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作者：Eo, Yunjong; Morley, James
作者单位：University of Sydney; University of New South Wales Sydney
摘要：We propose the use of likelihood-ratio-based confidence sets for the timing of structural breaks in parameters from time series regression models. The confidence sets are valid for the broad setting of a system of multivariate linear regression equations under fairly general assumptions about the error and regressors, and allowing for multiple breaks in mean and variance parameters. In our asymptotic analysis, we determine the critical values for a likelihood ratio test of a break date and the...
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作者：Kim, Dong-Hyuk
作者单位：Vanderbilt University
摘要：I propose a Bayesian method to analyze bid data from first-price auctions under private value paradigms. I use a series representation to specify the valuation density so that bidding monotonicity is always satisfied, and I impose density affiliation by the nonparametric technique of Beresteanu (2007). This flexible method is, therefore, fully compatible with the underlying economic theory. To handle such a rich specification, I use a simulated likelihood, yet obtain a correct posterior by reg...
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作者：Canova, Fabio; Forero, Fernando J. Perez
作者单位：European University Institute; Centre for Economic Policy Research - UK
摘要：This paper provides a general procedure to estimate structural vector autoregressions. The algorithm can be used in constant or time-varying coefficient models, and in the latter case, the law of motion of the coefficients can be linear or nonlinear. It can deal in a unified way with just-identified (recursive or nonrecursive) or overidentified systems where identification restrictions are of linear or of nonlinear form. We study the transmission of monetary policy shocks in models with time-v...
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作者：Holter, Hans A.
作者单位：University of Oslo
摘要：I document a strong negative cross-country correlation between intergenerational earnings persistence and measures of tax progressivity and level, and between intergenerational earnings persistence and public expenditure on tertiary education. To explain these correlations, I then develop an intergenerational life-cycle model of human capital accumulation and earnings that features progressive taxation, public education expenditure, and borrowing constraints among the determinants of earnings ...
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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：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：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：Weese, Eric
作者单位：Yale University
摘要：In Japan, a formula-based transfer system resulted in local benefits from municipal mergers differing substantially from national benefits. A change in this transfer policy and the mergers that resulted are analyzed using a structural model involving private consumption, public good quality, and geographic distance, along with an asymmetric information problem between the national and local levels of government. The merger process is modeled using a cooperative form coalition formation game. P...
