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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...
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作者：Hoesch, Lukas; Lee, Adam; Mesters, Geert
作者单位：Vrije Universiteit Amsterdam; Tinbergen Institute; BI Norwegian Business School; Pompeu Fabra University; Barcelona School of Economics; Centre de Recerca en Economia Internacional (CREI)
摘要：All parameters in structural vector autoregressive (SVAR) models are locally identified when the structural shocks are independent and follow non-Gaussian distributions. Unfortunately, standard inference methods that exploit such features of the data for identification fail to yield correct coverage for structural functions of the model parameters when deviations from Gaussianity are small. To this extent, we propose a locally robust semiparametric approach to conduct hypothesis tests and cons...
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作者：Benhabib, Jess; Cui, Wei; Miao, Jianjun
作者单位：New York University; University of London; University College London; University of Groningen; Boston University
摘要：Compared to the distributions of earnings, the distributions of wealth in the US and many other countries are strikingly concentrated on the top and skewed to the right. To explain the income and wealth inequality, we provide a tractable heterogeneous-agent model with incomplete markets in continuous time. We separate illiquid capital assets from liquid bond assets and introduce jump risks to capital income, which are crucial for generating a thicker tail of the wealth distribution than that o...
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作者：Fan, Yanqin; Jiang, Shuo; Shi, Xuetao
作者单位：University of Washington; University of Washington Seattle; Xiamen University; University of Sydney
摘要：Building on the sequential identification result of Aguirregabiria and Mira (2019), this paper develops estimation and inference procedures for static games of incomplete information with payoff-relevant unobserved heterogeneity and multiple equilibria. With payoff-relevant unobserved heterogeneity, sequential estimation and inference face two main challenges: the matching-types problem and a large number of matchings. We tackle the matching-types problem by constructing a new minimum-distance...
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作者：Egger, Peter H.; Erhardt, Katharina
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich; Centre for Economic Policy Research - UK; Leibniz Association; Ifo Institut; Heinrich Heine University Dusseldorf
摘要：Structural quantitative work in international economics typically models trade costs as a log-linear function of exogenous trade-policy variables. We propose a structural approach that allows for a nonparametric relationship and for treating tariff and nontariff trade-policy variables as potentially endogenous. The data reject the assumption of log-linearity of trade costs in both tariff- and nontariff-policy variables. We assess the effects of a unilateral increase of US tariffs on Chinese im...
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作者：Wang, Tong; Zhou, Congyi
作者单位：Ritsumeikan University; New York University
摘要：We study a mechanism that gives students the option of paying higher tuition to attend their preferred schools. This seat-purchasing mechanism is neither strategyproof nor stable. Our paper combines administrative and survey data to estimate students' preferences and conducts welfare analysis. We find that changing from a deferred acceptance mechanism to the cadet-optimal stable mechanism reduces students' welfare but that adopting the observed seat-purchasing mechanism alleviates this welfare...
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作者：Li, Lixiong; Kedagni, Desire; Mourifie, Ismael
作者单位：Johns Hopkins University; University of North Carolina; University of North Carolina Chapel Hill; University of Toronto; Washington University (WUSTL); National Bureau of Economic Research
摘要：In many set-identified models, it is difficult to obtain a tractable characterization of the identified set. Therefore, researchers often rely on nonsharp identification conditions, and empirical results are often based on an outer set of the identified set. This practice is often viewed as conservative yet valid because an outer set is always a superset of the identified set. However, this paper shows that when the model is refuted by the data, two sets of nonsharp identification conditions d...
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作者：Kocherlakota, Narayana R.
作者单位：University of Rochester; National Bureau of Economic Research
摘要：This paper reconsiders the question of testing for the presence of Pareto suboptimal capital overaccumulation in overlapping generations economies. The paper allows generation-specific technology shocks to evolve over time according to a stationary Markov chain, and assumes that an econometrician observes a finite sample of aggregate quantities. In this setting, any statistical test of the null hypothesis of capital overaccumulation with size less than one also has zero power against the alter...
