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Partial Identification in Applied Research : Benefits and Challenges

Ho, Kate - 2015

Advances in the study of partial identification allow applied researchers to learn about parameters of interest without making assumptions needed to guarantee point identification. We discuss the roles that assumptions and data play in partial identification analysis, with the goal of providing...

Persistent link: https://www.econbiz.de/10013013514

Rationally Inattentive Behavior : Characterizing and Generalizing Shannon Entropy

Caplin, Andrew - 2017

We provide a full behavioral characterization of the standard Shannon model of rational inattention. The key axiom is "Invariance under Compression", which identifies this model as capturing an ideal form of attention-constrained choice. We introduce tractable generalizations that allow for many...

Persistent link: https://www.econbiz.de/10012950055

Sources of Entropy in Representative Agent Models

Backus, David - 2011

preferences, habits, and jumps. The metrics describe the pricing kernel's dispersion (the entropy of the title) and dynamics (time … dependence, a measure of how entropy varies over different time horizons). We show how each model generates entropy and time … approximations -- clarifies the mechanisms underlying these models. It also reveals, in some cases, tension between entropy, which …

Persistent link: https://www.econbiz.de/10013122464

Term Structures of Asset Prices and Returns

Backus, David - 2016

We explore the term structures of claims to a variety of cash flows, namely, U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). The...

Persistent link: https://www.econbiz.de/10012994905

Behavioral Implications of Rational Inattention with Shannon Entropy

Caplin, Andrew - 2013

entropy cost functions that better match this feature of the data and that retain key simplifying features of the Shannon …

Persistent link: https://www.econbiz.de/10013077941

Asymptotics for GMM Estimators with Weak Instruments

Stock, James H.; Wright, Jonathan H. - 2022

This paper develops asymptotic distribution theory for generalized method of moments (GMM) estimators and test statistics when some of the parameters are well identified, but others are poorly identified because of weak instruments. The asymptotic theory entails applying empirical process theory...

Persistent link: https://www.econbiz.de/10014158848

Using Weights to Adjust for Sample Selection When Auxiliary Information is Available

Nevo, Aviv - 2001

In this paper I analyze GMM estimation when the sample is not a random draw from the population of interest. I exploit auxiliary information, in the form of moments from the population of interest, in order to compute weights that are proportional to the inverse probability of selection. The...

Persistent link: https://www.econbiz.de/10014122994

Estimation of Causal Effects in Experiments with Multiple Sources of Noncompliance

Engberg, John Barker; Epple, Dennis N.; Imbrogno, Jason; … - 2021

The purpose of this paper is to study identification and estimation of causal effects in experiments with multiple sources of noncompliance. This research design arises in many applications in education when access to oversubscribed programs is partially determined by randomization. Eligible...

Persistent link: https://www.econbiz.de/10013218738

Small Sample Properties of Generalized Method of Moments Based Wald Tests

Burnside, Craig; Eichenbaum, Martin S. - 2021

This paper assesses the small sample properties of Generalized Method of Moments (GMM) based Wald statistics. The analysis is conducted assuming that the data generating process corresponds to (i) a simple vector white noise process and (ii) an equilibrium business cycle model. Our key findings...

Persistent link: https://www.econbiz.de/10013224900

The Incidence of Local Labor Demand Shocks

Notowidigdo, Matthew - 2011

Low-skill workers are comparatively immobile: when labor demand slumps in a city, low-skill workers are disproportionately likely to remain to face declining wages and employment. This paper estimates the extent to which (falling) housing prices and (rising) social transfers can account for this...

Persistent link: https://www.econbiz.de/10013123308