Download or read book Essays on Heterogeneity in Econometric Models written by Shengwu Shang and published by . This book was released on 2013 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Interaction and Market Structure written by Domenico Delli Gatti and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of essays which examine how the properties of aggregate variables are influenced by the actions and interactions of heterogenous individuals in different economic contexts. The common denominator of the essays is a critique of the representative agent hypothesis. If this hypothesis were correct, the behaviour of the aggregate variable would simply be the reproduction of individual optimising behaviour. In the methodology of the hard sciences, one of the achievements of the quantum revolution has been the rebuttal of the notion that aggregate behaviour can be explained on the basis of the behaviour of a single unit: the elementary particle does not even exist as a single entity but as a network, a system of interacting units. In this book, new tracks in economics which parallel the developments in physics mentioned above are explored. The essays, in fact are contributions to the analysis of the economy as a complex evolving system of interacting agents.
Download or read book Essays on Nonlinear Panel Models with Unobserved Heterogeneity written by Robert Martin and published by . This book was released on 2017 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Paired Data Models and Testing Heterogeneity written by Weiqiang Qian and published by . This book was released on 2008 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Identification and Inference for Econometric Models written by Donald W. K. Andrews and published by Cambridge University Press. This book was released on 2005-07-04 with total page 589 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.
Download or read book Essays on Macroeconomic Policies in Heterogeneous Agent Models written by Alaïs Martin-Baillon and published by . This book was released on 2021 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is now recognized that the heterogeneity of economic agents plays a crucial role in understanding the fluctuations of an economy. The different chapters of my thesis serve the same question: How does heterogeneity changes the way economic policies should be conducted? Today, heterogeneous-agent macroeconomics is developing in several directions, each shedding different light on the problems we face as economists. My thesis is at the confluence of the different facets of this field. The first chapter of my thesis, participates in the heterogeneous agent macroeconomics that derives analytical solutions in reduced-heterogeneity models. I study how governments should increase or decrease taxes on firms over the business cycle. I show that taking into account firms heterogeneity greatly changes tax policy recommendations. The second chapter of my thesis is part of quantitative heterogeneous agent macroeconomics. We study whether monetary policy should use its ability to redistribute wealth among heterogenous households to achieve its objectives. The third chapter of my thesis participates in field that uses micro data to understand macroeconomics and to design public policies. I estimate firms' propensities to invest to better understand how economic policies can vary firms' investment by varying their income.
Download or read book Three Essays on Unobserved Heterogeneity in Panel and Network Data Models written by Hualei Shang and published by . This book was released on 2020 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three chapters that study unobserved heterogeneity in panel and network data models. In Chapter 1, I propose a semi-nonparametric panel data model with a latent group structure. I assume that individual parameters are heterogeneous across groups but homogeneous within a group while the group membership is unknown. I first approximate the infinite-dimensional function with a sieve expansion; then, I propose a Classifier-Lasso(C-Lasso) procedure to simultaneously identify the individuals' membership and estimate the group-specific parameters. I show that: (i) the classification exhibits uniform consistency; (ii) C-Lasso and post-Lasso estimators achieve oracle properties so that they are asymptotically equivalent to infeasible estimators as if the group membership is known; and (iii) the estimators are consistent and asymptotically normally distributed. Simulations demonstrate an excellent finite sample performance of this approach in both classification and estimation. In Chapter 2 (joint with Wenyu Zhou), we study a nonparametric additive panel regression model with grouped heterogeneity. The model can be regarded as a natural extension to the heterogeneous panel model studied in Su, Shi, and Phillips (2016). We propose to estimate the nonparametric components using a sieve-approximation-based Classifier-Lasso method. We establish the asymptotic properties of the estimator and show that they enjoy the so-called oracle property. In addition, we present the decision rule for group classification and establish its consistency. Then, a BIC-type information criterion is developed to determine the group pattern of each nonparametric component. We further investigate the finite sample performance of the estimation method and the information criterion through Monte Carlo simulations. Results show that both work well. Finally, we apply the model and the estimation method to study the demand for cigarettes in the United States using panel data of 46 states from 1963 to 1992. In Chapter 3, I study a network sample selection model in which 1) bilateral fixed effects enter the pairwise outcome equation additively; 2) link formation depends on latent variables from both sides nonparametrically. I first propose a four-cycle structure to difference out the fixed effects; next, utilizing the idea proposed in Auerbach (2019), I manage to use the kernel function to control for the selection bias. I then introduce estimators for the parameters of interest and characterize their asymptotic properties.
