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作者：Mikusheva, Anna; Solvsten, Mikkel
作者单位：Massachusetts Institute of Technology (MIT); Aarhus University
摘要：This paper studies linear time-series regressions with many regressors. Weak exogeneity is the most used identifying assumption in time series. Weak exogeneity requires the structural error to have zero conditional expectation given present and past regressor values, allowing errors to correlate with future regressor realizations. We show that weak exogeneity in time-series regressions with many controls may produce substantial biases and render the least squares (OLS) estimator inconsistent. ...
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作者：Garibaldi, Pietro; Gomes, Pedro; Sopraseuth, Thepthida
作者单位：University of Turin; University of London; Birkbeck University London; CY Cergy Paris Universite
摘要：We study two first-order economic consequences of vertical mismatch, using a simple (neoclassical) model of under and overemployment. Individuals of high type can perform both skilled and unskilled jobs, but only a fraction of low-type workers can perform skilled jobs. People have different costs over these jobs. First, we calibrate the model to match U.S. CPS time series since the 1980s. To control for unobserved heterogeneity, we compute wages based on workers who have switched between skill...
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作者：Kinnerud, Karin
作者单位：BI Norwegian Business School
摘要：Housing and mortgage choices are among the largest financial decisions households make and they substantially impact households' liquidity. This paper explores how monetary policy affects aggregate demand by influencing these portfolio choices. To quantify this channel, I build a heterogeneous-agent life-cycle model with long-term mortgages and endogenous house prices. I find that, although only a small fraction of households adjust their housing and mortgage holdings in response to an expansi...
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作者：Dotsey, Michael; Li, Wenli; Yang, Fang
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Federal Reserve System - USA; Federal Reserve Bank - Dallas
摘要：We build a unified framework to quantitatively examine how demographic transition and industrial policies have contributed to China's economic growth in the past five decades. On the demographic side, we consider evolutions in government population-control policies, life expectancy, and pension income replacement. Industrial policies include changes in the speed of the growth of entrepreneurship, industry-specific interest subsidies, and financial intermediation costs. Our analyses suggest tha...
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作者：Gouel, Christophe; Legrand, Nicolas
作者单位：AgroParisTech; INRAE; Universite Paris Saclay; Virginia Polytechnic Institute & State University; Institut Agro; INRAE
摘要：We develop an indirect inference approach relying on a linear supply and demand model serving as an auxiliary model to provide the first full empirical test of the rational expectations commodity storage model. We build a rich storage model that incorporates a supply response and four structural shocks and show that exploiting information on both prices and quantities is critical for relaxing previous restrictive identifying assumptions and assessing the empirical consistency of the model's fe...
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作者：Chang, Yoosoon; Lu, Ye; Park, Joon Y.
作者单位：Indiana University System; Indiana University Bloomington; University of Sydney
摘要：In this paper, we analyze regressions with observations collected at small time intervals over a long period of time. For the formal asymptotic analysis, we assume that samples are obtained from continuous time stochastic processes, and let the sampling interval delta shrink down to zero and the sample span T increase up to infinity. In this setup, we show that the standard Wald statistic diverges to infinity and the regression becomes spurious as long as delta -> 0 sufficiently fast relative ...
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作者：Chen, Li-Shiun; Wang, Ping; Yao, Yao
作者单位：Washington University (WUSTL); Washington University (WUSTL); National Bureau of Economic Research; Victoria University Wellington
摘要：Evidence suggests that smokers' responsiveness to cessation medication depends on genotypes. Whether personalized treatment based on genotypes is cost effective compared to standard treatments, however, has been unexplored. We thus construct a lifecycle model with endogenous health evolution and life expectancy and with heterogeneities in genotypes, demographics, and adolescent smoking. We examine the cost effectiveness of three intervention policies: (i) a standard policy where all smokers re...
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作者：Echenique, Federico; Robinson-Cortes, Alejandro; Yariv, Leeat
作者单位：University of California System; University of California Berkeley; University of Exeter; Princeton University
摘要：We present an experimental study of decentralized two-sided matching markets with no transfers. Experimental participants are informed of everyone's preferences and can make arbitrary nonbinding match offers that get finalized when a period of market inactivity has elapsed. Several insights emerge. First, stable outcomes are prevalent. Second, while centralized clearinghouses commonly aim at implementing extremal stable matchings, our decentralized markets most frequently culminate in the medi...
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作者：Andersen, Torben G.; Todorov, Viktor; Zhou, Bo
作者单位：Northwestern University; Virginia Polytechnic Institute & State University
摘要：This paper focuses on the task of detecting local episodes involving violation of the standard It & ocirc; semimartingale assumption for financial asset prices in real time that might induce arbitrage opportunities. Our proposed detectors, defined as stopping rules, are applied sequentially to continually incoming high-frequency data. We show that they are asymptotically exponentially distributed in the absence of It & ocirc; semimartingale violations. On the other hand, when a violation occur...
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作者：Haan, Peter; Kemptner, Daniel; Prowse, Victoria; Schaller, Maximilian
作者单位：Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung; Purdue University System; Purdue University
摘要：Individuals vary considerably in how much they earn during their lifetimes. This study examines the role of the tax-and-transfer system in mitigating such inequalities, which could otherwise lead to disparities in living standards. Utilizing a life-cycle model, we determine that the tax-and-transfer system offsets 45% of lifetime earnings inequality attributed to differences in productive abilities and education. Additionally, the system insures against 47% of lifetime earnings risk. Implement...
