All Questions
3,769
questions with no upvoted or accepted answers
3
votes
1
answer
167
views
Can euler equations and intratemporal optimality conditions ever bind one another?
The Euler equation is an a solution concept in most macroeconomic models which determine the optimal path to be taken in a consumption sequence. In a case where we have multiple consumption goods (say ...
3
votes
0
answers
59
views
Cost of UK Wind Power
I am looking for reliable information on the cost of wind power. Is there any source which, ideally:
Relates to wind power in the UK.
Is recent – say within the last 5 years.
Is published in a peer-...
3
votes
0
answers
167
views
Unit cost function for CES
You do not need to make computations, you can just tell me how to make the following derivation:
I'm studying a paper where the unique final good of the economy is produced according to the following ...
3
votes
0
answers
33
views
Intuition Behind Difference-in-Differences with Continuous Treatment?
It's very clear to me how a difference-in-difference model works when there is a binary treatment. If the model is $y_{i,t}=\beta_{0}+\beta_{1}P_{t}+\beta_{2}T_{i}+\beta_{3}(P_{t}*T_{t})+u_{i,t}$ ...
3
votes
0
answers
216
views
Logarithmic utility and and cancellation of income and sub effects
From these notes by Per Krussel on page 16, the author writes that
"With logarithmic utility, a relative price change between two goods
will make the consumption of the favored good go up ...
3
votes
0
answers
38
views
Solution concept in Benabou/Tirole (2006)
In a well known paper, Benabou/Tirole (2006) examine `pro-social' behaviour in an environment in which others draw inferences about one's motives given the map from motives to behaviour in the ...
3
votes
0
answers
29
views
Is there alternative to the monetary tighetning when the inflation is caused by scarcity (supply-side shocks)?
Current economic crisis is created by sharp reducing shocks to the supply side - bad economic weather, political restrictions to the trade, service availability reduction in the transportation sector. ...
3
votes
2
answers
139
views
Why do stock returns seem to be uncorrelated with interest rate?
Since expected return of stock is risk-free rate plus risk premium, intuitively they should be correlated. Of course the size of risk premium is not constant, but it's hard to imagine why risk premium ...
3
votes
0
answers
92
views
Current best methods for solving dynamic optimization problems in high dimensional state spaces
I was wondering what the current best methods are for solving dynamic optimization problems in high dimensional state spaces. Let me lay out the common cases where I would do something like this in ...
3
votes
0
answers
141
views
How to visualize first-stage in IV regression?
I know what matters is the F-Statistic, but for a presentation it would also be nice to add a plot that visually shows the first stage. How to best visualize that?
Say you have an outcome $Y$, ...
3
votes
0
answers
25
views
Is the viability of a limited supply currency dependent on the equality or inequality of its distribution among potential users?
Presumably, the more unequal the distribution of a limited supply currency among potential users, the more advantage early accumulators have vs latecomers; as soon as the early accumulators begin to ...
3
votes
0
answers
48
views
Extensive form game with multiple players
I am wondering on how to draw the extensive form with multiple players. Below is an example of the trust game. How would that look if there were two receivers with potentially different payoffs? Note ...
3
votes
0
answers
330
views
How can you simulate price/exchange for an economy according to supply and demand on a computer? Have there been any research papers or code doing so?
Essentially, I am asking if there have been any attempts at actually simulating how economic agents act in an economic environment and how prices are determined.
To get a better feeling of what I mean,...
3
votes
0
answers
66
views
Effect on Price of Emissions Permits of Progressively Reducing the Cap on Emissions in an Emissions Trading Scheme
Suppose that, in order to address climate change, a country has an emissions trading scheme comprising the following elements:
The scope of the scheme is defined to include most industries that ...
3
votes
0
answers
146
views
Economic interpretation of assumption on utility function
Suppose $u\colon \mathbb{R}_{>0} \to \mathbb{R}$ is a utility function, twice continously differentiable, $u' > 0, u'' < 0$, and the classic Inada conditions hold, i.e., $\lim_{c \to \infty} ...
3
votes
0
answers
95
views
Solve Value Function Analytically
The context is the Schumpeterian growth model with incumbent innovation (see Aghion, Akcigit, Howitt 2014 Handbook of economic growth): the value function is $$ r V_{t}(n)-\dot{V}_{t}(n)=\max _{z_{i} \...
3
votes
1
answer
196
views
Why aren't stock bubble crashes just zero sum exchanges of wealth?
(I'm not an economics student or anything of the sort)
Let's say the total valuation of a country's stocks rises from 1000 to 2000 during year 1, and then "crashes" from 2000 to 1000 in year ...
