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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：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：Yamaguchi, Shintaro
作者单位：University of Tokyo
摘要：This paper constructs and estimates a dynamic discrete choice structural model of female employment and fertility decisions that incorporates job protection and cash benefits of parental leave legislation. The structural model is used for ex ante evaluation of policies that change the duration of job protection and/or the arrangement for cash benefits. Counterfactual simulations indicate that introducing an initial 1-year job protection policy increases maternal employment significantly, but e...
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作者：Arcidiacono, Peter; Miller, Robert A.
作者单位：Duke University; National Bureau of Economic Research; Carnegie Mellon University
摘要：The estimation of nonstationary dynamic discrete choice models typically requires making assumptions far beyond the length of the data. We extend the class of dynamic discrete choice models that require only a few-period-ahead conditional choice probabilities, and develop algorithms to calculate the finite dependence paths. We do this both in single agent and games settings, resulting in expressions for the value functions that allow for much weaker assumptions regarding the time horizon and t...
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作者：Almuzara, Martin; Amengual, Dante; Sentana, Enrique
摘要：We exploit the rationale behind the Expectation Maximization algorithm to derive simple to implement and interpret LM normality tests for the innovations of the latent variables in linear state space models against generalized hyperbolic alternatives, including symmetric and asymmetric Student ts. We decompose our tests into third and fourth moment components, and obtain one-sided likelihood ratio analogues, whose asymptotic distribution we provide. When we apply our tests to a common trend mo...
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作者：Tischbirek, Andreas
作者单位：University of Lausanne
摘要：Formal dynamic analyses of household portfolio choice in the literature focus on holdings of equity and a risk-free asset or bonds of different maturities, neglecting the interdependence of the decisions to invest in equity, short-term and long-term bonds made by households. Data from the Survey of Consumer Finances is used to derive stylized facts about participation in the long-term government-debt market and conditional portfolio shares. To explain the mechanisms underlying these facts, I d...
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作者：Carvalho, Jose Raimundo; Magnac, Thierry; Xiong, Qizhou
作者单位：Universidade Federal do Ceara; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：We use rich microeconomic data on performance and choices of students at college entry to analyze interactions between the selection mechanism, eliciting college preferences through exams, and the allocation mechanism. We set up a framework in which success probabilities and student preferences are shown to be identified from data on their choices and their exam grades under exclusion restrictions and support conditions. The counterfactuals we consider balance the severity of congestion and th...
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作者：Han, Sukjin; McCloskey, Adam
作者单位：University of Texas System; University of Texas Austin; University of Colorado System; University of Colorado Boulder
摘要：This paper develops extremum estimation and inference results for nonlinear models with very general forms of potential identification failure when the source of this identification failure is known. We examine models that may have a general deficient rank Jacobian in certain parts of the parameter space. When identification fails in one of these models, it becomes underidentified and the identification status of individual parameters is not generally straightforward to characterize. We provid...
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作者：Hayashi, Fumio; Koeda, Junko
作者单位：National Graduate Institute for Policy Studies; Waseda University
摘要：We propose an empirical framework for analyzing the macroeconomic effects of quantitative easing (QE) and apply it to Japan. The framework is a regime-switching structural vector autoregression in which the monetary policy regime, chosen by the central bank responding to economic conditions, is endogenous and observable. QE is modeled as one of the regimes. The model incorporates an exit condition for terminating QE. We find that higher reserves at the effective lower bound raise inflation and...
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作者：Chakravorty, Ujjayant; Hubert, Marie-Helene; Marchand, Beyza Ural
作者单位：Tufts University; Centre National de la Recherche Scientifique (CNRS); Universite de Rennes; University of Alberta
摘要：More than 40% of US grain is used for energy due to the Renewable Fuel Mandate (RFS). There are no studies of the global distributional consequences of this purely domestic policy. Using micro-level survey data, we trace the effect of the RFS on world food prices and their impact on household level consumption and wage incomes in India. We first develop a partial equilibrium model to estimate the effect of the RFS on the price of selected food commodities-rice, wheat, corn, sugar, and meat and...
