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105
Nonparametric Tests for Common Values in FirstPrice SealedBid Auctions
, 2003
"... We develop tests for common values at firstprice sealedbid auctions. Our tests are nonparametric, require observation only of the bids submitted at each auction, and are based on the fact that the “winner’s curse” arises only in common values auctions. The tests build on recently developed methods ..."
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Cited by 52 (8 self)
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We develop tests for common values at firstprice sealedbid auctions. Our tests are nonparametric, require observation only of the bids submitted at each auction, and are based on the fact that the “winner’s curse” arises only in common values auctions. The tests build on recently developed methods for using observed bids to estimate each bidder’s conditional expectation of the value of winning the auction. Equilibrium behavior implies that in a private values auction these expectations are invariant to the number of opponents each bidder faces, while with common values they are decreasing in the number of opponents. This distinction forms the basis of our tests. We consider both exogenous and endogenous variation in the number of bidders. Monte Carlo experiments show that our tests can perform well in samples of moderate sizes. We apply our tests to two different types of U.S. Forest Service timber auctions. For unitprice (“scaled”) sales often argued to fit a private values model, our tests consistently fail to find evidence of common values. For “lumpsum” sales, where aprioriarguments for common values appear stronger, our tests yield mixed evidence against the private values hypothesis.
Robust Multidimensional Poverty Comparisons
 Economic Journal
, 2001
"... We investigate how to make poverty comparisons using multidimensional indicators of wellbeing, showing in particular how to check whether the comparisons are robust to the choice of poverty indices and poverty lines. Our methodology applies equally well to either of what can be defined as ”union ” ..."
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Cited by 31 (3 self)
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We investigate how to make poverty comparisons using multidimensional indicators of wellbeing, showing in particular how to check whether the comparisons are robust to the choice of poverty indices and poverty lines. Our methodology applies equally well to either of what can be defined as ”union ” and ”intersection ” approaches to dealing with multidimensional indicators of wellbeing. When one of two variables is discrete, our methods specialize to those that Atkinson (1991), Jenkins and Lambert (1993) and others have developed to deal with household composition heterogeneity. The results also extend the statistical results recently derived in Davidson and Duclos (2000) to cases where wellbeing is measured in two or more dimensions. We thus derive the sampling distribution of various multidimensional poverty estimators, including estimators of the ”critical ” frontiers of poverty lines above which multidimensional poverty comparisons are no longer ethically robust.
OntheJob Search and Precautionary Savings
 Review of Economic Studies
"... In this paper, I develop and estimate a model of the labor market that can account for both the inequality in earnings and the much larger inequality in wealth observed in the data. I show that an equilibrium model of onthejob search, augmented to account for saving decisions of workers, provides ..."
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Cited by 18 (2 self)
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In this paper, I develop and estimate a model of the labor market that can account for both the inequality in earnings and the much larger inequality in wealth observed in the data. I show that an equilibrium model of onthejob search, augmented to account for saving decisions of workers, provides a direct and intuitive link between the empirical earnings and wealth distributions. The mechanism that generates the high degree of wealth inequality in the model is the dynamic of the “wage ladder ” resulting from the search process. There is an important asymmetry between the incremental wage increases generated by onthejob search (climbing the ladder) and the drop in income associated with job loss (falling off the ladder). The behavior of workers in low paying jobs is primarily governed by the expectation of wage growth, while the behavior of workers near the top of the distribution is driven by the possibility of job loss. This feature of the model generates differential savings behavior at different points in the earnings distribution. The wage growth expected by low wage workers, combined with the fact that their earnings are not much higher than unemployment benefits, causes them to dissave.
Firm Turnover in Imperfectly Competitive Markets
, 2002
"... This paper is motivated by the empirical regularity that industries differ greatly in the level of firm turnover, and that entry and exit rates are positively correlated across industries. Our objective is to investigate the effect of sunk costs and, in particular, market size on entry and exit rate ..."
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Cited by 14 (2 self)
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This paper is motivated by the empirical regularity that industries differ greatly in the level of firm turnover, and that entry and exit rates are positively correlated across industries. Our objective is to investigate the effect of sunk costs and, in particular, market size on entry and exit rates, and hence on the age distribution of firms. We analyze a stochastic dynamic model of a monopolistically competitive industry. Each firm's efficiency is assumed to follow a Markov process. We show existence and uniqueness of a stationary equilibrium with simultaneous entry and exit: efficient firms survive while inefficient ones leave the market and are replaced by new entrants. We perform comparative statics with respect to the level of sunk costs: entry costs are negatively and fixed production costs positively related to entry and exit rates. A central empirical prediction of the model is that the level of firm turnover is increasing in market size. The intuition is as follows. In larger markets, pricecost margins are smaller since the number of active firms is larger. This implies that the marginal surviving firm has to be more efficient than in smaller markets. Hence, in larger markets, the expected life span of firms is shorter, and the age distribution of firms is firstorder stochastically dominated by that in smaller markets. In an extension of the model with timevarying market size, we explore the comovements between market size and entry
2011), “Modeling and Forecasting Multivariate Realized Volatility
 Journal of Applied Econometrics
"... This paper proposes a methodology for modelling time series of realized covariance matrices in order to forecast multivariate risks. The approach allows for flexible dynamic dependence patterns and guarantees positive definiteness of the resulting forecasts without imposing parameter restrictions. W ..."
