Quantitative Economics
http://www.qeconomics.org/ojs/index.php/qe
<p>Ragnar Frisch, the first president of the <a class="red style1" href="http://www.econometricsociety.org/"><strong>Econometric Society</strong></a> envisioned the society as promoting studies that aim at the unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems and that are penetrated by constructive and rigorous thinking.</p> <p><em> Quantitative Economics</em>, a new journal sponsored by the Econometric Society, is designed to provide a home for papers that fulfill this vision. As such, it will complement the role currently played by <em>Econometrica</em>.</p><p><em>Quantitative Economics</em> will be oriented towards empirical research that is rigorously informed by econometrics and/or economic theory and econometric and theory work that is empirically directed. This does not imply, however, that the journal does not welcome theoretical and computational papers. Theory has a place in the new journal if it has an obvious empirical orientation (such as work on identification or estimation and computational techniques with practical interest).</p><p>The work published by QE will be united by substance rather than methodology. We aim at covering a variety of applied fields, including labour economics, industrial organization, development and growth economics, macroeconomics, international economics, public finance and social economics.</p><p>QE’s editorial board will strive to reduce the length of the editorial process, keeping at a minimum multiple revision and trying to avoid delays while maintaining the highest standards in the editorial process. At the same time, the editorial board is especially interested in providing a forum for papers that are innovative beyond established types of analysis and are willing to challenge conventional ways of conducting empirical work.</p>en-USclaire.sashi@gmail.com (Claire Sashi)claire.sashi@gmail.com (Claire Sashi)Thu, 31 Dec 2015 02:05:07 +0000OJS 2.2.3.0http://blogs.law.harvard.edu/tech/rss60Estimating dynamic discrete‐choice games of incomplete information
http://www.qeconomics.org/ojs/index.php/qe/article/view/297
We investigate the estimation of models of dynamic discrete‐choice games of incomplete information, formulating the maximum‐likelihood estimation exercise as a constrained optimization problem that can be solved using state‐of‐the‐art constrained optimization solvers. Under the assumption that only one equilibrium is played in the data, our approach avoids repeatedly solving the dynamic game or finding all equilibria for each candidate vector of the structural parameters. We conduct Monte Carlo experiments to investigate the numerical performance and finite‐sample properties of the constrained optimization approach for computing the maximum‐likelihood estimator, the two‐step pseudo‐maximum‐likelihood estimator, and the nested pseudo‐likelihood estimator, implemented by both the nested pseudo‐likelihood algorithm and a modified nested pseudo‐likelihood algorithm. Dynamic discrete‐choice games of incomplete information maximum‐likelihood estimator constrained optimization nested pseudo‐likelihood estimator C57 C73Michael Egesdal, Zhenyu Lai, Che‐Lin Suhttp://www.qeconomics.org/ojs/index.php/qe/article/view/297Wed, 25 Nov 2015 00:00:00 +0000A Bayesian dynamic stochastic general equilibrium model of stock market bubbles and business cycles
http://www.qeconomics.org/ojs/index.php/qe/article/view/295
We present an estimated dynamic stochastic general equilibrium model of stock market bubbles and business cycles using Bayesian methods. Bubbles emerge through a positive feedback loop mechanism supported by self‐fulfilling beliefs. We identify a sentiment shock that drives the movements of bubbles and is transmitted to the real economy through endogenous credit constraints. This shock explains most of the stock market fluctuations and sizable fractions of the variations in real quantities. It generates the comovement between stock prices and the real economy, and is the dominant force behind the internet bubbles and the Great Recession. Stock market bubbles Bayesian estimation DSGE credit constraints business cycles sentiment shock E22 E32 E44Jianjun Miao, Pengfei Wang, Zhiwei Xuhttp://www.qeconomics.org/ojs/index.php/qe/article/view/295Thu, 26 Nov 2015 00:00:00 +0000The impact of weather insurance on consumption, investment, and welfare
http://www.qeconomics.org/ojs/index.php/qe/article/view/293
I develop and estimate a dynamic stochastic optimization model to assess the impact of weather insurance on the consumption, investment, and welfare of farmers in developing countries. Weather insurance has the potential to provide large welfare gains, equivalent to a permanent increase in consumption of almost 17%. Moreover, it can allow for the adoption of riskier but more productive seeds, further enhancing welfare. The interplay with other uninsured risks, the presence of liquidity constraints, basis risk, and loading factor on the insurance premium may account for the low take‐up that is often empirically observed. Weather insurance welfare technology adoption G22 O12 O13 O16 O33 Q14Francesca de Nicolahttp://www.qeconomics.org/ojs/index.php/qe/article/view/293Tue, 24 Nov 2015 00:00:00 +0000Peer effects in sexual initiation: Separating demand and supply mechanisms
http://www.qeconomics.org/ojs/index.php/qe/article/view/294
Most work on social interactions studies a single, composite effect of interactions within a group. Yet in the case of sexual initiation, there are two distinct social mechanisms—peer‐group norms and partner availability—with separate effects and different potential interventions. Here I develop an equilibrium search and matching model for first sexual partners that specifies distinct roles for these two mechanisms as part of demand and supply. I estimate the model using a national sample of high school students, with data over time on individual virginity status. The results indicate that peer‐group norms have a large effect on the timing of sexual initiation for both boys and girls. Changes in opposite‐gender search behavior (i.e., partner availability) also have a large impact on initiation rates for boys, but not for girls. Social interaction models mechanisms sexual activity youth structural estimation C31 C33 J13Seth Richards‐Shubikhttp://www.qeconomics.org/ojs/index.php/qe/article/view/294Tue, 24 Nov 2015 00:00:00 +0000Physicians' financial incentives and treatment choices in heart attack management
