onurkeles/llama-2-7b-econ-title-generator
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29,425 | em | This paper provides an introduction to structural estimation methods for
matching markets with transferable utility. | Structural Estimation of Matching Markets with Transferable Utility | 2021-09-16 15:29:14 | Alfred Galichon, Bernard Salanié | http://arxiv.org/abs/2109.07932v1, http://arxiv.org/pdf/2109.07932v1 | econ.EM |
29,133 | em | In this paper, we propose a model which simulates odds distributions of
pari-mutuel betting system under two hypotheses on the behavior of bettors: 1.
The amount of bets increases very rapidly as the deadline for betting comes
near. 2. Each bettor bets on a horse which gives the largest expectation value
of the benefit. The results can be interpreted as such efficient behaviors do
not serve to extinguish the FL bias but even produce stronger FL bias. | Efficiency in Micro-Behaviors and FL Bias | 2018-05-11 05:17:42 | Kurihara Kazutaka, Yohei Tutiya | http://arxiv.org/abs/1805.04225v1, http://arxiv.org/pdf/1805.04225v1 | econ.EM |
29,931 | em | This paper derives the efficiency bound for estimating the parameters of
dynamic panel data models in the presence of an increasing number of incidental
parameters. We study the efficiency problem by formulating the dynamic panel as
a simultaneous equations system, and show that the quasi-maximum likelihood
estimator (QMLE) applied to the system achieves the efficiency bound.
Comparison of QMLE with fixed effects estimators is made. | Efficiency of QMLE for dynamic panel data models with interactive effects | 2023-12-13 06:56:34 | Jushan Bai | http://arxiv.org/abs/2312.07881v1, http://arxiv.org/pdf/2312.07881v1 | econ.EM |
28,940 | em | Endogeneity and missing data are common issues in empirical research. We
investigate how both jointly affect inference on causal parameters.
Conventional methods to estimate the variance, which treat the imputed data as
if it was observed in the first place, are not reliable. We derive the
asymptotic variance and propose a heteroskedasticity robust variance estimator
for two-stage least squares which accounts for the imputation. Monte Carlo
simulations support our theoretical findings. | On the Effect of Imputation on the 2SLS Variance | 2019-03-26 19:42:59 | Helmut Farbmacher, Alexander Kann | http://arxiv.org/abs/1903.11004v1, http://arxiv.org/pdf/1903.11004v1 | econ.EM |
28,947 | em | We propose a model selection criterion to detect purely causal from purely
noncausal models in the framework of quantile autoregressions (QAR). We also
present asymptotics for the i.i.d. case with regularly varying distributed
innovations in QAR. This new modelling perspective is appealing for
investigating the presence of bubbles in economic and financial time series,
and is an alternative to approximate maximum likelihood methods. We illustrate
our analysis using hyperinflation episodes in Latin American countries. | Identification of Noncausal Models by Quantile Autoregressions | 2019-04-11 23:49:57 | Alain Hecq, Li Sun | http://arxiv.org/abs/1904.05952v1, http://arxiv.org/pdf/1904.05952v1 | econ.EM |
28,965 | em | Complex functions have multiple uses in various fields of study, so analyze
their characteristics it is of extensive interest to other sciences. This work
begins with a particular class of rational functions of a complex variable;
over this is deduced two elementals properties concerning the residues and is
proposed one results which establishes one lower bound for the p-norm of the
residues vector. Applications to the autoregressive processes are presented and
the exemplifications are indicated in historical data of electric generation
and econometric series. | On the residues vectors of a rational class of complex functions. Application to autoregressive processes | 2019-07-12 23:46:56 | Guillermo Daniel Scheidereiter, Omar Roberto Faure | http://arxiv.org/abs/1907.05949v1, http://arxiv.org/pdf/1907.05949v1 | econ.EM |
29,080 | em | Many econometric models can be analyzed as finite mixtures. We focus on
two-component mixtures and we show that they are nonparametrically point
identified by a combination of an exclusion restriction and tail restrictions.
Our identification analysis suggests simple closed-form estimators of the
component distributions and mixing proportions, as well as a specification
test. We derive their asymptotic properties using results on tail empirical
processes and we present a simulation study that documents their finite-sample
performance. | Inference on two component mixtures under tail restrictions | 2021-02-11 22:27:47 | Marc Henry, Koen Jochmans, Bernard Salanié | http://arxiv.org/abs/2102.06232v1, http://arxiv.org/pdf/2102.06232v1 | econ.EM |
29,093 | em | This paper establishes an extended representation theorem for unit-root VARs.
A specific algebraic technique is devised to recover stationarity from the
solution of the model in the form of a cointegrating transformation. Closed
forms of the results of interest are derived for integrated processes up to the
4-th order. An extension to higher-order processes turns out to be within the
reach on an induction argument. | Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem | 2021-02-21 18:28:20 | Mario Faliva, Maria Grazia Zoia | http://arxiv.org/abs/2102.10626v1, http://arxiv.org/pdf/2102.10626v1 | econ.EM |
29,015 | em | The randomization inference literature studying randomized controlled trials
(RCTs) assumes that units' potential outcomes are deterministic. This
assumption is unlikely to hold, as stochastic shocks may take place during the
experiment. In this paper, we consider the case of an RCT with individual-level
treatment assignment, and we allow for individual-level and cluster-level (e.g.
village-level) shocks. We show that one can draw inference on the ATE
conditional on the realizations of the cluster-level shocks, using
heteroskedasticity-robust standard errors, or on the ATE netted out of those
shocks, using cluster-robust standard errors. | Clustering and External Validity in Randomized Controlled Trials | 2019-12-02 22:30:25 | Antoine Deeb, Clément de Chaisemartin | http://arxiv.org/abs/1912.01052v7, http://arxiv.org/pdf/1912.01052v7 | econ.EM |
28,777 | em | This article reviews recent advances in fixed effect estimation of panel data
models for long panels, where the number of time periods is relatively large.
We focus on semiparametric models with unobserved individual and time effects,
where the distribution of the outcome variable conditional on covariates and
unobserved effects is specified parametrically, while the distribution of the
unobserved effects is left unrestricted. Compared to existing reviews on long
panels (Arellano and Hahn 2007; a section in Arellano and Bonhomme 2011) we
discuss models with both individual and time effects, split-panel Jackknife
bias corrections, unbalanced panels, distribution and quantile effects, and
other extensions. Understanding and correcting the incidental parameter bias
caused by the estimation of many fixed effects is our main focus, and the
unifying theme is that the order of this bias is given by the simple formula
p/n for all models discussed, with p the number of estimated parameters and n
the total sample size. | Fixed Effect Estimation of Large T Panel Data Models | 2017-09-26 15:46:13 | Iván Fernández-Val, Martin Weidner | http://arxiv.org/abs/1709.08980v2, http://arxiv.org/pdf/1709.08980v2 | econ.EM |
28,778 | em | This paper considers the identification of treatment effects on conditional
transition probabilities. We show that even under random assignment only the
instantaneous average treatment effect is point identified. Since treated and
control units drop out at different rates, randomization only ensures the
comparability of treatment and controls at the time of randomization, so that
long-run average treatment effects are not point identified. Instead we derive
informative bounds on these average treatment effects. Our bounds do not impose
(semi)parametric restrictions, for example, proportional hazards. We also
explore various assumptions such as monotone treatment response, common shocks
and positively correlated outcomes that tighten the bounds. | Bounds On Treatment Effects On Transitions | 2017-09-26 15:46:40 | Johan Vikström, Geert Ridder, Martin Weidner | http://arxiv.org/abs/1709.08981v1, http://arxiv.org/pdf/1709.08981v1 | econ.EM |
28,779 | em | We propose an inference procedure for estimators defined by mathematical
programming problems, focusing on the important special cases of linear
programming (LP) and quadratic programming (QP). In these settings, the
coefficients in both the objective function and the constraints of the
mathematical programming problem may be estimated from data and hence involve
sampling error. Our inference approach exploits the characterization of the
solutions to these programming problems by complementarity conditions; by doing
so, we can transform the problem of doing inference on the solution of a
constrained optimization problem (a non-standard inference problem) into one
involving inference based on a set of inequalities with pre-estimated
coefficients, which is much better understood. We evaluate the performance of
our procedure in several Monte Carlo simulations and an empirical application
to the classic portfolio selection problem in finance. | Inference on Estimators defined by Mathematical Programming | 2017-09-26 19:24:52 | Yu-Wei Hsieh, Xiaoxia Shi, Matthew Shum | http://arxiv.org/abs/1709.09115v1, http://arxiv.org/pdf/1709.09115v1 | econ.EM |
28,780 | em | We analyze the empirical content of the Roy model, stripped down to its
essential features, namely sector specific unobserved heterogeneity and
self-selection on the basis of potential outcomes. We characterize sharp bounds
on the joint distribution of potential outcomes and testable implications of
the Roy self-selection model under an instrumental constraint on the joint
distribution of potential outcomes we call stochastically monotone instrumental
variable (SMIV). We show that testing the Roy model selection is equivalent to
testing stochastic monotonicity of observed outcomes relative to the
instrument. We apply our sharp bounds to the derivation of a measure of
departure from Roy self-selection to identify values of observable
characteristics that induce the most costly misallocation of talent and sector
and are therefore prime targets for intervention. Special emphasis is put on
the case of binary outcomes, which has received little attention in the
literature to date. For richer sets of outcomes, we emphasize the distinction
between pointwise sharp bounds and functional sharp bounds, and its importance,
when constructing sharp bounds on functional features, such as inequality
measures. We analyze a Roy model of college major choice in Canada and Germany
within this framework, and we take a new look at the under-representation of
women in~STEM. | Sharp bounds and testability of a Roy model of STEM major choices | 2017-09-27 02:25:35 | Ismael Mourifie, Marc Henry, Romuald Meango | http://arxiv.org/abs/1709.09284v2, http://arxiv.org/pdf/1709.09284v2 | econ.EM |
28,781 | em | The ongoing net neutrality debate has generated a lot of heated discussions
on whether or not monetary interactions should be regulated between content and
access providers. Among the several topics discussed, `differential pricing'
has recently received attention due to `zero-rating' platforms proposed by some
service providers. In the differential pricing scheme, Internet Service
Providers (ISPs) can exempt data access charges for on content from certain CPs
(zero-rated) while no exemption is on content from other CPs. This allows the
possibility for Content Providers (CPs) to make `sponsorship' agreements to
zero-rate their content and attract more user traffic. In this paper, we study
the effect of differential pricing on various players in the Internet. We first
consider a model with a monopolistic ISP and multiple CPs where users select
CPs based on the quality of service (QoS) and data access charges. We show that
in a differential pricing regime 1) a CP offering low QoS can make have higher
surplus than a CP offering better QoS through sponsorships. 2) Overall QoS
(mean delay) for end users can degrade under differential pricing schemes. In
the oligopolistic market with multiple ISPs, users tend to select the ISP with
lowest ISP resulting in same type of conclusions as in the monopolistic market.
