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向量自回归模型中协整关系假设的自助法检验AI 解读

It is well known that the finite-sample properties of tests of hypotheses on the cointegrating vectors in vector autoregressive models can be quite poor, and that current solutions based on Bartlett-type corrections or bootstrap based on unrestricted parameter estimators are unsatisfactory, in particular in those cases where also asymptotic chi^2 tests fail most severely. In this paper, we solve this inference problem by showing \nthe novel result that a bootstrap test where…

原假设下存在干扰参数时的近最优检验AI 解读

This paper considers nonstandard hypothesis testing problems that involve a nuisance parameter. We establish an upper bound on the weighted average power of all valid tests, and develop a numerical algorithm that determines a feasible test with power close to the bound. The approach is illustrated in six applications: inference about a linear regression coefficient when the sign of a control coefficient is known; small sample inference about the difference in means from two…

断点回归设计的稳健非参数置信区间AI 解读

In the regression-discontinuity (RD) design, units are assigned to treatment based on whether their value of an observed covariate exceeds a known cutoff. In this design, local polynomial estimators are now routinely employed to construct confidence intervals for treatment effects. The performance of these confidence intervals in applications, however, may be seriously hampered by their sensitivity to the specific bandwidth employed. Available bandwidth selectors typically…

两步广义矩估计框架下的固定平滑渐近理论AI 解读

This paper develops the fixed-smoothing asymptotics in a two-step generalized method of moments (GMM) framework. Under this type of asymptotics, the weighting matrix in the second-step GMM criterion function converges weakly to a random matrix and the two-step GMM estimator is asymptotically mixed normal. Nevertheless, the Wald statistic, the GMM criterion function statistic, and the Lagrange multiplier statistic remain asymptotically pivotal. It is shown that critical…

利用稳定性限制进行识别AI 解读

This paper studies inference in models that are identified by moment restrictions. We show how instability of the moments can be used constructively to improve the identification of structural parameters that are stable over time. A leading example is macroeconomic models that are immune to the well‐known (Lucas (1976)) critique in the face of policy regime shifts. This insight is used to develop novel econometric methods that extend the widely used generalized method of…

检验矩不等式的实用两步法AI 解读

This paper considers the problem of testing a finite number of moment inequalities. We propose a two‐step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are “negative.” A Bonferonni‐type correction is used to account for the fact that, with some probability, the moments may not lie in the confidence region. It is shown that the test controls size uniformly over a…

利用市场层面数据识别差异化产品市场模型AI 解读

We present new identification results for nonparametric models of differentiated products markets, using only market level observables. We specify a nonparametric random utility discrete choice model of demand allowing rich preference heterogeneity, product/market unobservables, and endogenous prices. Our supply model posits nonparametric cost functions, allows latent cost shocks, and nests a range of standard oligopoly models. We consider identification of demand,…

level-0 行为能否跨博弈迁移？非中性框架下的 level-k 理论检验AI 解读

We test the portability of level-0 assumptions in level-k theory in an experimental investigation of behavior in Coordination, Discoordination, and Hide and Seek games with common, non-neutral frames. Assuming that level-0 behavior depends only on the frame, we derive hypotheses that are independent of prior assumptions about salience. Those hypotheses are not confirmed. Our findings contrast with previous research which has fitted parameterized level-k models to Hide and…

自回归根与预测回归的置信区间AI 解读

Local to unity limit theory is used in applications to construct confidence intervals (CIs) for autoregressive roots through inversion of a unit root test (Stock (1991)). Such CIs are asymptotically valid when the true model has an autoregressive root that is local to unity (ρ = 1 + c/n), but are shown here to be invalid at the limits of the domain of definition of the localizing coefficient c because of a failure in tightness and the escape of probability mass. Failure at…

动态金融约束：区分机制设计与外生不完备制度AI 解读

We formulate and solve a range of dynamic models of constrained credit/insurance that allow for moral hazard and limited commitment. We compare them to full insurance and exogenously incomplete financial regimes (autarky, saving only, borrowing and lending in a single asset). We develop computational methods based on mechanism design, linear programming, and maximum likelihood to estimate, compare, and statistically test these alternative dynamic models with…

可认证的博弈前沟通：完全披露AI 解读

This article asks when communication with certifiable information leads to complete information sharing. We consider Bayesian games augmented by a pre-play communication phase in which announcements are made publicly. We characterize the augmented games in which there exists a full disclosure sequential equilibrium with extremal beliefs (i.e., any deviation is attributed to a single type of the deviator). This characterization enables us to provide different sets of…

随机选择与考虑集AI 解读

We model a boundedly rational agent who suffers from limited attention. The agent considers each feasible alternative with a given (unobservable) probability, the attention parameter, and then chooses the alternative that maximises a preference relation within the set of considered alternatives. We show that this random choice rule is the only one for which the impact of removing an alternative on the choice probability of any other alternative is asymmetric and menu…

