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作者：Liu, Ruixuan
作者单位：Emory University
摘要：This paper proposes a new bivariate competing risks model in which both durations are the first passage times of dependent Levy subordinators with exponential thresholds and multiplicative covariates effects. Our specification extends the mixed proportional hazards model, as it allows for the time-varying heterogeneity represented by the unobservable Levy processes and it generates the simultaneous termination of both durations with positive probability. We obtain nonparametric identification ...
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作者：Ortu, Fulvio; Severino, Federico; Tamoni, Andrea; Tebaldi, Claudio
作者单位：Bocconi University; Bocconi University; Laval University; Universita della Svizzera Italiana; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
摘要：This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of process innovations. Thanks to the uncorrelatedness of components, our representation of a time series naturally induces a persistence-based variance decomposition of any weakly stationary process. We pro...
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作者：Auray, Stephane; Fuller, David L.
作者单位：Ecole Nationale de la Statistique et de l'Analyse de l'Information (ENSAI); Universite du Littoral-Cote-d'Opale; University of Wisconsin System
摘要：In this paper, we investigate the causes and consequences of unclaimed unemployment insurance (UI) benefits. A search model is developed where the costs to collecting UI benefits include both a traditional fixed administrative cost and an endogenous cost arising from worker and firm interactions. Experience rated taxes give firms an incentive to challenge a worker's UI claim, and these challenges are costly for the worker. Exploiting data on improper denials of UI benefits across states in the...
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作者：Zhu, Yu
作者单位：Bank of Canada
摘要：This paper studies the inference problem of an infinite-dimensional parameter with a shape restriction. This parameter is identified by arbitrarily many unconditional moment equalities. The shape restriction leads to a convex restriction set. I propose a test of the shape restriction, which controls size uniformly and applies to both point-identified and partially identified models. The test can be inverted to construct confidence sets after imposing the shape restriction. Monte Carlo experime...
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作者：Abbring, Jaap H.; Daljord, Oystein
作者单位：Tilburg University; Center for Economic & Policy Research (CEPR); University of Chicago
摘要：Empirical research often cites observed choice responses to variation that shifts expected discounted future utilities, but not current utilities, as an intuitive source of information on time preferences. We study the identification of dynamic discrete choice models under such economically motivated exclusion restrictions on primitive utilities. We show that each exclusion restriction leads to an easily interpretable moment condition with the discount factor as the only unknown parameter. The...
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作者：Stoltenberg, Christian A.; Singh, Swapnil
作者单位：University of Amsterdam; Tinbergen Institute; Bank of Lithuania; Kaunas University of Technology
摘要：This paper investigates whether assuming that households possess advance information on their income shocks helps to overcome the difficulty of standard models to understand consumption insurance in the US. As our main result, we find that the quantitative relevance of advance information crucially depends on the structure of insurance markets. For a realistic amount of advance information, a complete markets model with endogenous solvency constraints due to limited commitment explains several...
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作者：Bayer, Christian; Luetticke, Ralph
作者单位：University of Bonn; Center for Economic & Policy Research (CEPR); IZA Institute Labor Economics; Centre for Economic Policy Research - UK; University of London; University College London
摘要：This paper describes a method for solving heterogeneous agent models with aggregate risk and many idiosyncratic states formulated in discrete time. It extends the method proposed by Reiter (2009) and complements recent work by Ahn, Kaplan, Moll, Winberry, and Wolf (2017) on how to solve such models in continuous time. We suggest first solving for the stationary equilibrium of the model without aggregate risk. We then write the functionals that describe the dynamic equilibrium as sparse expansi...
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作者：Crawford, Rowena; O'Dea, Cormac
作者单位：University of London; London School Economics & Political Science; Yale University
摘要：Using a lifecycle model of consumption, saving and portfolio choice combined with linked survey and administrative data on wealth and lifetime earnings we evaluate measures of retirement preparedness. We estimate heterogeneous discount factors for households and compare these estimates of their patience to their replacement rates-the simple measure often used to evaluate the adequacy of retirement savings. We find first that the specification of the model's asset structure matters quantitative...
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作者：Han, Sukjin
作者单位：University of Texas System; University of Texas Austin
摘要：This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple nonparametric model of a triangular system. The paper derives a necessary and sufficient rank condition for identification, based on which weak identification is established. Then nonparametric weak instruments are defined as a sequence of reduced-form functions where the associated rank shrinks to zero. The problem of weak instruments is characterized as concurvity, which motivates the...
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作者：Frazier, David T.; Renault, Eric
作者单位：Monash University; University of Warwick
摘要：Indirect Inference (I-I) estimation of structural parameters theta requires matching observed and simulated statistics, which are most often generated using an auxiliary model that depends on instrumental parameters beta. The estimators of the instrumental parameters will encapsulate the statistical information used for inference about the structural parameters. As such, artificially constraining these parameters may restrict the ability of the auxiliary model to accurately replicate features ...
