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作者：Maliar, Lilia; Maliar, Serguei; Taylor, John B.; Tsener, Inna
作者单位：City University of New York (CUNY) System; Center for Economic & Policy Research (CEPR); Santa Clara University; Stanford University; National Bureau of Economic Research; Universitat de les Illes Balears
摘要：We consider a class of infinite-horizon dynamic Markov economic models in which the parameters of utility function, production function, and transition equations change over time. In such models, the optimal value and decision functions are time-inhomogeneous: they depend not only on state but also on time. We propose a quantitative framework, called extended function path (EFP), for calibrating, solving, simulating, and estimating such nonstationary Markov models. The EFP framework relies on ...
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作者：Liao, Zhipeng; Shi, Xiaoxia
作者单位：University of California System; University of California Los Angeles; University of Wisconsin System; University of Wisconsin Madison
摘要：This paper proposes a new model selection test for the statistical comparison of semi/non-parametric models based on a general quasi-likelihood ratio criterion. An important feature of the new test is its uniformly exact asymptotic size in the overlapping nonnested case, as well as in the easier nested and strictly nonnested cases. The uniform size control is achieved without using pretesting, sample-splitting, or simulated critical values. We also show that the test has nontrivial power again...
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作者：Armstrong, Timothy B.; Kolesar, Michal
作者单位：Yale University; Princeton University
摘要：We consider the problem of constructing honest confidence intervals (CIs) for a scalar parameter of interest, such as the regression discontinuity parameter, in nonparametric regression based on kernel or local polynomial estimators. To ensure that our CIs are honest, we use critical values that take into account the possible bias of the estimator upon which the CIs are based. We show that this approach leads to CIs that are more efficient than conventional CIs that achieve coverage by undersm...
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作者：Todd, Petra E.; Zhang, Weilong
作者单位：University of Pennsylvania; University of Cambridge
摘要：This paper develops a dynamic model of schooling and occupational choices that incorporates personality traits, as measured by the big five traits. The model is estimated using the HILDA dataset from Australia. Personality traits are found to play an important role in explaining education and occupation choices over the lifecycle. Results show that individuals with a comparative advantage in schooling and white-collar work have, on average, higher cognitive skills and higher personality trait ...
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作者：Zhang, Yichong; Zheng, Xin
作者单位：Singapore Management University
摘要：In this paper, we study the estimation and inference of the quantile treatment effect under covariate-adaptive randomization. We propose two estimation methods: (1) the simple quantile regression and (2) the inverse propensity score weighted quantile regression. For the two estimators, we derive their asymptotic distributions uniformly over a compact set of quantile indexes, and show that, when the treatment assignment rule does not achieve strong balance, the inverse propensity score weighted...
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作者：Bauer, Daniel; Russ, Jochen; Zhu, Nan
作者单位：University of Wisconsin System; University of Wisconsin Madison; Ulm University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We use data from a large US life expectancy provider to test for asymmetric information in the secondary life insurance-or life settlements-market. We compare realized lifetimes for a subsample of settled policies relative to all (settled and non-settled) policies, and find a positive settlement-survival correlation indicating the existence of informational asymmetry between policyholders and investors. Estimates of the excess hazard associated with settling show the effect is temporary and we...
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作者：Leung, Michael P.
作者单位：University of Southern California
摘要：Counterfactual policy evaluation often requires computation of game-theoretic equilibria. We provide new algorithms for computing pure-strategy Nash equilibria of games on networks with finite action spaces. The algorithms exploit the fact that many agents may be endowed with types such that a particular action is a dominant strategy. These agents can be used to partition the network into smaller subgames whose equilibrium sets may be more feasible to compute. We provide bounds on the complexi...
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作者：Perron, Pierre; Yamamoto, Yohei; Zhou, Jing
作者单位：Boston University; Hitotsubashi University
摘要：We provide a comprehensive treatment for the problem of testing jointly for structural changes in both the regression coefficients and the variance of the errors in a single equation system involving stationary regressors. Our framework is quite general in that we allow for general mixing-type regressors and the assumptions on the errors are quite mild. Their distribution can be nonnormal and conditional heteroskedasticity is permitted. Extensions to the case with serially correlated errors ar...
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作者：Gine, Xavier; Jacoby, Hanan G.
作者单位：The World Bank
摘要：To quantify contracting distortions in a real-world market, we develop and structurally estimate a model of contracting under payoff uncertainty in the south Indian groundwater economy. Uncertainty arises from unpredictable fluctuations in groundwater supply during the agricultural dry season. Our model highlights the tradeoff between the ex post inefficiency of long-term contracts and the ex ante inefficiency of spot contracts. We use unique data on both payoff uncertainty and relationship-sp...
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作者：Hoffman, Mitchell; Burks, Stephen V.
作者单位：University of Toronto; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Morris; IZA Institute Labor Economics
摘要：Combining weekly productivity data with weekly productivity beliefs for a large sample of truckers over 2 years, we show that workers tend to systematically and persistently overpredict their productivity. If workers are overconfident about their own productivity at the current firm relative to their outside option, they should be less likely to quit. Empirically, all else equal, having higher productivity beliefs is associated with an employee being less likely to quit. To study the implicati...
