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作者：Bianchi, Francesco; Nicolo, Giovanni
作者单位：Duke University; Centre for Economic Policy Research - UK; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We propose a novel approach to deal with the problem of indeterminacy in linear rational expectations models. The method consists of augmenting the original state space with a set of auxiliary exogenous equations to provide the adequate number of explosive roots in presence of indeterminacy. The solution in this expanded state space, if it exists, is always determinate, and is identical to the indeterminate solution of the original model. The proposed approach accommodates determinacy and any ...
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作者：Khan, Shakeeb; Ouyang, Fu; Tamer, Elie
作者单位：Boston College; University of Queensland; Harvard University
摘要：We explore inference on regression coefficients in semiparametric multinomial response models. We consider cross-sectional, and both static and dynamic panel settings where we focus throughout on inference under sufficient conditions for point identification. The approach to identification uses a matching insight throughout all three models coupled with variation in regressors: with cross-section data, we match across individuals while with panel data, we match within individuals over time. Ac...
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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：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：Sarzosa, Miguel; Urzua, Sergio
作者单位：Purdue University System; Purdue University; University System of Maryland; University of Maryland College Park; National Bureau of Economic Research
摘要：Bullying cannot be tolerated as a normal social behavior portraying a child's life. This paper quantifies its negative consequences allowing for the possibility that victims and nonvictims differ in unobservable characteristics. To this end, we introduce a factor analytic model for identifying treatment effects of bullying in which latent cognitive and noncognitive skills determine victimization and multiple outcomes. We use early test scores to identify the distribution of these skills. Indiv...
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作者：Ai, Chunrong; Linton, Oliver; Motegi, Kaiji; Zhang, Zheng
作者单位：The Chinese University of Hong Kong, Shenzhen; University of Cambridge; Kobe University; Renmin University of China
摘要：This paper presents a weighted optimization framework that unifies the binary, multivalued, and continuous treatment-as well as mixture of discrete and continuous treatment-under a unconfounded treatment assignment. With a general loss function, the framework includes the average, quantile, and asymmetric least squares causal effect of treatment as special cases. For this general framework, we first derive the semiparametric efficiency bound for the causal effect of treatment, extending the ex...
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作者：Fiorentini, Gabriele; Sentana, Enrique
作者单位：University of Florence
摘要：We propose generalized DWH specification tests which simultaneously compare three or more likelihood-based estimators in multivariate conditionally heteroskedastic dynamic regression models. Our tests are useful for Garch models and in many empirically relevant macro and finance applications involving Vars and multivariate regressions. We determine the rank of the differences between the estimators' asymptotic covariance matrices under correct specification, and take into account that some par...
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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...
