Papers by Quang Hieu Vuong
Carolina Digital Repository (University of North Carolina at Chapel Hill), 2011
This paper proposes a semiparametric estimation procedure of the first-price auction model with r... more This paper proposes a semiparametric estimation procedure of the first-price auction model with risk averse bidders within the independent private value paradigm. We show that the model is nonidentified in general from observed bids. We then exploit heterogeneity across auctioned objects to establish semiparametric identification under a conditional quantile restriction and parameterization of the bidders' von Neuman Morgenstern utility function. Next we propose a semiparametric method for estimating the corresponding auction model. This method involves several steps and allows to recover the parameters of the utility function as well as the bidders' private values and their density. We show that our semiparametric estimator of the utility function parameters converges at the optimal rate, which is slower than the parametric one. An illustration of the method on U.S. Forest Service timber sales is presented and a test of bidders' risk neutrality is performed.
Advances in econometrics, Apr 15, 2020
RePEc: Research Papers in Economics, 1995
arXiv (Cornell University), Aug 12, 2015
This paper addresses the identification of insurance models with multidimensional screening where... more This paper addresses the identification of insurance models with multidimensional screening where insurees have private information about their risk and risk aversion. The model includes a random damage and the possibility of several claims. Screening of insurees relies on their certainty equivalence. The paper then investigates how data availability on the number of offered coverages and reported claims affects the identification of the model primitives under four different scenarios. We show that the model structure is identified despite bunching due to multidimensional screening and/or a finite number of offered coverages. The observed number of claims plays a key role in the identification of the joint distribution of risk and risk aversion. In addition, the paper derives all the restrictions imposed by the model on observables. Our results are constructive with explicit equations for estimation and model testing.
arXiv (Cornell University), Oct 27, 2016
This paper estimates individual treatment effects in a triangular model with binary-valued endoge... more This paper estimates individual treatment effects in a triangular model with binary-valued endogenous treatments. Following the identification strategy established in Vuong and Xu (forthcoming), we propose a two-stage estimation approach. First, we estimate the counterfactual outcome and hence the individual treatment effect (ITE) for every observational unit in the sample. Second, we estimate the density of individual treatment effects in the population. Our estimation method does not suffer from the ill-posed inverse problem associated with inverting a non-linear functional. Asymptotic properties of the proposed method are established. We study its finite sample properties in Monte Carlo experiments. We also illustrate our approach with an empirical application assessing the effects of 401(k) retirement programs on personal savings. Our results show that there exists a small but statistically significant proportion of individuals who experience negative effects, although the majority of ITEs is positive.
The New Palgrave Dictionary of Economics, 2008
The New Palgrave Dictionary of Economics
L'Actualité économique, 2011
Ce document est protégé par la loi sur le droit d'auteur. L'utilisation des services d'Érudit (y ... more Ce document est protégé par la loi sur le droit d'auteur. L'utilisation des services d'Érudit (y compris la reproduction) est assujettie à sa politique d'utilisation que vous pouvez consulter en ligne.
SSRN Electronic Journal, 2016
This paper studies the rationalization and identification of binary games where players have corr... more This paper studies the rationalization and identification of binary games where players have correlated private types. Allowing for correlation is crucial in global games and in models with social interactions as it represents correlated information and homophily, respectively. Our approach is fully nonparametric in the joint distribution of types and the strategic effects in the payoffs. First, under monotone pure Bayesian Nash Equilibrium strategy, we characterize all the restrictions if any on the distribution of players' choices imposed by the game-theoretic model as well as restrictions associated with two assumptions frequently made in the empirical analysis of discrete games. Namely, we consider exogeneity of payoff shifters relative to private information, and mutual independence of private information given payoff shifters. Second, we study the nonparametric identification of the payoff functions and types distribution. We show that the model with exogenous payoff shifters is fully identified up to a single location-scale normalization under some exclusion restrictions and rank conditions. Third, we discuss partial identification under weaker conditions and multiple equilibria. Lastly, we briefly point out the implications of our results for model testing and estimation.