Download or read book Essays in Honor of M Hashem Pesaran written by Alexander Chudik and published by Emerald Group Publishing. This book was released on 2022-01-18 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Essays in Heterogeneous Agent Macroeconomics written by Nobuhide Okahata and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In these essays, I study the implications of macroeconomic policies under the environment with rich heterogeneities of economic agents. The analyses in these essays highlight that income and wealth inequality among agents could change the responses of macroeconomic policies and large aggregate shocks from those in the representative agent models. These results could modify our understanding of economic dynamics and the effect of macroeconomic policies. As an illustration, I focus on the monetary policy in a closed economy model and capital controls in an open economy model. I also develop a new nonlinear and global numerical solution method to analyze a class of heterogeneous-agent macroeconomic models. In the first chapter, ''An Alternative Solution Method for Continuous-Time Heterogeneous Agent Models with Aggregate Shocks'', I propose an alternative solution method for continuous-time heterogeneous agent models with aggregate shocks by extending the Backward Induction method developed initially for discrete-time models by Reiter (2010). The existing methods commonly used in the literature essentially rely on the local linearization and are only applicable to the problems where certainty equivalence with respect to aggregate shocks holds. On the other hand, the proposed method is nonlinear and global with respect to both idiosyncratic and aggregate shocks and thus suitable to investigate models where large aggregate shocks exist or nonlinearity matters. I apply this method to solve a Krusell and Smith (1998) economy and evaluate its performance along two dimensions: accuracy and computation speed. I find that the proposed method is accurate even with large aggregate shocks and high curvature without surrendering computation speed (the baseline economy is solved within a few seconds). This new method is also applied to a model with recursive utility and an Overlapping Generations (OLG) model, and it is able to solve both models quickly and accurately. In the second chapter, ''Consumption Inequality and Monetary Policy in a Heterogeneous-Agent New Keynesian Model'', I consider a continuous-time heterogenous-agent New Keynesian model with the wealth effect of the labor supply and study quantitative implications of additional insurance mechanisms available to the households. Our numerical experiment illustrates cross-sectional consumption inequality increases after a contractionary monetary policy shock which is consistent with the previous empirical result while it contradicts with predictions of the model without the wealth effect of the labor supply. Furthermore, consumption response to contractionary monetary policy shock is dampened, and a cross-sectional average of utilities decreases while the opposite is true in the model without wealth effect. These results suggest that propagation of monetary policy shock to the aggregate variables and welfare depends critically on additional insurance instruments available to agents. The third chapter, ''Capital Controls under Income Heterogeneity'', studies the welfare implication of capital controls under the small open economy model with the idiosyncratic income risks and the borrowing constraints. A calibrated model computes the change in welfare for different levels of capital controls. Compared to the recent studies, welfare gain of capital controls becomes small under agent income heterogeneity. For the economy with low borrowing capacity, capital controls become more effective compared to the baseline case.
Download or read book Nonlinear Economic Dynamics and Financial Modelling written by Roberto Dieci and published by Springer. This book was released on 2014-07-26 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.
Download or read book Essays on Panel Data with Multidimensional Unobserved Heterogeneity written by and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to econometric methodology in terms of estimation and inference in static panel data models with unobserved multidimensional heterogeneity. When not properly accounted for, unobserved heterogeneity may introduce bias into the parameter estimates associated with covariates of interest, such as treatment indicators or determinants of macroeconomic indicators. A common way of representing such heterogeneity is through an interactive effects structure estimated by factor-augmented regression models. ??One of the workhorse methods in this literature is the common correlated effects (CCE) estimator of Pesaran (2006). A major inconvenience with this method is that its statistical properties are derived under the assumption that both the cross-section dimension, $N$, and the time dimension, $T$, of the panel are large, a condition that is rarely met by datasets used in empirical practice. In the first chapter, we develop a new theory that establishes the asymptotic properties of the CCE estimator in panel datasets with small time dimension $T$. We show that many of the previously derived large-$T$ results continue to hold.??The second chapter investigates the well-known dummy variable trap in the framework of factor-augmented regressions. The problem of multicollinearity among regressors has been extensively discussed in the fixed effects literature but has gone largely unnoticed in the case of interactive effects. We consider the challenging case when some regressors are asymptotically collinear with the interactive effects. In this setting we develop the relevant asymptotic theory.??In the third chapter, we show that fixed effects demeaning in linear panel data regressions is more useful than commonly thought, in that it enables consistent and asymptotically normal estimation of interactive effects models with heterogeneous slope coefficients for panels where $T$ is small and only $N$ is large. As an illustration, we consider the problem of estimating the average treatment effect in the presence of unobserved time-varying heterogeneity. ??The last chapter reviews the use of panel cointegration tests in studies on the existence of a long-run equilibrium relation between insurance market activity and economic output. I point out consequences for the validity of empirical findings when violating theoretically motivated conditions on the relative dimensions of the panel dataset under consideration. The bulk of existing evidence relies on Pedroni's (2004) residual-based panel cointegration test procedure. I demonstrate how this test procedure tends to over-reject the null hypothesis of no cointegration leading to potentially false conclusions if the data set does not meet the theoretical restrictions on the panel size.
