-
作者：Chiong, Khai Xiang; Galichon, Alfred; Shum, Matt
作者单位：University of Southern California; University of Southern California; New York University; New York University; Institut d'Etudes Politiques Paris (Sciences Po); California Institute of Technology
摘要：Using results from Convex Analysis, we investigate a novel approach to identification and estimation of discrete-choice models that we call the mass transport approach. We show that the conditional choice probabilities and the choice-specific payoffs in these models are related in the sense of conjugate duality, and that the identification problem is a mass transport problem. Based on this, we propose a new two-step estimator for these models; interestingly, the first step of our estimator inv...
-
作者：Blau, David M.
作者单位：University System of Ohio; Ohio State University
摘要：This paper specifies a life cycle model of saving and employment and uses it to analyze crowd out of private household saving by public and private pensions. Some parameters of the model are estimated and others are calibrated to match life cycle employment and asset profiles, and Social Security claiming decisions. Simulation results indicate that defined benefit (DB) and defined contribution (DC) pensions on average crowd out household wealth by $0.09 and $0.37 per dollar of pension wealth, ...
-
作者：Escanciano, Juan Carlos; Jacho-Chavez, David; Lewbel, Arthur
作者单位：Indiana University System; Indiana University Bloomington; Emory University; Boston College
摘要：Let H-0(X) be a function that can be nonparametrically estimated. Suppose E[Y vertical bar X] = F-0[X-inverted perpendicular beta(0), H-0(X)]. Many models fit this framework, including latent index models with an endogenous regressor and nonlinear models with sample selection. We show that the vector beta(0) and unknown function F-0 are generally point identified without exclusion restrictions or instruments, in contrast to the usual assumption that identification without instruments requires ...
-
作者：Jorgensen, Thomas H.
作者单位：University of Copenhagen
摘要：Conventional estimators based on the consumption Euler equation, intensively used in studies of intertemporal consumption behavior, produce biased estimates of the effect of children on the marginal utility of consumption if consumers face credit constraints. As a more constructive contribution, I propose a tractable approach to obtaining bounds on the effect of children on the marginal utility of consumption. I estimate these bounds using the Panel Study of Income Dynamics and find that conve...
-
作者：Barseghyan, Levon; Molinari, Francesca; Teitelbaum, Joshua C.
作者单位：Cornell University; Georgetown University
摘要：We leverage the assumption that preferences are stable across contexts to partially identify and conduct inference on the parameters of a structural model of risky choice. Working with data on households' deductible choices across three lines of insurance coverage and a model that nests expected utility theory plus a range of non-expected utility models, we perform a revealed preference analysis that yields household-specific bounds on the model parameters. We then impose stability and other s...
-
作者：Echenique, Federico; Wilson, Alistair J.; Yariv, Leeat
作者单位：California Institute of Technology; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：We experimentally study the Gale and Shapley (1962) mechanism, which is utilized in a wide set of applications, most prominently the National Resident Matching Program (NRMP). Several insights come out of our analysis. First, only 48% of our observed outcomes are stable, and among those a large majority culminate at the receiver-optimal stable matching. Second, receivers rarely truncate their true preferences: it is the proposers who do not make offers in order of their preference, frequently ...
-
作者：Aase, Knut K.
作者单位：Norwegian School of Economics (NHH)
摘要：Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum principle to analyze the model. This method uses forward/backward stochastic differential equations, and works when the economy is notMarkovian, which can be the case with recursive utility. With existence granted, the wealth portfolio is characterized in equilibrium in terms...
-
作者：Mogstad, Magne; Wiswall, Matthew
作者单位：Arizona State University; Arizona State University-Tempe
摘要：We examine the relationship between child quantity and quality. Motivated by the theoretical ambiguity regarding the sign of the marginal effects of additional siblings on children's outcomes, our empirical model allows for an unrestricted relationship between family size and child outcomes. We find that the conclusion in Black, Devereux, and Salvanes (2005) of no family size effect does not hold after relaxing their linear specification in family size. We find nonzero effects of family size i...
-
作者：Chang, Yoosoon; Choi, Yongok; Kim, Hwagyun; Park, Joon Y.
作者单位：Indiana University System; Indiana University Bloomington; Korea Development Institute (KDI); Texas A&M University System; Texas A&M University College Station; Sungkyunkwan University (SKKU)
摘要：This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities with leverage effects. We find that the conventional regression approach often leads to misleading and inconsistent test results when applied to high-frequency data. We overcome this by using samples c...
-
作者：Li, Xin; Narajabad, Borghan; Temzelides, Ted
作者单位：International Monetary Fund; Federal Reserve System - USA; Rice University; Rice University
摘要：We study a dynamic stochastic general equilibrium model in which agents are concerned about model uncertainty regarding climate change. An externality from greenhouse gas emissions damages the economy's capital stock. We assume that the mapping from climate change to damages is subject to uncertainty, as opposed to risk, and we use robust control to study efficiency and optimal policy. We obtain a sharp analytical solution for the implied environmental externality and characterize dynamic opti...
