Download or read book Essays on Identification and Estimation of Structural Economic Models written by Shaomin Wu and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three chapters that study the identification and estimation of structural economic models. Chapter 1, "Identification and Estimation of Nonseparable Triangular Equations with Mismeasured Instruments" studies the nonparametric identification and estimation of the marginal effect of an endogenous variable X on the outcome variable Y , given a potentially mismeasured instrument variable W∗, without assuming linearity or separability of the functions governing the relationship between observables and unobservables. In order to address the challenges arising from the co-existence of measurement error and nonseparability, I first employ the deconvolution technique from the measurement error literature to identify the joint distribution of Y,X,W∗ using two error-laden measurements of W∗. I then recover the structural derivative of the function of interest and the "Local Average Response" (LAR) from the joint distribution via the "unobserved instrument" approach in Matzkin (2016). I also propose nonparametric estimators for these parameters and derive their uniform rates of convergence. Monte Carlo exercises show evidence that the estimators I propose have goodfinite sample performance. Chapter 2, "Two-step Estimation of Network Formation Models with Unobserved Heterogeneities and Strategic Interactions", characterizes the network formation process as a static game of incomplete information, where the latent payoff of forming a link between two individuals depends on the structure of the network, as well as private information on agents' attributes. I allow agents' private unobserved attributes to be correlated with observed attributes through individual fixed effects. Using data from a single large network, I propose a two-step estimator for the model primitives. In the first step, I estimate agents' equilibrium beliefs of other people's choice probabilities. In the second step, I plug in the first-step estimator to the conditional choice probability expression and estimate the model parameters and the unobserved individual fixed effects together using Joint MLE. Assuming that the observed attributes are discrete, I showed that the first step estimator is uniformly consistent with rate N−1/4, where N is the total number of linking proposals. I also show that the second-step estimator converges asymptotically to a normal distribution at the same rate. Chapter 3, "Identification and Estimation in Differentiated Products Markets Where Firms Affect Consumers' Attention" studies the nonparametric identification and estimation of a demand and supply system where firms affect consumers' consideration sets via costly marketing inputs, when market-level data is available. On the demand side, I characterize preferences and considerations nonparametrically, allowing rich heterogeneities and correlations between them. On the supply side, I characterize firms' optimal choices by a set of first-order conditions without specifying the form of the oligopoly model. The demand and supply sides form a simultaneous system of equations in the spirit of Berry and Haile (2014). I then show the identification of the system using the method proposed by Matzkin (2015). Moreover, using the variations of exclusive regressors entering preferences and considerations respectively, I separately identify features of the utility functions and the attention functions. Based on the constructive identification results, I propose nonparametric estimators of the demand, utility, and attention functions and show their asymptotic properties.

Download or read book Essays on Identification and Estimation of Structural Parametric and Semiparametric Models in Microeconomics written by and published by . This book was released on 2005 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Identification and Estimation of Network Models written by Yiran Xie and published by . This book was released on 2022 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three main chapters that study social interactions in networks. In Chapter 1, I study a market with many-to-many contracts when the number of market participants increases. Many-to-many contracts allow a seller to trade with multiple buyers and a buyer to trade with multiple sellers. I focus on investigating the identification of payoff parameters through data observed from equilibrium matches in a large many-to-many matching market. In many-to-many matching markets, several issues have to be addressed: bias would arise since the outcomes are only observed when links are formed between two agents, and the maximum number of relationships an agent can enter into would possibly affect the set of stable outcomes. I show that under certain conditions, the number of firms (workers) that are willing to be matched to a specific worker (firm) grows at a rate regardless of the capacity of both sides. Furthermore, I show a correspondence between the stable matching outcomes in a many-to-many matching framework and that in a one-to-one matching framework. In Chapter 2, I conduct a structural econometric analysis of the diffusion process with players who observe their neighbors and make decisions based on their neighbors' decisions. I study the identification and estimation of diffusion processes in social and economic networks. Compared to the classic econometric diffusion literature that assumes a continuous population with a stochastic network structure, I provide a new econometric framework to analyze diffusion processes in fixed networks where Bayesian players observe their close neighbors. I demonstrate the existence of the equilibrium of the model and characterize the unique symmetric equilibrium. Based on these theoretical findings, I propose a consistent and tractable two-step estimator for payoff parameters using feasible data from a single large network. I evaluate the finite sample performance using Monte Carlo simulations. Chapter 3 applies the network diffusion model to data on the participation of a microfinance program in Indian villages to describe the impact of neighbors on individual decisions. Our model allows us to study the various network effect across different types of agents who care about their neighbors' opinions. It depends on unknown equilibrium beliefs, which specify agents' expectations about their neighbors' decisions. Using participation data from 43 villages, each including about 200 villagers, I estimate these equilibrium beliefs and the network effects.

Download or read book Economic Models Estimation and Risk Programming written by Gerhard Tintner and published by . This book was released on 1969 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic models and applications; Estimation of econometric models; Stochastic programming methods in economic models.

