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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：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 ...
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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：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...
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作者：D'Haultfouille, Xavier; Fevrier, Philippe
作者单位：Institut Polytechnique de Paris; ENSAE Paris
摘要：We address empirically the issues of the optimality of simple linear compensation contracts and the importance of asymmetries between firms and workers. For that purpose, we consider contracts between the French National Institute of Statistics and Economics (Insee) and the interviewers it hired to conduct its surveys in 2001, 2002, and 2003. To derive our results, we exploit an exogenous change in the contract structure in 2003, the piece rate increasing from 20.2 to 22.9 euros. We argue that...
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作者：Choi, Sekyu; Valladares-Esteban, Arnau
作者单位：University of Bristol; University of St Gallen
摘要：We study unemployment insurance in a framework where the main source of heterogeneity among agents is the type of household they live in: some agents live alone while others live with their spouses as a family. Our exercise is motivated by the fact that married individuals can rely on spousal income to smooth labor market shocks, while singles cannot. We extend a version of the standard incomplete-markets model to include two-agent households and calibrate it to the US economy with special emp...
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作者：Sieg, Holger; Yoon, Chamna
作者单位：University of Pennsylvania; Korea Advanced Institute of Science & Technology (KAIST)
摘要：We develop a new dynamic equilibrium model with heterogeneous households that captures the most important frictions that arise in housing rental markets and explains the political popularity of affordable housing policies. We estimate the model using data collected by the New York Housing Vacancy Survey in 2011. We find that there are significant adjustment costs in all markets as well as serious search frictions in the market for affordable housing. Moreover, there are large queuing frictions...
