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作者：Srisuma, Sorawoot
作者单位：University of Surrey
摘要：We develop a minimum distance estimator for dynamic games of incomplete information. We take a two-step approach, following Hotz and Miller (1993), based on the pseudo-model that does not solve the dynamic equilibrium so as to circumvent the potential indeterminacy issues associated with multiple equilibria. The class of games estimable by our methodology includes the familiar discrete unordered action games as well as games where players' actions are monotone (discrete, continuous, or mixed) ...
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作者：Rau, Tomas
作者单位：Pontificia Universidad Catolica de Chile
摘要：In this paper, I present a general modeling framework for nonparametric models with endogenous regressors and heterogeneity. I show that many existing models in the literature can be derived from a structural equation with unobserved heterogeneity by imposing constancy assumptions on the first and second derivatives. I consider a less restrictive model that imposes constancy assumptions on the second partial derivative of the structural equation. Assuming the existence of suitable instrumental...
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作者：Blundell, Richard; Low, Hamish; Preston, Ian
作者单位：University of London; University College London; University of Cambridge
摘要：We develop a new approach to the decomposition of income risk within a non-stationary model of intertemporal choice. The approach allows for changes in income risk over the life cycle and across the business cycle, allowing for mixtures of persistent and transitory components in the dynamic process for income. We focus on what can be learned from repeated cross-section data alone. Evidence from a stochastic simulation of consumption choices in a nonstationarity environment is used to show the ...
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作者：Kline, Patrick; Santos, Andres
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; University of California System; University of California San Diego
摘要：This paper develops methods for assessing the sensitivity of empirical conclusions regarding conditional distributions to departures from the missing at random (MAR) assumption. We index the degree of nonignorable selection governing the missing data process by the maximal Kolmogorov-Smirnov distance between the distributions of missing and observed outcomes across all values of the covariates. Sharp bounds on minimum mean square approximations to conditional quantiles are derived as a functio...
