Kasahara, Hiroyuki, and Katsumi Shimotsu. “Asymptotic properties of the maximum likelihood estimator in regime switching econometric models." Journal of econometrics 208.2 (2019): 442-467. [PDF]
Dufays, Arnaud, and Jeroen VK Rombouts. “Relevant parameter changes in structural break models." Journal of Econometrics (2019). [PDF]
Structural break time series models, which are commonly used in macroeconomics and finance, capture unknown structural changes by allowing for abrupt changes to model parameters. However, most specifications suffer from an over-parametrization issue, since all parameters have to change when a break occurs. We introduce a sparse change-point model to detect which parameters change over time. We propose a shrinkage prior distribution, which controls model parsimony by limiting the number of parameters that change from one structural break to another. We develop a Bayesian sampler for inference on the sparse change-point model. An extensive simulation study based on AR, ARMA and GARCH processes highlights the excellent performance of the sampler. We then propose three empirical applications. First, we revisit the US three-month Treasury bill modelling proposed in Pesaran, Pettenuzzo, and Timmermann (2006) to emphasize that many of the detected breaks are due to a change in only a subset of the model parameters. A second application consists of studying the 22 most-used macroeconomic time series for breaks in parameters. As a final exercise, we summarize GARCH parameter breaks detected in 384 financial returns for companies in the S&P 500 index.
Roth, Alvin E. “Laboratory experimentation in economics." Economics & Philosophy 2.2 (1986): 245-273. [PDF]
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Economists have lately been called upon not only to analyze markets, but to design them. Market design involves a responsibility for detail, a need to deal with all of a market’s complications, not just its principle features. Designers therefore cannot work only with the simple conceptual models used for theoretical insights into the general working of markets. Instead, market design calls for an engineering approach. Drawing primarily on the design of the entry level labor market for American doctors (the National Resident Matching Program), and of the auctions of radio spectrum conducted by the Federal Communications Commission, this paper makes the case that experimental and computational economics are natural complements to game theory in the work of design. The paper also argues that some of the challenges facing both markets involve dealing with related kinds of complementarities, and that this suggests an agenda for future theoretical research.
KEYWORDS:Market design, game theory, experimental economics, computational economics
Bénabou, Roland, and Jean Tirole. “Mindful economics: The production, consumption, and value of beliefs." Journal of Economic Perspectives 30.3 (2016): 141-64. [PDF] aeaweb.org
人類的 heuristics and biases (Tversky and Kahneman 1974)
(as discussed in a “Symposium on Overconfidence” in the Fall 2015 issue of this journal)
YNY: moderate overconfidence can be helpful to enhance people’s ability to do things and interact with others successfully. Overoptimistic individuals often work more, save more, expect to retire later, and much healthier.
- confirmation bias,
- distorted probability weighting
本文回顧 growing literature on motivated beliefs and reasoning
==cited by Bruno S. Frey==
[This article] provides a most useful survey of recent insights of psychology but also makes a successful effort to integrate them into economics. They deal with heuristics and biases inconsistent with the standard homo oeconomicus such as over-confidence, confirmation bias, distorted probability weighting, and other cognitive mistakes.
Bénabou, Roland, and Jean Tirole. “Incentives and prosocial behavior." American economic review 96.5 (2006): 1652-1678. [PDF] princeton.edu
What is, therefore, the broader set of motives that shape people’s social conduct, and how do these motives interact with each other and the economic environment?
At a local Best Buy, a child places a new Sony PlayStation 3 on the cashier’ scounter while the parents dig out their Visa card. The gaming system and the payment card may appear to have little connection other than this purchase. However, these two items share an important characteristic that is generating a series of economic insights and has important implications for strategic decision making and economic policy making. Both video game systems and payment cards are examples of two-sided markets.