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面板处理效应测量：因子模型还是线性投影？AI 解读

Summary We discuss methods of measuring the treatment effects of a unit through the use of other units in panel data by either the factor‐based (FB) approach or the linear projection (LP) approach under different sample configurations of cross‐sectional dimension and time series dimension . We show that the LP approach in general yields smaller mean square prediction error than the FB approach when either both and are large or fixed and or fixed and large. The Monte Carlo…

交互效应面板模型的变换估计AI 解读

We propose a transformed estimator for the slope coefficients of panel models with interactive effects. The transformed estimation method does not require the prior knowledge of the dimension of factor structure. It is consistent and asymptotically normally distributed under fairly general conditions when N is fixed and T→∞ or T is fixed and N→∞, or when both N and T are large and NT→a≠0<∞. Moreover, because the transformation is equivalent to aggregating cross-sectional…

新冠疫情期间严厉封锁的经济影响：中国湖北的经验AI 解读

Summary This paper uses a panel data approach to assess the evolution of economic consequences of the drastic lockdown policy in the epicenter of COVID‐19—the Hubei Province of China during worldwide curbs on economic activity. We find that the drastic 76‐day COVID‐19 lockdown policy brought huge negative impacts on Hubei's economy. In 2020:q1, the lockdown quarter, the treatment effect on GDP was about 37% of the counterfactual. However, the drastic lockdown also brought…

大型面板数据模型的递归估计：理论与实践AI 解读

Bai (2009) proposes recursive estimation for panel data models with interactive effects. We study the behaviours of this recursive estimator. The recursive formula is established that shows the behaviours of recursive estimators depend on the initial estimator, the population structure and the iterative steps. Under some general scenarios, we find that the recursive estimator becomes consistent after the first iteration from any initials. We also obtain the optimal number of…

面板反事实的参数、半参数与非参数构造AI 解读

Summary We consider panel parametric, semiparametric and nonparametric methods of constructing counterfactuals. We show through extensive simulations that no method is able to dominate other methods in all circumstances, since the true data‐generating process is typically unknown. We therefore also suggest a model‐averaging method as a robust method to generate counterfactuals. As an illustration of the sensitivity of counterfactual construction, we reexamine the impact of…

面板动态联立方程模型的刀切工具变量估计AI 解读

We consider the method of moments estimation of a structural equation in a panel dynamic simultaneous equations model under different sample size combinations of cross-sectional dimension, N , and time series dimension, T . Two types of linear transformation to remove the individual-specific effects from the model, first difference and forward orthogonal demeaning, are considered. We show that the Alvarez and Arellano (2003) type GMM estimator under both transformations is…

动态面板推断中的附带参数、初始条件与样本规模AI 解读

We use a quasi-likelihood function approach to clarify the role of initial values and the relative sample size of the cross-section dimension N and the time series dimension T on the asymptotic properties of estimators for dynamic panel data models with the presence of individual-specific effects. We show that a properly specified quasi-likelihood estimator (QMLE) that uses the Mundlak–Chamberlain approach to condition the unobserved effects and initial values on the…

具有交互效应的面板模型AI 解读

The multiplication of individual specific effects, ▪ and time-specific effects, ▪ provides a more general formulation than the traditionally used additive form to capture the unobserved heterogeneity in panel data modeling. It is also a useful approach for dimension reduction for modeling cross-section dependence. However, ▪ and ▪ are unobservable. We explore the implications for econometric modeling under various formulations of the interactive effects models and suggest a…

面板动态联立方程模型的统计推断AI 解读

We study the identification and estimation of panel dynamic simultaneous equations models. We show that the presence of time-persistent individual-specific effects does not lead to changes in the identification conditions of traditional Cowles Commission dynamic simultaneous equations models. However, the limiting properties of the estimators depend on the way the cross-section dimension, N, or the time series dimension, T, goes to infinity. We propose three limited…

