ERN: Econometric Modeling in Microeconomics (Topic)最新文献

{"title":"Endogeneous Household Interaction","authors":"Daniela Del Boca, C. Flinn","doi":"10.2139/ssrn.1533510","DOIUrl":"https://doi.org/10.2139/ssrn.1533510","url":null,"abstract":"Most econometric models of intrahousehold behavior assume that household decision making is efficient, i.e., utility realizations lie on the Pareto frontier. In this paper we investigate this claim by adding a number of participation constraints to the household allocation problem. Short-run constraints ensure that each spouse obtains a utility level at least equal to what they would realize under (inefficient) Nash equilibrium. Long-run constraints ensure that each spouse obtains a utility level at least equal to what they would realize by cheating on the efficient allocation and receiving Nash equilibrium payoffs in all successive periods. Given household characteristics and the (common) discount factor of the spouses, not all households may be able to attain payoffs on the Pareto frontier. We estimate these models using a Method of Simulated Moments estimator and data from one wave of the Panel Study of Income Dynamics. We find that, while short run constraints are binding for a sizable set of agents in the sample, long-run constraints are not. Thus gains from efficient behavior are large enough, and households forward-looking enough, to prevent deviations from efficent outcomes. We conclude that it is important to account for a variety of possible implementation constraints when determining efficient household outcomes, even if some subset of the constraints are ultimately found to be non-binding when the model is estimated in a logically-consistent fashion.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128220664","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Imperfect Information Processing in Sequential Bargaining Games with Present Biased Preferences","authors":"Zafer Akin","doi":"10.2139/ssrn.1228527","DOIUrl":"https://doi.org/10.2139/ssrn.1228527","url":null,"abstract":"This paper studies an alternating-offers bargaining game between a time-consistent player and a time-inconsistent player who processes information on future self-preferences imperfectly. Time-inconsistency and information processing are modeled by using cognitive and mood state approaches, respectively. This model structure allows for the learning of the partially naive time-inconsistent agent. The results characterize the relationship among the level of naivete, the level of learning probability and the equilibrium. We find critical values of the model parameters that specify whether the agreement is delayed and characterize the probabilistic nature of the agreement. In addition, comparative static results are reported with respect to time preferences.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"26 7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125680110","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A General Theory of Time Discounting: The Reference-Time Theory of Intertemporal Choice","authors":"Ali al-Nowaihi, S. Dhami","doi":"10.2139/ssrn.1154543","DOIUrl":"https://doi.org/10.2139/ssrn.1154543","url":null,"abstract":"We develop a general theory of intertemporal choice: the reference-time theory, RT. RT is a synthesis of ideas from the generalized hyperbolic model (Loewenstein and Prelec 1992), the quasi-hyperbolic model (Phelps and Pollak 1968, Laibson 1997) and subadditivity of time discounting (Roelofsma and Read 2000, Read 2001 and Scholten and Read 2006a). These models are extended to allow for (i) reference points for time and wealth, and (ii) different discount functions for gains and losses. RT is able to account for all the 6 main anomalies of time discounting: gain-loss asymmetry, magnitude effect, common difference effect, delay-speedup asymmetry, apparent intransitivity of time preferences, and non-additivity of time discounting. We provide a class of utility functions compatible with RT. We show how RT can be extended to incorporate uncertainty and attribute models of intertemporal choice.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114535178","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Study on the Impact of University of Nizwa (Oman) on Housing","authors":"Firdouse R Khan","doi":"10.2139/ssrn.1379363","DOIUrl":"https://doi.org/10.2139/ssrn.1379363","url":null,"abstract":"Universities make significant contributions to their local economies generating external income and jobs and support local economic regeneration by enhancing the image of the area, inducing inward investment, improving the skills base, encouraging technology and non-technology transfer and contributing to the quality of life to social and community life through number of ways whereas there exist unavoidable side effects which leaves negative shadows on the environment.This paper attempts to highlight the negative impacts of the University of Nizwa especially in relates to the price effects on Housing (escalation of prices in the housing sector). The empirical results reveales that though the impact of University of Nizwa in the vicinity around University of Nizwa is high, due to the upcoming of University of Nizwa resulted in a negative impact on housing prices as well. It also revealed that the impact did not effect much as expected, it was controlled by the University of Nizwa on its own measures. Further the paper confirmed the effect which was by the major impact of the inflation effect.