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作者：Maliar, Lilia; Maliar, Serguei
作者单位：Stanford University; Santa Clara University
摘要：We introduce a numerical algorithm for solving dynamic economic models that merges stochastic simulation and projection approaches: we use simulation to approximate the ergodic measure of the solution, we cover the support of the constructed ergodic measure with a fixed grid, and we use projection techniques to accurately solve the model on that grid. The construction of the grid is the key novel piece of our analysis: we replace a large cloud of simulated points with a small set of representa...
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作者：Trachter, Nicholas
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：A stepping stone arises in risky environments with learning and transferrable human capital. An example is the role played by academic two-year colleges in postsecondary education: Students, as they learn about the uncertain educational outcomes, can drop out or transfer up to harder and more rewarding schools, carrying a fraction of the accumulated human capital. A theory of education is built and contrasted empirically to find that (i) option value explains a large part of returns to enrollm...
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作者：Henry, Marc; Meango, Romuald; Queyranne, Maurice
作者单位：Leibniz Association; Ifo Institut; University of British Columbia
摘要：We propose a computationally feasible inference method in finite games of complete information. Galichon and Henry, 2011 and Beresteanu, Molchanov, and Molinari, 2011 show that the empirical content in such models is characterized by a collection of moment inequalities whose number increases exponentially with the number of discrete outcomes. We propose an equivalent characterization based on classical combinatorial optimization methods that allows the construction of confidence regions with a...
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作者：Egesdal, Michael; Lai, Zhenyu; Su, Che-Lin
作者单位：Harvard University; University of Chicago
摘要：We investigate the estimation of models of dynamic discrete-choice games of incomplete information, formulating the maximum-likelihood estimation exercise as a constrained optimization problem that can be solved using state-of-the-art constrained optimization solvers. Under the assumption that only one equilibrium is played in the data, our approach avoids repeatedly solving the dynamic game or finding all equilibria for each candidate vector of the structural parameters. We conduct Monte Carl...
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作者：Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad
作者单位：Massachusetts Institute of Technology (MIT); New York University
摘要：We consider the problem of inference on a class of sets describing a collection of admissible models as solutions to a single smooth inequality. Classical and recent examples include the Hansen-Jagannathan sets of admissible stochastic discount factors, Markowitz-Fama mean-variance sets for asset portfolio returns, and the set of structural elasticities in Chetty's (2012) analysis of demand with optimization frictions. The econometric structure of the problem allows us to construct convenient ...
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作者：Feng, Zhigang
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper examines a dynamic stochastic economy with a benevolent government that cannot commit to its future policies. I consider equilibria that are time-consistent and allow for history-dependent strategies. A new numerical algorithm is developed to solve for the set of equilibrium payoffs. For a baseline economy calibrated to the U.S. economy, the capital income tax with the highest social welfare is slightly procyclical, while the labor income tax is countercyclical. Compared with the da...
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作者：Song, Suyong; Schennach, Susanne M.; White, Halbert
作者单位：University of Iowa; Brown University; University of California System; University of California San Diego
摘要：We study the identification and estimation of covariate-conditioned average marginal effects of endogenous regressors in nonseparable structural systems when the regressors are mismeasured. We control for the endogeneity by making use of covariates as control variables; this ensures conditional independence between the endogenous causes of interest and other unobservable drivers of the dependent variable. Moreover, we recover distributions of the underlying true causes from their error-laden m...
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作者：Collins, Sean M.; James, Duncan
作者单位：Fordham University
摘要：Informed by Grether and Plott (1979) and Cox and Grether (1996), we implement various preference elicitation procedures over a parameter grid. First, we find a lower incidence of preference reversals for probability equivalents from the dual-to-selling version of Becker, Degroot, and Marschak (1964; BDM) than for certainty equivalents from traditional BDMconsistent with conjectures regarding response mode. Second, the Blavatskyy (2009, 2012) model of probabilistic choice can explain the incide...
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作者：Warusawitharana, Missaka
作者单位：Federal Reserve System - USA
摘要：This study presents a model in which firms invest in research and development (R&D) to generate innovations that increase their underlying profitability and invest in physical capital to produce output. Estimating the model using a method of moments approach reveals that R&D expenditures contribute significantly to profits and firm value. The model also captures variation in R&D intensity, profits, and firm value across R&D-intensive industries. Counterfactual experiments suggest that changes ...
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作者：Berliant, Marcus; Watanabe, Hiroki
作者单位：Washington University (WUSTL); Texas State University System; Lamar University
摘要：The empirical regularity known as Zipf's law or the rank-size rule has motivated development of a theoretical literature to explain it. We examine the assumptions on consumer behavior, particularly about their inability to insure against the city-level productivity shocks, implicitly used in this literature. With either self-insurance or insurance markets, and either an arbitrarily small cost of moving or the assumption that consumers do not perfectly observe the shocks to firms' technologies,...