We then study how differential pricing effects the revenue of ISPs. | Zero-rating of Content and its Effect on the Quality of Service in the Internet | 2017-09-27 07:51:32 | Manjesh K. Hanawal, Fehmina Malik, Yezekael Hayel | http://arxiv.org/abs/1709.09334v2, http://arxiv.org/pdf/1709.09334v2 | econ.EM |
28,782 | em | The uncertainty and robustness of Computable General Equilibrium models can
be assessed by conducting a Systematic Sensitivity Analysis. Different methods
have been used in the literature for SSA of CGE models such as Gaussian
Quadrature and Monte Carlo methods. This paper explores the use of Quasi-random
Monte Carlo methods based on the Halton and Sobol' sequences as means to
improve the efficiency over regular Monte Carlo SSA, thus reducing the
computational requirements of the SSA. The findings suggest that by using
low-discrepancy sequences, the number of simulations required by the regular MC
SSA methods can be notably reduced, hence lowering the computational time
required for SSA of CGE models. | Quasi-random Monte Carlo application in CGE systematic sensitivity analysis | 2017-09-28 01:54:30 | Theodoros Chatzivasileiadis | http://arxiv.org/abs/1709.09755v1, http://arxiv.org/pdf/1709.09755v1 | econ.EM |
28,783 | em | We propose a method of estimating the linear-in-means model of peer effects
in which the peer group, defined by a social network, is endogenous in the
outcome equation for peer effects. Endogeneity is due to unobservable
individual characteristics that influence both link formation in the network
and the outcome of interest. We propose two estimators of the peer effect
equation that control for the endogeneity of the social connections using a
control function approach. We leave the functional form of the control function
unspecified and treat it as unknown. To estimate the model, we use a sieve
semiparametric approach, and we establish asymptotics of the semiparametric
estimator. | Estimation of Peer Effects in Endogenous Social Networks: Control Function Approach | 2017-09-28 18:41:48 | Ida Johnsson, Hyungsik Roger Moon | http://arxiv.org/abs/1709.10024v3, http://arxiv.org/pdf/1709.10024v3 | econ.EM |
28,784 | em | This paper considers the problem of forecasting a collection of short time
series using cross sectional information in panel data. We construct point
predictors using Tweedie's formula for the posterior mean of heterogeneous
coefficients under a correlated random effects distribution. This formula
utilizes cross-sectional information to transform the unit-specific (quasi)
maximum likelihood estimator into an approximation of the posterior mean under
a prior distribution that equals the population distribution of the random
coefficients. We show that the risk of a predictor based on a non-parametric
estimate of the Tweedie correction is asymptotically equivalent to the risk of
a predictor that treats the correlated-random-effects distribution as known
(ratio-optimality). Our empirical Bayes predictor performs well compared to
various competitors in a Monte Carlo study. In an empirical application we use
the predictor to forecast revenues for a large panel of bank holding companies
and compare forecasts that condition on actual and severely adverse
macroeconomic conditions. | Forecasting with Dynamic Panel Data Models | 2017-09-29 01:46:48 | Laura Liu, Hyungsik Roger Moon, Frank Schorfheide | http://arxiv.org/abs/1709.10193v1, http://arxiv.org/pdf/1709.10193v1 | econ.EM |
28,785 | em | There is a fast growing literature that set-identifies structural vector
autoregressions (SVARs) by imposing sign restrictions on the responses of a
subset of the endogenous variables to a particular structural shock
(sign-restricted SVARs). Most methods that have been used to construct
pointwise coverage bands for impulse responses of sign-restricted SVARs are
justified only from a Bayesian perspective. This paper demonstrates how to
formulate the inference problem for sign-restricted SVARs within a
moment-inequality framework. In particular, it develops methods of constructing
confidence bands for impulse response functions of sign-restricted SVARs that
are valid from a frequentist perspective. The paper also provides a comparison
of frequentist and Bayesian coverage bands in the context of an empirical
application - the former can be substantially wider than the latter. | Inference for VARs Identified with Sign Restrictions | 2017-09-29 02:25:13 | Eleonora Granziera, Hyungsik Roger Moon, Frank Schorfheide | http://arxiv.org/abs/1709.10196v2, http://arxiv.org/pdf/1709.10196v2 | econ.EM |
28,786 | em | We systematically investigate the effect heterogeneity of job search
programmes for unemployed workers. To investigate possibly heterogeneous
employment effects, we combine non-experimental causal empirical models with
Lasso-type estimators. The empirical analyses are based on rich administrative
data from Swiss social security records. We find considerable heterogeneities
only during the first six months after the start of training. Consistent with
previous results of the literature, unemployed persons with fewer employment
opportunities profit more from participating in these programmes. Furthermore,
we also document heterogeneous employment effects by residence status. Finally,
we show the potential of easy-to-implement programme participation rules for
improving average employment effects of these active labour market programmes. | Heterogeneous Employment Effects of Job Search Programmes: A Machine Learning Approach | 2017-09-29 11:21:08 | Michael Knaus, Michael Lechner, Anthony Strittmatter | http://dx.doi.org/10.3368/jhr.57.2.0718-9615R1, http://arxiv.org/abs/1709.10279v2, http://arxiv.org/pdf/1709.10279v2 | econ.EM |
28,787 | em | Dynamic contracts with multiple agents is a classical decentralized
decision-making problem with asymmetric information. In this paper, we extend
the single-agent dynamic incentive contract model in continuous-time to a
multi-agent scheme in finite horizon and allow the terminal reward to be
dependent on the history of actions and incentives. We first derive a set of
sufficient conditions for the existence of optimal contracts in the most
general setting and conditions under which they form a Nash equilibrium. Then
we show that the principal's problem can be converted to solving
Hamilton-Jacobi-Bellman (HJB) equation requiring a static Nash equilibrium.
Finally, we provide a framework to solve this problem by solving partial
differential equations (PDE) derived from backward stochastic differential
equations (BSDE). | A Note on the Multi-Agent Contracts in Continuous Time | 2017-10-01 20:07:08 | Qi Luo, Romesh Saigal | http://arxiv.org/abs/1710.00377v2, http://arxiv.org/pdf/1710.00377v2 | econ.EM |
28,788 | em | This paper presents a new estimator of the intercept of a linear regression
model in cases where the outcome varaible is observed subject to a selection
rule. The intercept is often in this context of inherent interest; for example,
in a program evaluation context, the difference between the intercepts in
outcome equations for participants and non-participants can be interpreted as
the difference in average outcomes of participants and their counterfactual
average outcomes if they had chosen not to participate. The new estimator can
under mild conditions exhibit a rate of convergence in probability equal to
$n^{-p/(2p+1)}$, where $p\ge 2$ is an integer that indexes the strength of
certain smoothness assumptions. This rate of convergence is shown in this
context to be the optimal rate of convergence for estimation of the intercept
parameter in terms of a minimax criterion. The new estimator, unlike other
proposals in the literature, is under mild conditions consistent and
asymptotically normal with a rate of convergence that is the same regardless of
the degree to which selection depends on unobservables in the outcome equation.
Simulation evidence and an empirical example are included. | Rate-Optimal Estimation of the Intercept in a Semiparametric Sample-Selection Model | 2017-10-04 03:02:22 | Chuan Goh | http://arxiv.org/abs/1710.01423v3, http://arxiv.org/pdf/1710.01423v3 | econ.EM |
28,789 | em | Gale, Kuhn and Tucker (1950) introduced two ways to reduce a zero-sum game by
packaging some strategies with respect to a probability distribution on them.
In terms of value, they gave conditions for a desirable reduction. We show that
a probability distribution for a desirable reduction relies on optimal
strategies in the original game. Also, we correct an improper example given by
them to show that the reverse of a theorem does not hold. | A Note on Gale, Kuhn, and Tucker's Reductions of Zero-Sum Games | 2017-10-06 12:45:42 | Shuige Liu | http://arxiv.org/abs/1710.02326v1, http://arxiv.org/pdf/1710.02326v1 | econ.EM |
28,790 | em | This study proposes a simple technique for propensity score matching for
multiple treatment levels under the strong unconfoundedness assumption with the
help of the Aitchison distance proposed in the field of compositional data
analysis (CODA). | Propensity score matching for multiple treatment levels: A CODA-based contribution | 2017-10-24 03:27:47 | Hajime Seya, Takahiro Yoshida | http://arxiv.org/abs/1710.08558v1, http://arxiv.org/pdf/1710.08558v1 | econ.EM |
28,791 | em | We consider an index model of dyadic link formation with a homophily effect
index and a degree heterogeneity index. We provide nonparametric identification
results in a single large network setting for the potentially nonparametric
homophily effect function, the realizations of unobserved individual fixed
effects and the unknown distribution of idiosyncratic pairwise shocks, up to
normalization, for each possible true value of the unknown parameters. We
propose a novel form of scale normalization on an arbitrary interquantile
range, which is not only theoretically robust but also proves particularly
convenient for the identification analysis, as quantiles provide direct
linkages between the observable conditional probabilities and the unknown index
values. We then use an inductive "in-fill and out-expansion" algorithm to
establish our main results, and consider extensions to more general settings
that allow nonseparable dependence between homophily and degree heterogeneity,
as well as certain extents of network sparsity and weaker assumptions on the
support of unobserved heterogeneity. As a byproduct, we also propose a concept
called "modeling equivalence" as a refinement of "observational equivalence",
and use it to provide a formal discussion about normalization, identification
and their interplay with counterfactuals. | Nonparametric Identification in Index Models of Link Formation | 2017-10-30 23:32:12 | Wayne Yuan Gao | http://arxiv.org/abs/1710.11230v5, http://arxiv.org/pdf/1710.11230v5 | econ.EM |
28,792 | em | Web search data are a valuable source of business and economic information.
Previous studies have utilized Google Trends web search data for economic
forecasting. We expand this work by providing algorithms to combine and
aggregate search volume data, so that the resulting data is both consistent
over time and consistent between data series. We give a brand equity example,
where Google Trends is used to analyze shopping data for 100 top ranked brands
and these data are used to nowcast economic variables. We describe the
importance of out of sample prediction and show how principal component
analysis (PCA) can be used to improve the signal to noise ratio and prevent
overfitting in nowcasting models. We give a finance example, where exploratory
data analysis and classification is used to analyze the relationship between
Google Trends searches and stock prices. | Aggregating Google Trends: Multivariate Testing and Analysis | 2017-12-08 19:18:10 | Stephen L. France, Yuying Shi | http://arxiv.org/abs/1712.03152v2, http://arxiv.org/pdf/1712.03152v2 | econ.EM |
28,793 | em | We propose a new inferential methodology for dynamic economies that is robust
to misspecification of the mechanism generating frictions. Economies with
frictions are treated as perturbations of a frictionless economy that are
consistent with a variety of mechanisms. We derive a representation for the law
of motion for such economies and we characterize parameter set identification.
We derive a link from model aggregate predictions to distributional information
contained in qualitative survey data and specify conditions under which the
identified set is refined. The latter is used to semi-parametrically estimate
distortions due to frictions in macroeconomic variables. Based on these
estimates, we propose a novel test for complete models. Using consumer and
business survey data collected by the European Commission, we apply our method
to estimate distortions due to financial frictions in the Spanish economy. We
investigate the implications of these estimates for the adequacy of the
standard model of financial frictions SW-BGG (Smets and Wouters (2007),
Bernanke, Gertler, and Gilchrist (1999)). | Set Identified Dynamic Economies and Robustness to Misspecification | 2017-12-11 11:41:11 | Andreas Tryphonides | http://arxiv.org/abs/1712.03675v2, http://arxiv.org/pdf/1712.03675v2 | econ.EM |
28,794 | em | This paper defines the class of $\mathcal{H}$-valued autoregressive (AR)
processes with a unit root of finite type, where $\mathcal{H}$ is an infinite
dimensional separable Hilbert space, and derives a generalization of the
Granger-Johansen Representation Theorem valid for any integration order
$d=1,2,\dots$. An existence theorem shows that the solution of an AR with a
unit root of finite type is necessarily integrated of some finite integer $d$
and displays a common trends representation with a finite number of common
stochastic trends of the type of (cumulated) bilateral random walks and an
infinite dimensional cointegrating space. A characterization theorem clarifies
the connections between the structure of the AR operators and $(i)$ the order
of integration, $(ii)$ the structure of the attractor space and the
cointegrating space, $(iii)$ the expression of the cointegrating relations, and
$(iv)$ the Triangular representation of the process. Except for the fact that
the number of cointegrating relations that are integrated of order 0 is
infinite, the representation of $\mathcal{H}$-valued ARs with a unit root of
finite type coincides with that of usual finite dimensional VARs, which
corresponds to the special case $\mathcal{H}=\mathbb{R}^p$. | Cointegration in functional autoregressive processes | 2017-12-20 18:23:20 | Massimo Franchi, Paolo Paruolo | http://dx.doi.org/10.1017/S0266466619000306, http://arxiv.org/abs/1712.07522v2, http://arxiv.org/pdf/1712.07522v2 | econ.EM |
28,795 | em | High-dimensional linear models with endogenous variables play an increasingly
important role in recent econometric literature. In this work we allow for
models with many endogenous variables and many instrument variables to achieve
identification. Because of the high-dimensionality in the second stage,
constructing honest confidence regions with asymptotically correct coverage is
non-trivial. Our main contribution is to propose estimators and confidence
regions that would achieve that. The approach relies on moment conditions that
have an additional orthogonal property with respect to nuisance parameters.
