Endogeneity in quantile regression models: A control function approach

This paper considers a linear triangular simultaneous equations model with conditional quantile restrictions. The paper adjusts for endogeneity by adopting a control function approach and presents a simple two-step estimator that exploits the partially linear structure of the model. The first step consists of estimation of the residuals of the reduced-form equation for the endogenous explanatory variable. The second step is series estimation of the primary equation with the reduced-form residual included nonparametrically as an additional explanatory variable. This paper imposes no functional form restrictions on the stochastic relationship between the reduced-form residual and the disturbance term in the primary equation conditional on observable explanatory variables. The paper presents regularity conditions for consistency and asymptotic normality of the two-step estimator. In addition, the paper provides some discussions on related estimation methods in the literature.     

B2C电子商务模式下的物流配送研究

物流配送是电子商务运作的一个重要环节,在整个商务活动中起着举足轻重的作用.目前,在线交易中的信息流已通过互联网基本实现,资金流的安全也在一定程度上得到了解决,但物流仍是电子商务开展的一大瓶颈.B2C作为电子商务的运作模式之一,存在着配送不及时、配送成本高、无法送货等问题.不解决物流配送的问题,B2C模式就难以快速发展.本文针对B2C模式的特点和对物流配送的要求,提出了B2C电子商务模式下建立物流配送系统的解决思路。     

An instrumental variable approach for panel unit root tests under cross-sectional dependence

For dynamic panel models with cross-sectional dependence, several unit root tests are constructed using a Huber-type instrument, whose null asymptotics are standard Gaussian and do not depend on nuisance parameters. A Monte-Carlo simulation shows that the proposed tests have better sizes and comparable powers relative to other two existing tests developed for cross-sectionally dependent dynamic panel models.     

Econometric analysis of linearized singular dynamic stochastic general equilibrium models

In this paper I propose an alternative to calibration of linearized singular dynamic stochastic general equilibrium models. Given an a-theoretical econometric model as a representative of the data generating process, I will construct an information measure which compares the conditional distribution of the econometric model variables with the corresponding singular conditional distribution of the theoretical model variables. The singularity problem will be solved by using convolutions of both distributions with a non-singular distribution. This information measure will then be maximized to the deep parameters of the theoretical model, which links these parameters to the parameters of the econometric model and provides an alternative to calibration. This approach will be illustrated by an application to a linearized version of the stochastic growth model of King, Plosser and Rebelo.     

Social status and group norms: Indirect reciprocity in a repeated helping experiment

In the economic literature, reciprocity is typically studied in situations of repeated interaction between two individuals. It refers to one individual rewarding kind acts of the other or punishing hostile acts. In contrast, this paper studies indirect reciprocity, where a cooperative action is rewarded by a third actor, not involved in the original exchange. We provide experimental evidence on indirect reciprocity. The experiment is based on the ‘repeated helping game’ developed by Nowak and Sigmund (J. Theoret. Biol. 194 (1998) 561; Nature 393 (1998) 573), involving random pairing in large groups. Pairs consist of a donor and a recipient. Donors decide whether or not to provide costly ‘help’ to the recipients they are matched with, based on information about the recipient's behavior in encounters with third parties. We observe clear evidence of indirect reciprocity. Many decision-makers respond to the information about previous decisions (whether or not to help others) of the recipients. In our experiments, this indirect reciprocity is largely based on norms about how often the recipient should have helped others in the past. We show that these norms develop similarly within groups of interacting subjects, but distinctly across groups. This leads to the emergence of group norms.     

Proposal power and majority rule in multilateral bargaining with costly recognition

This paper studies a sequential bargaining model in which agents expend efforts to be the proposer. In equilibrium, agents’ effort choices are influenced by the prize and cost effects. The (endogenous) prize is the difference between the residual surplus an agent obtains when he is the proposer and the payment he expects to receive when he is not. Main results include: (1) under the unanimity voting rule, two agents with equal marginal costs propose with equal probabilities, regardless of their time preferences; (2) under a nonunanimity rule, however, the more patient agent proposes with a greater probability; (3) while, under the unanimity rule, the social cost decreases in group heterogeneity, it can increase under a nonunanimity rule; and (4) when agents are identical, the unanimity rule is socially optimal.     

