Calendrier du 05 décembre 2019
TOM (Théorie, Organisation et Marchés) Lunch Seminar
Du 05/12/2019 de 12:30 à 13:30
salle R2-20, campus Jourdan - 75014 Paris
POMMEY Guillaume (PSE)
Partnership Dissolution with Cash-Constrained Agents
When partnerships come to an end, partners must find a way to efficiently reallocate the commonly owned assets to those who value them the most. This requires that the aforementioned members possess enough financial resources to buy out others' shares. I investigate ex post efficient partnership dissolution when agents are ex post cash constrained. I derive necessary and sufficient conditions for ex post efficient partnership dissolution with Bayesian (resp. dominant strategy) incentive compatible, interim individually rational, ex post (resp. ex ante) budget balanced and ex post cash-constrained mechanisms. Ex post efficient dissolution is more likely to be feasible when agents with low (resp. large) cash resources own more (resp. less) initial ownership rights. Furthermore, I propose a simple auction to implement the optimal mechanism. Finally, I investigate second-best mechanisms when cash constraints are such that ex post efficient dissolution is not attainable.
Texte intégral
Travail et économie publique externe
Du 05/12/2019 de 12:30 à 13:45
PSE- 48 boulevard Jourdan, 74014 Paris, salle R1-14
GUGGENBERGER Patrik (Penn State University)
A more powerful subvector Anderson Rubin test in linear instrumental variables regression with conditional heteroskedasticity
écrit avec Co-authors: Frank Kleibergen and Sophocles Mavroeidis
We study subvector inference in the linear instrumental variables model allowing for arbitrary forms of conditional heteroskedasticity and weak instruments. The subvector Anderson and Rubin (1949) test that uses chi square critical values with degrees of freedom reduced by the number of parameters not under test, proposed by Guggenberger, Kleibergen, Mavroeidis, and Chen (2012), has correct asymptotic size under conditional homoskedasticity but is generally conservative. Guggenberger, Kleibergen, Mavroeidis (2019) propose a conditional subvector Anderson and Rubin test that uses data dependent critical values that adapt to the strength
of identi?cation of the parameters not under test. This test also has correct asymptotic size under conditional homoskedasticity and strictly higher power than the subvector Anderson and Rubin test by Guggenberger et al. (2012). Here we first generalize the test in Guggenberger at al (2019) to a setting that allows for a general Kronecker product structure which covers conditional homoskedasticity and some forms of conditional heteroskedasticity. To allow for arbitrary forms of conditional heteroskedasticity, we propose a two step testing procedure. The first step, akin to a technique suggested in Andrews and Soares (2010) in a different context, selects a model, namely general Kronecker product structure or arbitrary forms of conditional heteroskedasticty. If the former is selected, then in the second step the generalized version of Guggenberger et al. (2019) is used, otherwise a particular version of a heteroskedasticity robust test suggested in Andrews (2017). We show that the new two step test has correct asymptotic size and is more powerful and quicker to run than several alternative
procedures suggested in the recent literature.