Moreover, estimation of high-dimension nuisance parameters is carried out via
new pivotal procedures. In order to achieve simultaneously valid confidence
regions we use a multiplier bootstrap procedure to compute critical values and
establish its validity. | Simultaneous Confidence Intervals for High-dimensional Linear Models with Many Endogenous Variables | 2017-12-21 20:33:40 | Alexandre Belloni, Christian Hansen, Whitney Newey | http://arxiv.org/abs/1712.08102v4, http://arxiv.org/pdf/1712.08102v4 | econ.EM |
28,796 | em | This paper investigates the impacts of major natural resource discoveries
since 1960 on life expectancy in the nations that they were resource poor prior
to the discoveries. Previous literature explains the relation between nations
wealth and life expectancy, but it has been silent about the impacts of
resource discoveries on life expectancy. We attempt to fill this gap in this
study. An important advantage of this study is that as the previous researchers
argued resource discovery could be an exogenous variable. We use longitudinal
data from 1960 to 2014 and we apply three modern empirical methods including
Difference-in-Differences, Event studies, and Synthetic Control approach, to
investigate the main question of the research which is 'how resource
discoveries affect life expectancy?'. The findings show that resource
discoveries in Ecuador, Yemen, Oman, and Equatorial Guinea have positive and
significant impacts on life expectancy, but the effects for the European
countries are mostly negative. | Resource Abundance and Life Expectancy | 2018-01-01 01:43:39 | Bahram Sanginabadi | http://arxiv.org/abs/1801.00369v1, http://arxiv.org/pdf/1801.00369v1 | econ.EM |
28,797 | em | In this paper we estimate a Bayesian vector autoregressive model with factor
stochastic volatility in the error term to assess the effects of an uncertainty
shock in the Euro area. This allows us to treat macroeconomic uncertainty as a
latent quantity during estimation. Only a limited number of contributions to
the literature estimate uncertainty and its macroeconomic consequences jointly,
and most are based on single country models. We analyze the special case of a
shock restricted to the Euro area, where member states are highly related by
construction. We find significant results of a decrease in real activity for
all countries over a period of roughly a year following an uncertainty shock.
Moreover, equity prices, short-term interest rates and exports tend to decline,
while unemployment levels increase. Dynamic responses across countries differ
slightly in magnitude and duration, with Ireland, Slovakia and Greece
exhibiting different reactions for some macroeconomic fundamentals. | Implications of macroeconomic volatility in the Euro area | 2018-01-09 16:20:42 | Niko Hauzenberger, Maximilian Böck, Michael Pfarrhofer, Anna Stelzer, Gregor Zens | http://arxiv.org/abs/1801.02925v2, http://arxiv.org/pdf/1801.02925v2 | econ.EM |
28,798 | em | We report a new result on lotteries --- that a well-funded syndicate has a
purely mechanical strategy to achieve expected returns of 10\% to 25\% in an
equiprobable lottery with no take and no carryover pool. We prove that an
optimal strategy (Nash equilibrium) in a game between the syndicate and other
players consists of betting one of each ticket (the "trump ticket"), and extend
that result to proportional ticket selection in non-equiprobable lotteries. The
strategy can be adjusted to accommodate lottery taxes and carryover pools. No
"irrationality" need be involved for the strategy to succeed --- it requires
only that a large group of non-syndicate bettors each choose a few tickets
independently. | A Method for Winning at Lotteries | 2018-01-05 22:35:17 | Steven D. Moffitt, William T. Ziemba | http://arxiv.org/abs/1801.02958v1, http://arxiv.org/pdf/1801.02958v1 | econ.EM |
28,799 | em | Despite its unusual payout structure, the Canadian 6/49 Lotto is one of the
few government sponsored lotteries that has the potential for a favorable
strategy we call "buying the pot." By buying the pot we mean that a syndicate
buys each ticket in the lottery, ensuring that it holds a jackpot winner. We
assume that the other bettors independently buy small numbers of tickets. This
paper presents (1) a formula for the syndicate's expected return, (2)
conditions under which buying the pot produces a significant positive expected
return, and (3) the implications of these findings for lottery design. | Does it Pay to Buy the Pot in the Canadian 6/49 Lotto? Implications for Lottery Design | 2018-01-06 00:58:18 | Steven D. Moffitt, William T. Ziemba | http://arxiv.org/abs/1801.02959v1, http://arxiv.org/pdf/1801.02959v1 | econ.EM |
28,800 | em | Dynamic Discrete Choice Models (DDCMs) are important in the structural
estimation literature. Since the structural errors are practically always
continuous and unbounded in nature, researchers often use the expected value
function. The idea to solve for the expected value function made solution more
practical and estimation feasible. However, as we show in this paper, the
expected value function is impractical compared to an alternative: the
integrated (ex ante) value function. We provide brief descriptions of the
inefficacy of the former, and benchmarks on actual problems with varying
cardinality of the state space and number of decisions. Though the two
approaches solve the same problem in theory, the benchmarks support the claim
that the integrated value function is preferred in practice. | Solving Dynamic Discrete Choice Models: Integrated or Expected Value Function? | 2018-01-11 23:26:00 | Patrick Kofod Mogensen | http://arxiv.org/abs/1801.03978v1, http://arxiv.org/pdf/1801.03978v1 | econ.EM |
28,801 | em | This paper develops a new model and estimation procedure for panel data that
allows us to identify heterogeneous structural breaks. We model individual
heterogeneity using a grouped pattern. For each group, we allow common
structural breaks in the coefficients. However, the number, timing, and size of
these breaks can differ across groups. We develop a hybrid estimation procedure
of the grouped fixed effects approach and adaptive group fused Lasso. We show
that our method can consistently identify the latent group structure, detect
structural breaks, and estimate the regression parameters. Monte Carlo results
demonstrate the good performance of the proposed method in finite samples. An
empirical application to the relationship between income and democracy
illustrates the importance of considering heterogeneous structural breaks. | Heterogeneous structural breaks in panel data models | 2018-01-15 09:19:28 | Ryo Okui, Wendun Wang | http://arxiv.org/abs/1801.04672v2, http://arxiv.org/pdf/1801.04672v2 | econ.EM |
28,802 | em | We characterize common assumption of rationality of 2-person games within an
incomplete information framework. We use the lexicographic model with
incomplete information and show that a belief hierarchy expresses common
assumption of rationality within a complete information framework if and only
if there is a belief hierarchy within the corresponding incomplete information
framework that expresses common full belief in caution, rationality, every good
choice is supported, and prior belief in the original utility functions. | Characterizing Assumption of Rationality by Incomplete Information | 2018-01-15 12:48:20 | Shuige Liu | http://arxiv.org/abs/1801.04714v1, http://arxiv.org/pdf/1801.04714v1 | econ.EM |
28,803 | em | We first show (1) the importance of investigating health expenditure process
using the order two Markov chain model, rather than the standard order one
model, which is widely used in the literature. Markov chain of order two is the
minimal framework that is capable of distinguishing those who experience a
certain health expenditure level for the first time from those who have been
experiencing that or other levels for some time. In addition, using the model
we show (2) that the probability of encountering a health shock first de-
creases until around age 10, and then increases with age, particularly, after
age 40, (3) that health shock distributions among different age groups do not
differ until their percentiles reach the median range, but that above the
median the health shock distributions of older age groups gradually start to
first-order dominate those of younger groups, and (4) that the persistency of
health shocks also shows a U-shape in relation to age. | Quantifying Health Shocks Over the Life Cycle | 2018-01-26 13:35:38 | Taiyo Fukai, Hidehiko Ichimura, Kyogo Kanazawa | http://arxiv.org/abs/1801.08746v1, http://arxiv.org/pdf/1801.08746v1 | econ.EM |
28,804 | em | We define a modification of the standard Kripke model, called the ordered
Kripke model, by introducing a linear order on the set of accessible states of
each state. We first show this model can be used to describe the lexicographic
belief hierarchy in epistemic game theory, and perfect rationalizability can be
characterized within this model. Then we show that each ordered Kripke model is
the limit of a sequence of standard probabilistic Kripke models with a modified
(common) belief operator, in the senses of structure and the
(epsilon-)permissibilities characterized within them. | Ordered Kripke Model, Permissibility, and Convergence of Probabilistic Kripke Model | 2018-01-26 14:46:28 | Shuige Liu | http://arxiv.org/abs/1801.08767v1, http://arxiv.org/pdf/1801.08767v1 | econ.EM |
28,805 | em | Why women avoid participating in a competition and how can we encourage them
to participate in it? In this paper, we investigate how social image concerns
affect women's decision to compete. We first construct a theoretical model and
show that participating in a competition, even under affirmative action
policies favoring women, is costly for women under public observability since
it deviates from traditional female gender norms, resulting in women's low
appearance in competitive environments. We propose and theoretically show that
introducing prosocial incentives in the competitive environment is effective
and robust to public observability since (i) it induces women who are
intrinsically motivated by prosocial incentives to the competitive environment
and (ii) it makes participating in a competition not costly for women from
social image point of view. We conduct a laboratory experiment where we
randomly manipulate the public observability of decisions to compete and test
our theoretical predictions. The results of the experiment are fairly
consistent with our theoretical predictions. We suggest that when designing
policies to promote gender equality in competitive environments, using
prosocial incentives through company philanthropy or other social
responsibility policies, either as substitutes or as complements to traditional
affirmative action policies, could be promising. | How Can We Induce More Women to Competitions? | 2018-01-27 11:51:44 | Masayuki Yagasaki, Mitsunosuke Morishita | http://arxiv.org/abs/1801.10518v1, http://arxiv.org/pdf/1801.10518v1 | econ.EM |
28,806 | em | The rational choice theory is based on this idea that people rationally
pursue goals for increasing their personal interests. In most conditions, the
behavior of an actor is not independent of the person and others' behavior.
Here, we present a new concept of rational choice as a hyper-rational choice
which in this concept, the actor thinks about profit or loss of other actors in
addition to his personal profit or loss and then will choose an action which is
desirable to him. We implement the hyper-rational choice to generalize and
expand the game theory. Results of this study will help to model the behavior
of people considering environmental conditions, the kind of behavior
interactive, valuation system of itself and others and system of beliefs and
internal values of societies. Hyper-rationality helps us understand how human
decision makers behave in interactive decisions. | Hyper-rational choice theory | 2018-01-12 02:16:09 | Madjid Eshaghi Gordji, Gholamreza Askari | http://arxiv.org/abs/1801.10520v2, http://arxiv.org/pdf/1801.10520v2 | econ.EM |
28,807 | em | We develop a new VAR model for structural analysis with mixed-frequency data.
The MIDAS-SVAR model allows to identify structural dynamic links exploiting the
information contained in variables sampled at different frequencies. It also
provides a general framework to test homogeneous frequency-based
representations versus mixed-frequency data models. A set of Monte Carlo
experiments suggests that the test performs well both in terms of size and
power. The MIDAS-SVAR is then used to study how monetary policy and financial
market volatility impact on the dynamics of gross capital inflows to the US.
While no relation is found when using standard quarterly data, exploiting the
variability present in the series within the quarter shows that the effect of
an interest rate shock is greater the longer the time lag between the month of
the shock and the end of the quarter | Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows | 2018-02-02 21:12:12 | Emanuele Bacchiocchi, Andrea Bastianin, Alessandro Missale, Eduardo Rossi | http://arxiv.org/abs/1802.00793v1, http://arxiv.org/pdf/1802.00793v1 | econ.EM |
28,808 | em | The development and deployment of matching procedures that incentivize
truthful preference reporting is considered one of the major successes of
market design research. In this study, we test the degree to which these
procedures succeed in eliminating preference misrepresentation. We administered
an online experiment to 1,714 medical students immediately after their
participation in the medical residency match--a leading field application of
strategy-proof market design. When placed in an analogous, incentivized
matching task, we find that 23% of participants misrepresent their preferences.