Download or read book Structural Econometric Models written by Eugene Choo and published by Emerald Group Publishing. This book was released on 2013-12-18 with total page 447 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume focuses on recent developments in the use of structural econometric models in empirical economics. The first part looks at recent developments in the estimation of dynamic discrete choice models. The second part looks at recent advances in the area empirical matching models.

Download or read book Three Essays on Estimation of Economic Models written by Hatice Ozer-Balli and published by . This book was released on 2008 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Identification in Econometric Models written by Tatiana Komarova and published by . This book was released on 2008 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Economic Models Estimation and Risk Programming written by K. A. S. Fox and published by . This book was released on 1969 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: These essays in honor of Professor Gerhard Tintner are substantive contributions to three areas of econometrics, (1) economic models and applications, . (2) estimation, and (3) stochastic programming, in each of which he has labored with outstanding success. His own work has extended into multivariate analysis, the pure theory of decision-making under un certainty, and other fields which are not touched upon here for reasons of space and focus. Thus, this collection is appropriate to his interests but covers much less than their full range. Professor Tintner's contributions to econometrics through teaching, writing, editing, lecturing and consulting have been varied and inter national. We have tried to highlight them in "The Econometric Work of Gerhard Tintner" and to place them in historical perspective in "The Invisible Revolution in Economics: Emergence of a Mathematical Science. " Professor Tintner's career to date has spanned the organizational life of the Econometric Society and his contributions have been nearly coextensive with its scope. His principal books and articles up to 1968 are listed in the "Selected Bibliography. " Professor Tintner's current research involves the intricate problems of specification and application of stochastic processes to economic systems, particularly to growth, diffusion of technology, and optimal control. As always, he is moving with the econometric frontier and a portion of the frontier is moving with him. IV Two of the editors wrote dissertations under Professor Tintner's sup- vision; the third knew him as a colleague and friend."

Download or read book Economic Models Estimation and Socioeconomic Systems written by Tej K. Kaul and published by . This book was released on 1991 with total page 668 pages. Available in PDF, EPUB and Kindle. Book excerpt: International experts have contributed to this volume in honor of Professor Karl A. Fox who has advanced the frontiers of economic science in many ways: by developing real-life applications of econometrics to agricultural economics and economic policy, by originating new concepts for understanding complex social systems, such as the education sector and functional economic areas, and by greatly extending the new discipline of eco-behavioral science, which deals with discrete units of social activity and its immediate environment called behavior settings.

Download or read book Econometric Essays on Structural Change and Factor Models with Macroeconomic Applications written by Yohei Yamamoto and published by . This book was released on 2009 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Structural break and factor models have recently been active research areas in time series econometrics. Over the last fifteen years, growing attention has been paid to estimating and testing for multiple structural changes with unknown change points in both theoretical and applied research. Also, estimation and inferential methods for factor models with many observations have received increasing attention. In this dissertation, I make further theoretical contributions in these areas and present empirical macroeconomic applications. In chapter one, I re-examine the relevance of asymptotic optimality criteria in the context of testing for structural break. I critically evaluate Elliott and Müller (2006), who derived a so-called optimal test against the alternative of general parameter variation. However, their framework is based on the assumption that the variation of the parameter process goes to zero at a fast rate. As documented by Kim and Perron (2007), the relative asymptotic efficiency among structural break tests can be different when using the approximate Bahadur slope as the efficiency criterion. Using this measure, I show that the simple Sup-Wald test dominates the Elliott and Müller (2006) test, both in terms of the asymptotic Bahadur efficiency and the finite sample performance. In chapter two, I consider the problem of estimating and testing multiple structural breaks in linear models with endogenous regressors. Based on the results of Perron and Qu (2006), I provide a concise proof of the consistency of the break date estimates obtained via the instrumental variable (IV) method. More importantly, I show that using a method based on ordinary least squares leads to more efficient estimates and more powerful tests compared to using IV procedures when endogeneity is present. In chapter three, I investigate inference problems in factor models in the context of factor-augmented vector autoregressions (FAVAR). I consider identification problems in models with latent processes and propose a bootstrap procedure with factor re-estimation. It is shown to provide improvements over the commonly used bootstrap method suggested by Bernanke, Boivin and Eliasz (2005).

Download or read book Economic models estimation and risk programming essays in honor of G Tintner written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Specification and estimation of structural econometric models of the labour market 5 essays written by Hans Gerald Bloemen and published by . This book was released on 1994 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Recent Advances and Future Directions in Causality Prediction and Specification Analysis written by Xiaohong Chen and published by Springer Science & Business Media. This book was released on 2012-08-01 with total page 582 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of articles that present the most recent cutting edge results on specification and estimation of economic models written by a number of the world’s foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical tools for the development of bootstrap techniques designed for implementation when carrying out inference are at the forefront of theoretical development in the field of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly and almost immediately incorporated into the “empirical toolbox” that applied practitioners use when actually constructing models using data, for the purposes of both prediction and policy analysis and the more theoretically targeted chapters in the book will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with very large numbers of variables, and the construction of data samples that result in optimal predictive accuracy tests when comparing alternative prediction models. Chapters carefully outline how applied practitioners can correctly implement the latest theoretical refinements in model specification in order to “build” the best models using large-scale and traditional datasets, making the book of interest to a broad readership of economists from theoretical econometricians to applied economic practitioners.

