论文检索

固定效应模型中的分组效应估计量AI 解读

We consider estimation of nonlinear panel data models with common and individual specific parameters. Fixed effects estimators are known to suffer from the incidental parameters problem, which can lead to large biases in estimates of common parameters. Pooled estimators, which ignore heterogeneity across individuals, are also generally inconsistent. We assume that individuals in the data are grouped on multiple levels where groups are defined by some observable external…

使用聚类协方差估计量对依赖数据进行推断AI 解读

This paper presents an inference approach for dependent data in time series, spatial, and panel data applications. The method involves constructing t and Wald statistics using a cluster covariance matrix estimator (CCE). We use an approximation that takes the number of clusters/groups as fixed and the number of observations per group to be large. The resulting limiting distributions of the t and Wald statistics are standard t and F distributions where the number of groups…

工具变量问题的半参数贝叶斯方法AI 解读

We develop a Bayesian semi-parametric approach to the instrumental variable problem. We assume linear structural and reduced form equations, but model the error distributions non-parametrically. A Dirichlet process prior is used for the joint distribution of structural and instrumental variable equations errors. Our implementation of the Dirichlet process prior uses a normal distribution as a base model. It can therefore be interpreted as modeling the unknown joint…