We explore the factors that predict preference misrepresentation, including
cognitive ability, strategic positioning, overconfidence, expectations, advice,
and trust. We discuss the implications of this behavior for the design of
allocation mechanisms and the social welfare in markets that use them. | An Experimental Investigation of Preference Misrepresentation in the Residency Match | 2018-02-05 20:51:55 | Alex Rees-Jones, Samuel Skowronek | http://dx.doi.org/10.1073/pnas.1803212115, http://arxiv.org/abs/1802.01990v2, http://arxiv.org/pdf/1802.01990v2 | econ.EM |
28,809 | em | Consumers are creatures of habit, often periodic, tied to work, shopping and
other schedules. We analyzed one month of data from the world's largest
bike-sharing company to elicit demand behavioral cycles, initially using models
from animal tracking that showed large customers fit an Ornstein-Uhlenbeck
model with demand peaks at periodicities of 7, 12, 24 hour and 7-days. Lorenz
curves of bicycle demand showed that the majority of customer usage was
infrequent, and demand cycles from time-series models would strongly overfit
the data yielding unreliable models. Analysis of thresholded wavelets for the
space-time tensor of bike-sharing contracts was able to compress the data into
a 56-coefficient model with little loss of information, suggesting that
bike-sharing demand behavior is exceptionally strong and regular. Improvements
to predicted demand could be made by adjusting for 'noise' filtered by our
model from air quality and weather information and demand from infrequent
riders. | Prediction of Shared Bicycle Demand with Wavelet Thresholding | 2018-02-08 04:17:27 | J. Christopher Westland, Jian Mou, Dafei Yin | http://arxiv.org/abs/1802.02683v1, http://arxiv.org/pdf/1802.02683v1 | econ.EM |
28,810 | em | This paper describes a numerical method to solve for mean product qualities
which equates the real market share to the market share predicted by a discrete
choice model. The method covers a general class of discrete choice model,
including the pure characteristics model in Berry and Pakes(2007) and the
random coefficient logit model in Berry et al.(1995) (hereafter BLP). The
method transforms the original market share inversion problem to an
unconstrained convex minimization problem, so that any convex programming
algorithm can be used to solve the inversion. Moreover, such results also imply
that the computational complexity of inverting a demand model should be no more
than that of a convex programming problem. In simulation examples, I show the
method outperforms the contraction mapping algorithm in BLP. I also find the
method remains robust in pure characteristics models with near-zero market
shares. | A General Method for Demand Inversion | 2018-02-13 05:50:46 | Lixiong Li | http://arxiv.org/abs/1802.04444v3, http://arxiv.org/pdf/1802.04444v3 | econ.EM |
29,016 | em | This paper develops a set of test statistics based on bilinear forms in the
context of the extremum estimation framework with particular interest in
nonlinear hypothesis. We show that the proposed statistic converges to a
conventional chi-square limit. A Monte Carlo experiment suggests that the test
statistic works well in finite samples. | Bilinear form test statistics for extremum estimation | 2019-12-03 17:32:49 | Federico Crudu, Felipe Osorio | http://dx.doi.org/10.1016/j.econlet.2019.108885, http://arxiv.org/abs/1912.01410v1, http://arxiv.org/pdf/1912.01410v1 | econ.EM |
28,811 | em | We provide an epistemic foundation for cooperative games by proof theory via
studying the knowledge for players unanimously accepting only core payoffs. We
first transform each cooperative game into a decision problem where a player
can accept or reject any payoff vector offered to her based on her knowledge
about available cooperation. Then we use a modified KD-system in epistemic
logic, which can be regarded as a counterpart of the model for non-cooperative
games in Bonanno (2008), (2015), to describe a player's knowledge,
decision-making criterion, and reasoning process; especially, a formula called
C-acceptability is defined to capture the criterion for accepting a core payoff
vector. Within this syntactical framework, we characterize the core of a
cooperative game in terms of players' knowledge. Based on that result, we
discuss an epistemic inconsistency behind Debreu-Scarf Theorem, that is, the
increase of the number of replicas has invariant requirement on each
participant's knowledge from the aspect of competitive market, while requires
unbounded epistemic ability players from the aspect of cooperative game. | Knowledge and Unanimous Acceptance of Core Payoffs: An Epistemic Foundation for Cooperative Game Theory | 2018-02-13 15:49:12 | Shuige Liu | http://arxiv.org/abs/1802.04595v4, http://arxiv.org/pdf/1802.04595v4 | econ.EM |
28,812 | em | In this study interest centers on regional differences in the response of
housing prices to monetary policy shocks in the US. We address this issue by
analyzing monthly home price data for metropolitan regions using a
factor-augmented vector autoregression (FAVAR) model. Bayesian model estimation
is based on Gibbs sampling with Normal-Gamma shrinkage priors for the
autoregressive coefficients and factor loadings, while monetary policy shocks
are identified using high-frequency surprises around policy announcements as
external instruments. The empirical results indicate that monetary policy
actions typically have sizeable and significant positive effects on regional
housing prices, revealing differences in magnitude and duration. The largest
effects are observed in regions located in states on both the East and West
Coasts, notably California, Arizona and Florida. | The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions | 2018-02-16 12:08:34 | Manfred M. Fischer, Florian Huber, Michael Pfarrhofer, Petra Staufer-Steinnocher | http://arxiv.org/abs/1802.05870v1, http://arxiv.org/pdf/1802.05870v1 | econ.EM |
28,813 | em | We study the asymptotic properties of a class of estimators of the structural
parameters in dynamic discrete choice games. We consider K-stage policy
iteration (PI) estimators, where K denotes the number of policy iterations
employed in the estimation. This class nests several estimators proposed in the
literature such as those in Aguirregabiria and Mira (2002, 2007), Pesendorfer
and Schmidt-Dengler (2008), and Pakes et al. (2007). First, we establish that
the K-PML estimator is consistent and asymptotically normal for all K. This
complements findings in Aguirregabiria and Mira (2007), who focus on K=1 and K
large enough to induce convergence of the estimator. Furthermore, we show under
certain conditions that the asymptotic variance of the K-PML estimator can
exhibit arbitrary patterns as a function of K. Second, we establish that the
K-MD estimator is consistent and asymptotically normal for all K. For a
specific weight matrix, the K-MD estimator has the same asymptotic distribution
as the K-PML estimator. Our main result provides an optimal sequence of weight
matrices for the K-MD estimator and shows that the optimally weighted K-MD
estimator has an asymptotic distribution that is invariant to K. The invariance
result is especially unexpected given the findings in Aguirregabiria and Mira
(2007) for K-PML estimators. Our main result implies two new corollaries about
the optimal 1-MD estimator (derived by Pesendorfer and Schmidt-Dengler (2008)).
First, the optimal 1-MD estimator is optimal in the class of K-MD estimators.
In other words, additional policy iterations do not provide asymptotic
efficiency gains relative to the optimal 1-MD estimator. Second, the optimal
1-MD estimator is more or equally asymptotically efficient than any K-PML
estimator for all K. Finally, the appendix provides appropriate conditions
under which the optimal 1-MD estimator is asymptotically efficient. | On the iterated estimation of dynamic discrete choice games | 2018-02-19 18:19:35 | Federico A. Bugni, Jackson Bunting | http://arxiv.org/abs/1802.06665v4, http://arxiv.org/pdf/1802.06665v4 | econ.EM |
28,814 | em | This paper proposes nonparametric kernel-smoothing estimation for panel data
to examine the degree of heterogeneity across cross-sectional units. We first
estimate the sample mean, autocovariances, and autocorrelations for each unit
and then apply kernel smoothing to compute their density functions. The
dependence of the kernel estimator on bandwidth makes asymptotic bias of very
high order affect the required condition on the relative magnitudes of the
cross-sectional sample size (N) and the time-series length (T). In particular,
it makes the condition on N and T stronger and more complicated than those
typically observed in the long-panel literature without kernel smoothing. We
also consider a split-panel jackknife method to correct bias and construction
of confidence intervals. An empirical application and Monte Carlo simulations
illustrate our procedure in finite samples. | Kernel Estimation for Panel Data with Heterogeneous Dynamics | 2018-02-24 12:45:50 | Ryo Okui, Takahide Yanagi | http://arxiv.org/abs/1802.08825v4, http://arxiv.org/pdf/1802.08825v4 | econ.EM |
28,815 | em | People reason heuristically in situations resembling inferential puzzles such
as Bertrand's box paradox and the Monty Hall problem. The practical
significance of that fact for economic decision making is uncertain because a
departure from sound reasoning may, but does not necessarily, result in a
"cognitively biased" outcome different from what sound reasoning would have
produced. Criteria are derived here, applicable to both experimental and
non-experimental situations, for heuristic reasoning in an inferential-puzzle
situations to result, or not to result, in cognitively bias. In some
situations, neither of these criteria is satisfied, and whether or not agents'
posterior probability assessments or choices are cognitively biased cannot be
determined. | Identifying the occurrence or non occurrence of cognitive bias in situations resembling the Monty Hall problem | 2018-02-25 03:28:11 | Fatemeh Borhani, Edward J. Green | http://arxiv.org/abs/1802.08935v1, http://arxiv.org/pdf/1802.08935v1 | econ.EM |
28,816 | em | I analyse the solution method for the variational optimisation problem in the
rational inattention framework proposed by Christopher A. Sims. The solution,
in general, does not exist, although it may exist in exceptional cases. I show
that the solution does not exist for the quadratic and the logarithmic
objective functions analysed by Sims (2003, 2006). For a linear-quadratic
objective function a solution can be constructed under restrictions on all but
one of its parameters. This approach is, therefore, unlikely to be applicable
to a wider set of economic models. | On the solution of the variational optimisation in the rational inattention framework | 2018-02-27 16:21:46 | Nigar Hashimzade | http://arxiv.org/abs/1802.09869v2, http://arxiv.org/pdf/1802.09869v2 | econ.EM |
28,830 | em | This paper proposes a model-free approach to analyze panel data with
heterogeneous dynamic structures across observational units. We first compute
the sample mean, autocovariances, and autocorrelations for each unit, and then
estimate the parameters of interest based on their empirical distributions. We
then investigate the asymptotic properties of our estimators using double
asymptotics and propose split-panel jackknife bias correction and inference
based on the cross-sectional bootstrap. We illustrate the usefulness of our
procedures by studying the deviation dynamics of the law of one price. Monte
Carlo simulations confirm that the proposed bias correction is effective and
yields valid inference in small samples. | Panel Data Analysis with Heterogeneous Dynamics | 2018-03-26 10:53:47 | Ryo Okui, Takahide Yanagi | http://arxiv.org/abs/1803.09452v2, http://arxiv.org/pdf/1803.09452v2 | econ.EM |
28,817 | em | Many macroeconomic policy questions may be assessed in a case study
framework, where the time series of a treated unit is compared to a
counterfactual constructed from a large pool of control units. I provide a
general framework for this setting, tailored to predict the counterfactual by
minimizing a tradeoff between underfitting (bias) and overfitting (variance).
The framework nests recently proposed structural and reduced form machine
learning approaches as special cases. Furthermore, difference-in-differences
with matching and the original synthetic control are restrictive cases of the
framework, in general not minimizing the bias-variance objective. Using
simulation studies I find that machine learning methods outperform traditional
methods when the number of potential controls is large or the treated unit is
substantially different from the controls. Equipped with a toolbox of
approaches, I revisit a study on the effect of economic liberalisation on
economic growth. I find effects for several countries where no effect was found
in the original study. Furthermore, I inspect how a systematically important
bank respond to increasing capital requirements by using a large pool of banks
to estimate the counterfactual. Finally, I assess the effect of a changing
product price on product sales using a novel scanner dataset. | Synthetic Control Methods and Big Data | 2018-03-01 00:32:09 | Daniel Kinn | http://arxiv.org/abs/1803.00096v1, http://arxiv.org/pdf/1803.00096v1 | econ.EM |
28,818 | em | It is widely known that geographically weighted regression(GWR) is
essentially same as varying-coefficient model. In the former research about
varying-coefficient model, scholars tend to use multidimensional-kernel-based
locally weighted estimation(MLWE) so that information of both distance and
direction is considered. However, when we construct the local weight matrix of
geographically weighted estimation, distance among the locations in the
neighbor is the only factor controlling the value of entries of weight matrix.