Download or read book Essays in Economic Dynamics written by Akio Matsumoto and published by Springer. This book was released on 2016-09-22 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reflects the state of the art in nonlinear economic dynamics, providing a broad overview of dynamic economic models at different levels. The wide variety of approaches ranges from theoretical and simulation analysis to methodological study. In particular, it examines the local and global asymptotical behavior of both macro- and micro- level mathematical models, theoretically as well as using simulation. It also focuses on systems with one or more time delays for which new methodology has to be developed to investigate their asymptotic properties. The book offers a comprehensive summary of the existing methodology with extensions to the more complex model variants, since considerations on bounded rationality of complex economic behavior provide the foundation underlying choice-theoretic and policy-oriented studies of macro behavior, which impact the real macro economy. It includes 13 chapters addressing traditional models such as monopoly, duopoly and oligopoly in microeconomics and Keynesian, Goodwinian, and Kaldor–Kaleckian models in macroeconomics. Each chapter presents new aspects of these traditional models that have never been seen before. This work renews the past wisdom and reveals tomorrow's knowledge.

Download or read book Economic Models Estimation and Risk Programming written by and published by . This book was released on 1960 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Time Series Econometrics written by Fei Han and published by . This book was released on 2012 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three chapters dealing with different topics in time series econometrics including generalized method of moments (GMM) estimation and vector autoregressions (VAR). These econometric models have revolutionized empirical research in macroeconomics. Previous work by Hansen and Singleton (1982) showed that the GMM method can be applied to estimate nonlinear rational expectations models in a simple way that the models need not even be solved. The seminal work of Sims (1980) has demonstrated how VAR models can be used for macroeconomic forecasting and policy analysis. The objective of this dissertation is to provide some new econometric tools for applied research in macroeconomics using time series data. The first chapter develops an asymptotic theory for the GMM estimator in nonlinear econometric models with integrated regressors and instruments. We establish consistency and derive the limiting distribution of the GMM estimator for asymptotically homogeneous regression functions. The estimator is consistent under fairly general conditions, and the convergence rates are determined by the degree of the asymptotic homogeneity of regression functions. Similar to linear regressions, we find that the limiting distribution is generally biased and non-Gaussian, and that instruments themselves cannot eliminate the bias even when they are strictly exogenous. Therefore, GMM yields inefficient estimates and invalid $t$- and chi-square test statistics in general. By implementing the fully modified method developed by Phillips and Hansen (1990), we obtain an efficient GMM estimator which has an unbiased and mixed normal limiting distribution. In the second chapter, we develop a novel shock identification strategy in the context of two-country/block structural vector autoregressive (SVAR) models to identify the transmission of credit shocks. Specifically, we investigate how credit shocks originating in the U.S. or euro area affect domestic economic activity in emerging Asia. Shocks within each block are identified using sign restrictions, whereas shocks across the two blocks are identified using a recursive structure (block Cholesky decomposition). This strategy not only enables us to distinguish the external credit shock from the other structural shocks, but also captures the responses of the domestic country. The main findings include that the transmission of credit shocks across countries through the channel of credit contagion is fast and protracted. The adverse effects of external credit tightening are mitigated by domestic credit policy easing in China, but lead to significant decreases in credit and GDP growth in the other emerging Asian countries. We also find that the external credit shocks play a non-negligible role in driving economic fluctuations in emerging Asia, although the role is smaller in China. In the last chapter, we use a global vector autoregressive (GVAR) model to forecast the principal macroeconomic indicators of the original five ASEAN member countries (i.e. Indonesia, Malaysia, Philippines, Singapore, and Thailand). The GVAR model is a compact model of the world economy designed to explicitly model the economic and financial interdependencies at national and international levels. Our GVAR model covers twenty countries which are grouped into nine countries/regions. After applying vector error correction model (VECM) to estimate parameters in the GVAR, we generate twelve one-quarter-ahead forecasts of real GDP growth, inflation, short-term interest rates, real exchange rates, real equity prices, and world commodity prices over the period 2009Q1-2011Q4, with four out-of-sample forecasts during 2009Q1-2009Q4. Forecast evaluation based on the panel Diebold-Mariano (DM) tests shows that the forecasts of our GVAR model tend to outperform those of country-specific VAR models, especially for short-term interest rates and real equity prices. These results suggest that the interdependencies among countries in the global financial market play an important role in macroeconomic forecasting.

Download or read book Essays in Honor of Cheng Hsiao written by Dek Terrell and published by Emerald Group Publishing. This book was released on 2020-04-15 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.