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作者：Hu, Yingyao; Moffitt, Robert; Sasaki, Yuya
作者单位：Johns Hopkins University; Vanderbilt University
摘要：This paper presents identification and estimation results for a flexible state space model. Our modification of the canonical model allows the permanent component to follow a unit root process and the transitory component to follow a semiparametric model of a higher-order autoregressive-moving-average (ARMA) process. Using panel data of observed earnings, we establish identification of the nonparametric joint distributions for each of the permanent and transitory components over time. We apply...
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作者：Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao
作者单位：University of Pennsylvania; University of California System; University of California Los Angeles; University of California System; University of California Riverside
摘要：This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an infeasible optimal weight. We establish asymptotic theory on uniform approximation of the upper and lower bounds of the finite-sample truncated risk difference between any two estimators, which is used to compare the averaging GMM est...
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作者：Bray, Robert L.
作者单位：Northwestern University
摘要：Morton and Wecker (1977) stated that the value iteration algorithm solves a dynamic program's policy function faster than its value function when the limiting Markov chain is ergodic. I show that their proof is incomplete, and provide a new proof of this classic result. I use this result to accelerate the estimation of Markov decision processes and the solution of Markov perfect equilibria.
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作者：Plagborg-Moller, Mikkel
作者单位：Princeton University
摘要：I propose to estimate structural impulse responses from macroeconomic time series by doing Bayesian inference on the Structural Vector Moving Average representation of the data. This approach has two advantages over Structural Vector Autoregressions. First, it imposes prior information directly on the impulse responses in a flexible and transparent manner. Second, it can handle noninvertible impulse response functions, which are often encountered in applications. Rapid simulation of the poster...
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作者：Setty, Ofer
作者单位：Tel Aviv University
摘要：I model job-search monitoring in the optimal unemployment insurance framework, in which job-search effort is the worker's private information. In the model, monitoring provides costly information upon which the government conditions unemployment benefits. Using a simple one-period model with two effort levels, I show analytically that the monitoring precision increases and the utility spread decreases if and only if the inverse of the worker's utility in consumption has a convex derivative. Th...
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作者：Van Zandweghe, Willem; Wolman, Alexander L.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Kansas City; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：We study discretionary equilibrium in the Calvo pricing model for a monetary authority that chooses the money supply, producing three main contributions. First, price-adjusting firms have a unique equilibrium price for a broad range of parameterizations, in contrast to earlier results for the Taylor pricing model. Second, a generalized Euler equation makes transparent how the monetary authority affects future welfare through its influence on the future state of the economy. Third, we provide g...
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作者：Bugni, Federico A.; Canay, Ivan A.; Shaikh, Azeem M.
作者单位：Duke University; Northwestern University; University of Chicago
摘要：This paper studies inference in randomized controlled trials with covariate-adaptive randomization when there are multiple treatments. More specifically, we study in this setting inference about the average effect of one or more treatments relative to other treatments or a control. As in Bugni, Canay, and Shaikh (2018), covariate-adaptive randomization refers to randomization schemes that first stratify according to baseline covariates and then assign treatment status so as to achieve balance ...
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作者：Harenberg, Daniel; Marelli, Stefano; Sudret, Bruno; Winschel, Viktor
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich; Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：We present a global sensitivity analysis that quantifies the impact of parameter uncertainty on model outcomes. Specifically, we propose variance-decomposition-based Sobol' indices to establish an importance ranking of parameters and univariate effects to determine the direction of their impact. We employ the state-of-the-art approach of constructing a polynomial chaos expansion of the model, from which Sobol' indices and univariate effects are then obtained analytically, using only a limited ...
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作者：Elsby, Michael W. L.; Michaels, Ryan; Ratner, David
作者单位：University of Edinburgh; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Labor market frictions are able to induce sluggish aggregate employment dynamics. However, these frictions have strong implications for the source of this propagation: they distort the path of aggregate employment by impeding the flow of labor across firms. For a canonical class of frictions, we show how observable measures of such flows can be used to assess the effect of frictions on aggregate employment dynamics. Application of this approach to establishment microdata for the United States ...
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作者：Li, Jia; Todorov, Viktor; Tauchen, George
作者单位：Duke University; Northwestern University
摘要：We develop tests for deciding whether a large cross-section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing cross-sectional dimension and sampling frequency, and essentially no restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high-frequency returns at the times when...