3
votes
0
answers
86
views
How did econometricians justify the use of $EU$ instead of $EU^2$?
Consider the following two utility functions:
$EU(p)=\sum_i u_ip_i$
$EU^2(p)=(\sum_i u_ip_i)^2$.
In preference theory, $EU$ and $EU^2$ are equivalent because they represent the same preference. A ...
3
votes
0
answers
74
views
Safety: Air travel vs. car travel
One sometimes hears that flying is much safer than driving a car, the death/mileage ratio being much lower. This is very plausible, especially in developed countries, and the safety gap widened as ...
3
votes
0
answers
50
views
Neoclassical Growth Model with Technology Investment
I am reading Parente & Prescott 1994 JPE. This is just a typical neoclassical model with the extension of a global technology diffusion function and firm investment in technology.
Firms have ...
3
votes
0
answers
55
views
Structural Estimation, Simulations, and Initial Values
I want to estimate model parameters and fear about the impact of initial values of simulations.
Short model overview
Consider a firm producing a homogeneous output good whose output price, $P_t$, is $...
3
votes
0
answers
38
views
How to measure mental accounts of an individual?
I wonder whether its possible to identify mental accounts as defined by Richard Thaler https://www.jstor.org/stable/183904 given i observe consumption and/ or investment behavior of an individual? I ...
3
votes
0
answers
73
views
MLE on Structural VAR / DSGE
I have a simple DSGE model that I wish to fit using data. The model is of the form:
\begin{gather}
y_t = -\lambda r_t + \theta a_t + \varepsilon_1 \\ \\
\pi_t = \pi_{t-1} + w y_t + \varepsilon_2 \\ \\
...
3
votes
0
answers
115
views
Are these two definitions of Bayesian Nash Equilibrium equivalent?
Consider a standard game $\Gamma$ with incomplete information. There are $n$ players indexed by $i=1,...,n$.
$S_i\equiv \{s_{i1},...,s_{iJ}\}$ is the set of actions of player $i$. $S\equiv \times_{i=1}...
3
votes
0
answers
132
views
Extension of Harsanyi Transform for Two-sided Incomplete Information Games to Beliefs with Zero Probability
In the textbook I'm reading "Game Theory - Giacomo Bonanno", one requirement to applying the Harsanyi transform to convert a two-sided incomplete information game to an imperfect information ...
3
votes
0
answers
17
views
How to combine labor market time series when there is a methodological change that creates a break?
Any suggestions on how to combine time series of labor market variables (such as, for example, labor force participation) when there is a methodological change in the way the variable is calculated by ...
3
votes
1
answer
331
views
How to solve a general equilibrium problem with lexicographic preferences?
I have been unable to find a good example of this type of GE problem in our textbooks, and our professor has indicated that something like this may appear on our exam. So, here is a hypothetical ...
3
votes
0
answers
54
views
How to read Sala-i-Martin datasets?
I found the datasets used in Barro and Sala-i-Martin's papers from the early 1990s. I have no idea how these could be read to either Stata or R.
The file formats are .h, .wf , .wk1 and .wk4.
I believe ...
3
votes
0
answers
67
views
At what level should I cluster my standard errors and why?
I have a yearly panel data in which each observation is a pair of monitoring stations (stations measuring water quality in rivers) one located upstream and the other downstream, each station in the ...
3
votes
0
answers
56
views
How is market share of a firm calculated *in practice*?
As stated in the title: How is the market share of a firm calculated in practice?
By emphasizing "in practice", I'm most interested in the market share figures that show up in companies' ...
3
votes
1
answer
136
views
SVAR causal interpretation: shock effects vs effects between variables
Consider a structural vector autoregressive (SVAR) model. One way to define a SVAR model is
$$
\begin{aligned}
B_0 y_t = B_1 y_{t-1} + \cdots + B_p y_{t-p} + \omega_t \quad (1) \ ,
\end{aligned}
$$
...
3
votes
0
answers
25
views
monetary policy reaction function with gmm: optimal lag for instruments
(edited)
I am estimating a Central Bank reaction function using GMM using monthly data.
Following the literature, I used lagged values of each variable as instruments (are there other feasible options?...
3
votes
0
answers
44
views
Model the uncertain impact of a proposed policy by expected utility or other probabilistic approach
The impact of a proposed policy is often uncertain and subjected to randomness. As such, it seems natural to use probabilistic models. How to model the policy impact using the expected utility ...
3
votes
1
answer
143
views
Why do the PV and FV formulas (in Excel, at least) use slightly different geometric series?
