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Social and Behavioral Sciences Commons™
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- Asymptotic size (5)
- Confidence set (5)
- Higher-order preference hierarchy (4)
- Interdependent preferences (4)
- Strategic distinguishability (4)
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- Asymptotic power (3)
- Collateral (3)
- Conditional moment inequalities (3)
- Endogenous leverage (3)
- Generalized moment selection (3)
- Leverage (3)
- Mechanism design (3)
- Moment inequalities (3)
- Universal type space (3)
- Volatility smile (3)
- Weak identification (3)
- Advertising (2)
- Asymptotic normality (2)
- Bargaining (2)
- Changing private information (2)
- Clustered volatility (2)
- Cramér-von Mises (2)
- Crash (2)
- Dynamic auctions and mechanisms (2)
- Estimator (2)
- Fat tails (2)
- First price auction (2)
- Identification (2)
- Incentive compatibility (2)
- Information revelation (2)
Articles 31 - 47 of 47
Full-Text Articles in Social and Behavioral Sciences
Targeting In Advertising Markets: Implications For Offline Vs. Online Media, Dirk Bergemann, Alessandro Bonatti
Targeting In Advertising Markets: Implications For Offline Vs. Online Media, Dirk Bergemann, Alessandro Bonatti
Cowles Foundation Discussion Papers
We develop a model with many heterogeneous advertisers (products) and advertising markets (media). Each advertiser has a different consumer segment for its product, and each medium has a different ability to target advertisement messages. We characterize the competitive equilibrium in the media markets and investigate the role of targeting for the price and allocation of advertisements across media markets. An increase in the targeting ability leads to an increase in the total number of purchases (matches), and hence in the social value of advertisements. Yet, an improved targeting ability also increases the concentration of advertising firms in each market. Surprisingly, …
Dynamic Auctions: A Survey, Dirk Bergemann, Maher Said
Dynamic Auctions: A Survey, Dirk Bergemann, Maher Said
Cowles Foundation Discussion Papers
We survey the recent literature on designing auctions and mechanisms for dynamic settings. Two settings are considered: those with a dynamic population of agents whose private information remains fixed throughout time; and those with a fixed population of agents whose private information changes across time. Within each of these settings, we discuss both efficient (welfare-maximizing) and optimal (revenue-maximizing) mechanisms.
Targeting In Advertising Markets: Implications For Offline Vs. Online Media, Dirk Bergemann, Alessandro Bonatti
Targeting In Advertising Markets: Implications For Offline Vs. Online Media, Dirk Bergemann, Alessandro Bonatti
Cowles Foundation Discussion Papers
We develop a model with many advertisers (products) and many advertising markets (media). Each advertiser sells to a different segment of consumers, and each medium has a different ability to target advertising messages. We characterize the competitive equilibrium in the media markets and evaluate the implications of targeting in advertising markets. An increase in the targeting ability leads to an increase in the total number of purchases (matches), and hence in the social value of advertising. Yet, an improved targeting ability also increases the concentration of firms advertising in each market. Surprisingly, we then find that the equilibrium price of …
The Role Of Commitment In Bilateral Trade, Dino Gerardi, Johannes Hörner, Lucas Maestri
The Role Of Commitment In Bilateral Trade, Dino Gerardi, Johannes Hörner, Lucas Maestri
Cowles Foundation Discussion Papers
We examine the buyer-seller problem under different levels of commitment. The seller is informed of the quality of the good, which affects both his cost and the buyer’s valuation, but the buyer is not. We characterize the allocations that can be achieved through mechanisms in which, unlike with full commitment, the buyer has the option to “walk away” after observing a given offer. We further characterize the equilibrium payoffs that can be achieved in the bargaining game in which the seller makes all the offers, as the discount factor goes to one. This allows us to identify how different levels …
Introduction To Judgment Aggregation, Christian List, Ben Polak
Introduction To Judgment Aggregation, Christian List, Ben Polak
Cowles Foundation Discussion Papers
This introduces the symposium on judgment aggregation. The theory of judgment aggregation asks how several individuals’ judgments on some logically connected propositions can be aggregated into consistent collective judgments. The aim of this introduction is to show how ideas from the familiar theory of preference aggregation can be extended to this more general case. We first translate a proof of Arrow’s impossibility theorem into the new setting, so as to motivate some of the central concepts and conditions leading to analogous impossibilities, as discussed in the symposium. We then consider each of four possible escape-routes explored in the symposium.
