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Author: Christophe-Alain Bruneel-Zupanc
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
The first chapter develops a general framework for models, static or dynamic, in which agents simultaneously make both discrete and continuous choices. I show that such models are nonparametrically identified. Based on the constructive identification arguments, I build a novel twostep estimation method in the lineage of Hotz and Miller (1993) but extended to discrete and continuous choice models. The method is especially attractive for complex dynamic models because it significantly reduces the computational burden associated with their estimation. To illustrate my new method, I estimate a dynamic micro-model of female labor supply and consumption. The method is also illustrated in the third chapter of the thesis. In the second chapter, I build a dynamic search model to examine the decision problem of a homeowner who maximizes her expected profit from the sale of her property when market conditions are uncertain. Using a large dataset of real estate transactions in Pennsylvania between 2011and 2014, I verify several stylized facts about the housing market. I develop a dynamic search model of the home-selling problem in which the homeowner learns about demand in a Bayesian way. I estimate the model and find that learning, especially the downward adjustment of the beliefs of sellers facing low demand, explains some of the key features of the housing data, such as the decreasing list price overtime and time on the market. By comparing with a perfect information benchmark, I derive an unexpected result: the value of information is not always positive. Indeed, an imperfectly informed seller facing low demand can obtain a better outcome than her perfectly informed counterpart thanks to a delusively stronger bargaining position. In the third chapter, joint work with Thierry Magnac, we estimate a dynamic discrete and continuous choices model of households' decisions regarding their consumption, housing tenure and housing services over the life-cycle. We use non-parametric identification arguments as in the first chapter to formulate an empirical strategy in two steps that (1) estimates discrete choice probabilities and continuous choices distribution summaries to be used in (2) Bellman and Euler equations that estimate the structural parameters. Specific modelling strategies are adopted because of unfrequent mobility due to housing transaction costs. Counterfactuals that can be evaluated are related to those transaction costs as well as of prudential policies such as down payments.
Author: Christophe-Alain Bruneel-Zupanc
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
The first chapter develops a general framework for models, static or dynamic, in which agents simultaneously make both discrete and continuous choices. I show that such models are nonparametrically identified. Based on the constructive identification arguments, I build a novel twostep estimation method in the lineage of Hotz and Miller (1993) but extended to discrete and continuous choice models. The method is especially attractive for complex dynamic models because it significantly reduces the computational burden associated with their estimation. To illustrate my new method, I estimate a dynamic micro-model of female labor supply and consumption. The method is also illustrated in the third chapter of the thesis. In the second chapter, I build a dynamic search model to examine the decision problem of a homeowner who maximizes her expected profit from the sale of her property when market conditions are uncertain. Using a large dataset of real estate transactions in Pennsylvania between 2011and 2014, I verify several stylized facts about the housing market. I develop a dynamic search model of the home-selling problem in which the homeowner learns about demand in a Bayesian way. I estimate the model and find that learning, especially the downward adjustment of the beliefs of sellers facing low demand, explains some of the key features of the housing data, such as the decreasing list price overtime and time on the market. By comparing with a perfect information benchmark, I derive an unexpected result: the value of information is not always positive. Indeed, an imperfectly informed seller facing low demand can obtain a better outcome than her perfectly informed counterpart thanks to a delusively stronger bargaining position. In the third chapter, joint work with Thierry Magnac, we estimate a dynamic discrete and continuous choices model of households' decisions regarding their consumption, housing tenure and housing services over the life-cycle. We use non-parametric identification arguments as in the first chapter to formulate an empirical strategy in two steps that (1) estimates discrete choice probabilities and continuous choices distribution summaries to be used in (2) Bellman and Euler equations that estimate the structural parameters. Specific modelling strategies are adopted because of unfrequent mobility due to housing transaction costs. Counterfactuals that can be evaluated are related to those transaction costs as well as of prudential policies such as down payments.
Author: R.M. Goodwin
Publisher: Springer
ISBN: 1349055077
Category : Business & Economics
Languages : en
Pages : 186
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Book Description
Author: Zhutong Gu
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 172
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Book Description
My dissertation contains three papers in the theory and applications of nonparametric structural econometrics. In chapter 1, I propose a nonparametric test for additive separability of unobservables of unrestricted dimensions with average structural functions. Chapter 2 considers identification and estimation of fully nonparametric production functions and empirically tests for the Hicks-neutral productivity shocks, a direct application of the test proposed in chapter 1. In chapter 3, my authors and I study the semiparametric ordered response models with correlated unobserved thresholds and investigate the issue of corporate bond rating biases due to the sharing of common investors between bond-issuing firms and credit rating agencies. Brief abstracts are presented in order below. Additive separability between observables and unobservables is one of the essential properties in structural modeling of heterogeneity in the presence of endogeneity. In this chapter, I propose an easy-to-compute test based on empirical quantile mean differences between the average structural functions (ASFs) generated by nonparametric nonseparable and separable models with unrestricted heterogeneity. Given identification, I establish conditions under which structural additivity can be linked to the equality of ASFs derived from the two commonly employed competing specifications. I estimate the reduced form regressions by Nadaraya-Watson estimators and control for the asymptotic bias. I show that the asymptotic test statistic follows a central Chi-squred distribution under the null hypothesis and has power against a sequence of root N-local alternatives. The proposed test statistic works well in a series of finite sample simulations with analytic variances, alleviating the computational burden often involved in bootstrapped inferences. I also show that the test can be straightforwardly extended to semiparametric models, panel data and triangular simultaneous equations frameworks. Hicks-neutral