In other word, estimation of GWR is distance-kernel-based. Thus, in this paper,
under stationary and limited dependent data with multidimensional subscripts,
we analyze the local mean squared properties of without any assumption of the
form of coefficient functions and compare it with MLWE. According to the
theoretical and simulation results, geographically-weighted locally linear
estimation(GWLE) is asymptotically more efficient than MLWE. Furthermore, a
relationship between optimal bandwith selection and design of scale parameters
is also obtained. | An Note on Why Geographically Weighted Regression Overcomes Multidimensional-Kernel-Based Varying-Coefficient Model | 2018-03-04 21:50:17 | Zihao Yuan | http://arxiv.org/abs/1803.01402v2, http://arxiv.org/pdf/1803.01402v2 | econ.EM |
28,819 | em | We study three pricing mechanisms' performance and their effects on the
participants in the data industry from the data supply chain perspective. A
win-win pricing strategy for the players in the data supply chain is proposed.
We obtain analytical solutions in each pricing mechanism, including the
decentralized and centralized pricing, Nash Bargaining pricing, and revenue
sharing mechanism. | Pricing Mechanism in Information Goods | 2018-03-05 10:37:06 | Xinming Li, Huaqing Wang | http://arxiv.org/abs/1803.01530v1, http://arxiv.org/pdf/1803.01530v1 | econ.EM |
28,820 | em | Spatial association and heterogeneity are two critical areas in the research
about spatial analysis, geography, statistics and so on. Though large amounts
of outstanding methods has been proposed and studied, there are few of them
tend to study spatial association under heterogeneous environment.
Additionally, most of the traditional methods are based on distance statistic
and spatial weighted matrix. However, in some abstract spatial situations,
distance statistic can not be applied since we can not even observe the
geographical locations directly. Meanwhile, under these circumstances, due to
invisibility of spatial positions, designing of weight matrix can not
absolutely avoid subjectivity. In this paper, a new entropy-based method, which
is data-driven and distribution-free, has been proposed to help us investigate
spatial association while fully taking the fact that heterogeneity widely
exist. Specifically, this method is not bounded with distance statistic or
weight matrix. Asymmetrical dependence is adopted to reflect the heterogeneity
in spatial association for each individual and the whole discussion in this
paper is performed on spatio-temporal data with only assuming stationary
m-dependent over time. | A Nonparametric Approach to Measure the Heterogeneous Spatial Association: Under Spatial Temporal Data | 2018-03-06 21:46:49 | Zihao Yuan | http://arxiv.org/abs/1803.02334v2, http://arxiv.org/pdf/1803.02334v2 | econ.EM |
28,821 | em | The last technical barriers to trade(TBT) between countries are Non-Tariff
Barriers(NTBs), meaning all trade barriers are possible other than Tariff
Barriers. And the most typical examples are (TBT), which refer to measure
Technical Regulation, Standards, Procedure for Conformity Assessment, Test &
Certification etc. Therefore, in order to eliminate TBT, WTO has made all
membership countries automatically enter into an agreement on TBT | A study of strategy to the remove and ease TBT for increasing export in GCC6 countries | 2018-03-09 09:39:31 | YongJae Kim | http://arxiv.org/abs/1803.03394v3, http://arxiv.org/pdf/1803.03394v3 | econ.EM |
28,822 | em | Understanding the effectiveness of alternative approaches to water
conservation is crucially important for ensuring the security and reliability
of water services for urban residents. We analyze data from one of the
longest-running "cash for grass" policies - the Southern Nevada Water
Authority's Water Smart Landscapes program, where homeowners are paid to
replace grass with xeric landscaping. We use a twelve year long panel dataset
of monthly water consumption records for 300,000 households in Las Vegas,
Nevada. Utilizing a panel difference-in-differences approach, we estimate the
average water savings per square meter of turf removed. We find that
participation in this program reduced the average treated household's
consumption by 18 percent. We find no evidence that water savings degrade as
the landscape ages, or that water savings per unit area are influenced by the
value of the rebate. Depending on the assumed time horizon of benefits from
turf removal, we find that the WSL program cost the water authority about $1.62
per thousand gallons of water saved, which compares favorably to alternative
means of water conservation or supply augmentation. | How Smart Are `Water Smart Landscapes'? | 2018-03-13 05:00:07 | Christa Brelsford, Joshua K. Abbott | http://arxiv.org/abs/1803.04593v1, http://arxiv.org/pdf/1803.04593v1 | econ.EM |
28,823 | em | The business cycles are generated by the oscillating macro-/micro-/nano-
economic output variables in the economy of the scale and the scope in the
amplitude/frequency/phase/time domains in the economics. The accurate forward
looking assumptions on the business cycles oscillation dynamics can optimize
the financial capital investing and/or borrowing by the economic agents in the
capital markets. The book's main objective is to study the business cycles in
the economy of the scale and the scope, formulating the Ledenyov unified
business cycles theory in the Ledenyov classic and quantum econodynamics. | Business Cycles in Economics | 2018-03-16 11:24:05 | Viktor O. Ledenyov, Dimitri O. Ledenyov | http://dx.doi.org/10.2139/ssrn.3134655, http://arxiv.org/abs/1803.06108v1, http://arxiv.org/pdf/1803.06108v1 | econ.EM |
28,824 | em | Unobserved heterogeneous treatment effects have been emphasized in the recent
policy evaluation literature (see e.g., Heckman and Vytlacil, 2005). This paper
proposes a nonparametric test for unobserved heterogeneous treatment effects in
a treatment effect model with a binary treatment assignment, allowing for
individuals' self-selection to the treatment. Under the standard local average
treatment effects assumptions, i.e., the no defiers condition, we derive
testable model restrictions for the hypothesis of unobserved heterogeneous
treatment effects. Also, we show that if the treatment outcomes satisfy a
monotonicity assumption, these model restrictions are also sufficient. Then, we
propose a modified Kolmogorov-Smirnov-type test which is consistent and simple
to implement. Monte Carlo simulations show that our test performs well in
finite samples. For illustration, we apply our test to study heterogeneous
treatment effects of the Job Training Partnership Act on earnings and the
impacts of fertility on family income, where the null hypothesis of homogeneous
treatment effects gets rejected in the second case but fails to be rejected in
the first application. | Testing for Unobserved Heterogeneous Treatment Effects with Observational Data | 2018-03-20 19:30:07 | Yu-Chin Hsu, Ta-Cheng Huang, Haiqing Xu | http://arxiv.org/abs/1803.07514v2, http://arxiv.org/pdf/1803.07514v2 | econ.EM |
28,825 | em | In the regression discontinuity design (RDD), it is common practice to assess
the credibility of the design by testing the continuity of the density of the
running variable at the cut-off, e.g., McCrary (2008). In this paper we propose
an approximate sign test for continuity of a density at a point based on the
so-called g-order statistics, and study its properties under two complementary
asymptotic frameworks. In the first asymptotic framework, the number q of
observations local to the cut-off is fixed as the sample size n diverges to
infinity, while in the second framework q diverges to infinity slowly as n
diverges to infinity. Under both of these frameworks, we show that the test we
propose is asymptotically valid in the sense that it has limiting rejection
probability under the null hypothesis not exceeding the nominal level. More
importantly, the test is easy to implement, asymptotically valid under weaker
conditions than those used by competing methods, and exhibits finite sample
validity under stronger conditions than those needed for its asymptotic
validity. In a simulation study, we find that the approximate sign test
provides good control of the rejection probability under the null hypothesis
while remaining competitive under the alternative hypothesis. We finally apply
our test to the design in Lee (2008), a well-known application of the RDD to
study incumbency advantage. | Testing Continuity of a Density via g-order statistics in the Regression Discontinuity Design | 2018-03-21 17:52:59 | Federico A. Bugni, Ivan A. Canay | http://arxiv.org/abs/1803.07951v6, http://arxiv.org/pdf/1803.07951v6 | econ.EM |
28,826 | em | In this paper, we propose the use of causal inference techniques for survival
function estimation and prediction for subgroups of the data, upto individual
units. Tree ensemble methods, specifically random forests were modified for
this purpose. A real world healthcare dataset was used with about 1800 patients
with breast cancer, which has multiple patient covariates as well as disease
free survival days (DFS) and a death event binary indicator (y). We use the
type of cancer curative intervention as the treatment variable (T=0 or 1,
binary treatment case in our example). The algorithm is a 2 step approach. In
step 1, we estimate heterogeneous treatment effects using a causalTree with the
DFS as the dependent variable. Next, in step 2, for each selected leaf of the
causalTree with distinctly different average treatment effect (with respect to
survival), we fit a survival forest to all the patients in that leaf, one
forest each for treatment T=0 as well as T=1 to get estimated patient level
survival curves for each treatment (more generally, any model can be used at
this step). Then, we subtract the patient level survival curves to get the
differential survival curve for a given patient, to compare the survival
function as a result of the 2 treatments. The path to a selected leaf also
gives us the combination of patient features and their values which are
causally important for the treatment effect difference at the leaf. | Causal Inference for Survival Analysis | 2018-03-22 06:22:19 | Vikas Ramachandra | http://arxiv.org/abs/1803.08218v1, http://arxiv.org/pdf/1803.08218v1 | econ.EM |
28,827 | em | Linear regressions with period and group fixed effects are widely used to
estimate treatment effects. We show that they estimate weighted sums of the
average treatment effects (ATE) in each group and period, with weights that may
be negative. Due to the negative weights, the linear regression coefficient may
for instance be negative while all the ATEs are positive. We propose another
estimator that solves this issue. In the two applications we revisit, it is
significantly different from the linear regression estimator. | Two-way fixed effects estimators with heterogeneous treatment effects | 2018-03-22 01:56:07 | Clément de Chaisemartin, Xavier D'Haultfœuille | http://dx.doi.org/10.1257/aer.20181169, http://arxiv.org/abs/1803.08807v7, http://arxiv.org/pdf/1803.08807v7 | econ.EM |
28,828 | em | We examine the effects of monetary policy on income inequality in Japan using
a novel econometric approach that jointly estimates the Gini coefficient based
on micro-level grouped data of households and the dynamics of macroeconomic
quantities. Our results indicate different effects on income inequality for
different types of households: A monetary tightening increases inequality when
income data is based on households whose head is employed (workers'
households), while the effect reverses over the medium term when considering a
broader definition of households. Differences in the relative strength of the
transmission channels can account for this finding. Finally we demonstrate that
the proposed joint estimation strategy leads to more informative inference
while results based on the frequently used two-step estimation approach yields
inconclusive results. | How does monetary policy affect income inequality in Japan? Evidence from grouped data | 2018-03-23 19:28:23 | Martin Feldkircher, Kazuhiko Kakamu | http://dx.doi.org/10.1007/s00181-021-02102-7, http://arxiv.org/abs/1803.08868v2, http://arxiv.org/pdf/1803.08868v2 | econ.EM |
28,829 | em | We develop inference for a two-sided matching model where the characteristics
of agents on one side of the market are endogenous due to pre-matching
investments. The model can be used to measure the impact of frictions in labour
markets using a single cross-section of matched employer-employee data. The
observed matching of workers to firms is the outcome of a discrete, two-sided
matching process where firms with heterogeneous preferences over education
sequentially choose workers according to an index correlated with worker
preferences over firms. The distribution of education arises in equilibrium
from a Bayesian game: workers, knowing the distribution of worker and firm
types, invest in education prior to the matching process. Although the observed
matching exhibits strong cross-sectional dependence due to the matching
process, we propose an asymptotically valid inference procedure that combines
discrete choice methods with simulation. | Schooling Choice, Labour Market Matching, and Wages | 2018-03-24 03:41:09 | Jacob Schwartz | http://arxiv.org/abs/1803.09020v6, http://arxiv.org/pdf/1803.09020v6 | econ.EM |
28,831 | em | In this paper, we assess the impact of climate shocks on futures markets for
agricultural commodities and a set of macroeconomic quantities for multiple
high-income economies. To capture relations among countries, markets, and
climate shocks, this paper proposes parsimonious methods to estimate
high-dimensional panel VARs. We assume that coefficients associated with
domestic lagged endogenous variables arise from a Gaussian mixture model while
further parsimony is achieved using suitable global-local shrinkage priors on
several regions of the parameter space. Our results point towards pronounced
global reactions of key macroeconomic quantities to climate shocks. Moreover,
the empirical findings highlight substantial linkages between regionally
located climate shifts and global commodity markets. | A Bayesian panel VAR model to analyze the impact of climate change on high-income economies | 2018-04-04 21:23:10 | Florian Huber, Tamás Krisztin, Michael Pfarrhofer | http://arxiv.org/abs/1804.01554v3, http://arxiv.org/pdf/1804.01554v3 | econ.EM |
28,832 | em | This paper provides a new methodology to analyze unobserved heterogeneity
when observed characteristics are modeled nonlinearly. The proposed model
builds on varying random coefficients (VRC) that are determined by nonlinear
functions of observed regressors and additively separable unobservables. This
paper proposes a novel estimator of the VRC density based on weighted sieve
minimum distance. The main example of sieve bases are Hermite functions which
yield a numerically stable estimation procedure. This paper shows inference
results that go beyond what has been shown in ordinary RC models. We provide in
each case rates of convergence and also establish pointwise limit theory of
linear functionals, where a prominent example is the density of potential
outcomes. In addition, a multiplier bootstrap procedure is proposed to
construct uniform confidence bands. A Monte Carlo study examines finite sample
properties of the estimator and shows that it performs well even when the
regressors associated to RC are far from being heavy tailed. Finally, the
methodology is applied to analyze heterogeneity in income elasticity of demand
for housing. | Varying Random Coefficient Models | 2018-04-09 20:16:52 | Christoph Breunig | http://arxiv.org/abs/1804.03110v4, http://arxiv.org/pdf/1804.03110v4 | econ.EM |
28,833 | em | We develop point-identification for the local average treatment effect when
the binary treatment contains a measurement error. The standard instrumental
variable estimator is inconsistent for the parameter since the measurement
error is non-classical by construction. We correct the problem by identifying
the distribution of the measurement error based on the use of an exogenous
variable that can even be a binary covariate. The moment conditions derived
from the identification lead to generalized method of moments estimation with
asymptotically valid inferences. Monte Carlo simulations and an empirical
illustration demonstrate the usefulness of the proposed procedure. | Inference on Local Average Treatment Effects for Misclassified Treatment | 2018-04-10 08:57:30 | Takahide Yanagi | http://arxiv.org/abs/1804.03349v1, http://arxiv.org/pdf/1804.03349v1 | econ.EM |
28,834 | em | This paper re-examines the Shapley value methods for attribution analysis in
the area of online advertising. As a credit allocation solution in cooperative
game theory, Shapley value method directly quantifies the contribution of
online advertising inputs to the advertising key performance indicator (KPI)
across multiple channels. We simplify its calculation by developing an
alternative mathematical formulation. The new formula significantly improves
the computational efficiency and therefore extends the scope of applicability.