This paper studies the nonparametric identification and estimation of productivity distributions ... more This paper studies the nonparametric identification and estimation of productivity distributions and trade costs in an Eaton and Kortum (2002) type model. Our identification and estimation strategy gains insights from the empirical auction literature, however, our methodology is novel since we face additional problems resulting from the nature of the trade data. Our methodology does not require data on prices which are usually quite hard to obtain and manages to identify the underlying structure by using disaggregated simple bilateral trade data consisting only of trade values and traded quantities. We recover destination-source-sector specific productivity distributions and trade costs nonparametrically. The fact that these productivity distributions and trade costs are both country and sector specific provides important insights about not only cross country differences but also differences across sectors. Moreover, it has now become a common tradition in models of international tr...
In this paper we develop a structural model in which exporters are competing in supply functions ... more In this paper we develop a structural model in which exporters are competing in supply functions and study the nonparametric identification and estimation of productivity distributions and marginal costs in this framework using disaggregated bilateral trade data. Our model is able to reconcile the existence of multiple sellers, multiple prices, and variable markups that we observe in data and also incorporates features such as strategic pricing and incomplete information. Our identification and estimation methodology gains insights from methodologies used in empirical auctions. Our identification and estimation methodology makes an important contribution to the empirical auction literature by showing that the underlying structure is identified nonparametrically even if we do not observe the entire schedules, but only the transaction points instead; whereas the methodology in the literature of empirical auctions depends heavily on the fact that the entire bid/supply schedule is obser...
BY ISABELLE PERRIGNE AND QUANG VUONG This supplemental material contains the proofs of the propos... more BY ISABELLE PERRIGNE AND QUANG VUONG This supplemental material contains the proofs of the propositions and lemmas stated in Section 2. PROOF OF PROPOSITION 1: From (8), the Hamiltonian of the optimization problem (P) is H = ∞ p y(v) dv + (1 + λ) py(p) − ψ(e) − E (θ − e)c o (y(p ε d) ε c) − λU(θ) f (θ) + γ(θ)(−ψ (e))
The aim of this paper is to establish nonparametric identification of struc- tural functions in n... more The aim of this paper is to establish nonparametric identification of struc- tural functions in nonseparable models with a binary endogenous regressor. The outcome variable may be continuous, discrete or a mixture of both, and the instrumental variable can take binary values. We distinguish the cases where the model includes or does not include a selection equation for the binary endogenous regressor. First, we establish point identification of the structural function when it is continuous and strictly monotone in the latent variable. Next, we characterize all the testable restrictions on observables imposed by the model with or without the selection equation. Lastly, we generalize our identification results to the case where the outcome variable has a probability mass in its distribution such as when the outcome variable is censored or binary.
In this paper we consider the problem of efficient estimation in conditional quantile models with... more In this paper we consider the problem of efficient estimation in conditional quantile models with time series data. Our first result is to derive the semiparametric efficiency bound in time series models of conditional quantiles; this is a nontrivial extension of a large body of work on efficient estimation, which has traditionally focused on models with independent and identically distributed data. In particular, we generalize the bound derived by New and Powell (1990) to the case where the data is weakly dependent and heterogeneous. We then proceed by constructing an M-estimator which achieves the semiparametric efficiency bound. Our efficient M-estimator is obtained by minimizing an objective function which depends on a nonparametric estimator of the conditional distribution of the variable of interest rather than its density.
Journal of the American Statistical Association
This paper estimates individual treatment effects in a triangular model with binary-valued endoge... more This paper estimates individual treatment effects in a triangular model with binary-valued endogenous treatments. Following the identification strategy established in Vuong and Xu (forthcoming), we propose a two-stage estimation approach. First, we estimate the counterfactual outcome and hence the individual treatment effect (ITE) for every observational unit in the sample. Second, we estimate the density of individual treatment effects in the population. Our estimation method does not suffer from the ill-posed inverse problem associated with inverting a non-linear functional. Asymptotic properties of the proposed method are established. We study its finite sample properties in Monte Carlo experiments. We also illustrate our approach with an empirical application assessing the effects of 401(k) retirement programs on personal savings. Our results show that there exists a small but statistically significant proportion of individuals who experience negative effects, although the majority of ITEs is positive.
The RAND Journal of Economics
Journal of Political Economy
Quantitative Economics
Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public.
Annales d'Économie et de Statistique, 1994
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Papers by Quang Hieu Vuong