technology implies the substitution pattern of labor and capital in a production function is not affected by technological shocks, first put forth by John Hicks in 1932. In this chapter, I consider the identification and estimation of fully nonparametric firm-level production functions and empirically test the Hicks-neutral productivity in the U.S. manufacturing industry during the period from 1990 to 2011. Firstly, I extend the proxy variable approach to fully nonparametric settings and propose a robust estimator of average output elasticities in non-Hick-neutral scenarios. Secondly, I show that the Hicks-neutral restriction can be converted to the additive separability between inputs and unobservables in a monotonic transformed model for which the proposed testing procedure can be directly applied. It turns out that there is substantial heterogeneity in the nonparametric output elasticities over various counterfactual input amounts. I also find that there were periods in the 90s when the non-Hicks technological shocks occur which coincide with the mass adoption of computing technology. However, the productivity has thereafter become Hicks-neutral into the 2000s. Controlling for sector-specific effects mitigate the non-Hicks-neutrality to some extend. Previous literature on bond rating indicates that credit rating agencies (CRAs) may assign favorable ratings to bond-issuing firms that have a closer relationship. This not only implies the existence of firm-specific unobserved heterogeneity in the rating criteria but also makes some bond/firm characteristics endogenous, which is confirmed by our empirical results. In this chapter, my coauthors and I propose a semiparametric two-step index and location estimator of ordered response models that explicitly incorporates endogenous regressors and correlated random thresholds. We apply our model in the application of assessing bond rating bias of credit rating agencies. Methodologically, we first show that the heterogeneous relative thresholds can be identified using conditional shift restrictions in conjunction with the control variables for the firm-CRA liaison. Then, we illustrate the estimation strategy in a heuristic manner and derive the asymptotic properties of the suggested estimator. In the application, we find significant overrating bias through varying thresholds as the liaison strengthens and those biases display heterogeneous patterns with respect to rating categories.
Author: Franklin M. Fisher
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 440
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Book Description
Franklin Fisher's work on the underlying structure of econometric models has been fundamental to the development of the subject. Fisher's early discovery of block-recursive systems and his results on continuity for small specification errors provided the foundation for all structural estimation.
Author: Yaein Baek
Publisher:
ISBN:
Category :
Languages : en
Pages : 176
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Book Description
Instability of parametric models is a common problem in many fields of economics. In econometrics, these changes in the underlying data generating process are referred to as structural breaks. Although there is an extensive literature on estimation and statistical tests of structural breaks, existing methods fail to adequately capture a break. This dissertation consists of three papers on developing econometric methods for structural breaks and forecasting. The first chapter develops a new method in estimating the location of a structural break in a linear model and provide theoretical results and empirical applications of the estimator. In finite sample the conventional least-squares estimates a break occurred at either ends of the sample with high probability, regardless of the true break point. I suggest an estimator of the break point that resolves this pile up issue and thus, provide a more accurate estimate of the break. The second chapter constructs a statistical test to test existence of a structural break when the direction of the parameter shift is known. In practice it is likely that a researcher is interested in testing for a structural break in a particular direction because the direction is known, such as policy change or historical data. We incorporate this information in constructing three tests that have higher power when direction is correctly specified. The last chapter proposes a multi-period forecasting method that is robust to model misspecification. When we are interested in obtaining long horizon ahead forecasts, the direct forecast method is more favorable than the iterated forecast because it is more robust to misspecification. However, direct forecast estimates tend to have jagged shapes across horizons. I use a mechanism analogous to ridge regression on the direct forecast model to maintain robustness while smoothing out erratic estimates.
Author: C. R. Rao
Publisher: Elsevier
ISBN: 1483225615
Category : Business & Economics
Languages : en
Pages : 359
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Book Description
Essays on Econometrics and Planning provides a compilation of papers pertinent to econometrics and planning. This book covers a variety of topics, including competition, planner's capital, parametric solution and programming, economic system, and economic growth. Organized into 22 chapters, this book begins with an overview of the concepts of cooperation, conflict, exploitation, and competition in relation to economic system. This text then examines the status of economic planning in Great Britain and provides an analysis of the role of autonomous investment in the economy. Other chapters consider the monetary or financial aspects of the Soviet economy. This book discusses as well the aspects in which the planners have a social location and economic preferences different from those of the mass of citizens in the underdeveloped country. The final chapter deals with the problem of national development. This book is a valuable resource for economists, industrialists, economic planners, and academic socialists.
Author: Dek Terrell
Publisher: Emerald Group Publishing
ISBN: 1789739578
Category : Business & Economics
Languages : en
Pages : 472
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Book Description
Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.
Author: Alexander Chudik
Publisher: Emerald Group Publishing
ISBN: 1802620656
Category : Business & Economics
Languages : en
Pages : 376
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Book Description
The collection of chapters in Volume 43 Part B of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.
Author: David Currie
Publisher: Routledge
ISBN: 1317377680
Category : Business & Economics
Languages : en
Pages : 360
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Book Description
Bringing together the proceedings of the 1979 and 1980 annual conferences of the Association of University Teachers of Economics the papers in this volume discuss: the effect of social security on private saving; an analysis of aggregate consumer behaviour; the philosophy and objectives of econometrics and other topics in macroeconomic and econometric analysis.
Author: Clive W. J. Granger
Publisher: Cambridge University Press
ISBN: 9780521796491
Category : Business & Economics
Languages : en
Pages : 400
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Book Description
These are econometrician Clive W. J. Granger's major essays in causality, integration, cointegration, and long memory.
