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  • Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models 

    Qu, Zhongjun; Tkachenko, Denis (2020-07-27)
    This paper is at the intersection of macroeconomics and modern computer arithmetic. It seeks to apply arbitrary precision arithmetic to resolve practical di¢ culties arising in the iden- ti cation analysis of log linearized ...
  • Distributional preferences in larger groups: keeping up with the Joneses and keeping track of the tails 

    Fisman, Raymond; Kuziemko, Ilyana; Vannutelli, Silvia (Oxford University Press (OUP), 2020-09-09)
    We study distributional preferences in larger “societies”. We conduct experiments via Mechanical Turk, in which subjects choose between two income distributions, each with seven (or more) individuals, with hypothetical ...
  • Sieve estimation of option implied state price density 

    Qu, Zhongjun; Lu, Junwen (2018-11-14)
    The state price density, as a central concept in asset pricing, embodies rich information about market expectations and risk attitudes. The paper develops a nonparametric estimator for this density using a single cross ...
  • Social ties and the selection of China's political elite 

    Fisman, Raymond; Shi, Jing; Wang, Yongxiang; Wu, Weixing (American Economic Association, 2020-06)
    We study how sharing a hometown or college connection with an incumbent member of China's Politburo affects a candidate's likelihood of selection as a new member. In specifications that include fixed effects to absorb ...
  • SortedEffects: sorted causal effects in R 

    Chen, Shuowen; Chernozhukov, Victor; Fernandez-Val, Ivan; Luo, Ye (The R Foundation for Statistical Computing, 2020)
    Chernozhukov et al. (2018) proposed the sorted effect method for nonlinear regression models. This method consists of reporting percentiles of the partial effects, the sorted effects, in addition to the average effect ...
  • Distribution regression with sample selection, with an application to wage decompositions in the UK 

    Fernandez-Val, Ivan; Chernozhukov, Victor; Luo, Siyi (Centre for Microdata Methods and Practice (cemmap), London, 2018)
    We develop a distribution regression model under endogenous sample selection. This model is a semiparametric generalization of the Heckman selection model that accommodates much rich patterns of heterogeneity in the selection ...
  • A two step procedure for testing partial parameter stability in cointegrated regression models 

    Kejriwal, Mohitosh; Perron, Pierre; Xu, Xuewen (2020)
    Kejriwal and Perron (2010, KP) provided a comprehensive treatment for the problem of testing multiple structural changes in cointegrated regression models. A variety of models were considered depending on whether all ...
  • Mortgage design in an equilibrium model of the housing market 

    Guren, Adam M.; Krishnamurthy, Arvind; McQuade, Timothy J. (Wiley, 2020)
    How can mortgages be redesigned to reduce macrovolatility and default? We address this question using a quantitative equilibrium life‐cycle model. Designs with countercyclical payments outperform fixed payments. Among ...
  • Effort and wages: evidence from the payroll tax 

    Lang, Kevin (Wiley, 2020-02-17)
    I show that under a canonical efficiency wage model, a per capita employment tax levied on the employer raises the wage. In contrast, under market-clearing, wages fall regardless of whether effort is contractible. I examine ...
  • Multivariate rational inattention 

    Miao, Jianjun; Wu, Jieran; Young, Eric (2018-12-01)
    We study optimal control problems in the multivariate linear-quadratic-Gaussian framework under rational inattention and show that the multivariate attention allocation problem can be reduced to a dynamic tracking problem ...

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