论文检索

平行趋势何时对函数形式敏感？AI 解读

This paper assesses when the validity of difference‐in‐differences depends on functional form. We provide a novel characterization: the parallel trends assumption holds under all strictly monotonic transformations of the outcome if and only if a stronger “parallel trends”‐type condition holds for the cumulative distribution function of untreated potential outcomes. This condition for parallel trends to be insensitive to functional form is satisfied if and essentially only if…

连接权力：政治关联、创新与企业动态AI 解读

How do political connections affect firm dynamics, innovation, and creative destruction? We extend a Schumpeterian growth model with political connections that help firms ease bureaucratic and regulatory burden. The model highlights how political connections influence an economy's business dynamism and innovation, and generates a number of implications guiding our empirical analysis. We construct a new large‐scale data set for the period 1993–2014, on the universe of firms,…

摘要暂缺

已知系数大型线性系统的推断AI 解读

This paper considers the problem of testing whether there exists a non‐negative solution to a possibly under‐determined system of linear equations with known coefficients. This hypothesis testing problem arises naturally in a number of settings, including random coefficient, treatment effect, and discrete choice models, as well as a class of linear programming problems. As a first contribution, we obtain a novel geometric characterization of the null hypothesis in terms of…

图极限博弈：网络博弈与干预的统计框架AI 解读

In this paper, we present a unifying framework for analyzing equilibria and designing interventions for large network games sampled from a stochastic network formation process represented by a graphon. To this end, we introduce a new class of infinite population games, termed graphon games , in which a continuum of heterogeneous agents interact according to a graphon, and we show that equilibria of graphon games can be used to approximate equilibria of large network games…

反事实的敏感性与稳健性AI 解读

We propose a framework for analyzing the sensitivity of counterfactuals to parametric assumptions about the distribution of latent variables in structural models. In particular, we derive bounds on counterfactuals as the distribution of latent variables spans nonparametric neighborhoods of a given parametric specification while other “structural” features of the model are maintained. Our approach recasts the infinite‐dimensional problem of optimizing the counterfactual with…

加州医保交易市场需求的非参数估计AI 解读

We develop a new nonparametric approach for discrete choice and use it to analyze the demand for health insurance in the California Affordable Care Act marketplace. The model allows for endogenous prices and instrumental variables, while avoiding parametric functional form assumptions about the unobserved components of utility. We use the approach to estimate bounds on the effects of changing premiums or subsidies on coverage choices, consumer surplus, and government…

引发攀比的比较：作为复合决策的排名与选择AI 解读

There is an innate human tendency, one might call it the “league table mentality,” to construct rankings. Schools, hospitals, sports teams, movies, and myriad other objects are ranked even though their inherent multi‐dimensionality would suggest that—at best—only partial orderings were possible. We consider a large class of elementary ranking problems in which we observe noisy, scalar measurements of merit for n objects of potentially heterogeneous precision and are asked to…

贝叶斯结构向量自回归模型的新后验采样器AI 解读

We develop an importance sampler for sign restricted Bayesian structural vector autoregressive models. The algorithm nests as a special case the sampler associated with the popular Normal inverse Wishart Uniform prior, while allowing to move beyond such prior in medium sized models. We then propose a prior on contemporaneous impulse responses that provides flexibility on the magnitude and shape of the impact responses. We illustrate the quantitative relevance of the choice…

低频购买与小市场规模下的需求估计AI 解读

We propose a demand estimation method that allows for a large number of zero‐ sale observations, rich unobserved heterogeneity, and endogenous prices. We do so by modeling small market sizes through Poisson arrivals. Each of these arriving consumers solves a standard discrete choice problem. We present a Bayesian IV estimation approach that addresses sampling error in product shares and scales well to rich data environments. The data requirements are traditional market‐level…

局部投影、自相关与估计效率AI 解读

It is well known that Local Projections (LP) residuals are autocorrelated. Conventional wisdom says that LP have to be estimated by OLS and that GLS is not possible because the autocorrelation process is unknown and/or because the GLS estimator would be inconsistent. I show that the autocorrelation process of LP can be written as a Vector Moving Average (VMA) process of the Wold errors and impulse responses and that autocorrelation can be corrected for using a consistent GLS…

供需对油价的重要性：来自非高斯性的证据AI 解读

When quantifying the importance of supply and demand for oil price fluctuations, a wide range of estimates have been reported. Models identified via a sharp upper bound on the short‐run price elasticity of supply find supply shocks to be minor drivers. In turn, when replacing the upper bound with a weakly informative prior, supply shocks turn out to be substantially more important. In this paper, I revisit the evidence in a model that combines weakly informative priors with…

新凯恩斯模型中的行为学习均衡AI 解读

We introduce Behavioral Learning Equilibria (BLE) into a multivariate linear framework and apply it to New Keynesian DSGE models. In a BLE, boundedly rational agents use simple, but optimal AR(1) forecasting rules whose parameters are consistent with the observed sample mean and autocorrelation of past data. We study the BLE concept in a standard 3‐equation New Keynesian model and develop an estimation methodology for the canonical Smets and Wouters (2007) model. A horse…

