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                Mirror operated in collaboration with local support


                New submissions

                [ total of 12 entries: 1-12 ]
                [ showing up to 1000 entries per page: fewer | more ]

                New submissions for Wed, 29 Jul 20

                [1]  arXiv:2007.13804 [pdf, other]
                Title: The Spectral Approach to Linear Rational Expectations Models
                Comments: JEL Classification: C10, C32, C62, E32
                Subjects: Econometrics (econ.EM); Statistics Theory (math.ST)

                This paper considers linear rational expectations models in the frequency domain. Two classical results drive the entire theory: the Kolmogorov-Cram\'{e}r spectral representation theorem and Wiener-Hopf factorization. The paper develops necessary and sufficient conditions for existence and uniqueness of particular and generic systems. The space of all solutions is characterized as an affine space in the frequency domain, which sheds light on the variety of solution methods considered in the literature. It is shown that solutions are not generally continuous with respect to the parameters of the models. This motivates regularized solutions with theoretically guaranteed smoothness properties. As an application, the limiting Gaussian likelihood functions of solutions is derived analytically and its properties are studied. The paper finds that non-uniqueness leads to highly irregular likelihood functions and recommends either restricting the parameter space to the region of uniqueness or employing regularization.

                [2]  arXiv:2007.13823 [pdf, ps, other]
                Title: Economic Reality, Economic Media and Individuals' Expectations
                Subjects: General Economics (econ.GN)

                This paper investigates the relationship between economic media sentiment and individuals' expetations and perceptions about economic conditions. We test if economic media sentiment Granger-causes individuals' expectations and opinions concerning economic conditions, controlling for macroeconomic variables. We develop a measure of economic media sentiment using a supervised machine learning method on a data set of Swedish economic media during the period 1993-2017. We classify the sentiment of 179,846 media items, stemming from 1,071 unique media outlets, and use the number of news items with positive and negative sentiment to construct a time series index of economic media sentiment. Our results show that this index Granger-causes individuals' perception of macroeconomic conditions. This indicates that the way the economic media selects and frames macroeconomic news matters for individuals' aggregate perception of macroeconomic reality.

                [3]  arXiv:2007.13888 [pdf, ps, other]
                Title: Local Projection Inference is Simpler and More Robust Than You Think
                Subjects: Econometrics (econ.EM)

                Applied macroeconomists often compute confidence intervals for impulse responses using local projections, i.e., direct linear regressions of future outcomes on current covariates. This paper proves that local projection inference robustly handles two issues that commonly arise in applications: highly persistent data and the estimation of impulse responses at long horizons. We consider local projections that control for lags of the variables in the regression. We show that lag-augmented local projections with normal critical values are asymptotically valid uniformly over (i) both stationary and non-stationary data, and also over (ii) a wide range of response horizons. Moreover, lag augmentation obviates the need to correct standard errors for serial correlation in the regression residuals. Hence, local projection inference is arguably both simpler than previously thought and more robust than standard autoregressive inference, whose validity is known to depend sensitively on the persistence of the data and on the length of the horizon.

                [4]  arXiv:2007.14002 [pdf, ps, other]
                Title: Equilibrium Behaviors in Reputation Games
                Authors: Yingkai Li, Harry Pei
                Subjects: Theoretical Economics (econ.TH)

                We examine a patient player's behavior when he can build a reputation in front of a sequence of myopic opponents. With positive probability, the patient player is a commitment type who mechanically plays his Stackelberg action in every period. We characterize the patient player's action frequencies in equilibrium. Our results clarify the extent to which reputation effects can refine the patient player's equilibrium behavior.

                [5]  arXiv:2007.14022 [pdf, other]
                Title: Heterogeneity and the Dynamic Effects of Aggregate Shocks
                Subjects: General Economics (econ.GN)

                Using a semi-structural approach, the paper identifies how heterogeneity and financial frictions affect the transmission of aggregate shocks. Approximating a heterogeneous agent model around the representative agent allocation can successfully trace the aggregate and distributional dynamics and can be consistent with alternative mechanisms. Employing Spanish macroeconomic data as well as firm and household survey data, the paper finds that frictions on both consumption and investment have rich interactions with aggregate shocks. The response of heterogeneity amplifies or dampens these effects depending on the type of the shock. Both dispersion in consumption shares and the marginal revenue product of firms, as well as the proportion of investment constrained firms are key determinants of the fiscal multiplier.

