Jack; Ludvigson, Sydney C.
作者单位：Yale University; University of London; London School Economics & Political Science; New York University; National Bureau of Economic Research
摘要：This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) recursive utility model, evaluates the model's ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return. Our empirical results indicate that the estimated relative risk aversion parameter ranges from 17 to 60, with higher values for aggregate consumption than for stockholde...
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作者：Srisuma, Sorawoot
作者单位：University of Surrey
摘要：We develop a minimum distance estimator for dynamic games of incomplete information. We take a two-step approach, following Hotz and Miller (1993), based on the pseudo-model that does not solve the dynamic equilibrium so as to circumvent the potential indeterminacy issues associated with multiple equilibria. The class of games estimable by our methodology includes the familiar discrete unordered action games as well as games where players' actions are monotone (discrete, continuous, or mixed) ...
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作者：Rau, Tomas
作者单位：Pontificia Universidad Catolica de Chile
摘要：In this paper, I present a general modeling framework for nonparametric models with endogenous regressors and heterogeneity. I show that many existing models in the literature can be derived from a structural equation with unobserved heterogeneity by imposing constancy assumptions on the first and second derivatives. I consider a less restrictive model that imposes constancy assumptions on the second partial derivative of the structural equation. Assuming the existence of suitable instrumental...
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作者：Blundell, Richard; Low, Hamish; Preston, Ian
作者单位：University of London; University College London; University of Cambridge
摘要：We develop a new approach to the decomposition of income risk within a non-stationary model of intertemporal choice. The approach allows for changes in income risk over the life cycle and across the business cycle, allowing for mixtures of persistent and transitory components in the dynamic process for income. We focus on what can be learned from repeated cross-section data alone. Evidence from a stochastic simulation of consumption choices in a nonstationarity environment is used to show the ...
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作者：Kline, Patrick; Santos, Andres
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; University of California System; University of California San Diego
摘要：This paper develops methods for assessing the sensitivity of empirical conclusions regarding conditional distributions to departures from the missing at random (MAR) assumption. We index the degree of nonignorable selection governing the missing data process by the maximal Kolmogorov-Smirnov distance between the distributions of missing and observed outcomes across all values of the covariates. Sharp bounds on minimum mean square approximations to conditional quantiles are derived as a functio...
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作者：Kinsler, Josh
作者单位：University of Rochester
摘要：Value-added models of teacher effectiveness yield consistent estimates of teacher quality under the assumption that students are randomly assigned to classrooms conditional on ability. Rothstein (2010) tested and rejected this underlying sorting assumption, casting doubt on the usefulness of the value-added framework. In this paper, I illustrate that the falsification tests employed by Rothstein perform quite poorly in small samples and I propose an alternative testing strategy that is less se...