Based on the simplified formula, we further develop the ordered Shapley value
method. The proposed method is able to take into account the order of channels
visited by users. We claim that it provides a more comprehensive insight by
evaluating the attribution of channels at different stages of user conversion
journeys. The proposed approaches are illustrated using a real-world online
advertising campaign dataset. | Shapley Value Methods for Attribution Modeling in Online Advertising | 2018-04-15 12:19:25 | Kaifeng Zhao, Seyed Hanif Mahboobi, Saeed R. Bagheri | http://arxiv.org/abs/1804.05327v1, http://arxiv.org/pdf/1804.05327v1 | econ.EM |
28,835 | em | To estimate the dynamic effects of an absorbing treatment, researchers often
use two-way fixed effects regressions that include leads and lags of the
treatment. We show that in settings with variation in treatment timing across
units, the coefficient on a given lead or lag can be contaminated by effects
from other periods, and apparent pretrends can arise solely from treatment
effects heterogeneity. We propose an alternative estimator that is free of
contamination, and illustrate the relative shortcomings of two-way fixed
effects regressions with leads and lags through an empirical application. | Estimating Dynamic Treatment Effects in Event Studies with Heterogeneous Treatment Effects | 2018-04-16 19:54:46 | Liyang Sun, Sarah Abraham | http://arxiv.org/abs/1804.05785v2, http://arxiv.org/pdf/1804.05785v2 | econ.EM |
28,836 | em | This paper offers a two-pronged critique of the empirical investigation of
the income distribution performed by physicists over the past decade. Their
finding rely on the graphical analysis of the observed distribution of
normalized incomes. Two central observations lead to the conclusion that the
majority of incomes are exponentially distributed, but neither each individual
piece of evidence nor their concurrent observation robustly proves that the
thermal and superthermal mixture fits the observed distribution of incomes
better than reasonable alternatives. A formal analysis using popular measures
of fit shows that while an exponential distribution with a power-law tail
provides a better fit of the IRS income data than the log-normal distribution
(often assumed by economists), the thermal and superthermal mixture's fit can
be improved upon further by adding a log-normal component. The economic
implications of the thermal and superthermal distribution of incomes, and the
expanded mixture are explored in the paper. | Revisiting the thermal and superthermal two-class distribution of incomes: A critical perspective | 2018-04-17 19:09:59 | Markus P. A. Schneider | http://dx.doi.org/10.1140/epjb/e2014-50501-x, http://arxiv.org/abs/1804.06341v1, http://arxiv.org/pdf/1804.06341v1 | econ.EM |
28,837 | em | Researchers increasingly leverage movement across multiple treatments to
estimate causal effects. While these "mover regressions" are often motivated by
a linear constant-effects model, it is not clear what they capture under weaker
quasi-experimental assumptions. I show that binary treatment mover regressions
recover a convex average of four difference-in-difference comparisons and are
thus causally interpretable under a standard parallel trends assumption.
Estimates from multiple-treatment models, however, need not be causal without
stronger restrictions on the heterogeneity of treatment effects and
time-varying shocks. I propose a class of two-step estimators to isolate and
combine the large set of difference-in-difference quasi-experiments generated
by a mover design, identifying mover average treatment effects under
conditional-on-covariate parallel trends and effect homogeneity restrictions. I
characterize the efficient estimators in this class and derive specification
tests based on the model's overidentifying restrictions. Future drafts will
apply the theory to the Finkelstein et al. (2016) movers design, analyzing the
causal effects of geography on healthcare utilization. | Estimating Treatment Effects in Mover Designs | 2018-04-18 16:42:55 | Peter Hull | http://arxiv.org/abs/1804.06721v1, http://arxiv.org/pdf/1804.06721v1 | econ.EM |
28,838 | em | The study aims to identify the institutional flaws of the current EU waste
management model by analysing the economic model of extended producer
responsibility and collective waste management systems and to create a model
for measuring the transaction costs borne by waste recovery organizations. The
model was approbated by analysing the Bulgarian collective waste management
systems that have been complying with the EU legislation for the last 10 years.
The analysis focuses on waste oils because of their economic importance and the
limited number of studies and analyses in this field as the predominant body of
research to date has mainly addressed packaging waste, mixed household waste or
discarded electrical and electronic equipment. The study aims to support the
process of establishing a circular economy in the EU, which was initiated in
2015. | Transaction Costs in Collective Waste Recovery Systems in the EU | 2018-04-18 18:40:15 | Shteryo Nozharov | http://arxiv.org/abs/1804.06792v1, http://arxiv.org/pdf/1804.06792v1 | econ.EM |
28,839 | em | We study the foundations of empirical equilibrium, a refinement of Nash
equilibrium that is based on a non-parametric characterization of empirical
distributions of behavior in games (Velez and Brown,2020b arXiv:1907.12408).
The refinement can be alternatively defined as those Nash equilibria that do
not refute the regular QRE theory of Goeree, Holt, and Palfrey (2005). By
contrast, some empirical equilibria may refute monotone additive randomly
disturbed payoff models. As a by product, we show that empirical equilibrium
does not coincide with refinements based on approximation by monotone additive
randomly disturbed payoff models, and further our understanding of the
empirical content of these models. | Empirical Equilibrium | 2018-04-21 18:38:24 | Rodrigo A. Velez, Alexander L. Brown | http://arxiv.org/abs/1804.07986v3, http://arxiv.org/pdf/1804.07986v3 | econ.EM |
28,840 | em | We analyze an operational policy for a multinational manufacturer to hedge
against exchange rate uncertainties and competition. We consider a single
product and single period. Because of long-lead times, the capacity investment
must done before the selling season begins when the exchange rate between the
two countries is uncertain. we consider a duopoly competition in the foreign
country. We model the exchange rate as a random variable. We investigate the
impact of competition and exchange rate on optimal capacities and optimal
prices. We show how competition can impact the decision of the home
manufacturer to enter the foreign market. | Price Competition with Geometric Brownian motion in Exchange Rate Uncertainty | 2018-04-22 21:33:53 | Murat Erkoc, Huaqing Wang, Anas Ahmed | http://arxiv.org/abs/1804.08153v1, http://arxiv.org/pdf/1804.08153v1 | econ.EM |
28,841 | em | Call centers' managers are interested in obtaining accurate point and
distributional forecasts of call arrivals in order to achieve an optimal
balance between service quality and operating costs. We present a strategy for
selecting forecast models of call arrivals which is based on three pillars: (i)
flexibility of the loss function; (ii) statistical evaluation of forecast
accuracy; (iii) economic evaluation of forecast performance using money
metrics. We implement fourteen time series models and seven forecast
combination schemes on three series of daily call arrivals. Although we focus
mainly on point forecasts, we also analyze density forecast evaluation. We show
that second moments modeling is important both for point and density
forecasting and that the simple Seasonal Random Walk model is always
outperformed by more general specifications. Our results suggest that call
center managers should invest in the use of forecast models which describe both
first and second moments of call arrivals. | Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers | 2018-04-23 12:57:42 | Andrea Bastianin, Marzio Galeotti, Matteo Manera | http://dx.doi.org/10.1007/s00181-018-1475-y, http://arxiv.org/abs/1804.08315v1, http://arxiv.org/pdf/1804.08315v1 | econ.EM |
28,842 | em | Economic inequality is one of the pivotal issues for most of economic and
social policy makers across the world to insure the sustainable economic growth
and justice. In the mainstream school of economics, namely neoclassical
theories, economic issues are dealt with in a mechanistic manner. Such a
mainstream framework is majorly focused on investigating a socio-economic
system based on an axiomatic scheme where reductionism approach plays a vital
role. The major limitations of such theories include unbounded rationality of
economic agents, reducing the economic aggregates to a set of predictable
factors and lack of attention to adaptability and the evolutionary nature of
economic agents. In tackling deficiencies of conventional economic models, in
the past two decades, some new approaches have been recruited. One of those
novel approaches is the Complex adaptive systems (CAS) framework which has
shown a very promising performance in action. In contrast to mainstream school,
under this framework, the economic phenomena are studied in an organic manner
where the economic agents are supposed to be both boundedly rational and
adaptive. According to it, the economic aggregates emerge out of the ways
agents of a system decide and interact. As a powerful way of modeling CASs,
Agent-based models (ABMs) has found a growing application among academicians
and practitioners. ABMs show that how simple behavioral rules of agents and
local interactions among them at micro-scale can generate surprisingly complex
patterns at macro-scale. In this paper, ABMs have been used to show (1) how an
economic inequality emerges in a system and to explain (2) how sadaqah as an
Islamic charity rule can majorly help alleviating the inequality and how
resource allocation strategies taken by charity entities can accelerate this
alleviation. | Economic inequality and Islamic Charity: An exploratory agent-based modeling approach | 2018-04-25 01:43:11 | Hossein Sabzian, Alireza Aliahmadi, Adel Azar, Madjid Mirzaee | http://arxiv.org/abs/1804.09284v1, http://arxiv.org/pdf/1804.09284v1 | econ.EM |
28,843 | em | This paper is concerned with inference about low-dimensional components of a
high-dimensional parameter vector $\beta^0$ which is identified through
instrumental variables. We allow for eigenvalues of the expected outer product
of included and excluded covariates, denoted by $M$, to shrink to zero as the
sample size increases. We propose a novel estimator based on desparsification
of an instrumental variable Lasso estimator, which is a regularized version of
2SLS with an additional correction term. This estimator converges to $\beta^0$
at a rate depending on the mapping properties of $M$ captured by a sparse link
condition. Linear combinations of our estimator of $\beta^0$ are shown to be
asymptotically normally distributed. Based on consistent covariance estimation,
our method allows for constructing confidence intervals and statistical tests
for single or low-dimensional components of $\beta^0$. In Monte-Carlo
simulations we analyze the finite sample behavior of our estimator. | Ill-posed Estimation in High-Dimensional Models with Instrumental Variables | 2018-06-02 19:41:24 | Christoph Breunig, Enno Mammen, Anna Simoni | http://arxiv.org/abs/1806.00666v2, http://arxiv.org/pdf/1806.00666v2 | econ.EM |
28,863 | em | By recasting indirect inference estimation as a prediction rather than a
minimization and by using regularized regressions, we can bypass the three
major problems of estimation: selecting the summary statistics, defining the
distance function and minimizing it numerically. By substituting regression
with classification we can extend this approach to model selection as well. We
present three examples: a statistical fit, the parametrization of a simple real
business cycle model and heuristics selection in a fishery agent-based model.
