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递增拍卖中的竞价摩擦AI 解读

This paper develops an approach for identifying and estimating the distribution of valuations in ascending auctions where an indeterminate number of bidders have an unknown number of bidding opportunities. To finesse the complications for identification and estimation due to multiple equilibria, our empirical analysis is based on the fact that bidders play undominated strategies in every equilibrium. We apply the model to a monthly financial market in which local banks…

利用短面板识别动态离散选择模型AI 解读

This paper analyzes the identification of flow payoffs and counterfactual choice probabilities (CCPs) in single-agent dynamic discrete choice models. We develop new results on non-stationary models where the time horizon for the agent extends beyond the length of the data (short panels). We show that counterfactual CCPs in short panels are identified when induced by temporary policy changes affecting payoffs, even though the utility flows are not. Counterfactual CCPs induced…

具有有限依赖的非平稳动态模型AI 解读

The estimation of nonstationary dynamic discrete choice models typically requires making assumptions far beyond the length of the data. We extend the class of dynamic discrete choice models that require only a few‐period‐ahead conditional choice probabilities, and develop algorithms to calculate the finite dependence paths. We do this both in single agent and games settings, resulting in expressions for the value functions that allow for much weaker assumptions regarding the…

This paper develops and implements a semiparametric estimator for investigating, with panel data, the importance of human capital and time nonseparable preferences to females when aggregate shocks are present. It provides a set of conditions for making statistical inferences about agents' expectations of their correlated future choices, from a short panel. Under the assumption that observed allocations are Pareto optimal, a dynamic model of female labour supply and…

家庭行为的跨国微观计量比较AI 解读

This paper reviews the methodological issues associated with estimating and testing competitive markets with panel data and applies it to international economics. The authors investigate differences in housing consumption and male labor supply across households in Germany and the United States. Observations are treated as equilibrium outcomes, generated by a set of competitive markets which accommodate varying degrees of integration. After controlling for differences in the…

This paper develops a new method for estimating the structural parameters of (discrete choice) dynamic programming problems. The method reduces the computational burden of estimating such models. We show the valuation functions characterizing the expected future utility associated with the choices often can be represented as an easily computed function of the state variables, structural parameters, and the probabilities of choosing alternative actions for states which are…

均衡中的家庭选择AI 解读

This paper is an empirical investigation of equilibrium restrictions on household consumption and male labor supply. It exploits a simple factor structure, rationalized by two assumptions, that household allocations are Pareto optimal and that the labor market is competitive. The paper estimates household preferences, and tests how well this parsimonious factor structure represents panel data on married couples and time series data on asset returns. Most of the estimates are…