Download or read book Complexity Heterogeneity and the Methods of Statistical Physics in Economics written by Hideaki Aoyama and published by Springer Nature. This book was released on 2020-08-05 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book systematically provides a prospective integrated approach for complexity social science in its view of statistical physics and mathematics, with an impressive collection of the knowledge and expertise of leading researchers from all over the world. The book mainly covers both finitary methods of statistical equilibrium and data-driven analysis by econophysics. The late Professor Masanao Aoki of UCLA, who passed away at the end of July 2018, in his later years dedicated himself to the reconstruction of macroeconomics mainly in terms of statistical physics. Professor Aoki, who was already an IEEE fellow, was also named an Econometric Society Fellow in 1979. Until the early 1990s, however, his contributions were focused on the new developments of a novel algorithm for the time series model and their applications to economic data. Those contributions were undoubtedly equivalent to the Nobel Prize-winning work of Granger's "co-integration method". After the publications of his New Approaches to Macroeconomic Modeling and Modeling Aggregate Behavior and Fluctuations in Economics, both published by Cambridge University Press, in 1996 and 2002, respectively, his contributions rapidly became known and spread throughout the field. In short, these new works challenged econophysicists to develop evolutionary stochastic dynamics, multiple equilibria, and externalities as field effects and revolutionized the stochastic views of interacting agents. In particular, the publication of Reconstructing Macroeconomics, also by Cambridge University Press (2007), in cooperation with Hiroshi Yoshikawa, further sharpened the process of embodying “a perspective from statistical physics and combinatorial stochastic processes” in economic modeling. Interestingly, almost concurrently with Prof. Aoki’s newest development, similar approaches were appearing. Thus, those who were working in the same context around the world at that time came together, exchanging their results during the past decade. In memory of Prof. Aoki, this book has been planned by authors who followed him to present the most advanced outcomes of his heritage.
Download or read book Essays on Macroeconomics with Heterogeneous Regions written by Chang Liu and published by . This book was released on 2020 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies macroeconomics with regional heterogeneity in three general dimensions. First, it documents some novel empirical patterns of regional heterogeneity (in Chapter 1, 2, 3). Second, these empirical facts are used to identify key economic forces underlying theoretical models (in Chapter 1 and 3). Third, aggregate implications of regional heterogeneity are also studied (in Chapter 1). In the first chapter of this dissertation, I highlight time-varying regional risk and federal fiscal transfer policy as two competing forces driving regional risk sharing over the business cycle and in turn quantify their impacts on aggregate fluctuations. I find that during an economic downturn, increased regional risk worsens risk sharing and amplifies the impact of aggregate productivity shocks. However, state-contingent federal government transfers provide additional risk sharing and help stabilize the aggregate economy, by providing insurance to the regions that need it the most. In the second chapter (joint with Noah Williams), we first estimate a quarterly dataset for state-level aggregates by building a novel empirical framework that allows for mixed-frequency raw data with measurement errors. We then apply this dataset to study the monetary policy effects at the state levels. We find that states behave remarkably homogeneous with each other in their responses of output and price to an unanticipated monetary policy shock. In the third chapter (joint with Noah Williams), we use the state-level quarterly dataset to analyze the impact of unexpected changes in federal personal and corporate income taxes. We find substantial heterogeneity in the impact of federal fiscal policy across states, with more than half having no significant response to the tax cuts. In addition, less capital-intensive states have larger responses to corporate tax cuts. Although puzzling in standard models, a model with corporate and non-corporate sectors is consistent with this evidence. Overall, our results suggest the importance of variation and reallocation across states in evaluating federal policy.
