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风险厌恶竞标者第一价格拍卖的半参数估计AI 解读

In view of the non-identification of the first-price auction model with risk-averse bidders, this paper proposes some parametric identifying restrictions and a semiparametric estimator for the risk aversion parameter(s) and the latent distribution of private values. Specifically, we exploit heterogeneity across auctioned objects to establish semiparametric identification under a conditional quantile restriction of the bidders' private value distribution and a…

含不可观测异质性的拍卖模型识别与估计AI 解读

In many procurement auctions, the bidders' unobserved costs depend both on a common shock and on idiosyncratic private information. Assuming a multiplicative structure, I derive sufficient conditions under which the model is identified and propose a non-parametric estimation procedure that results in uniformly consistent estimators of the cost components' distributions. The estimation procedure is applied to data from Michigan highway procurement auctions. Private…

利用合成残差估计跨期配置参数AI 解读

We present a novel structural estimation procedure for models of intertemporal allocation. This is based on modelling expectations errors directly; we refer to it as synthetic residual estimation (SRE). The flexibility of SRE allows us to account for measurement error in consumption and for heterogeneity in intertemporal allocation parameters. An investigation of the small sample properties of the SRE estimator indicates that it dominates generalized method of moments (GMM)…

广义非参数反卷积及其在收入动态中的应用AI 解读

In this paper, we construct a non-parametric estimator of the distributions of latent factors in linear independent multi-factor models under the assumption that factor loadings are known. Our approach allows estimation of the distributions of up to L(L+ 1)/2 factors given L measurements. The estimator uses empirical characteristic functions, like many available deconvolution estimators. We show that it is consistent, and derive asymptotic convergence rates. Monte Carlo…

切换机制模型中处理效应分布的部分识别及其置信集AI 解读

In this paper, we establish sharp bounds on the joint distribution of potential outcomes and the distribution of treatment effects in parametric switching regime models with normal mean-variance mixture errors and in the semi-parametric switching regime models of Heckman (1990). Our results for parametric switching regime models with normal mean-variance mixture errors extend some existing results for the Gaussian switching regime model and our results for semi-parametric…

第一价格拍卖中的进入与竞争效应：采购拍卖的理论和证据AI 解读

Motivated by several interesting features of the highway mowing auction data from the Texas Department of Transportation (TDoT), we study three competing procurement auction models with endogenous entry. Our entry and bidding models provide several interesting implications. For the first time, we show that even within an independent private value paradigm, as the number of potential bidders increases, bidders' equilibrium bidding behaviour can become less aggressive, and the…

This paper empirically assesses the wage effects of the Job Corps program, one of the largest federally funded job training programs in the U.S. Even with the aid of a randomized experiment, the impact of a training program on wages is difficult to study because of sample selection, a pervasive problem in applied microeconometric research. Wage rates are only observed for those who are employed, and employment status itself may be affected by the training program. This paper…

截断回归模型的非参数识别与估计AI 解读

In this paper, we consider non-parametric identification and estimation of truncated regression models in both cross-sectional and panel data settings. For the cross-sectional case, Lewbel and Linton (2002) considered non-parametric identification and estimation through continuous variation under a log-concavity condition on the error distribution. We obtain non-parametric identification under weaker conditions. In particular, we obtain non-parametric identification through…

动态模型的模拟非参数估计AI 解读

This paper introduces a new class of parameter estimators for dynamic models, called simulated non-parametric estimators (SNEs). The SNE minimizes appropriate distances between non-parametric conditional (or joint) densities estimated from sample data and non-parametric conditional (or joint) densities estimated from data simulated out of the model of interest. Sample data and model-simulated data are smoothed with the same kernel, which considerably simplifies bandwidth…

部分不稳定广义矩模型中的有效推断AI 解读

This paper considers time series Generalized Method of Moments (GMM) models where a subset of the parameters are time varying. We focus on an empirically relevant case with moderately large instabilities, which are well approximated by a local asymptotic embedding that does not allow the instability to be detected with certainty, even in the limit. We show that for many forms of the instability and a large class of GMM models, usual GMM inference on the subset of stable…

This paper considers the estimation problem in dynamic games with finite actions. we derive the equation system that characterizes the markovian equilibria. the equilibrium equation system enables us to characterize conditions for identification. we consider a class of asymptotic least squares estimators defined by the equilibrium conditions. this class provides a unified framework for a number of well-known estimators including those by Hotz and Miller (1993) and by…

单调二元模型的部分识别：离散回归量与区间数据AI 解读

We investigate identification in semi-parametric binary regression models, y = 1(xβ+υ+ε > 0) when υ is either discrete or measured within intervals. The error term ε is assumed to be uncorrelated with a set of instruments z, ε is independent of υ conditionally on x and z, and the support of −(xβ + ε) is finite. We provide a sharp characterization of the set of observationally equivalent parameters β. When there are as many instruments z as variables x, the bounds of the…

