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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：Andrews, Isaiah; Armstrong, Timothy B.
作者单位：Massachusetts Institute of Technology (MIT); Yale University
摘要：We derive mean-unbiased estimators for the structural parameter in instrumental variables models with a single endogenous regressor where the sign of one or more first-stage coefficients is known. In the case with a single instrument, there is a unique nonrandomized unbiased estimator based on the reduced-form and first-stage regression estimates. For cases with multiple instruments we propose a class of unbiased estimators and show that an estimator within this class is efficient when the ins...
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作者：Barth, Daniel; Shore, Stephen H.; Jensen, Shane T.
作者单位：United States Department of the Treasury; Office of Financial Research; University System of Georgia; Georgia State University; University of Pennsylvania
摘要：How important to well-being is choosing a career with the right fit? We estimate a model of career choice in a setting where we observe the income risk of chosen careers and the risk aversion of the people who choose them. The key parameter of interest representing the importance of idiosyncratic taste and skill in career choice is identified from the shift in the distribution of income risk with risk aversion. We document that those who self-identify as risk tolerant are more likely to have v...
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作者：Bajari, Patrick; Hong, Han; Park, Minjung; Town, Robert
作者单位：University of Washington; University of Washington Seattle; National Bureau of Economic Research; Stanford University; University of California System; University of California Berkeley; University of Texas System; University of Texas Austin
摘要：This paper proposes a method to estimate price sensitivity of economic agents exploiting discontinuity in nonlinear contracts. As an application, we study contracts between a managed care organization and hospitals for organ transplants. Exploiting donut holes in the reimbursement contracts, we show that the impact of the reimbursement rate on hospitals' provision of health care services varies significantly across patients with different levels of illness severity. Our methodology is applicab...