Moral hazard and Marshallian inefficiency: Evidence from Tunisia

We formalize the link between optimal cost-sharing contracts and the production technology in the presence of moral hazard by appealing to several well-known results from duality theory. Building on intuitions from the interlinkage literature, we show that optimal contractual structure is determined by the (i) substitution possibilities that exist between different observable factor inputs, as well as (ii) between these inputs and unobservable effort. We endogenize contractual choice using landlord characteristics as instruments, exploiting the fact that, in our dataset, landlords interact with several tenants and vice versa. The approach is applied to an unbalanced plot-level panel of cost-sharing contracts in a Tunisian village, using a translog representation of the restricted profit function. Contractual terms are found to be a significant determinant of input use and therefore lead to Marshallian inefficiency, while the optimality of the underlying contractual structure is rejected.     

Nominal bargaining power, selection protocol, and discounting in legislative bargaining

The comparative static predictions of the Baron and Ferejohn [Baron, D.P., and Ferejohn, J.A., (1989). Bargaining in legislatures, American Political Science Review 83 (4), 1181-1206] model better organize behavior in legislative bargaining experiments than Gamson's Law. Regressions similar to those employed in field data produce results seemingly in support of Gamson's Law (even when using data generated by simulating agents who behave according to the Baron-Ferejohn model), but this is determined by the selection protocol which recognizes voting blocks in proportion to the number of votes controlled. Proposer power is not nearly as strong as predicted in the closed rule Baron and Ferejohn model, as coalition partners refuse to take the small shares given by the continuation value of the game. Discounting pushes behavior in the direction predicted by Baron and Ferejohn but has a much smaller effect than predicted.     

On the impact of leverage constraints on asset prices and trading volume

Abstract. Researchers have used stylized facts on asset prices and trading volume in stock markets (in particular, the mean reversion of asset returns and the correlations between trading volume, price changes and price levels) to support theories where agents are not rational expected utility maximizers. This paper shows that this empirical evidence is in fact consistent with a standard infinite horizon – perfect information – expected utility economy where some agents face leverage constraints similar to those found in todays financial markets. In addition, and in sharp contrast to the theories above, we explain some qualitative differences that are observed in the price-volume relation on stock and on futures markets. We consider a continuous-time economy where agents maximize the integral of their discounted utility from consumption under both budget and leverage constraints. Building on the work by Vila and Zariphopoulou (1997), we find a closed form solution, up to a negative constant, for the equilibrium prices and demands in the region of the state space where the constraint is non-binding. We show that, at the equilibrium, stock holdings volatility as well as its ratio to stock price volatility are increasing functions of the stock price and interpret this finding in terms of the price-volume relation. We would like to thank the editor and two anonimous referees for valuable substantive comments. Our gratitude also to Franklin Allen, Kerry Back, Domenico Cuoco, Xavier Freixas, Sanford Grossman, Michel Habib, Lutz Hendricks, Richard Kihlstrom, Fernando Restoy, Mary Thomson, Jean-Luc Vila, participants to seminars at Birkbeck College, Carnegie-Mellon, Columbia, ESSEC, HEC, IAE, INSEAD, London Business School, London School of Economics, McGill, Michigan, National University of Singapore, Pompeu Fabra, North Carolina, Washington-St-Louis, Wharton, the Jornadas de Economía Financiera BBV, and the Meetings of the Society for Economic Dynamics and Control and the American Finance Association. Special thanks are due to Süleyman Basak for his enthusiastic support and many helpful suggestions. The usual disclaimer applies. We gratefully acknowledge the support of the BBV and Caja de Madrid Foundations and CREF (both authors) and of the Spanish Ministry of Education under DGICYT grant no. PB93-0388 (first author).     

Time to default in the UK mortgage market

This paper employs duration analysis to investigate the timing of default in the UK mortgage market. Our analysis is performed on an ex ante basis, in that our explanatory variables are available to mortgage lenders when the loan is first made. We estimate both standard Weibull distributions and generalizations of the Weibull that permit non-monotonic hazard functions. The models fit the data well, suggesting that we have captured the major sources of variation in duration. We find that ‘cash flow’ variables, such as salary and interest rate paid, play the largest role. Surprisingly, loan-to-value ratios are either insignificant or influence default times in a counter-intuitive direction.