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作者：Farmer, Leland E.
作者单位：University of Virginia
摘要：Existing methods for estimating nonlinear dynamic models are either highly computationally costly or rely on local approximations which often fail adequately to capture the nonlinear features of interest. I develop a new method, the discretization filter, for approximating the likelihood of nonlinear, non-Gaussian state space models. I establish that the associated maximum likelihood estimator is strongly consistent, asymptotically normal, and asymptotically efficient. Through simulations, I s...
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作者：Hoelzemann, Johannes; Klein, Nicolas
作者单位：University of Toronto; Universite de Montreal; Universite de Montreal
摘要：We experimentally implement a dynamic public-good problem, where the public good in question is the dynamically evolving information about agents' common state of the world. Subjects' behavior is consistent with free-riding because of strategic concerns. We also find that subjects adopt more complex behaviors than predicted by the welfare-optimal equilibrium, such as noncut-off behavior, lonely pioneers, and frequent switches of action.
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作者：D'Haultfoeuille, Xavier; Gaillac, Christophe; Maurel, Arnaud
作者单位：Institut Polytechnique de Paris; ENSAE Paris; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Duke University; National Bureau of Economic Research; IZA Institute Labor Economics
摘要：In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are observed in two different data sets that cannot be matched. We show that whether one can rationalize rational expectations is equivalent to the distribution of realizations being a mean-preserving spread of the distribution of beliefs. The null hypothesis can t...
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作者：Breitmoser, Yves
作者单位：University of Bielefeld
摘要：Experimenters make theoretically irrelevant decisions concerning user interfaces and ordering or labeling of options. Reanalyzing dictator games, I first show that such decisions may drastically affect comparative statics and cause results to appear contradictory across experiments. This obstructs model testing, preference analyses, and policy predictions. I then propose a simple model of choice incorporating both presentation effects and stochastic errors, and test the model by reanalyzing th...
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作者：Aguirregabiria, Victor; Marcoux, Mathieu
作者单位：University of Toronto; Centre for Economic Policy Research - UK; Universite de Montreal; Universite de Montreal
摘要：Imposing equilibrium restrictions provides substantial gains in the estimation of dynamic discrete games. Estimation algorithms imposing these restrictions have different merits and limitations. Algorithms that guarantee local convergence typically require the approximation of high-dimensional Jacobians. Alternatively, the Nested Pseudo-Likelihood (NPL) algorithm is a fixed-point iterative procedure, which avoids the computation of these matrices, but-in games-may fail to converge to the consi...
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作者：Kato, Kengo; Sasaki, Yuya; Ura, Takuya
作者单位：Cornell University; Vanderbilt University; University of California System; University of California Davis
摘要：Kotlarski's identity has been widely used in applied economic research based on repeated-measurement or panel models with latent variables. However, how to conduct inference for these models has been an open question for two decades. This paper addresses this open problem by constructing a novel confidence band for the density function of a latent variable in repeated measurement error model. The confidence band builds on our finding that we can rewrite Kotlarski's identity as a system of line...
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作者：Bojinov, Iavor; Rambachan, Ashesh; Shephard, Neil
作者单位：Harvard University; Harvard University; Harvard University
摘要：In panel experiments, we randomly assign units to different interventions, measuring their outcomes, and repeating the procedure in several periods. Using the potential outcomes framework, we define finite population dynamic causal effects that capture the relative effectiveness of alternative treatment paths. For a rich class of dynamic causal effects, we provide a nonparametric estimator that is unbiased over the randomization distribution and derive its finite population limiting distributi...
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作者：Galizia, Dana
作者单位：Carleton University
摘要：Unlike linear ones, nonlinear business cycle models can generate sustained fluctuations even in the absence of shocks (e.g., via limit cycles/chaos). A popular approach to solving nonlinear models is perturbation methods. I show that, as typically implemented, these methods are incapable of finding solutions featuring limit cycles or chaos. Fundamentally, solutions are only required not to explode, while standard perturbation algorithms seek solutions that meet the stronger requirement of conv...
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作者：Holden, Richard; Keane, Michael; Lilley, Matthew
作者单位：University of New South Wales Sydney; Harvard University
摘要：Using data on essentially every U.S. Supreme Court decision since 1946, we estimate a model of peer effects on the Court. We estimate the impact of justice ideology and justice votes on the votes of their peers. To identify the peer effects, we use two instruments that generate plausibly exogenous variation in the peer group itself, or in the votes of peers. The first instrument utilizes the fact that the composition of the Court varies from case to case due to recusals or absences for health ...
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作者：Li, Chenchuan (Mark); Muller, Ulrich K.
作者单位：Princeton University
摘要：We consider inference about a scalar coefficient in a linear regression model. One previously considered approach to dealing with many controls imposes sparsity, that is, it is assumed known that nearly all control coefficients are (very nearly) zero. We instead impose a bound on the quadratic mean of the controls' effect on the dependent variable, which also has an interpretation as an R-2-type bound on the explanatory power of the controls. We develop a simple inference procedure that exploi...
