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利用因子斜率的低秩估计推断异质效应AI 解读

Abstract We study a panel data model with heterogeneous effects, allowing slopes to vary across individuals and time. To reduce dimensionality, we assume these slopes follow a factor structure, so slope matrices can be estimated via low-rank regularized regression. We propose a multi-step estimation procedure incorporating sample splitting and partialing-out to enable valid inference after penalized estimation. We establish the asymptotic normality of the resulting…

利用学习所得聚类对相依数据进行推断AI 解读

Abstract This article presents and analyzes an approach to cluster-based inference for dependent data. The primary setting considered here is with spatially indexed data in which the dependence structure of observed random variables is characterized by a known, observed dissimilarity measure over spatial indices. Observations are partitioned into clusters with the use of an unsupervised clustering algorithm applied to the dissimilarity measure. Once the partition into…

低秩模型的统计推断AI 解读

This paper studies inference in linear models with a high-dimensional parameter matrix that can be well approximated by a “spiked low-rank matrix.” A spiked low-rank matrix has rank that grows slowly compared to its dimensions and nonzero singular values that diverge to infinity. We show that this framework covers a broad class of models of latent variables, which can accommodate matrix completion problems, factor models, varying coefficient models and heterogeneous…

含大量内生变量的高维线性模型AI 解读

High-dimensional linear models with endogenous variables play an increasingly important role in the recent econometric literature. In this work, we allow for models with many endogenous variables and make use of many instrumental variables to achieve identification. Because of the high-dimensionality in the structural equation, constructing honest confidence regions with asymptotically correct coverage is non-trivial. Our main contribution is to propose estimators and…

高维经济应用中的因子 Lasso 与 k 步 Bootstrap 推断AI 解读

We consider inference about coefficients on a small number of variables of interest in a linear panel data model with additive unobserved individual and time specific effects and a large number of additional time-varying confounding variables. We suppose that, in addition to unrestricted time and individual specific effects, these confounding variables are generated by a small number of common factors and high-dimensional weakly dependent disturbances. We allow that both the…

We revisit the classic semi‐parametric problem of inference on a low‐dimensional parameter θ0 in the presence of high‐dimensional nuisance parameters η0. We depart from the classical setting by allowing for η0 to be so high‐dimensional that the traditional assumptions (e.g. Donsker properties) that limit complexity of the parameter space for this object break down. To estimate η0, we consider the use of statistical or machine learning (ML) methods, which are particularly…

用 lava 恢复稠密与稀疏信号之和AI 解读

Common high-dimensional methods for prediction rely on having either a sparse signal model, a model in which most parameters are zero and there are a small number of nonzero parameters that are large in magnitude, or a dense signal model, a model with no large parameters and very many small nonzero parameters. We consider a generalization of these two basic models, termed here a “sparse $+$ dense” model, in which the signal is given by the sum of a sparse signal and a dense…

高维面板模型中的推断：枪支管制应用AI 解读

We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in a high-dimensional setting. The setting allows the number of time-varying regressors to be larger than the sample size. To make informative estimation and inference feasible, we require that the overall contribution of the time-varying variables after eliminating the individual specific heterogeneity can be captured by a relatively small number of the…

利用正则化 JIVE 处理大量弱工具变量的工具变量估计AI 解读

We consider instrumental variables regression in models where the number of available instruments may be larger than the sample size and consistent model selection in the first stage may not be possible. Such a situation may arise when there are many weak instruments. With many weak instruments, existing approaches to first-stage regularization can lead to a large bias relative to standard errors. We propose a jackknife instrumental variables estimator (JIVE) with…

采用灵活分布的工具变量估计AI 解读

Instrumental variables are often associated with low estimator precision. This article explores efficiency gains that might be achievable using moment conditions that are nonlinear in the disturbances and are based on flexible parametric families for error distributions. We show that these estimators can achieve the semiparametric efficiency bound when the true error distribution is a member of the parametric family. Monte Carlo simulations demonstrate low efficiency loss in…

分位数回归模型的有限样本推断AI 解读

Under minimal assumptions, finite sample confidence bands for quantile regression models can be constructed. These confidence bands are based on the "conditional pivotal property" of estimating equations that quantile regression methods solve and provide valid finite sample inference for linear and nonlinear quantile models with endogenous or exogenous covariates. The confidence regions can be computed using Markov Chain Monte Carlo (MCMC) methods. We illustrate the finite…

工具变量回归中可容许的不变相似检验AI 解读

This paper studies a model widely used in the weak instruments literature and establishes admissibility of the weighted average power likelihood ratio tests recently derived by Andrews, Moreira, and Stock (2004, NBER Technical Working Paper 199). The class of tests covered by this admissibility result contains the Anderson and Rubin (1949, Annals of Mathematical Statistics 20, 46–63) test. Thus, there is no conventional statistical sense in which the Anderson and Rubin…

非线性固定效应面板模型中降低偏差的惩罚函数方法AI 解读

We consider estimation of nonlinear panel data models with individual specific fixed effects. Estimation of these models is complicated since estimation of the fixed effects when the time dimension is short generally results in inconsistent estimates of all model parameters. We present a penalized objective function that reduces the bias in the resulting point estimates. The penalty function is simple to construct and requires no modification for models with multiple…

非参数相关随机效应模型中边际效应的识别AI 解读

In this article, we consider identification and estimation of average marginal effects in a correlated random effects model without imposing functional form assumptions on the structural likelihood or the mixing distribution. Identification is achieved through imposing that the mixing distribution depends on observed covariates only through an index function. We leave the functional form of the index function unrestricted subject to smoothness conditions. We present…

多工具变量下的估计AI 解读

Using many valid instrumental variables has the potential to improve efficiency but makes the usual inference procedures inaccurate. We give corrected standard errors, an extension of Bekker to nonnormal disturbances, that adjust for many instruments. We find that this adjustment is useful in empirical work, simulations, and in the asymptotic theory. Use of the corrected standard errors in t-ratios leads to an asymptotic approximation order that is the same when the number…

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摘要暂缺

分位数处理效应的工具变量模型AI 解读

The ability of quantile regression models to characterize the heterogeneous impact of variables on different points of an outcome distribution makes them appealing in many economic applications. However, in observational studies, the variables of interest (e.g., education, prices) are often endogenous, making conventional quantile regression inconsistent and hence inappropriate for recovering the causal effects of these variables on the quantiles of economic outcomes. In…

401(k)参与对财富分布的影响：工具变量分位数回归分析AI 解读

We use instrumental quantile regression approach to examine the effects of 401(k) plans on wealth using data from the Survey of Income and Program Participation. Using 401(k) eligibility as an instrument for 401(k) participation, we estimate the quantile treatment effects of participation in a 401(k) plan on several measures of wealth. The results show the effects of 401(k) participation on net financial assets are positive and significant over the entire range of the asset…