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作者：Hintermaier, Thomas; Koeniger, Winfried
作者单位：University of Bonn; University of St Gallen; IZA Institute Labor Economics
摘要：This paper develops a notion of consumer confidence within a dynamic competitive equilibrium framework. In any situation where multiple equilibrium prices on next-period spot markets are equally supported by the state of the economy, confidence is encoded in the subjective probabilities consumers attach to these multiple future outcomes. Our approach characterizes the set of all equilibrium-consistent subjective probabilities, and thereby endogenizes the extent of uncertainty faced by consumer...
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作者：Lai, Ernest K.; Lim, Wooyoung
作者单位：Lehigh University; Hong Kong University of Science & Technology
摘要：We design experimental games to evaluate the predictive power of the first cheap-talk refinement, neologism-proofness. In our first set of treatments designed to evaluate the refinement with its usual emphasis on literal meanings, we find that a fully revealing equilibrium that is neologism-proof is played more often; senders deviate from an equilibrium in a way that can be predicted by the credibility of the neologism; and receivers' behavior indicates that they understand senders' deviating ...
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作者：Kociecki, Andrzej; Kolasa, Marcin
作者单位：Narodowy Bank Polski; Warsaw School of Economics
摘要：This paper introduces a computational framework to analyze global identification of linearized DSGE models. A formal identification condition is established that relies on the restrictions linking the observationally equivalent state space representations and on the inherent constraints imposed by the model solution on the deep parameters. This condition is next used to develop an algorithm that checks global identification by searching for observationally equivalent model parametrizations. Th...
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作者：Breunig, Christoph; Hoderlein, Stefan
作者单位：Humboldt University of Berlin; Boston College
摘要：In this paper, we suggest and analyze a new class of specification tests for random coefficient models. These tests allow to assess the validity of central structural features of the model, in particular linearity in coefficients, generalizations of this notion like a known nonlinear functional relationship, or degeneracy of the distribution of a random coefficient, that is, whether a coefficient is fixed or random, including whether an associated variable can be omitted altogether. Our tests ...
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作者：Inoue, Atsushi; Shintani, Mototsugu
作者单位：Vanderbilt University; University of Tokyo; University of Tokyo
摘要：In this paper, we establish the consistency of the model selection criterion based on the quasi-marginal likelihood (QML) obtained from Laplace-type estimators. We consider cases in which parameters are strongly identified, weakly identified and partially identified. Our Monte Carlo results confirm our consistency results. Our proposed procedure is applied to select among New Keynesian macroeconomic models using US data.
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作者：Granziera, Eleonora; Moon, Hyungsik Roger; Schorfheide, Frank
作者单位：Bank of Finland; University of Southern California; Yonsei University; University of Pennsylvania
摘要：There is a fast growing literature that set-identifies structural vector autoregressions (SVARs) by imposing sign restrictions on the responses of a subset of the endogenous variables to a particular structural shock (sign-restricted SVARs). Most methods that have been used to construct pointwise coverage bands for impulse responses of sign-restricted SVARs are justified only from a Bayesian perspective. This paper demonstrates how to formulate the inference problem for sign-restricted SVARs w...
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作者：Ura, Takuya
作者单位：University of California System; University of California Davis
摘要：This paper studies the identifying power of an instrumental variable in the nonparametric heterogeneous treatment effect framework when a binary treatment is mismeasured and endogenous. Using a binary instrumental variable, I characterize the sharp identified set for the local average treatment effect under the exclusion restriction of an instrument and the deterministic monotonicity of the true treatment in the instrument. Even allowing for general measurement error (e.g., the measurement err...
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作者：Honore, Bo E.; de Paula, Aureo
作者单位：Princeton University; University of London; University College London
摘要：This paper introduces a bivariate version of the generalized accelerated failure time model. It allows for simultaneity in the econometric sense that the two realized outcomes depend structurally on each other. Another feature of the proposed model is that it will generate equal durations with positive probability. Our approach takes a stylized economic model that leads to a univariate generalized accelerated failure time model as a starting point. In this model, agents decide when to transiti...
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作者：Winberry, Thomas
作者单位：University of Chicago; National Bureau of Economic Research
摘要：I develop a computational method for solving and estimating heterogeneous agent macro models with aggregate shocks. The main challenge is that the aggregate state vector contains the distribution of agents, which is typically infinite-dimensional. I approximate the distribution with a flexible parametric family, reducing its dimensionality to a finite set of endogenous parameters, and solve for the dynamics of these endogenous parameters by perturbation. I implement the method in Dynare and sh...
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作者：Berliant, Marcus; Watanabe, Axel H.
作者单位：Washington University (WUSTL); Concordia University - Canada; Universite de Montreal
摘要：Zipf's law is one of the best known empirical regularities in urban economics. There is extensive research on the subject, where each city is treated symmetrically in terms of the cost of transactions with other cities. Recent developments in network theory facilitate the examination of an asymmetric transport network. In a scale-free network, the chance of observing extremes in network connections becomes higher than the Gaussian distribution predicts and, therefore, it explains the emergence...
