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作者：Honore, Bo E.; Muris, Chris; Weidner, Martin
作者单位：Princeton University; McMaster University; University of Oxford; University of Oxford
摘要：This paper studies a dynamic ordered logit model for panel data with fixed effects. The main contribution of the paper is to construct a set of valid moment conditions that are free of the fixed effects. The moment functions can be computed using four or more periods of data, and the paper presents sufficient conditions for the moment conditions to identify the common parameters of the model, namely the regression coefficients, the autoregressive parameters, and the threshold parameters. The a...
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作者：Andrews, Donald W. K.; Li, Ming
作者单位：Yale University; National University of Singapore; National University of Singapore
摘要：This paper considers nonparametric estimation and inference in first-order autoregressive (AR(1)) models with deterministically time-varying parameters. A key feature of the proposed approach is to allow for time-varying stationarity in some time periods, time-varying nonstationarity (i.e., unit root or local-to-unit root behavior) in other periods, and smooth transitions between the two. The estimation of the AR parameter at any time point is based on a local least squares regression method, ...
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作者：Drewianka, Scott; Oberg, Phillip
作者单位：University of Wisconsin System; University of Wisconsin Milwaukee
摘要：We add to the debate about whether models of earnings dynamics should allow for unobservable heterogeneity in expected earnings growth rates by examining implications for a statistic originally proposed to estimate the variance of persistent earnings shocks. While that statistic is unbiased under a common specification, we derive biases that would arise under alternative models and use them to draw inferences about their empirical relevance and to estimate key parameters. Most results cast dou...
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作者：Forni, Mario; Franconi, Alessandro; Gambetti, Luca; Sala, Luca
作者单位：Universita di Modena e Reggio Emilia; University of Pavia; Autonomous University of Barcelona; University of Turin; Bocconi University; Bocconi University
摘要：We provide new evidence on the asymmetries in the transmission of oil supply news shocks in the US using a nonlinear Proxy-SVAR. A shock that increases oil prices has large and persistent effects on real activity and relatively small effects on prices. On the contrary, a shock that reduces oil prices has smaller real effects and large effects on prices. We rationalize these findings through the behavior of uncertainty: uncertainty increases independently of the sign of the shock, amplifying th...
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作者：Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano; Mertens, Elmar
作者单位：University of London; Queen Mary University London; Federal Reserve System - USA; Federal Reserve Bank - Cleveland; Bocconi University; Centre for Economic Policy Research - UK; Deutsche Bundesbank
摘要：Vector autoregressions (VARs) are popular for forecasting, but ill-suited to handle occasionally binding constraints, like the effective lower bound on nominal interest rates. We examine reduced-form shadow rate VARs that model interest rates as censored observations of a latent shadow rate process and develop an efficient Bayesian estimation algorithm that accommodates large models. When compared to a standard VAR, our better-performing shadow rate VARs generate superior predictions for inter...
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作者：Caetano, Gregorio; Maheshri, Vikram
作者单位：University System of Georgia; University of Georgia; University of Houston System; University of Houston
摘要：We incorporate the endogenous feedback loop at the core of the seminal Schelling (1969) model of segregation into a dynamic model of neighborhood choice and use it to study the forces that shaped racial and income segregation in the San Francisco Bay area from 1990 to 2004. Such an analysis requires causal identification of households' responses to the socioeconomic composition of their neighbors. We achieve this with novel instrumental variables that can be rationalized with a dynamic choice ...
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作者：Sakaguchi, Shosei
作者单位：University of Tokyo
摘要：Many policies involve dynamics in their treatment assignments where individuals receive sequential interventions over multiple stages. We study estimation of an optimal dynamic treatment regime that guides the optimal treatment assignment for each individual at each stage based on their history. We propose an empirical welfare maximization approach in this dynamic framework, which estimates the optimal dynamic treatment regime using data from an experimental or quasi-experimental study while s...
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作者：Andersen, Torben G.; Tan, Yingwen; Todorov, Viktor; Zhang, Zhiyuan
作者单位：Northwestern University; Shanghai University of Finance & Economics; Northwestern University
摘要：We develop a test for mean stationarity of latent volatility curves using high-frequency data. To derive the asymptotic test size and power, we establish a functional invariance principle for semimartingales under a strong mixing condition. The power properties are analyzed under alternatives featuring deterministic trends in the volatility curve dynamics. Application to S&P 500 futures data provides strong evidence of nonstationary variation in the volatility pattern, with implications for re...
