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作者：Grigolon, Laura
作者单位：University of Mannheim; Centre for Economic Policy Research - UK
摘要：Prominent features of differentiated product markets are segmentation and product proliferation blurring the boundaries between segments. I develop a tractable demand model, the Ordered Nested Logit, which allows for asymmetric substitution between segments. I apply the model to the automobile market where segments are ordered from small to luxury. I find that consumers, when substituting outside their vehicle segment, are more likely to switch to a neighboring segment. Accounting for such asy...
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作者：Lhuissier, Stephane; Tripier, Fabien
作者单位：European Central Bank; Bank of France; Universite Paris Saclay
摘要：Using a Markov-switching VAR, we show that the effects of uncertainty shocks on output are four times higher in a regime of economic distress than in a tranquil regime. We then provide a structural interpretation of these facts. To do so, we develop a business cycle model in which agents are aware of the possibility of regime changes when forming expectations. The model is estimated using a Bayesian minimum distance estimator that minimizes, over the set of structural parameters, the distance ...
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作者：Guo, Naijia; Leung, Charles Ka Yui
作者单位：Chinese University of Hong Kong; Chinese University of Hong Kong
摘要：Elite college attendance significantly impacts students' entrepreneurship decisions and career dynamics. We find that an elite college degree is positively correlated with entrepreneurship (i.e., owning an incorporated business) but not with other self-employment forms. Our overlapping generations model captures self-selection in education and career choices based on heterogeneous ability and family wealth endowments over the life cycle. Our estimates show that (1) entrepreneurs and other self...
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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：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：Bradley, Jake; Gottfries, Axel
作者单位：University of Nottingham; IZA Institute Labor Economics; University of Edinburgh
摘要：We set up a model with on-the-job search in which firms infrequently post vacancies for which workers occasionally apply. The model nests the standard job ladder and stock-flow models as special cases, while remaining analytically tractable and easy to estimate from standard panel data sets. The parameters from a structurally estimated model on US data are significantly different from either the restrictions imposed by a stock-flow or job ladder model. Imposing these restrictions significantly...
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作者：Inoue, Atsushi; Rossi, Barbara
作者单位：Vanderbilt University; Barcelona School of Economics; Pompeu Fabra University; ICREA; Centre de Recerca en Economia Internacional (CREI)
摘要：We propose a new approach to analyze economic shocks. Our new procedure identifies economic shocks as exogenous shifts in a function; hence, we call them functional shocks. We show how to identify such shocks and how to trace their effects in the economy via VARs using VARs with functional shocks and functional local projections. Using our new procedure, we address the crucial question of studying the effects of monetary policy by identifying monetary policy shocks as shifts in the whole term ...
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作者：Davis, Morris A.; Gregory, Jesse; Hartley, Daniel A.; Tan, Kegon T. K.
作者单位：Rutgers University System; Rutgers University New Brunswick; University of Wisconsin System; University of Wisconsin Madison; Federal Reserve System - USA; Federal Reserve Bank - Chicago; University of Rochester
摘要：Researchers and policy makers have explored the possibility of restricting the use of housing vouchers to neighborhoods that may positively affect the outcomes of children. Using the framework of a dynamic model of optimal location choice, we estimate preferences over neighborhoods of likely recipients of housing vouchers in Los Angeles. We combine simulations of the model with estimates of how locations affect adult earnings of children to understand how a voucher policy that restricts neighb...
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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...
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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...