Stochastic Search Equilibrium, Giuseppe Moscarini, Fabien Postel-Vinay
Stochastic Search Equilibrium, Giuseppe Moscarini, Fabien Postel-Vinay
Cowles Foundation Discussion Papers
We analyze a stochastic equilibrium contract-posting model. Firms post employment contracts, wages contingent on all payoff-relevant states. Aggregate productivity is subject to persistent shocks. Both employed and unemployed workers search randomly for these contracts, and are free to quit at any time. An equilibrium of this contract-posting game is Rank-Preserving [RP] if larger firms offer a larger value to their workers in all states of the world. We show that every equilibrium is RP, and equilibrium is unique, if firms differ either only in their initial size, or also in their fixed idiosyncratic productivity but more productive firms are initially …
Power Maximization And Size Control In Heteroskedasticity And Autocorrelation Robust Tests With Exponentiated Kernels, Yixiao Sun, Peter C.B. Phillips, Sainan Jin
Power Maximization And Size Control In Heteroskedasticity And Autocorrelation Robust Tests With Exponentiated Kernels, Yixiao Sun, Peter C.B. Phillips, Sainan Jin
Cowles Foundation Discussion Papers
Using the power kernels of Phillips, Sun and Jin (2006, 2007), we examine the large sample asymptotic properties of the t -test for different choices of power parameter (τ). We show that the nonstandard fixed-τ limit distributions of the t -statistic provide more accurate approximations to the finite sample distributions than the conventional large-τ limit distribution. We prove that the second-order corrected critical value based on an asymptotic expansion of the nonstandard limit distribution is also second-order correct under the large-τ asymptotics. As a further contribution, we propose a new practical procedure for selecting the test-optimal power parameter that addresses …
X-Differencing And Dynamic Panel Model Estimation, Chirok Han, Peter C.B. Phillips, Donggyu Sul
X-Differencing And Dynamic Panel Model Estimation, Chirok Han, Peter C.B. Phillips, Donggyu Sul
Cowles Foundation Discussion Papers
This paper introduces a new estimation method for dynamic panel models with fixed effects and AR( p ) idiosyncratic errors. The proposed estimator uses a novel form of systematic differencing, called X -differencing, that eliminates fixed effects and retains information and signal strength in cases where there is a root at or near unity. The resulting “panel fully aggregated” estimator (PFAE) is obtained by pooled least squares on the system of X -differenced equations. The method is simple to implement, free from bias for all parameter values, including unit root cases, and has strong asymptotic and finite sample performance characteristics …
Solving The Present Crisis And Managing The Leverage Cycle, John Geanakoplos
Solving The Present Crisis And Managing The Leverage Cycle, John Geanakoplos
Cowles Foundation Discussion Papers
The present crisis is the bottom of a recurring problem that I call the leverage cycle, in which leverage gradually rises too high then suddenly falls much too low. The government must manage the leverage cycle in normal times by monitoring and regulating leverage to keep it from getting too high. In the crisis stage the government must stem the scary bad news that brought on the crisis, which often will entail coordinated write downs of principal; it must restore sane leverage by going around the banks and lending at lower collateral rates (not lower interest rates), and when necessary …
Identification In Differentiated Products Markets Using Market Level Data, Steven T. Berry, Philip A. Haile
Identification In Differentiated Products Markets Using Market Level Data, Steven T. Berry, Philip A. Haile
Cowles Foundation Discussion Papers
We consider nonparametric identification in models of differentiated products markets, using only market level observables. On the demand side we consider a nonparametric random utility model nesting random coefficients discrete choice models widely used in applied work. We allow for product/market-specific unobservables, endogenous product characteristics (e.g., prices), and high-dimensional taste shocks with arbitrary correlation and heteroskedasticity. On the supply side we specify marginal costs nonparametrically, allow for unobserved firm heterogeneity, and nest a variety of equilibrium oligopoly models. We pursue two approaches to identification. One relies on instrumental variables conditions used previously to demonstrate identification in a nonparametric regression framework. …
Identification In Differentiated Products Markets Using Market Level Data, Steven T. Berry, Philip A. Haile
Identification In Differentiated Products Markets Using Market Level Data, Steven T. Berry, Philip A. Haile
Cowles Foundation Discussion Papers
We present new identification results for nonparametric models of differentiated products markets, using only market level observables. We specify a nonparametric random utility discrete choice model of demand allowing rich preference heterogeneity, product/market unobservables, and endogenous prices. Our supply model posits nonparametric cost functions, allows latent costs shocks, and nests a range of standard oligopoly models. We consider identification of demand, identification of changes in aggregate consumer welfare, identification of marginal costs, identification of firms’ marginal cost functions, and discrimination between alternative models of firm conduct. We explore two complementary approaches. The first demonstrates identification under the same nonparametric instrumental …
Optimal Estimation Under Nonstandard Conditions, Werner Ploberger, Peter C.B. Phillips