With geometric series, I understand that, broadly, you can sum from $1$ to $n$, or from $0$ to $n-1$.
Let $r=0.03, p=\\\$10, n = 10$.
$\sum_{j=s}^{j=s+n-1}{pa^j}=\frac{p\left(a^{n}-1\right)a^s}{a-1}$
...
3
votes
0
answers
105
views
GMM Estimation with HAC Weight Matrix in R
I am currently working on my econometrics assignment regarding a seminal paper of John Taylor (1993) and really got stuck during the last days with one specific question. I am supposed to set up a GMM ...
3
votes
0
answers
22
views
Does only search-and-matching predict bunching around minimum wage?
I heard a comment that search and matching models are empirically more valid than job-posting (even though the predictions are very similar) because with posting it is not possible to rationalize the ...
3
votes
0
answers
49
views
Providing an example in cooperative - games and coalitions
Here is the paper from chich I previously posted another definition here Definition of a $k-$strong Nash Equilibrium
I am trying to construct an example to understand the idea of the following ...
3
votes
0
answers
33
views
Super and sub modular games
I was trying to read up on super and sub modular games. I have started with basic survey papers like the one by Rabah Amir (2005). Research papers assume a lot of common knowledge (the papers that I ...
3
votes
0
answers
120
views
Weighted OLS with weights as a regressor
Suppose one estimates:
$$y_i =\beta_0 +\beta_1 x_i +\varepsilon_i$$
with weighted least squares using $w_i$ as weights. If one were instead to estimate
$$y_i =\beta_0 +\beta_1 x_i +\beta_2 w_i +\...
3
votes
0
answers
209
views
Bootstrapping standard errors in SMM estimation
I have estimated a number of key parameters in a model by the Simulated Method of Moments. So far, I have computed asymptotic standard errors (that rely on computing numerical derivatives, where we ...
3
votes
0
answers
873
views
Kleibergen Paap F-statistic
I have commonly seen references to a Kleibergen and Paap F-statistic. In their paper, I see a derivation of a chi-squared statistic, but don't see any references to the F-distribution or F-stat. In ...
3
votes
0
answers
367
views
How to estimate an SUR model in R with fixed effects and clustered standard errors?
I want to estimate an SUR (Seemingly Unrelated Regressions) model.
I tried using systemfit and its wrapper Zelig. But I am not ...
3
votes
0
answers
42
views
Quantifying treatment effect in multivariate interrupted time series
I have a multivariate time series dataset, from which I am building an ITS (Interrupted Time Series) model by using facebook's Prophet to construct the counterfactual. Let's say I have a y variable ...
3
votes
0
answers
57
views
AR(q) Strongly Stationary
Consider an AR(q) process, $u_t$. If the roots of a characteristic polynomial are outside of the unit circle, the AR(q) process is weakly stationary.
I've seen this proof that proceeds by showing the ...
3
votes
0
answers
54
views
Do Fed OMOs directly and immediately increase M1 or M2 if they buy treasuries from a member bank? And what proportion of OMOs does that constitute?
I commonly hear that when the Fed conducts open market operations, it is directly increasing the money supply by exchanging newly created electronic money for US treasuries. But in the case where the ...
3
votes
0
answers
86
views
Effect of tax plus rebate on fuel consumption
I'm studying the Slutsky equation and an example in the text discusses the effect of a tax plus rebate on the consumption of fuel.
Suppose the original price of fuel is $p$, tax is $t$, $x$ is the ...
3
votes
0
answers
42
views
Get empirical steady state moments for calibrating a DSGE model
I want to calibrate some parameters of my DSGE model so that in the steady state some variable ratios, that are present in data, are met. My question is, how do I get such ratios from time series ...
3
votes
0
answers
154
views
A doubt on summary statistic of post*treat variable of a paper using DID (Dong,2019)
Generalized DID or Staggered DID are DID using staggered treatment events. In Dong,2019's paper, he uses the framework as below:
$Margin_{ikjt}$ = $\alpha$ + $\beta$ $(Leniency Law)_{kt}$ + $\delta$$...
3
votes
0
answers
41
views
Gale's version of the Rubinstein-Wolinsky (1985) model
Likely to be a very stupid doubt.
I am reading Douglas Gale's book "The Strategic Foundations of General Equilibrium", which presents a brief version of "Equilibrium in a Market with ...
3
votes
0
answers
53
views
Which statstical method/model should I use with my study?
my dear fellows. I mainly do experimental research, so I run experiments in which participants play a game repeatedly (for 20 periods for example). The dataset I get after the experiments would be ...