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115068211","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Generalized Second Price Auctions with Hierarchical Bidding","authors":"K. Bryan","doi":"10.2139/ssrn.1186525","DOIUrl":"https://doi.org/10.2139/ssrn.1186525","url":null,"abstract":"The sale of text advertisements on search engines using an auction format called Generalized Second Price (GSP) has become increasingly common. GSP is unique in that it allows bidders to revise their bid if they are unhappy with the result of the auction, and because the auction sells multiple units of a related good simultaneously. I model this sale as a hierarchical game with complete information, allowing one potential advertiser to bid in each stage. The hierarchical game has an entirely different set of equilibria from the simultaneous bid game studied in earlier research on this auction. Under hierarchical bidding, a Vickrey-Clarke-Groves setup guarantees higher auctioneer revenue than GSP.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121512440","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Time Deformation and Term Structure of Interest Rates","authors":"W. Tham, Mark Salmon","doi":"10.2139/ssrn.999841","DOIUrl":"https://doi.org/10.2139/ssrn.999841","url":null,"abstract":"The paper approaches the modeling of the yield curve from a stochastic volatility perspective based on time deformation. The way in which we model time deformation is new and differs from alternatives that currently exist in the literature and is based on market microstructure theory of the impact of information flow on a market. We model the stochastic volatility process by modeling the instantaneous volatility as a function of price intensity in the spirit of Cho and Frees (1988), Engle and Russell (1998) and Gerhard and Hautsch (2002). One contribution of the paper therefore lies with the introduction of a new transaction level approach to the econometric modelling of stochastic volatility in a multivariate framework exploiting intensity-based point processes previously used by Bowsher (2003), Hall and Haustch (2003). We find that the individual yields of U.S. treasury notes and bonds appear to be driven by different operational clocks as suggested by the market segmentation theory of the Term Structure but these are related to each other through a multivariate Hawkes model which effectively coordinates activity along the yield curve. The results offer some support to the Market Segmentation or Preferred Habitat models as the univariate Hawkes models we have found at each maturity are statistically significantly different from each other and the major impact on each maturity is activity at that maturity. However there are flows between the different maturities that die away relatively quickly which indicates that the markets are not completely segmented. Diagnostic tests show that the point process models are relatively well specified and a robustness comparison with realized volatility indicates the close relationship between the two estimators of integrated volatility but also some differences between the structural intensity model and the model free realized volatility. We have also shown that bond returns standardized by the instantaneous volatility estimated from our Hawkes model are Gaussian which is consistent with the theory of time deformation for security prices quite generally.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121322158","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Optimal Portfolio Problem for Stochastic-Volatility, Jump-Diffusion Models with Jump-Bankruptcy Condition: Practical Theory","authors":"F. Hanson","doi":"10.2139/ssrn.1080504","DOIUrl":"https://doi.org/10.2139/ssrn.1080504","url":null,"abstract":"This paper treats the risk-averse optimal portfolio problem with consumption in continuous time with a stochastic-volatility, jump-diffusion (SVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SVJD model with double-uniform jump-amplitude distributions and time-varying market parameters for the optimal portfolio problem. Although unlimited borrowing and short-selling play an important role in pure diffusion models, it is shown that borrowing and short selling are constrained for jump-diffusions. Finite range jump-amplitude models can allow constraints to be very large in contrast to infinite range models which severely restrict the optimal instantaneous stock-fraction to [0,1]. The reasonable constraints in the optimal stock-fraction due to jumps in the wealth argument for stochastic dynamic programming jump integrals remove a singularity in the stock-fraction due to vanishing volatility. Main modifications for the usual constant relative risk aversion (CRRA) power utility model are for handling the partial integro-differential equation (PIDE) resulting from the additional variance independent variable, instead of the ordinary integro-differential equation (OIDE) found for the pure jump-diffusion model of the wealth process. In addition to natural constraints due to jumps when enforcing the positivity of wealth condition, other constraints are considered for all practical purposes under finite market conditions. Also, a computationally practical solution of Heston's (1993) square-root-diffusion model for the underlying asset variance is derived. This shows that the non-negativity of the variance is preserved through the proper singular limit of a simple perfect-square form. An exact, non-singular solution is found for a special combination of the Heston stochastic volatility parameters.