Download or read book Three Essays on Heterogeneity Insurance and Asset Pricing written by Tsvetanka Karagyozova and published by . This book was released on 2007 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Heterogeneous Agent Monetary Economics written by Christian D. Bustamante Amaya and published by . This book was released on 2019 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt: In these essays, I study the interplay of monetary policy with agent heterogeneity in economies with frictional markets. While accounting for the heterogeneity observed at the micro level, I investigate the implications of having persistent differences in firms and households' balance sheets and their consequences for business cycle fluctuations in monetary economies during both normal times and in times of economic distress. In the first chapter, “Debt Overhang, Monetary Policy, and Economic Recoveries After Large Recessions”, I explore why conventional monetary policy was so ineffective in mitigating the severity of the 2007 U.S. recession and unsuccessful thereafter in stimulating aggregate demand. Linking firm-level data with predictions from a model, I show that accounting for individual firms’ debt structures is crucial in explaining why business investment fell so dramatically through the recession and remained low for several years, despite the Federal Reserve repeatedly cutting its target interest rate until conventional policy tools were exhausted. Using a sample of publicly traded firms, I establish that firms with greater long-term debt exposure experienced larger contractions and slower recoveries in their investment expenditure. Next, I show that debt overhang episodes were unusually prevalent over the years following the onset of the recession, and particularly so among firms relying more heavily on long-maturing debt. To understand these microeconomic observations and their implications for aggregates, I develop a New Keynesian model where heterogeneous firms finance investment using defaultable nominal long-term debt and where the central bank faces an explicit zero lower bound constraint. There, the greater a firm’s leverage, the higher its likelihood of experiencing a debt overhang episode following a large aggregate shock. Moreover, the severity of debt overhang problems, and their consequences for the distribution and level of aggregate investment, compounds with (1) an increased real value of debt, i.e., debt deflation, and (2) the monetary authority’s inability to restore inflation once nominal interest rates reach the zero lower bound. Together, firms’ long maturity debt positions and the binding zero lower bound are critical in transmitting the consequences of a deep recession into a remarkably anemic recovery in aggregate investment.
Download or read book Essays on Econometric Identification of Network and Choice Models with Limited Consideration written by Matthew Kelly Thirkettle and published by . This book was released on 2020 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of two papers. In the first paper (Chapter \ref{ch2}), I obtain informative bounds on network statistics in a partially observed network whose formation I explicitly model. Partially observed networks are commonplace due to, for example, partial sampling or incomplete responses in surveys. Network statistics (e.g., centrality measures) are not point identified when the network is partially observed. Worst-case bounds on network statistics can be obtained by letting all missing links take values zero and one. I dramatically improve on the worst-case bounds by specifying a structural model for network formation. An important feature of the model is that I allow for positive externalities in the network-formation process. The network-formation model and network statistics are set identified due to multiplicity of equilibria. I provide a computationally tractable outer approximation of the joint identified region for preferences determining network-formation processes and network statistics. In a simulation study on Katz-Bonacich centrality, I find that worst-case bounds that do not use the network formation model are $44$ times wider than the bounds I obtain from my procedure. The second paper (Chapter \ref{ch3}) is concerned about learning decision makers' (DMs) preferences using data on observed choices from a finite set of risky alternatives with monetary outcomes. This chapter is coauthored with Levon Barseghyan and Francesca Molinari. We propose a discrete choice model with unobserved heterogeneity in consideration sets (the collection of alternatives considered by DMs) and unobserved heterogeneity in standard risk aversion. In this framework, stochastic choice is driven both by different rankings of alternatives induced by unobserved heterogeneity in risk preferences and by different sets of alternatives considered. We obtain sufficient conditions for semi-nonparametric point identification of both the distribution of unobserved heterogeneity in preferences and the distribution of consideration sets. Our method yields an estimator that is easy to compute and that can be used in markets with a large number of alternatives. We apply our method to a dataset on property insurance purchases. We find that although households are on average strongly risk averse, they consider lower coverages more frequently than higher coverages. Finally, we estimate the monetary losses associated with limited consideration in our application.
Download or read book Global Analysis of Dynamic Models in Economics and Finance written by Gian Italo Bischi and published by Springer Science & Business Media. This book was released on 2012-08-07 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essays in this special volume survey some of the most recent advances in the global analysis of dynamic models for economics, finance and the social sciences. They deal in particular with a range of topics from mathematical methods as well as numerous applications including recent developments on asset pricing, heterogeneous beliefs, global bifurcations in complementarity games, international subsidy games and issues in economic geography. A number of stochastic dynamic models are also analysed. The book is a collection of essays in honour of the 60th birthday of Laura Gardini.