                Cross-lists for Wed, 29 Jul 20

                [6]  arXiv:2007.13902 (cross-list from cs.CY) [pdf, other]
                Title: Leveraging the Power of Place: A Data-Driven Decision Helper to Improve the Location Decisions of Economic Immigrants
                Comments: 51 pages (including appendix), 13 figures. Immigration Policy Lab (IPL) Working Paper Series, Working Paper No. 20-06
                Subjects: Computers and Society (cs.CY); Machine Learning (cs.LG); General Economics (econ.GN); Applications (stat.AP)

                A growing number of countries have established programs to attract immigrants who can contribute to their economy. Research suggests that an immigrant's initial arrival location plays a key role in shaping their economic success. Yet immigrants currently lack access to personalized information that would help them identify optimal destinations. Instead, they often rely on availability heuristics, which can lead to the selection of sub-optimal landing locations, lower earnings, elevated outmigration rates, and concentration in the most well-known locations. To address this issue and counteract the effects of cognitive biases and limited information, we propose a data-driven decision helper that draws on behavioral insights, administrative data, and machine learning methods to inform immigrants' location decisions. The decision helper provides personalized location recommendations that reflect immigrants' preferences as well as data-driven predictions of the locations where they maximize their expected earnings given their profile. We illustrate the potential impact of our approach using backtests conducted with administrative data that links landing data of recent economic immigrants from Canada's Express Entry system with their earnings retrieved from tax records. Simulations across various scenarios suggest that providing location recommendations to incoming economic immigrants can increase their initial earnings and lead to a mild shift away from the most populous landing destinations. Our approach can be implemented within existing institutional structures at minimal cost, and offers governments an opportunity to harness their administrative data to improve outcomes for economic immigrants.

                Replacements for Wed, 29 Jul 20

                [7]  arXiv:1812.09302 (replaced) [pdf]
                Title: Growth, Industrial Externality, Prospect Dynamics, and Well-being on Markets
                Authors: Emmanuel Chauvet
                Comments: 81 pages, 13 figures - last updates: Growth sustainability
                Subjects: General Economics (econ.GN)
                [8]  arXiv:1903.00716 (replaced) [pdf, ps, other]
                Title: Model Selection in Utility-Maximizing Binary Prediction
                Authors: Jiun-Hua Su
                Comments: Accepted by the Journal of Econometrics
                Subjects: Econometrics (econ.EM)
                [9]  arXiv:1912.01052 (replaced) [pdf, other]
                Title: Clustering and External Validity in Randomized Controlled Trials
                Subjects: Econometrics (econ.EM)
                [10]  arXiv:2003.10998 (replaced) [pdf, other]
                Title: The Second Worldwide Wave of Interest in Coronavirus since the COVID-19 Outbreaks in South Korea, Italy and Iran: A Google Trends Study
                Authors: Artur Strzelecki
                Comments: 4 pages, 1 figure, 2 tables
                Journal-ref: Brain, Behavior, and Immunity 88 (2020) 950-951
                Subjects: Computers and Society (cs.CY); Information Retrieval (cs.IR); General Economics (econ.GN)
                [11]  arXiv:2004.11196 (replaced) [pdf, other]
                Title: The Category of Node-and-Choice Extensive-Form Games
                Comments: 49 pages, 10 figures; revision makes only expositional changes (an improved introduction and a new running example)
                Subjects: Theoretical Economics (econ.TH); Logic in Computer Science (cs.LO); Category Theory (math.CT)
                [12]  arXiv:2004.13261 (replaced) [src]
                Title: Matching with Generalized Lexicographic Choice Rules
                Comments: Exposition needs major editing and new results will be added
                Subjects: Theoretical Economics (econ.TH)
                [ total of 12 entries: 1-12 ]
                [ showing up to 1000 entries per page: fewer | more ]