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124998261","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"An Experimental Analysis of Time-Inconsistency in Long-Run Projects","authors":"Zafer Akin, Abdullah Yavas","doi":"10.2139/ssrn.1118783","DOIUrl":"https://doi.org/10.2139/ssrn.1118783","url":null,"abstract":"In the first part of this paper, we elicit time preferences by using the experimental and econometric methods of Benhabib-Bisin-Schotter (2006). We follow the matching task procedure on money-time pairs with real rewards. Among the model specifications we use, the one with exponential discounting and quasi hyperbolic component of present bias appears to be the best model fitting the data. Unlike Benhabib et al., the present bias in the form of a fixed cost is not supported strongly by the data. In the second part of the paper, we test the theory of behavior of time-inconsistent agents in a long run project based on the quasi hyperbolic specification of O'donoghue and Rabin (2005) and Akin (2004). The preferences elicited in the first part are used to predict the behavior of agents in the long run project and categorize them based on their types. We find that the theory captures most of the subjects' observed behavior and helps understanding their types. We also find that some of the observations are compatible with alternative models, including sign effect, the preference for improving sequences, and anticipatory utility models.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115344016","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Cross-Section Data, Disequilibrium Situations and Estimated Coefficients: Evidence from Car Ownership Demand","authors":"Anna Matas, J. Raymond","doi":"10.2139/ssrn.1850425","DOIUrl":"https://doi.org/10.2139/ssrn.1850425","url":null,"abstract":"The objective of this paper is to analyse to what extent the use of cross-section data will distort the estimated elasticities for car ownership demand when the observed variables do not correspond to a state equilibrium for some individuals in the sample. Our proposal consists of approximating the equilibrium values of the observed variables by constructing a pseudo-panel data set which entails averaging individuals observed at different points of time into cohorts. The results show that individual and aggregate data lead to almost the same value for income elasticity, whereas with respect to working adult elasticity the similarity is less pronounced.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"117 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122049258","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"When Do People Demand Services? A Microsimulation Model for Alternative Shopping Hours with Data from the German Time Use Survey, ServSim","authors":"J. Merz, Paul Böhm, H. Stolze, Rafael Rucha, D. Hanglberger","doi":"10.2139/ssrn.1307609","DOIUrl":"https://doi.org/10.2139/ssrn.1307609","url":null,"abstract":"The objective of this study is the empirical founded analysis of the daily demand for service activities, over the hours of the day. Our microdata base consists of time-diaries of the nation wide Time Use Survey 2001/2002 of the German Federal Statistical Office. The frame for this analysis are new shopping hours regulations in Germany. After an illustration of the historical development of shopping hours in Germany and after a short discussion of the liberalization of shopping hours we describe the daily structure of the demand for service activities. We analyze the demand structure for two alternative scenarios and for important socio-economic groups of the society on the basis of our new microsimulation model ServSim. Background of these two scenarios are population projections for the years 2010 and 2020 which were conducted by the Federal Statistical Office Germany. These projections were used to adjust (reweight) the data by a 'static-aging'-approach. The multivariate explanation of the demand for service activities inconducted. The descriptive results, the microeconometric estimation outcomes and the Microsimulation results show clear distinctions of the daily demand in particular against the background of socio-economic groups of the society.","PeriodicalId":207453,"journal":{"name":"ERN: Econometric Modeling in Microeconomics (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130141711","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}