外生性的非参数检验AI 解读

This paper presents a test for exogeneity of explanatory variables that minimizes the need for auxiliary assumptions that are not required by the definition of exogeneity. It concerns inference about a non-parametric function g that is identified by a conditional moment restriction involving instrumental variables (IV). A test of the hypothesis that g is the mean of a random variable Y conditional on a covariate X is developed that is not subject to the ill-posed inverse…

多重结构突变模型的估计与预测AI 解读

This paper develops a new approach to change-point modelling that allows the number of change-points in the observed sample to be unknown. The model we develop assumes that regime durations have a Poisson distribution. It approximately nests the two most common approaches: the time-varying parameter (TVP) model with a change-point every period and the change-point model with a small number of regimes. We focus considerable attention on the construction of reasonable…

回归系数一般持续性时变的有效检验AI 解读

There are a large number of tests for instability or breaks in coefficients in regression models designed for different possible departures from the stable model. We make two contributions to this literature. First, we consider a large class of persistent breaking processes that lead to asymptotically equivalent efficient tests. Our class allows for many or relatively few breaks, clustered breaks, regularly occurring breaks, or smooth transitions to changes in the regression…

利用已实现测度对随机波动率模型进行半参数比较AI 解读

This paper proposes a procedure to test for the correct specification of the functional form of the volatility process within the class of eigenfunction stochastic volatility models. The procedure is based on the comparison of the moments of realized volatility measures with the corresponding ones of integrated volatility implied by the model under the null hypothesis.We first provide primitive conditions on the measurement error associated with the realized measure, which…

灵活损失函数下预测理性的估计与检验AI 解读

In situations where a sequence of forecasts is observed, a common strategy is to examine "rationality" conditional on a given loss function. We examine this from a different perspective—supposing that we have a family of loss functions indexed by unknown shape parameters, then given the forecasts can we back out the loss function parameters consistent with the forecasts being rational even when we do not observe the underlying forecasting model? We establish identification…

动态似不相关协整回归AI 解读

We propose the parametric Dynamic Seemingly Unrelated Regression (DSUR) estimator for simultaneous estimation of multiple cointegrating regressions. DSUR is efficient when the equilibrium errors are correlated across equations and is applicable for panel cointegration estimation in environments where the cross section is small relative to the available time series. We study the asymptotic and small sample properties of the DSUR estimator for both heterogeneous and…

未知形式条件异方差下时间序列条件均值模型的广义谱检验AI 解读

Economic theories in time series contexts usually have implications on and only on the conditional mean dynamics of underlying economic variables. We propose a new class of specification tests for time series conditional mean models, where the dimension of the conditioning information set may be infinite. Both linear and nonlinear conditional mean specifications are covered. The tests can detect a wide range of model misspecifications in mean while being robust to…

带辅助数据的测量误差模型AI 解读

We study the problem of parameter inference in (possibly non-linear and non-smooth) econometric models when the data are measured with error. We allow for arbitrary correlation between the true variables and the measurement errors. To solve the identification problem, we require the existence of an auxiliary data-set that contains information about the conditional distribution of the true variables given the mismeasured variables. Our main assumption requires that the…

工资、工作经验与任职年限AI 解读

In this paper we study the sources of wage growth. We identify the contribution to such growth of general, sector specific and firm specific human capital. Our results are interpretable within the context of a model where the returns to human capital may be heterogeneous and where firms may offer different combinations of entry level wages and firm specific human capital development. We allow for the possibility that wages are match specific and that workers move jobs as a…

The difference-in-differences (DID) estimator is one of the most popular tools for applied research in economics to evaluate the effects of public interventions and other treatments of interest on some relevant outcome variables. However, it is well known that the DID estimator is based on strong identifying assumptions. In particular, the conventional DID estimator requires that, in the absence of the treatment, the average outcomes for the treated and control groups would…

受约束的间接估计AI 解读

We develop generalized indirect estimation procedures that handle equality and inequality constraints on the auxiliary model parameters by extracting information from the relevant multipliers, and compare their asymptotic efficiency to maximum likelihood. We also show that, regardless of the validity of the restrictions, the asymptotic efficiency of such estimators can never decrease by explicitly considering the multipliers associated with additional equality constraints.…

差异化产品需求系统参数估计的极限定理AI 解读

We provide an asymptotic distribution theory for a class of generalized method of moments estimators that arise in the study of differentiated product markets when the number of observations is associated with the number of products within a given market. We allow for three sources of error: sampling error in estimating market shares, simulation error in approximating the shares predicted by the model, and the underlying model error. It is shown that the estimators are CAN…