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作者：Hickman, Brent R.; Hubbard, Timothy P.; Paarsch, Harry J.
作者单位：University of Chicago; Colby College; State University System of Florida; University of Central Florida
摘要：Because of discrete bid increments, bidders at electronic auctions engage in shading instead of revealing their valuations, which would occur under the commonly assumed second-price rule. We demonstrate that misspecifying the pricing rule can lead to biased estimates of the latent valuation distribution, and then explore identification and estimation of a model with a correctly specified pricing rule. A further challenge to econometricians is that only a lower bound on the number of participan...
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作者：De Chaisemartin, Clement
作者单位：University of California System; University of California Santa Barbara
摘要：Instrumental variables (IVs) are commonly used to estimate the effects of some treatments. A valid IV should be as good as randomly assigned, it should not have a direct effect on the outcome, and it should not induce any unit to forgo treatment. This last condition, the so-called monotonicity condition, is often implausible. This paper starts by showing that actually, IVs are still valid under a weaker condition than monotonicity. It then derives conditions that are sufficient for this weaker...
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作者：Iskhakov, Fedor; Jorgensen, Thomas H.; Rust, John; Schjerning, Bertel
作者单位：Australian National University; University of New South Wales Sydney; University of Copenhagen; Georgetown University
摘要：We present a fast and accurate computational method for solving and estimating a class of dynamic programming models with discrete and continuous choice variables. The solution method we develop for structural estimation extends the endogenous grid-point method (EGM) to discrete-continuous (DC) problems. Discrete choices can lead to kinks in the value functions and discontinuities in the optimal policy rules, greatly complicating the solution of the model. We show how these problems are amelio...
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作者：Petrosky-Nadeau, Nicolas; Zhang, Lu
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：An accurate global projection algorithm is critical for quantifying the basic moments of the Diamond-Mortensen-Pissarides model. Log linearization understates the mean and volatility of unemployment, but overstates the volatility of labor market tightness and the magnitude of the unemployment-vacancy correlation. Log linearization also understates the impulse responses in unemployment in recessions, but overstates the responses in the market tightness in booms. Finally, the second-order pertur...
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作者：Vuong, Quang; Xu, Haiqing
作者单位：New York University; University of Texas System; University of Texas Austin
摘要：This paper establishes nonparametric identification of individual treatment effects in a nonseparable model with a binary endogenous regressor. The outcome variable may be continuous, discrete, or a mixture of both, while the instrumental variable can take binary values. First, we study the case where the model includes a selection equation for the binary endogenous regressor. We establish point identification of the individual treatment effects and the structural function when the latter is c...
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作者：Farmer, Leland E.; Toda, Alexis Akira
作者单位：University of California System; University of California San Diego
摘要：Approximating stochastic processes by finite-state Markov chains is useful for reducing computational complexity when solving dynamic economic models. We provide a new method for accurately discretizing general Markov processes by matching low order moments of the conditional distributions using maximum entropy. In contrast to existing methods, our approach is not limited to linear Gaussian autoregressive processes. We apply our method to numerically solve asset pricing models with various und...
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作者：Challe, Edouard; Matheron, Julien; Ragot, Xavier; Rubio-Ramirez, Juan F.
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; Centre National de la Recherche Scientifique (CNRS); Institut Polytechnique de Paris; ENSAE Paris; European Central Bank; Bank of France; Paris School of Economics; Emory University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：We construct, and then estimate by maximum likelihood, a tractable dynamic stochastic general equilibrium model with incomplete insurance and heterogenous agents. The key feature of our framework is that cross-sectional heterogeneity remains finite dimensional. The solution to the model thus admits a statespace representation that can be used to recover the distribution of the model's parameters. Household heterogeneity expands the set of observables to crosssectional moments available at the ...
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作者：Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia
作者单位：Duke University; Northwestern University; University of Wisconsin System; University of Wisconsin Madison
摘要：This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in) equality model. These functions are restricted to be linear for two-sided testing problems, but may be nonlinear for one-sided testing problems. In the most common case, this function selects a subvector of the parameter, such as a single component. The new inference method we propose controls asymptotic size uniformly over a large class of data distributions and improves upon the tw...
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作者：Chen, Bin; Choi, Jinho; Escanciano, Juan Carlos
作者单位：University of Rochester; Bank of Korea; Indiana University System; Indiana University Bloomington
摘要：We propose a test for invertibility or fundamentalness of structural vector autoregressive moving average models generated by non-Gaussian independent and identically distributed structural shocks. We prove that in these models and under some regularity conditions the Wold innovations are a martingale difference sequence (mds) if and only if the structural shocks are fundamental. This simple but powerful characterization suggests an empirical strategy to assess invertibility. We propose a test...
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作者：Maruyama, Shiko; Johar, Meliyanni
作者单位：University of Technology Sydney
摘要：There is a potential free-rider problem when several siblings consider future provision of care for their elderly parents. Siblings can commit to not providing long-term support by living far away. If location decisions are made by birth order, older siblings may enjoy a first-mover advantage. We study siblings' location decisions relative to their parents by estimating a sequential participation game for U.S. data. We find (i) limited strategic behavior, that is, in two-child families, more t...
