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作者：Ichimura, Hidehiko; Newey, Whitney K.
作者单位：University of Arizona; University of Tokyo; Massachusetts Institute of Technology (MIT)
摘要：There are many economic parameters that depend on nonparametric first steps. Examples include games, dynamic discrete choice, average exact consumer surplus, and treatment effects. Often estimators of these parameters are asymptotically equivalent to a sample average of an object referred to as the influence function. The influence function is useful in local policy analysis, in evaluating local sensitivity of estimators, and constructing debiased machine learning estimators. We show that the ...
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作者：Parra-Alvarez, Juan Carlos; Posch, Olaf; Schrimpf, Andreas
作者单位：Aarhus University; CREATES; Danish Finance Institute; University of Hamburg; CREATES; Centre for Economic Policy Research - UK
摘要：This paper shows that the consumption-based capital asset pricing model (C-CAPM) with low-probability disaster risk rationalizes pricing errors. We find that implausible estimates of risk aversion and time preference are not puzzling if market participants expect a future catastrophic change in fundamentals, which just happens not to occur in the sample (a peso problem). A bias in structural parameter estimates emerges as a result of pricing errors in quiet times. While the bias essentially re...
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作者：Arai, Yoichi; Hsu, Yu-Chin; Kitagawa, Toru; Mourifie, Ismael; Wan, Yuanyuan
作者单位：Waseda University; Academia Sinica - Taiwan; National Central University; National Chengchi University; National Taiwan University; University of London; University College London; University of Toronto
摘要：We propose a new specification test for assessing the validity of fuzzy regression discontinuity designs (FRD-validity). We derive a new set of testable implications, characterized by a set of inequality restrictions on the joint distribution of observed outcomes and treatment status at the cut-off. We show that this new characterization exploits all of the information in the data that is useful for detecting violations of FRD-validity. Our approach differs from and complements existing approa...
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作者：Dupuy, Arnaud; Galichon, Alfred
作者单位：University of Luxembourg; New York University; New York University
摘要：This paper introduces a maximum likelihood estimator of the value of job amenities and labor productivity in a single matching market based on the observation of equilibrium matches and wages. The estimation procedure simultaneously fits both the matching patterns and the wage curve. While our estimator is suited for a wide range of assignment problems, we provide an application to the estimation of the Value of a Statistical Life using compensating wage differentials for the risk of fatal inj...
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作者：Anagnostopoulos, Alexis; Atesagaoglu, Orhan Erem; Carceles-Poveda, Eva
作者单位：State University of New York (SUNY) System; Stony Brook University; Istanbul Bilgi University
摘要：We study the aggregate and distributional consequences of replacing corporate profit taxes with shareholder taxes, namely taxes on dividends and capital gains, in a setting with incomplete markets and heterogeneity at both the household and the firm level. The reform yields distributional gains with a large majority of households benefiting. Moreover, if dividend and capital gains are taxed at the same rate, the reform is also efficiency-enhancing and the implied optimal corporate income tax r...
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作者：Descamps, Ambroise; Ke, Changxia; Page, Lionel
作者单位：Queensland University of Technology (QUT); University of Technology Sydney
摘要：We investigate if, and why, an initial success can trigger a string of successes. Using random variations in success in a real-effort laboratory experiment, we cleanly identify the causal effect of an early success in a competition. We confirm that an early success indeed leads to increased chances of a later success. By alternatively eliminating strategic features of the competition, we turn on and off possible mechanisms driving the effect of an early success. Standard models of dynamic cont...
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作者：Horvath, Peter; Li, Jia; Liao, Zhipeng; Patton, Andrew J.
作者单位：Duke University; University of California System; University of California Los Angeles
摘要：Correct specification of a conditional quantile model implies that a particular conditional moment is equal to zero. We nonparametrically estimate the conditional moment function via series regression and test whether it is identically zero using uniform functional inference. Our approach is theoretically justified via a strong Gaussian approximation for statistics of growing dimensions in a general time series setting. We propose a novel bootstrap method in this nonstandard context and show t...
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作者：Leroux, Anke D.; Martin, Vance L.; St John, Kathryn A.
作者单位：Monash University; University of Melbourne
摘要：A multivariate GARCH model of natural resources is specified to capture the effects of time varying portfolio risk. A special feature of the model is the inclusion of realized volatility for natural resource assets that are available at multiple frequencies as well as being sensitive to sudden changes in climatic conditions. Natural resource portfolios under climate change are simulated from bootstrapping schemes as well as being derived from global climate model projections. Both approaches a...
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作者：Giacomini, Raffaella; Kitagawa, Toru; Volpicella, Alessio
作者单位：University of London; University College London; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Kyoto University; University of Surrey
摘要：Uncertainty about the choice of identifying assumptions is common in causal studies, but is often ignored in empirical practice. This paper considers uncertainty over models that impose different identifying assumptions, which can lead to a mix of point- and set-identified models. We propose performing inference in the presence of such uncertainty by generalizing Bayesian model averaging. The method considers multiple posteriors for the set-identified models and combines them with a single pos...
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作者：Qiu, Chen; Otsu, Taisuke
作者单位：Cornell University; University of London; London School Economics & Political Science
摘要：This paper is concerned with estimation of functionals of a latent weight function that satisfies possibly high-dimensional multiplicative moment conditions. Main examples are functionals of stochastic discount factors in asset pricing, missing data problems, and treatment effects. We propose to estimate the latent weight function by an information theoretic approach combined with the l(1)-penalization technique to deal with high-dimensional moment conditions under sparsity. We study asymptoti...
