I am an associate professor at the Vancouver School of Economics. My research is in both theoretical and applied econometrics. I am currently working on projects about dynamic games, partial identification, and insurance.
(with Hiroyuki Kasahara and Michio Suzuki)
This paper examines non-parametric identifiability of production function when production functions are heterogenous across firms beyond Hicks-neutral technology terms. Using a finite mixture specification to capture unobserved heterogeneity in production technology, we shows that production function for each unobserved type is non-parametrically identified under regularity conditions. We estimate a random coefficients production function using the panel data of Japanese publicly-traded manufacturing firms and compare it with the estimate of production function with fixed coefficients estimated by the method of Gandhi, Navarro, and Rivers (2013). Our estimates for random coefficients production function suggest that there exists substantial heterogeneity in production function coefficients beyond Hicks neutral term across firms within narrowly defined industry.
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(with Liran Einav and Amy Finkelstein)
A large literature in empirical public finance relies on "bunching" to identify a behavioral response to non-linear incentives and to translate this response into an economic object to be used counterfactually. We conduct this type of analysis in the context of prescription drug insurance for the elderly in Medicare Part D, where a kink in the individual’s budget set generates substantial bunching in annual drug expenditure around the famous "donut hole." We show that different alternative economic models can match the basic bunching pattern, but have very di¤erent quantitative im- plications for the counterfactual spending response to alternative insurance contracts. These findings illustrate the importance of modeling choices in mapping a compelling reduced form pattern into an economic object of interest.
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This paper analyzes dynamic games with continuous states and controls. There are two main contributions. First, we give conditions under which the payoff function is nonparametrically identiﬁed by the observed distribution of states and controls. The identiﬁcation conditions are fairly general and can be expected to hold in many potential applications. The key identifying restrictions include that one of the partial derivatives of the payoff function is known and that there is some component of the state space that enters the policy function, but not the payoff function directly. The latter of these restrictions is a standard exclusion restriction and is used to identify the payoff function off the equilibrium path. By manipulating the ﬁrst order condition, we can show that the payoff function satisﬁes an integro-differential equation. Due to the presence of the value function in the ﬁrst order condition, this integro-differential equation contains a Fredholm integral operator of the second kind. Invertibility of this operator, and knowledge of one of the partial derivatives of the payoff function is used to ensure that the integro-differential equation has a unique solution. The second contribution of this paper is to propose a two-step semiparametric estimator for the model. In the ﬁrst step the transition densities and policy function are estimated nonparametrically. In the second step, the parameters of the payoff function are estimated from the optimality conditions of the model. Because the state and action space are continuous, there is a continuum of optimality conditions. The parameter estimates minimize the norm of the these conditions. Hence, the estimator is related to recent papers on GMM in Hilbert spaces and semiparametric estimators with conditional moment restrictions. We give high-level conditions on the ﬁrst step nonparametric estimates for the parameter estimates to be consistent and parameters to be root-n asymptotically normal. Finally, we show that a kernel based estimator satisﬁes these conditions.
(with Arun G. Chandrasekhar, Victor Chernozhukov, and Francesca Molinari)
We consider the estimation of the set of best linear approximations to a set identiﬁed function. We extend the partial identiﬁcation literature by allowing our bounds to by any estimable functions, potentially even indexed by some parameter. Characterizing the identiﬁed set via its support function, we develop the limit theory for the support function and prove that the function approximately converges to a Gaussian process. Limit inference results and the validity of a Bayesian bootstrap is proved as well. The bounds may be estimated by either non-parametric or parametric means and may carry an index. This nests the canonical examples in the literature– interval valued outcome data and interval valued regressor data in mean regression– as special cases. Since the bounds may carry an index, our method covers applications beyond mean regression. These include quantile and distribution regression with interval valued data, sample selection problems, as well as mean, quantile, and distribution treatment effects. Moreover, our framework allows for the utilization of instruments. To illustrate our framework, we perform simulations for the quantile treatment effect in the selection model and, as an example, study female labor participation along the lines of Mulligan and Rubinstein (2008).