Optimal Estimation Under Nonstandard Conditions, Werner Ploberger, Peter C.B. Phillips
Cowles Foundation Discussion Papers
We analyze optimality properties of maximum likelihood (ML) and other estimators when the problem does not necessarily fall within the locally asymptotically normal (LAN) class, therefore covering cases that are excluded from conventional LAN theory such as unit root nonstationary time series. The classical Hájek-Le Cam optimality theory is adapted to cover this situation. We show that the expectation of certain monotone “bowl-shaped” functions of the squared estimation error are minimized by the ML estimator in locally asymptotically quadratic situations, which often occur in nonstationary time series analysis when the LAN property fails. Moreover, we demonstrate a direct connection between …
Two New Zealand Pioneer Econometricians, Peter C.B. Phillips
Two New Zealand Pioneer Econometricians, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Two distinguished New Zealanders pioneered some of the foundations of modern econometrics. Alec Aitken, one of the most famous and well-documented mental arithmeticians of all time, contributed the matrix formulation and projection geometry of linear regression, generalized least squares (GLS) estimation, algorithms for Hodrick Prescott (HP) style data smoothing (six decades before their use in economics), and statistical estimation theory leading to the Cramér Rao bound. Rex Bergstrom constructed and estimated by limited information maximum likelihood (LIML) the largest empirical structural model in the early 1950s, opened up the field of exact distribution theory, developed cyclical growth models in economic …
Leverage Causes Fat Tails And Clustered Volatility, Stefan Thurner, J. Doyne Farmer, John Geanakoplos
Leverage Causes Fat Tails And Clustered Volatility, Stefan Thurner, J. Doyne Farmer, John Geanakoplos
Cowles Foundation Discussion Papers
We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called “value investing,” i.e. systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are normally distributed and uncorrelated across time. All this changes when the funds are allowed to leverage, i. e. borrow from a bank, to purchase more assets than their wealth would otherwise permit. During good times competition drives investors to funds that use more leverage, because they have higher profits. As leverage increases price fluctuations become …
Uniform Asymptotic Normality In Stationary And Unit Root Autoregression, Chirok Han, Peter C.B. Phillips, Donggyu Sul
Uniform Asymptotic Normality In Stationary And Unit Root Autoregression, Chirok Han, Peter C.B. Phillips, Donggyu Sul
Cowles Foundation Discussion Papers
While differencing transformations can eliminate nonstationarity, they typically reduce signal strength and correspondingly reduce rates of convergence in unit root autoregressions. The present paper shows that aggregating moment conditions that are formulated in differences provides an orderly mechanism for preserving information and signal strength in autoregressions with some very desirable properties. In first order autoregression, a partially aggregated estimator based on moment conditions in differences is shown to have a limiting normal distribution which holds uniformly in the autoregressive coefficient rho including stationary and unit root cases. The rate of convergence is root of n when |τ| < 1 and the limit distribution is the same as the Gaussian maximum likelihood estimator (MLE), but when τ = 1 the rate of convergence to the normal distribution is within a slowly varying factor of n . A fully aggregated estimator is shown to have the same limit behavior in the stationary case and to have nonstandard limit distributions in unit root and near integrated cases which reduce both the bias and the variance of the MLE. This result shows that it is possible to improve on the asymptotic behavior of the MLE without using an artificial shrinkage technique or otherwise accelerating convergence at unity at the cost of performance in the neighborhood of unity.
Leverage Causes Fat Tails And Clustered Volatility, Stefan Thurner, J. Doyne Farmer, John Geanakoplos
Leverage Causes Fat Tails And Clustered Volatility, Stefan Thurner, J. Doyne Farmer, John Geanakoplos
Cowles Foundation Discussion Papers
We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called “value investing,” i.e., systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are approximately normally distributed and uncorrelated across time. This changes when the funds are allowed to leverage, i.e., borrow from a bank, which allows them to purchase more assets than their wealth would otherwise permit. During good times funds that use more leverage have higher profits, increasing their wealth and making them dominant in the market. …
Pricing In Matching Markets, George J. Mailath, Andrew Postlewaite, Larry Samuelson
Pricing In Matching Markets, George J. Mailath, Andrew Postlewaite, Larry Samuelson
Cowles Foundation Discussion Papers
Different markets are cleared by different types of prices — a universal price for all buyers and sellers in some markets, seller-specific prices that are uniform across buyers in others, and personalized prices tailored to both the buyer and the seller in yet others. We introduce the notion of premuneration values — the values in the absence of any muneration (payments) — created by the buyer-seller match. We characterize the premuneration values under which uniform-price and personalized-price equilibria agree. In this case, we have efficient allocations, including pre-match investment decisions, without the costs of personalized pricing. We then examine the …