数据组合下处理效应的识别AI 解读

We consider the identification of counterfactual distributions and treatment effects when the outcome variables and conditioning covariates are observed in separate datasets. Under the standard selection on observables assumption, the counterfactual distributions and treatment effect parameters are no longer point identified. However, applying the classical monotone re-arrangement inequality, we derive sharp bounds on the counterfactual distributions and policy parameters of…

非参数与半参数模型的局部识别AI 解读

In parametric, nonlinear structural models, a classical sufficient condition for local identification, like Fisher (1966) and Rothenberg (1971), is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We derive an analogous result for the nonparametric, nonlinear structural models, establishing conditions under which an infinite dimensional analog of the full rank condition is sufficient for local identification.…

集聚的宏观经济影响AI 解读

Cities exist because of the productivity gains that arise from clustering production and workers, a process called agglomeration. How important is agglomeration for aggregate growth? This paper constructs a dynamic stochastic general equilibrium model of cities and uses it to estimate the effect of local agglomeration on aggregate growth. We combine aggregate time-series and city-level panel data to estimate the model's parameters via generalized method of moments. The…

任职年限的回报，还是相对资历的回报？AI 解读

This study documents two empirical facts using matched employer-employee data for Denmark and Portugal. First, workers who are hired last, are the first to leave the firm. Second, workers' wages rise with seniority (= a worker's tenure relative to the tenure of her colleagues). The identification problems for the wage return to tenure are shown not to apply to the return to seniority because seniority is not a deterministic function of time. Controlling for tenure, the…

马尔可夫切换参数的最优检验AI 解读

This paper proposes a class of optimal tests for the constancy of parameters in random coefficients models. Our testing procedure covers the class of Hamilton's models, where the parameters vary according to an unobservable Markov chain, but also applies to nonlinear models where the random coefficients need not be Markov. We show that the contiguous alternatives converge to the null hypothesis at a rate that is slower than the standard rate. Therefore, standard approaches…

货币政策的危险时刻：两千三百万笔银行贷款揭示的信贷风险承担AI 解读

We identify the effects of monetary policy on credit risk-taking with an exhaustive credit register of loan applications and contracts. We separate the changes in the composition of the supply of credit from the concurrent changes in the volume of supply and quality, and the volume of demand. We employ a two-stage model that analyzes the granting of loan applications in the first stage and loan outcomes for the applications granted in the second stage, and that controls for…

多产品企业的菜单成本定价AI 解读

We model the decisions of a multiproduct firm that faces a fixed “menu” cost: once it is paid, the firm can adjust the price of all its products. We characterize analytically the steady state firm's decisions in terms of the structural parameters: the variability of the flexible prices, the curvature of the profit function, the size of the menu cost, and the number of products sold. We provide expressions for the steady state frequency of adjustment, the hazard rate of price…

凸矩不等式模型的渐近有效估计AI 解读

This paper examines the efficient estimation of partially identified models defined by moment inequalities that are convex in the parameter of interest. In such a setting, the identified set is itself convex and hence fully characterized by its support function. We provide conditions under which, despite being an infinite dimensional parameter, the support function admits √n‐consistent regular estimators. A semiparametric efficiency bound is then derived for its estimation,…

基于模拟的熵式潜变量积分AI 解读

This paper introduces a general method to convert a model defined by moment conditions that involve both observed and unobserved variables into equivalent moment conditions that involve only observable variables. This task can be accomplished without introducing infinite‐dimensional nuisance parameters using a least favorable entropy‐maximizing distribution. We demonstrate, through examples and simulations, that this approach covers a wide class of latent variables models,…

选择性进入拍卖中的识别AI 解读

This paper considers nonparametric identification of a two‐stage entry and bidding game we call the Affiliated‐Signal (AS) model. This model assumes that potential bidders have private values, observe signals of their values prior to entry, and then choose whether to undertake a costly entry process, but imposes only minimal structure on the relationship between signals and values. It thereby nests a wide range of entry processes, including in particular the Samuelson (1985)…

精英幻象：波士顿与纽约考试选拔学校的学业效果AI 解读

Parents gauge school quality in part by the level of student achievement and a school's racial and socioeconomic mix. The importance of school characteristics in the housing market can be seen in the jump in house prices at school district boundaries where peer characteristics change. The question of whether schools with more attractive peers are really better in a value‐added sense remains open, however. This paper uses a fuzzy regression‐discontinuity design to evaluate…

广义约化式拍卖：网络流方法AI 解读

We develop a network-flow approach for characterizing interim-allocation rules that can be implemented by ex post allocations. Our method can be used to characterize feasible interim allocations in general multi-unit auctions where agents face capacity constraints, both ceilings and floors. Applications include a variety of settings of practical interest, ranging from individual and group-specific capacity constraints, set-aside sale, partnership dissolution, and government…