http://www.qeconomics.org/ojs/index.php/qe/article/view/292
Using a large set of private health insurance claims, we estimate how physicians' financial incentives affect their treatment choices in heart attack management. Different insurance plans pay physicians different amounts for the same services, generating the required variation in financial incentives. We begin by presenting evidence that, unconditionally, plans that pay physicians more for more invasive treatments are associated with a larger fraction of such treatments. To interpret this correlation as causal, we continue by showing that it survives conditioning on a rich set of diagnosis and provider‐specific variables. We perform a host of additional checks to verify that differences in unobservable patient or provider characteristics across plans are unlikely to be driving our results. We find that physicians' treatment choices respond positively to the payments they receive, and that the response is quite large. If physicians received bundled payments instead of fee‐for‐service incentives, for example, heart attack management would become considerably more conservative. Our estimates imply that 20 percent of patients would receive different treatments, physician costs would decrease by 27 percent, and social welfare would increase. Physician incentives physician treatment choices health insurance heart attack management fee‐for‐service payments I11 I13 L20Dominic Coeyhttp://www.qeconomics.org/ojs/index.php/qe/article/view/292Wed, 25 Nov 2015 00:00:00 +0000Estimating nonseparable models with mismeasured endogenous variables
http://www.qeconomics.org/ojs/index.php/qe/article/view/299
We study the identification and estimation of covariate‐conditioned average marginal effects of endogenous regressors in nonseparable structural systems when the regressors are mismeasured. We control for the endogeneity by making use of covariates as control variables; this ensures conditional independence between the endogenous causes of interest and other unobservable drivers of the dependent variable. Moreover, we recover distributions of the underlying true causes from their error‐laden measurements to deliver consistent estimators. We obtain uniform convergence rates and asymptotic normality for estimators of covariate‐conditioned average marginal effects, faster convergence rates for estimators of their weighted averages over instruments, and root‐n consistency and asymptotic normality for estimators of their weighted averages over control variables and regressors. We investigate their finite‐sample behavior using Monte Carlo simulation and apply new methods to study the impact of family income on child achievement measured by math and reading scores, using a matched mother–child subsample of the National Longitudinal Survey of Youth. Our findings suggest that these effects are considerably larger than previously recognized, and depend on parental abilities and family income. This underscores the importance of measurement errors, endogeneity of family income, nonlinearity of income effects, and interactions between causes of child achievement. Causal effects child development endogeneity measurement error nonparametric estimation nonseparable C13 C14 C31Suyong Song, Susanne M. Schennach, Halbert Whitehttp://www.qeconomics.org/ojs/index.php/qe/article/view/299Tue, 24 Nov 2015 00:00:00 +0000Evaluating default policy: The business cycle matters
http://www.qeconomics.org/ojs/index.php/qe/article/view/296
More debt forgiveness directly benefits households but indirectly makes credit more expensive. How does aggregate risk affect this trade‐off? In a calibrated general equilibrium life‐cycle model, aggregate risk reduces the welfare benefit of making default very costly when the costs are borne by all households at all times. The result does not necessarily extend to state‐contingent policies. The Bankruptcy Abuse Prevention and Consumer Protection Act of 2005 in particular generates a small welfare loss with or without aggregate risk. Bankruptcy law consumer finance business cycles C68 D58 E21 E22 E32 E61 E65 K35Grey Gordonhttp://www.qeconomics.org/ojs/index.php/qe/article/view/296Wed, 25 Nov 2015 00:00:00 +0000Response mode and stochastic choice together explain preference reversals
http://www.qeconomics.org/ojs/index.php/qe/article/view/298
Informed by Grether and Plott (1979) and Cox and Grether (1996), we implement various preference elicitation procedures over a parameter grid. First, we find a lower incidence of preference reversals for probability equivalents from the dual‐to‐selling version of Becker, Degroot, and Marschak (1964; BDM) than for certainty equivalents from traditional BDM—consistent with conjectures regarding response mode. Second, the Blavatskyy (2009, 2012) model of probabilistic choice can explain the incidence of preference reversals when using probability equivalents. Thus, between response mode (outside the Blavatskyy model) and stochastic choice (as per Blavatskyy), preference reversals in the original certainty equivalent case seem to be explained. We also present estimates for risk and stochasticity parameters; the former are not correlated across mechanisms, but the latter are. Finally, relatively more error‐laden behavior (based on within‐mechanism checks) can be associated with fewer reversals across mechanisms. The data make clear, empirically, the logical proposition that reducing reversals requires only a better “match” with binary choice, not necessarily rational behavior at any deeper level. Preference reversals probabilistic choice mechanism design institutions C91 D47 D81Sean M. Collins, Duncan Jameshttp://www.qeconomics.org/ojs/index.php/qe/article/view/298Thu, 26 Nov 2015 00:00:00 +0000