固定效应非参数面板模型中的误差序列相关检验AI 解读

In this paper we consider the problem of testing serial correlation in fixed effects panel data model in a nonparametric framework. Using asymptotic results developed in Su and Lu (2013), we show that our test statistic has a standard normal distribution under the null hypothesis of zero serial correlation. The test statistic diverges to infinity at the rate of N under the alternative hypothesis that error is serially correlated, where N is the cross sectional sample size.…

不同面板维度渐近框架下动态面板的 IV、GMM 与似然估计AI 解读

We examine the asymptotic properties of IV, GMM or MLE to estimate dynamic panel data models when either NorT or both are large. We show that the Anderson and Hsiao (1981, 1982) simple instrumental variable estimator (IV) or maximizing the likelihood function with initial value distribution properly treated (quasi-maximum likelihood estimator) is asymptotically unbiased when either N or T or both tend to infinity. On the other hand, the QMLE mistreating the initial value as…

项目评估的面板数据方法：衡量香港与内地政治及经济融合的收益AI 解读

SUMMARY We propose a simple‐to‐implement panel data method to evaluate the impacts of social policy. The basic idea is to exploit the dependence among cross‐sectional units to construct the counterfactuals. The cross‐sectional correlations are attributed to the presence of some (unobserved) common factors. However, instead of trying to estimate the unobserved factors, we propose to use observed data. We use a panel of 24 countries to evaluate the impact of political and…

含测量误差的删失结构潜变量模型AI 解读

We consider censored structural latent variables models where some exogenous variables are subject to additive measurement errors. We demonstrate that overidentification conditions can be exploited to provide natural instruments for the variables measured with errors, and we propose a two-stage estimation procedure. The first stage involves substituting available instruments in lieu of the variables that are measured with errors and estimating the resulting reduced form…

大麻非刑罪化与吸食率：来自澳大利亚的证据AI 解读

This article uses the 2001 National Drug Strategy Household Survey to assess the impact of marijuana decriminalization policy on marijuana smoking prevalence in Australia. Both parametric and nonparametric methods are used. The parametric approach includes endogenous probit switching, two-part, sample selection, and standard dummy variable models, while the nonparametric approach uses propensity score stratification matching. Specification analyses are also conducted. A…

流动性约束与企业投资的面板分析AI 解读

The issue of financial constraints on company investment is revisited using the U.S. panel data of 561 firms from 1971–1992. A number of economically meaningful factors are discovered to partition firms into relatively homogeneous groups. A mixed fixed-and random-coefficients framework is then used to capture unobserved heterogeneity within groups. The prediction criterion is used to select the final specification and evaluate the importance of financial constraints on…

利用面板数据识别和估计二元潜变量模型AI 解读

Identification conditions for binary choice errors-in-variables models are explored. Conditions for the consistency and asymptotic normality of the maximum likelihood estimators of binary choice models with unbounded explanatory variables are given. Two- or three-step estimators to simplify computation are also suggested.

利用收入分类横截面数据估计电力需求的短期收入弹性AI 解读

This study uses the 1980 energy application survey conducted by Ontario Hydro to estimate a short-run or conditional demand for electricity model. Two-step inference procedures are developed to take account of the special nature of the data in which the income variable is recorded in categorical form. Comparisons of short-run income elasticities with other studies, using the complete information of income variable, are also made.

利用横截面分组数据估计电力需求的短期收入弹性AI 解读

This study uses the 1980 energy application survey conducted by Ontario Hydro to estimate a short-run or conditional demand for electricity model. Two-step inference procedures are developed to take account of the special nature of the data in which the income variable is recorded in categorical form. Comparisons of short-run income elasticities with other studies, using the complete information of income variable, are also made.

含误差成分动态模型的估计AI 解读

Observations on N cross-section units at T time points are used to estimate a simple statistical model involving an autoregressive process with an additive term specific to the unit. Different assumptions about the initial conditions are (a) initial state fixed, (b) initial state random, (c) the unobserved individual effect independent of the unobserved dynamic process with the initial value fixed, and (d) the unobserved individual effect independent of the unobserved…