-
作者：Ferman, Bruno; Pinto, Cristine
作者单位：Getulio Vargas Foundation
摘要：We analyze the properties of the Synthetic Control (SC) and related estimators when the pre-treatment fit is imperfect. In this framework, we show that these estimators are generally biased if treatment assignment is correlated with unobserved confounders, even when the number of pre-treatment periods goes to infinity. Still, we show that a demeaned version of the SC method can improve in terms of bias and variance relative to the difference-in-difference estimator. We also derive a specificat...
-
作者：Cherchye, Laurens; De Rock, Bram; Vermeulen, Frederic; Walther, Selma
作者单位：KU Leuven; Universite Libre de Bruxelles; University of Sussex
摘要：Do individuals marry and divorce for economic reasons? Can we measure the economic attractiveness of a person's marriage market? We answer these questions using a structural model of consumer-producer households that is applied to rich data from Malawi. Using revealed preference conditions for a stable marriage market, we define the economic attractiveness of a potential match as the difference between the potential value of consumption and leisure with the new partner and the value of consump...
-
作者：Kaido, Hiroaki; Wuthrich, Kaspar
作者单位：Boston University; University of California System; University of California San Diego
摘要：The instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen (2005)) is a popular tool for estimating causal quantile effects with endogenous covariates. However, estimation is complicated by the nonsmoothness and nonconvexity of the IVQR GMM objective function. This paper shows that the IVQR estimation problem can be decomposed into a set of conventional quantile regression subproblems which are convex and can be solved efficiently. This reformulation leads to new ident...
-
作者：Sontuoso, Alessandro; Bhatia, Sudeep
作者单位：Chapman University System; Chapman University; University of Pennsylvania; University of Pennsylvania
摘要：We study games with natural-language labels (i.e., strategic problems where options are denoted by words), for which we propose and test a measurable characterization of prominence. We assume that-ceteris paribus-players find particularly prominent those strategies that are denoted by words more frequently used in their everyday language. To operationalize this assumption, we suggest that the prominence of a strategy-label is correlated with its frequency of occurrence in large text corpora, s...
-
作者：Bollerslev, Tim; Li, Jia; Liao, Zhipeng
作者单位：Duke University; University of California System; University of California Los Angeles
摘要：We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale asset price process. In contrast to existing theories based on the asymptotic notion of an increasing number of observations in local estimation blocks, our theory treats the estimation block size k as fixed. While the resulting spot volatility estimator is no longer consistent, the new theory permits the construction of asymptotically valid and easy-to-calculate pointwise co...
-
作者：Amir-Ahmadi, Pooyan; Drautzburg, Thorsten
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：We propose to add ranking restrictions on impulse-responses to sign restrictions to narrow the identified set in vector autoregressions (VARs). Ranking restrictions come from micro data on heterogeneous industries in VARs, bounds on elasticities, or restrictions on dynamics. Using both a fully Bayesian conditional uniform prior and prior-robust inference, we show that these restrictions help to identify productivity news shocks in the data. In the prior-robust paradigm, ranking restrictions, b...
-
作者：Frandsen, Brigham R.; Lefgren, Lars J.
作者单位：Brigham Young University
摘要：We bound the distribution of treatment effects under plausible and testable assumptions on the joint distribution of potential outcomes, namely that potential outcomes are mutually stochastically increasing. We show how to test the empirical restrictions implied by those assumptions. The resulting bounds substantially sharpen bounds based on classical inequalities. We apply our method to estimate bounds on the distribution of effects of attending a Knowledge is Power Program (KIPP) charter sch...
-
作者：Donaldson, John B.; Mehra, Rajnish
作者单位：Columbia University; Arizona State University; Arizona State University-Tempe; National Bureau of Economic Research
摘要：This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the Average Crossing Time or ACT. We argue that the ACT measure, per se, provides not only a useful benchmark for the degree of mean reversion/aversion, but also an intuitive, and easily quantified sense of one time series being more strongly mean-reverting/avert...
-
作者：Kalouptsidi, Myrto; Scott, Paul T.; Souza-Rodrigues, Eduardo
作者单位：Harvard University; New York University; University of Toronto
摘要：Dynamic discrete choice (DDC) models are not identified nonparametrically, but the non-identification of models does not necessarily imply the nonidentification of counterfactuals. We derive novel results for the identification of counterfactuals in DDC models, such as non-additive changes in payoffs or changes to agents' choice sets. In doing so, we propose a general framework that allows the investigation of the identification of a broad class of counterfactuals (covering virtually any count...