三个及以上时期的固定效应二元选择模型AI 解读

We consider fixed‐effects binary choice models with a fixed number of periods T and regressors without a large support. If the time‐varying unobserved terms are i.i.d. with known distribution F , Chamberlain (2010) shows that the common slope parameter is point identified if and only if F is logistic. However, he only considers in his proof T = 2. We show that the result does not generalize to T ≥ 3: the common slope parameter can be identified when F belongs to a family…

高维关联度表估计：从部门溢出理解大缓和AI 解读

We estimate sectoral spillovers around the Great Moderation with the help of forecast error variance decomposition tables. Obtaining such tables in high dimensions is challenging because they are functions of the estimated vector autoregressive coefficients and the residual covariance matrix. In a simulation study, we compare various regularization methods on both and conduct a comprehensive analysis of their performance. We show that standard estimators of large…

波动率拉普拉斯变换的自助法推断AI 解读

This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed‐span setting using bootstrap methods. Specifically, since standard wild bootstrap procedures deliver inconsistent inference, we propose a local Gaussian (LG) bootstrap, establish its first‐order asymptotic validity, and use Edgeworth expansions to show that the LG bootstrap inference achieves second‐order asymptotic refinements. Moreover, we provide new Laplace transform‐based…

专业水平、性别与均衡行为AI 解读

Mixed‐strategy Nash equilibrium is the cornerstone of our understanding of strategic situations that require decision makers to be unpredictable. Using data from nearly half a million serves over 3000 tennis matches, and data on player rankings from the ATP and WTA, we examine whether the behavior of professional tennis players is consistent with equilibrium. We find that win rates conform remarkably closely to the theory for men, but conform somewhat less neatly for women.…

份额拍卖中的风险厌恶：瑞士关税配额进口租金估计AI 解读

This paper analyzes risk aversion in discriminatory share auctions. I generalize the k ‐step share auction model of Kastl (2011, 2012) and establish that marginal profits are set‐identified for any given coefficient of constant absolute risk aversion. I also derive necessary conditions for best‐response behavior, which allows determining risk preferences from bidding data. Further, I show how the bidders' optimality conditions allow computing bounds on the marginal profits…

弱依赖高维动态面板中的异质性处理效应推断AI 解读

This paper provides estimation and inference methods for conditional average treatment effects (CATE) characterized by a high‐dimensional parameter in both homogeneous cross‐sectional and unit‐heterogeneous dynamic panel data settings. In our leading example, we model CATE by interacting the base treatment variable with explanatory variables. The first step of our procedure is orthogonalization, where we partial out the controls and unit effects from the outcome and the base…

横截面依赖下的自助法推断AI 解读

In this paper, we introduce a method of generating bootstrap samples with unknown patterns of cross‐ sectional/spatial dependence, which we call the spatial dependent wild bootstrap. This method is a spatial counterpart to the wild dependent bootstrap of Shao (2010) and generates data by multiplying a vector of independently and identically distributed external variables by the eigendecomposition of a bootstrap kernel. We prove the validity of our method for studentized and…

市场份额存在零值时的差异化产品需求估计AI 解读

In this paper, we introduce a new approach to estimating differentiated product demand systems that allows for products with zero sales in the data. Zeroes in demand are a common problem in differentiated product markets, but fall outside the scope of existing demand estimation techniques. We show that with a lower bound imposed on the expected sales quantities, we can construct upper and lower bounds for the conditional expectation of the inverse demand. These bounds can be…

帕累托外推：研究尾部不平等的分析框架AI 解读

We develop an analytical framework designed to solve and analyze heterogeneous‐agent models that endogenously generate fat‐tailed wealth distributions. We exploit the asymptotic linearity of policy functions and the analytical characterization of the Pareto exponent to augment the conventional solution algorithm with a theory of the tail. Our framework allows for a precise understanding of the very top of the wealth distribution (e.g., analytical expressions for top wealth…

结合宏观与微观数据的异质性主体模型全信息估计AI 解读

We develop a generally applicable full‐information inference method for heterogeneous agent models, combining aggregate time series data and repeated cross‐sections of micro data. To handle unobserved aggregate state variables that affect cross‐sectional distributions, we compute a numerically unbiased estimate of the model‐implied likelihood function. Employing the likelihood estimate in a Markov Chain Monte Carlo algorithm, we obtain fully efficient and valid Bayesian…

事件研究中检测不连续性的置换检验AI 解读

We propose using a permutation test to detect discontinuities in an underlying economic model at a known cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time‐series data. The test statistic measures the distance between the empirical distribution functions of observed data in two local subsamples on the two sides of the cutoff. Critical values are computed via a standard permutation algorithm. Under a…