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Cited by 11 (3 self)
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This paper proposes a methodology for modelling time series of realized covariance matrices in order to forecast multivariate risks. The approach allows for flexible dynamic dependence patterns and guarantees positive definiteness of the resulting forecasts without imposing parameter restrictions. We provide an empirical application of the model, in which we show by means of stochastic dominance tests that the returns from an optimal portfolio based on the model’s forecasts secondorder dominate returns of portfolios optimized on the basis of traditional MGARCH models. This result implies that any riskaverse investor, regardless of the type of utility function, would be betteroff using our model.
Trannoy A. Inequality of opportunities vs. inequality of outcomes: Are Western societies all alike. Review of Income and Wealth
, 2008
"... This paper analyzes the relationship between income inequality and inequality of opportunities for income acquisition in nine developed countries during the 1990s. Equality of opportunity is defined as the situation where income distributions conditional on social origin cannot be ranked according t ..."
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Cited by 8 (1 self)
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This paper analyzes the relationship between income inequality and inequality of opportunities for income acquisition in nine developed countries during the 1990s. Equality of opportunity is defined as the situation where income distributions conditional on social origin cannot be ranked according to stochastic dominance criteria. We measure social origin by parental education and occupation and use the database built by Roemer et al. (2003). Stochastic dominance is assessed using nonparametric statistical tests. Our results indicate strong disparities in the degree of equality of opportunity across countries and a strong correlation between inequality of outcomes and inequality of opportunity. The U.S. and Italy show up as the most unequal countries in terms of both outcome and opportunity. At the opposite extreme, income distributions conditional on social origin are almost the same in Scandinavian countries even before any redistributive policy. We complement the ordinal comparison by resorting to an original scalar “Gini ” index of opportunities, which can be decomposed into a risk and a return component. In our sample, inequality of opportunity is mostly driven by differences in mean income conditional on social origin, and differences in risk compensate the return element in most countries. 1.
A.: Equality of Opportunity and luck: Definitions and testable conditions, with an application to Income in France
 23 Lefranc, A., Pistolesi, N., Trannoy, A.: Inequality of Opportunities versus Inequality of Outcomes: Are Western Societies all alike?, Review of Income and Wealth, Blackwell Publishing
"... We offer a model of equality of opportunity that encompasses different conceptions expressed in the public and philosophical debates. In addition to circumstances whose effect on outcome should be compensated and effort which represents a legitimate source of inequality, we introduce a third factor, ..."
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Cited by 6 (1 self)
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We offer a model of equality of opportunity that encompasses different conceptions expressed in the public and philosophical debates. In addition to circumstances whose effect on outcome should be compensated and effort which represents a legitimate source of inequality, we introduce a third factor, luck, that captures the random factors whose impact on outcome should be evenhanded for equality of opportunity to be satisfied. Then, we analyse how the various definitions of equality of opportunity can be empirically identified, given data limitations and provide testable conditions. Definitions and conditions resort to standard stochastic dominance tools. Lastly, we develop an empirical analysis of equality of opportunity for income acquisition in France over the period 19792000 which reveals that the degree of inequality of opportunity tends to decrease and that the degree of risk of income distributions, conditional on social origin, appears very similar across all groups
NONPARAMETRIC TESTS OF CONDITIONAL TREATMENT EFFECTS
, 2009
"... We develop a general class of nonparametric tests for treatment effects conditional on covariates. We consider a wide spectrum of null and alternative hypotheses regarding conditional treatment effects, including (i) the null hypothesis of the conditional stochastic dominance between treatment and c ..."
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Cited by 5 (0 self)
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We develop a general class of nonparametric tests for treatment effects conditional on covariates. We consider a wide spectrum of null and alternative hypotheses regarding conditional treatment effects, including (i) the null hypothesis of the conditional stochastic dominance between treatment and control groups; (ii) the null hypothesis that the conditional average treatment effect is positive for each value of covariates; and (iii) the null hypothesis of no distributional (or average) treatment effect conditional on covariates against a onesided (or twosided) alternative hypothesis. The test statistics are based on L1type functionals of uniformly consistent nonparametric kernel estimators of conditional expectations that characterize the null hypotheses. Using the Poissionization technique of Giné et al. (2003), we show that suitably studentized versions of our test statistics are asymptotically standard normal under the null hypotheses and also show that the proposed nonparametric tests are consistent against general fixed alternatives. Furthermore, it turns out that our tests have nonnegligible powers against some local alternatives that are n −1/2 different from the null hypotheses, where n is the sample size. We provide a more powerful test for the case when the null hypothesis may be binding only on a strict subset of the support
Nonparametric Estimation of Distributional Policy Effects
, 2008
"... PRELIMINARY VERSION. COMMENTS ARE WELCOME. This paper proposes a fully nonparametric procedure to evaluate the effect of a counterfactual change in the distribution of some covariates on the unconditional distribution of an outcome variable of interest. In contrast to other methods, we do not restri ..."
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Cited by 5 (1 self)
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PRELIMINARY VERSION. COMMENTS ARE WELCOME. This paper proposes a fully nonparametric procedure to evaluate the effect of a counterfactual change in the distribution of some covariates on the unconditional distribution of an outcome variable of interest. In contrast to other methods, we do not restrict attention to the effect on the mean. In particular, our method can be used to conduct inference on the change of the distribution function as a whole, its moments and quantiles, inequality measures such as the Lorenz curve or Gini coefficient, and to test for stochastic dominance. The practical applicability of our procedure is illustrated via a simulation study and an empirical application.