-
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 ...
-
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...
-
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...
-
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...
-
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...
-
作者：Chernozhukov, Victor; Fernandez-Val, Ivan; Newey, Whitney; Stouli, Sami; Vella, Francis
作者单位：Boston University; Massachusetts Institute of Technology (MIT); University of Bristol; Georgetown University
摘要：Triangular systems with nonadditively separable unobserved heterogeneity provide a theoretically appealing framework for the modeling of complex structural relationships. However, they are not commonly used in practice due to the need for exogenous variables with large support for identification, the curse of dimensionality in estimation, and the lack of inferential tools. This paper introduces two classes of semiparametric nonseparable triangular models that address these limitations. They ar...
-
作者：Ahlin, Christian
作者单位：Michigan State University
摘要：How has the microcredit movement managed to push financial frontiers? Theory shows that if borrowers vary in unobservable risk, then group-based, joint liability contracts price for risk more accurately than individual contracts, provided that borrowers match with others of similar project riskiness (Ghatak (1999, 2000)). This more accurate risk-pricing can attract safer borrowers and rouse an otherwise dormant credit market. We extend the theory to include correlated risk, and show that borro...
-
作者：Yoon, Jungmo; Galvao, Antonio F.
作者单位：Hanyang University; University of Arizona
摘要：This study develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed effects, allowing for temporal correlation within each individual. The conventional QR standard errors can seriously underestimate the uncertainty of estimators and, therefore, overestimate the significance of effects, when outcomes are serially correlated. Thus, we propose a clustered covariance matrix (CCM) estimator to solve this problem. The CCM estimator is an extension of ...
-
作者：Boehm, Michael J.
作者单位：University of Bonn; IZA Institute Labor Economics
摘要：This paper proposes a new approach to estimate task prices per efficiency unit of skill in the Roy model. I show how the sorting of workers into tasks and their associated wage growth can be used to identify changes in task prices under relatively weak assumptions. The estimation exploits the fact that the returns to observable talents will change differentially over time depending on the changes in prices of those tasks that they predict workers to sort into. In the generalized Roy model, als...
-
作者：Drautzburg, Thorsten
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：Structural DSGE models are used for analyzing both policy and the sources of business cycles. Conclusions based on full structural models are, however, potentially affected by misspecification. A competing method is to use partially identified SVARs based on narrative shocks. This paper asks whether both approaches agree. Specifically, I use narrative data in a DSGE-SVAR that partially identify policy shocks in the VAR and assess the fit of the DSGE model relative to this narrative benchmark. ...