The outcome is a method that automatically chooses summary statistics, weighs
them and use them to parametrize models without running any direct
minimization. | Indirect inference through prediction | 2018-07-04 16:52:24 | Ernesto Carrella, Richard M. Bailey, Jens Koed Madsen | http://dx.doi.org/10.18564/jasss.4150, http://arxiv.org/abs/1807.01579v1, http://arxiv.org/pdf/1807.01579v1 | econ.EM |
28,844 | em | I propose a nonparametric iid bootstrap procedure for the empirical
likelihood, the exponential tilting, and the exponentially tilted empirical
likelihood estimators that achieves asymptotic refinements for t tests and
confidence intervals, and Wald tests and confidence regions based on such
estimators. Furthermore, the proposed bootstrap is robust to model
misspecification, i.e., it achieves asymptotic refinements regardless of
whether the assumed moment condition model is correctly specified or not. This
result is new, because asymptotic refinements of the bootstrap based on these
estimators have not been established in the literature even under correct model
specification. Monte Carlo experiments are conducted in dynamic panel data
setting to support the theoretical finding. As an application, bootstrap
confidence intervals for the returns to schooling of Hellerstein and Imbens
(1999) are calculated. The result suggests that the returns to schooling may be
higher. | Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators | 2018-06-04 07:54:48 | Seojeong Lee | http://dx.doi.org/10.1016/j.jeconom.2015.11.003, http://arxiv.org/abs/1806.00953v2, http://arxiv.org/pdf/1806.00953v2 | econ.EM |
28,845 | em | Many studies use shift-share (or ``Bartik'') instruments, which average a set
of shocks with exposure share weights. We provide a new econometric framework
for shift-share instrumental variable (SSIV) regressions in which
identification follows from the quasi-random assignment of shocks, while
exposure shares are allowed to be endogenous. The framework is motivated by an
equivalence result: the orthogonality between a shift-share instrument and an
unobserved residual can be represented as the orthogonality between the
underlying shocks and a shock-level unobservable. SSIV regression coefficients
can similarly be obtained from an equivalent shock-level regression, motivating
shock-level conditions for their consistency. We discuss and illustrate several
practical insights of this framework in the setting of Autor et al. (2013),
estimating the effect of Chinese import competition on manufacturing employment
across U.S. commuting zones. | Quasi-Experimental Shift-Share Research Designs | 2018-06-04 20:03:07 | Kirill Borusyak, Peter Hull, Xavier Jaravel | http://arxiv.org/abs/1806.01221v9, http://arxiv.org/pdf/1806.01221v9 | econ.EM |
28,846 | em | The implementation of a supervision and incentive process for identical
workers may lead to wage variance that stems from employer and employee
optimization. The harder it is to assess the nature of the labor output, the
more important such a process becomes, and the influence of such a process on
wage development growth. The dynamic model presented in this paper shows that
an employer will choose to pay a worker a starting wage that is less than what
he deserves, resulting in a wage profile that fits the classic profile in the
human-capital literature. The wage profile and wage variance rise at times of
technological advancements, which leads to increased turnover as older workers
are replaced by younger workers due to a rise in the relative marginal cost of
the former. | The Impact of Supervision and Incentive Process in Explaining Wage Profile and Variance | 2018-06-04 22:05:37 | Nitsa Kasir, Idit Sohlberg | http://arxiv.org/abs/1806.01332v1, http://arxiv.org/pdf/1806.01332v1 | econ.EM |
28,847 | em | I propose a nonparametric iid bootstrap that achieves asymptotic refinements
for t tests and confidence intervals based on GMM estimators even when the
model is misspecified. In addition, my bootstrap does not require recentering
the moment function, which has been considered as critical for GMM. Regardless
of model misspecification, the proposed bootstrap achieves the same sharp
magnitude of refinements as the conventional bootstrap methods which establish
asymptotic refinements by recentering in the absence of misspecification. The
key idea is to link the misspecified bootstrap moment condition to the large
sample theory of GMM under misspecification of Hall and Inoue (2003). Two
examples are provided: Combining data sets and invalid instrumental variables. | Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators | 2018-06-05 04:13:06 | Seojeong Lee | http://dx.doi.org/10.1016/j.jeconom.2013.05.008, http://arxiv.org/abs/1806.01450v1, http://arxiv.org/pdf/1806.01450v1 | econ.EM |
28,848 | em | Under treatment effect heterogeneity, an instrument identifies the
instrument-specific local average treatment effect (LATE). With multiple
instruments, two-stage least squares (2SLS) estimand is a weighted average of
different LATEs. What is often overlooked in the literature is that the
postulated moment condition evaluated at the 2SLS estimand does not hold unless
those LATEs are the same. If so, the conventional heteroskedasticity-robust
variance estimator would be inconsistent, and 2SLS standard errors based on
such estimators would be incorrect. I derive the correct asymptotic
distribution, and propose a consistent asymptotic variance estimator by using
the result of Hall and Inoue (2003, Journal of Econometrics) on misspecified
moment condition models. This can be used to correctly calculate the standard
errors regardless of whether there is more than one LATE or not. | A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs | 2018-06-05 04:36:49 | Seojeong Lee | http://dx.doi.org/10.1080/07350015.2016.1186555, http://arxiv.org/abs/1806.01457v1, http://arxiv.org/pdf/1806.01457v1 | econ.EM |
28,849 | em | We propose leave-out estimators of quadratic forms designed for the study of
linear models with unrestricted heteroscedasticity. Applications include
analysis of variance and tests of linear restrictions in models with many
regressors. An approximation algorithm is provided that enables accurate
computation of the estimator in very large datasets. We study the large sample
properties of our estimator allowing the number of regressors to grow in
proportion to the number of observations. Consistency is established in a
variety of settings where plug-in methods and estimators predicated on
homoscedasticity exhibit first-order biases. For quadratic forms of increasing
rank, the limiting distribution can be represented by a linear combination of
normal and non-central $\chi^2$ random variables, with normality ensuing under
strong identification. Standard error estimators are proposed that enable tests
of linear restrictions and the construction of uniformly valid confidence
intervals for quadratic forms of interest. We find in Italian social security
records that leave-out estimates of a variance decomposition in a two-way fixed
effects model of wage determination yield substantially different conclusions
regarding the relative contribution of workers, firms, and worker-firm sorting
to wage inequality than conventional methods. Monte Carlo exercises corroborate
the accuracy of our asymptotic approximations, with clear evidence of
non-normality emerging when worker mobility between blocks of firms is limited. | Leave-out estimation of variance components | 2018-06-05 07:59:27 | Patrick Kline, Raffaele Saggio, Mikkel Sølvsten | http://arxiv.org/abs/1806.01494v2, http://arxiv.org/pdf/1806.01494v2 | econ.EM |
28,850 | em | Autonomous ships (AS) used for cargo transport have gained a considerable
amount of attention in recent years. They promise benefits such as reduced crew
costs, increased safety and increased flexibility. This paper explores the
effects of a faster increase in technological performance in maritime shipping
achieved by leveraging fast-improving technological domains such as computer
processors, and advanced energy storage. Based on historical improvement rates
of several modes of transport (Cargo Ships, Air, Rail, Trucking) a simplified
Markov-chain Monte-Carlo (MCMC) simulation of an intermodal transport model
(IMTM) is used to explore the effects of differing technological improvement
rates for AS. The results show that the annual improvement rates of traditional
shipping (Ocean Cargo Ships = 2.6%, Air Cargo = 5.5%, Trucking = 0.6%, Rail =
1.9%, Inland Water Transport = 0.4%) improve at lower rates than technologies
associated with automation such as Computer Processors (35.6%), Fuel Cells
(14.7%) and Automotive Autonomous Hardware (27.9%). The IMTM simulations up to
the year 2050 show that the introduction of any mode of autonomous transport
will increase competition in lower cost shipping options, but is unlikely to
significantly alter the overall distribution of transport mode costs. Secondly,
if all forms of transport end up converting to autonomous systems, then the
uncertainty surrounding the improvement rates yields a complex intermodal
transport solution involving several options, all at a much lower cost over
time. Ultimately, the research shows a need for more accurate measurement of
current autonomous transport costs and how they are changing over time. | A Quantitative Analysis of Possible Futures of Autonomous Transport | 2018-06-05 17:00:58 | Christopher L. Benson, Pranav D Sumanth, Alina P Colling | http://arxiv.org/abs/1806.01696v1, http://arxiv.org/pdf/1806.01696v1 | econ.EM |
28,851 | em | A standard growth model is modified in a straightforward way to incorporate
what Keynes (1936) suggests in the "essence" of his general theory. The
theoretical essence is the idea that exogenous changes in investment cause
changes in employment and unemployment. We implement this idea by assuming the
path for capital growth rate is exogenous in the growth model. The result is a
growth model that can explain both long term trends and fluctuations around the
trend. The modified growth model was tested using the U.S. economic data from
1947 to 2014. The hypothesized inverse relationship between the capital growth
and changes in unemployment was confirmed, and the structurally estimated model
fits fluctuations in unemployment reasonably well. | A Growth Model with Unemployment | 2018-06-11 23:29:04 | Mina Mahmoudi, Mark Pingle | http://arxiv.org/abs/1806.04228v1, http://arxiv.org/pdf/1806.04228v1 | econ.EM |
28,852 | em | This study provides the theoretical framework and empirical model for
productivity growth evaluations in agricultural sector as one of the most
important sectors in Iran's economic development plan. We use the Solow
residual model to measure the productivity growth share in the value-added
growth of the agricultural sector. Our time series data includes value-added
per worker, employment, and capital in this sector. The results show that the
average total factor productivity growth rate in the agricultural sector is
-0.72% during 1991-2010. Also, during this period, the share of total factor
productivity growth in the value-added growth is -19.6%, while it has been
forecasted to be 33.8% in the fourth development plan. Considering the
effective role of capital in the agricultural low productivity, we suggest
applying productivity management plans (especially in regards of capital
productivity) to achieve future growth goals. | The Role of Agricultural Sector Productivity in Economic Growth: The Case of Iran's Economic Development Plan | 2018-06-11 23:43:32 | Morteza Tahamipour, Mina Mahmoudi | http://arxiv.org/abs/1806.04235v1, http://arxiv.org/pdf/1806.04235v1 | econ.EM |
28,853 | em | Tariff liberalization and its impact on tax revenue is an important
consideration for developing countries, because they are increasingly facing
the difficult task of implementing and harmonizing regional and international
trade commitments. The tariff reform and its costs for Iranian government is
one of the issues that are examined in this study. Another goal of this paper
is, estimating the cost of trade liberalization. On this regard, imports value
of agricultural sector in Iran in 2010 was analyzed according to two scenarios.
For reforming nuisance tariff, a VAT policy is used in both scenarios. In this
study, TRIST method is used. In the first scenario, imports' value decreased to
a level equal to the second scenario and higher tariff revenue will be created.
The results show that reducing the average tariff rate does not always result
in the loss of tariff revenue. This paper is a witness that different forms of
tariff can generate different amount of income when they have same level of
liberalization and equal effect on producers. Therefore, using a good tariff
regime can help a government to generate income when increases social welfare
by liberalization. | Estimating Trade-Related Adjustment Costs in the Agricultural Sector in Iran | 2018-06-11 23:44:02 | Omid Karami, Mina Mahmoudi | http://arxiv.org/abs/1806.04238v1, http://arxiv.org/pdf/1806.04238v1 | econ.EM |
28,854 | em | We consider the relation between Sion's minimax theorem for a continuous
function and a Nash equilibrium in an asymmetric multi-players zero-sum game in
which only one player is different from other players, and the game is
symmetric for the other players. Then,
1. The existence of a Nash equilibrium, which is symmetric for players other
than one player, implies Sion's minimax theorem for pairs of this player and
one of other players with symmetry for the other players.