(with Liran Einav, Amy Finkelstein, and Ray Kluender)
American Economic Journal: Applied Economics, 8(2), April 2016
"Big data" and statistical techniques to score potential transactions have transformed insurance and credit markets. In this paper, we observe that these widely-used statistical scores summarize a much richer heterogeneity, and may be endogenous to the context in which they get applied. We demonstrate this point empirically using data from Medicare Part D, showing that risk scores confound underlying health and endogenous spending response to insurance. We then illustrate theoretically that when individuals have heterogeneous behavioral responses to contracts, strategic incentives for cream-skimming can still exist, even in the presence of “perfect” risk scoring under a given contract.
(with Liran Einav and Amy Finkelstein)
The Quarterly Journal of Economics, 130(2), May 2015, 841-899
We study the demand response to non-linear price schedules using data on insurance contracts and prescription drug purchases in Medicare Part D. Consistent with a static response of drug use to price, we document bunching of annual drug spending as individuals enter the famous "donut hole," where insurance becomes discontinuously much less generous on the margin. Consistent with a dynamic response to price, we document a response of drug use to the future out-of-pocket price by using variation in beneficiary birth month which generates variation in contract duration during the first year of eligibility. Motivated by these two facts, we develop and estimate a dynamic model of drug use during the coverage year that allows us to quantify and explore the effects of alternative contract designs on drug expenditures. For example, our estimates suggest that "filling" the donut hole, as required under the Affordable Care Act, will increase annual drug spending by $180 per beneficiary, or about 10%. Moreover, almost half of this increase is "anticipatory," coming from beneficiaries whose spending prior to the policy change would leave them short of reaching the donut hole. We also describe the nature of the utilization response and its heterogeneity across individuals and types of drugs.
(with Liran Einav, Amy Finkelstein, Stephen Ryan, and Mark Cullen)
American Economic Review, 103(1): 178-219 (February 2013).
We use employee-level panel data from a single firm to explore the possibility that individuals may select insurance coverage in part based on their anticipated behavioral ("moral hazard") response to insurance, a phenomenon we label "selection on moral hazard." Using a model of plan choice and medical utilization, we present evidence of heterogenous moral hazard as well as selection on it, and explore some of its implications. For example, we show that, at least in our context, abstracting from selection on moral hazard could lead to overestimates of the spending reduction associated with introducing a high-deductible health insurance option.
(with Liran Einav and Amy Finkelstein.)
Econometrica, 78(3), 1031-1092, May (2010).
Much of the extensive empirical literature on insurance markets has focused on whether adverse selection can be detected. Once detected, however, there has been little attempt to quantify its welfare cost or to assess whether and what potential government interventions may reduce these costs. To do so, we develop a model of annuity contract choice and estimate it using data from the U.K. annuity market. The model allows for private information about mortality risk as well as heterogeneity in preferences over different contract options. We focus on the choice of length of guarantee among individuals who are required to buy annuities. The results suggest that asymmetric information along the guarantee margin reduces welfare relative to a first-best symmetric information benchmark by about £127 million per year or about 2 percent of annuitized wealth. We also find that by requiring that individuals choose the longest guarantee period allowed, mandates could achieve the first-best allocation. However, we estimate that other mandated guarantee lengths would have detrimental effects on welfare. Since determining the optimal mandate is empirically difficult, our findings suggest that achieving welfare gains through mandatory social insurance may be harder in practice than simple theory may suggest.
ECON323 Quantitative Economic Modelling with Data Science Applications Sections
Computational tools used in modern economics. Including application of data science in economics; visualization and manipulation of economic data; solving and simulating dynamic economic models.
One fine body…
ECON526 Mathematics for Economics Sections
One fine body…
ECON567 Organization Theory and Non-market Allocation Sections
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ECON622 Computational Economics with Data Science Applications Sections
Computational tools used in modern economic research; applications of data science and machine learning in economics; generating data from the web and text; software tools for reproducible research.
One fine body…