Econometric Methods for Structural Models

该提案包含为某些感兴趣的经济模型开发统计计量经济学方法的项目。所考虑的计量经济学问题包括动态拍卖中的估计，采购拍卖和求职模型的最优估计，以及对某些类型的经济转移或中断的估计。一个关于英格兰和威尔士放松管制的电力公用事业市场的日常拍卖的重大实证项目应用了一些计量经济学工具。我们的估计被用来确定盈利能力，并检查投资新产能的动机。我们的模型和估计也可以用来考虑与替代拍卖设计相关的结果，或者分析这个市场上供应商之间可能的串通。对于多机组电力拍卖的经验项目，我们已经获得了使用拍卖商使用的实际软件来确定价格和数量结果(给定出价)的许可证，我们还获得了最近三年的数据。在掌握了软件和数据的情况下，我们使用供应商行为的均衡模型来估计每个发电商的启动成本和固定成本。然后，这些成本将被用来检查利润和投资激励措施。我们还将把资本成本方法纳入维护和可用性决策中。由于在各种拍卖环境中更普遍地适用，因此将在经验电力拍卖项目中使用的评估方法得到了详细的开发。在本质上类似于欧拉方程方法，我们的计量经济学方法使用一阶条件作为估计矩的基础。这种方法避免了与数值求解最优投标策略相关的计算困难。该技术将Berry和Pakes(2000)的方法扩展到动态拍卖中，该方法是为估计寡头垄断模型而设计的。拍卖中一阶条件方法面临的一个关键挑战是公司利润函数的内在不连续性。这种不连续性导致了不可微性，这使得一阶条件的逼近变得困难。我们用半参数平滑技术克服了这一困难，并在非参数速率下获得了参数估计。接下来，我们考虑了参数依赖的支持模型，包括某些拍卖模型和生产前沿模型，以及一些搜索模型。虽然这些模型中的估计已经得到了广泛的研究，但我们检查了哪些估计器是最有效的。我们利用LeCam的统计实验理论证明了极大似然估计在这种非正则模型中不是渐近有效的，而Bayes估计是渐近有效的。在另一个项目中，研究了结构突变模型中的有效估计。再一次，极限实验方法将被用来探索传统未知变点模型中的效率和其他问题。另一个项目考虑了非参数回归曲线模型中中断的估计。这样的估计在某些回归间断设置中很有用。

This proposal contains projects that develop statistical econometric methods for certain economic models of interest. The econometric issues considered include estimation in dynamic auctions, optimal estimation of procurement auction and job search models, and estimation of certain kinds of economic shifts or breaks. A substantial empirical project on daily auctions in the deregulated electric utility market in England and Wales applies some of the econometric tools. Our estimates are used to determine profitability and examine the incentives to invest in new capacity. Our model and estimates could also be used to consider outcomes associated with alternative auction designs or to analyze possible collusion among suppliers in this market For the empirical project on multi-unit electricity auctions, we have obtained a license to use the actual software used by the auctioneer to determine price and quantity outcomes (given bids), and we are also obtaining the three most recent years of data. With software and data in hand, we use an equilibrium model of firm supplier behavior to estimate start-up and fixed costs for each generator. These costs will then be used to examine profits and investment incentives. We will also incorporate a cost of capital approach to maintenance and availability decisions.The estimation method to be used in the empirical electricity auction project is developed in detail due to its more general applicability in a variety of auction settings. Similar in spirit to an Euler equation approach, our econometric method uses the first order conditions as the basis for moments of estimation. This approach avoids the computational difficulty associated with numerically solving for optimal bidding strategies. The technique extends the approach of Berry and Pakes (2000), which was designed for estimation of oligopolistic models, to work in dynamic auctions. A key challenge to a first order condition approach in auctions is the inherent discontinuity in the firm profit function. This discontinuity leads to a nondifferentiability that makes approximation of the first order condition difficult. We overcome this difficulty with a semiparametric smoothing technique and obtain parameter estimates at a nonparametric rate. Next, we consider parameter-dependent support models which include certain auction models as well as production frontier models, and some search models. While estimation in these models has been studied broadly, we examine what estimators are most efficient. We use LeCam's theory of statistical experiments to show that the maximum likelihood estimators are not asymptotically efficient in such nonregular models, while Bayes' estimators are. In another project, efficient estimation in structural break models is studied. Again a limit of experiments approach will be used to explore efficiency and other issues in traditional unknown change point models. Another project considers estimation of breaks in a nonparametric regression curve model. Such estimates are useful in certain regression discontinuity settings.