2. Sion's minimax theorem for pairs of one player and one of other players
with symmetry for the other players implies the existence of a Nash equilibrium
which is symmetric for the other players.
Thus, they are equivalent. | On the relation between Sion's minimax theorem and existence of Nash equilibrium in asymmetric multi-players zero-sum game with only one alien | 2018-06-17 04:11:55 | Atsuhiro Satoh, Yasuhito Tanaka | http://arxiv.org/abs/1806.07253v1, http://arxiv.org/pdf/1806.07253v1 | econ.EM |
28,855 | em | It is common practice in empirical work to employ cluster-robust standard
errors when using the linear regression model to estimate some
structural/causal effect of interest. Researchers also often include a large
set of regressors in their model specification in order to control for observed
and unobserved confounders. In this paper we develop inference methods for
linear regression models with many controls and clustering. We show that
inference based on the usual cluster-robust standard errors by Liang and Zeger
(1986) is invalid in general when the number of controls is a non-vanishing
fraction of the sample size. We then propose a new clustered standard errors
formula that is robust to the inclusion of many controls and allows to carry
out valid inference in a variety of high-dimensional linear regression models,
including fixed effects panel data models and the semiparametric partially
linear model. Monte Carlo evidence supports our theoretical results and shows
that our proposed variance estimator performs well in finite samples. The
proposed method is also illustrated with an empirical application that
re-visits Donohue III and Levitt's (2001) study of the impact of abortion on
crime. | Cluster-Robust Standard Errors for Linear Regression Models with Many Controls | 2018-06-19 18:48:50 | Riccardo D'Adamo | http://arxiv.org/abs/1806.07314v3, http://arxiv.org/pdf/1806.07314v3 | econ.EM |
28,856 | em | We study inference in shift-share regression designs, such as when a regional
outcome is regressed on a weighted average of sectoral shocks, using regional
sector shares as weights. We conduct a placebo exercise in which we estimate
the effect of a shift-share regressor constructed with randomly generated
sectoral shocks on actual labor market outcomes across U.S. Commuting Zones.
Tests based on commonly used standard errors with 5\% nominal significance
level reject the null of no effect in up to 55\% of the placebo samples. We use
a stylized economic model to show that this overrejection problem arises
because regression residuals are correlated across regions with similar
sectoral shares, independently of their geographic location. We derive novel
inference methods that are valid under arbitrary cross-regional correlation in
the regression residuals. We show using popular applications of shift-share
designs that our methods may lead to substantially wider confidence intervals
in practice. | Shift-Share Designs: Theory and Inference | 2018-06-20 21:57:10 | Rodrigo Adão, Michal Kolesár, Eduardo Morales | http://dx.doi.org/10.1093/qje/qjz025, http://arxiv.org/abs/1806.07928v5, http://arxiv.org/pdf/1806.07928v5 | econ.EM |
28,857 | em | In this paper, we explore the relationship between state-level household
income inequality and macroeconomic uncertainty in the United States. Using a
novel large-scale macroeconometric model, we shed light on regional disparities
of inequality responses to a national uncertainty shock. The results suggest
that income inequality decreases in most states, with a pronounced degree of
heterogeneity in terms of shapes and magnitudes of the dynamic responses. By
contrast, some few states, mostly located in the West and South census region,
display increasing levels of income inequality over time. We find that this
directional pattern in responses is mainly driven by the income composition and
labor market fundamentals. In addition, forecast error variance decompositions
allow for a quantitative assessment of the importance of uncertainty shocks in
explaining income inequality. The findings highlight that volatility shocks
account for a considerable fraction of forecast error variance for most states
considered. Finally, a regression-based analysis sheds light on the driving
forces behind differences in state-specific inequality responses. | The transmission of uncertainty shocks on income inequality: State-level evidence from the United States | 2018-06-21 17:57:45 | Manfred M. Fischer, Florian Huber, Michael Pfarrhofer | http://arxiv.org/abs/1806.08278v1, http://arxiv.org/pdf/1806.08278v1 | econ.EM |
28,858 | em | We propose a new class of unit root tests that exploits invariance properties
in the Locally Asymptotically Brownian Functional limit experiment associated
to the unit root model. The invariance structures naturally suggest tests that
are based on the ranks of the increments of the observations, their average,
and an assumed reference density for the innovations. The tests are
semiparametric in the sense that they are valid, i.e., have the correct
(asymptotic) size, irrespective of the true innovation density. For a correctly
specified reference density, our test is point-optimal and nearly efficient.
For arbitrary reference densities, we establish a Chernoff-Savage type result,
i.e., our test performs as well as commonly used tests under Gaussian
innovations but has improved power under other, e.g., fat-tailed or skewed,
innovation distributions. To avoid nonparametric estimation, we propose a
simplified version of our test that exhibits the same asymptotic properties,
except for the Chernoff-Savage result that we are only able to demonstrate by
means of simulations. | Semiparametrically Point-Optimal Hybrid Rank Tests for Unit Roots | 2018-06-25 10:03:48 | Bo Zhou, Ramon van den Akker, Bas J. M. Werker | http://dx.doi.org/10.1214/18-AOS1758, http://arxiv.org/abs/1806.09304v1, http://arxiv.org/pdf/1806.09304v1 | econ.EM |
28,859 | em | In this article we introduce a general nonparametric point-identification
result for nonseparable triangular models with a multivariate first- and second
stage. Based on this we prove point-identification of Hedonic models with
multivariate heterogeneity and endogenous observable characteristics, extending
and complementing identification results from the literature which all require
exogeneity. As an additional application of our theoretical result, we show
that the BLP model (Berry et al. 1995) can also be identified without index
restrictions. | Point-identification in multivariate nonseparable triangular models | 2018-06-25 22:36:39 | Florian Gunsilius | http://arxiv.org/abs/1806.09680v1, http://arxiv.org/pdf/1806.09680v1 | econ.EM |
28,860 | em | Historical examination of the Bretton Woods system allows comparisons to be
made with the current evolution of the EMS. | The Bretton Woods Experience and ERM | 2018-07-02 03:00:20 | Chris Kirrane | http://arxiv.org/abs/1807.00418v1, http://arxiv.org/pdf/1807.00418v1 | econ.EM |
28,861 | em | This paper describes the opportunities and also the difficulties of EMU with
regard to international monetary cooperation. Even though the institutional and
intellectual assistance to the coordination of monetary policy in the EU will
probably be strengthened with the EMU, among the shortcomings of the Maastricht
Treaty concerns the relationship between the founder members and those
countries who wish to remain outside monetary union. | Maastricht and Monetary Cooperation | 2018-07-02 03:01:08 | Chris Kirrane | http://arxiv.org/abs/1807.00419v1, http://arxiv.org/pdf/1807.00419v1 | econ.EM |
28,862 | em | This paper proposes a hierarchical modeling approach to perform stochastic
model specification in Markov switching vector error correction models. We
assume that a common distribution gives rise to the regime-specific regression
coefficients. The mean as well as the variances of this distribution are
treated as fully stochastic and suitable shrinkage priors are used. These
shrinkage priors enable to assess which coefficients differ across regimes in a
flexible manner. In the case of similar coefficients, our model pushes the
respective regions of the parameter space towards the common distribution. This
allows for selecting a parsimonious model while still maintaining sufficient
flexibility to control for sudden shifts in the parameters, if necessary. We
apply our modeling approach to real-time Euro area data and assume transition
probabilities between expansionary and recessionary regimes to be driven by the
cointegration errors. The results suggest that the regime allocation is
governed by a subset of short-run adjustment coefficients and regime-specific
variance-covariance matrices. These findings are complemented by an
out-of-sample forecast exercise, illustrating the advantages of the model for
predicting Euro area inflation in real time. | Stochastic model specification in Markov switching vector error correction models | 2018-07-02 11:36:11 | Niko Hauzenberger, Florian Huber, Michael Pfarrhofer, Thomas O. Zörner | http://arxiv.org/abs/1807.00529v2, http://arxiv.org/pdf/1807.00529v2 | econ.EM |
28,864 | em | This paper studies the identifying content of the instrument monotonicity
assumption of Imbens and Angrist (1994) on the distribution of potential
outcomes in a model with a binary outcome, a binary treatment and an exogenous
binary instrument. Specifically, I derive necessary and sufficient conditions
on the distribution of the data under which the identified set for the
distribution of potential outcomes when the instrument monotonicity assumption
is imposed can be a strict subset of that when it is not imposed. | On the Identifying Content of Instrument Monotonicity | 2018-07-04 19:25:35 | Vishal Kamat | http://arxiv.org/abs/1807.01661v2, http://arxiv.org/pdf/1807.01661v2 | econ.EM |
28,865 | em | This paper develops an inferential theory for state-varying factor models of
large dimensions. Unlike constant factor models, loadings are general functions
of some recurrent state process. We develop an estimator for the latent factors
and state-varying loadings under a large cross-section and time dimension. Our
estimator combines nonparametric methods with principal component analysis. We
derive the rate of convergence and limiting normal distribution for the
factors, loadings and common components. In addition, we develop a statistical
test for a change in the factor structure in different states. We apply the
estimator to U.S. Treasury yields and S&P500 stock returns. The systematic
factor structure in treasury yields differs in times of booms and recessions as
well as in periods of high market volatility. State-varying factors based on
the VIX capture significantly more variation and pricing information in
individual stocks than constant factor models. | State-Varying Factor Models of Large Dimensions | 2018-07-06 07:05:40 | Markus Pelger, Ruoxuan Xiong | http://arxiv.org/abs/1807.02248v4, http://arxiv.org/pdf/1807.02248v4 | econ.EM |
28,866 | em | The methods of new institutional economics for identifying the transaction
costs of trade litigations in Bulgaria are used in the current paper. For the
needs of the research, an indicative model, measuring this type of costs on
microeconomic level, is applied in the study. The main purpose of the model is
to forecast the rational behavior of trade litigation parties in accordance
with the transaction costs in the process of enforcing the execution of the
signed commercial contract. The application of the model is related to the more
accurate measurement of the transaction costs on microeconomic level, which
fact could lead to better prediction and management of these costs in order
market efficiency and economic growth to be achieved. In addition, it is made
an attempt to be analysed the efficiency of the institutional change of the
commercial justice system and the impact of the reform of the judicial system
over the economic turnover. The augmentation or lack of reduction of the
transaction costs in trade litigations would mean inefficiency of the reform of
the judicial system. JEL Codes: O43, P48, D23, K12 | Transaction costs and institutional change of trade litigations in Bulgaria | 2018-07-09 13:34:56 | Shteryo Nozharov, Petya Koralova-Nozharova | http://arxiv.org/abs/1807.03034v1, http://arxiv.org/pdf/1807.03034v1 | econ.EM |
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Dataset Card for Economics Paper Dataset
Dataset Summary
The Economics Research Paper Dataset was designed to support the development of the LLaMA-2-Econ models, with a focus on Title Generation, Abstract Classification, and Question & Answer (Q&A) tasks. It comprises abstracts and titles of economics research papers, along with synthetic Q&A pairs derived from the abstracts, to facilitate training of large language models for economics-specific applications.
Dataset Description
Content: The dataset includes:
- Economics paper abstracts and titles.
Source: The data was collected using the arXiv API, with papers selected from the categories Econometrics (ec.EM), General Economics (ec.GN), and Theoretical Economics (ec.TH).
Volume:
- Total abstracts and titles: 6362
Intended Uses
This dataset is intended for training and evaluating language models specialized in:
- Generating titles for economics research papers.
- Classifying abstracts into sub-fields of economics.
- Answering questions based on economics paper abstracts.
Dataset Creation
Curation Rationale
The dataset was curated to address the lack of specialized tools and datasets for enhancing research within the economics domain, leveraging the potential of language models like LLaMA-2.
Source Data
Initial Data Collection and Normalization
Data was collected through the arXiv API, targeting papers within specified categories of economics. Titles and abstracts were extracted, and synthetic Q&A pairs were generated using a process that involved the GPT-3.5 Turbo model for contextual dialogue creation.
Licensing Information
The dataset is derived from arXiv papers. Users are advised to adhere to arXiv's terms of use.
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