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分位数回归的广义矩估计AI 解读

This paper develops generalized method of moments (GMM) estimation and inference procedures for quantile regression models. We propose a GMM estimator for simultaneous estimation across multiple quantiles. This estimator allows us to model quantile regression coefficients using flexible parametric restrictions across quantiles. The restrictions and simultaneous estimation lead to efficiency gains compared to standard methods. We establish the asymptotic properties of the GMM…

处理前拟合不完全的合成控制方法AI 解读

We analyze the properties of the Synthetic Control (SC) and related estimators when the pre‐treatment fit is imperfect. In this framework, we show that these estimators are generally biased if treatment assignment is correlated with unobserved confounders, even when the number of pre‐treatment periods goes to infinity. Still, we show that a demeaned version of the SC method can improve in terms of bias and variance relative to the difference‐in‐difference estimator. We also…

We derive an inference method that works in differences-in-differences settings with few treated and many control groups in the presence of heteroskedasticity. As a leading example, we provide theoretical justification and empirical evidence that heteroskedasticity generated by variation in group sizes can invalidate existing inference methods, even in data sets with a large number of observations per group. In contrast, our inference method remains valid in this case. Our…

利用不平等指标变化识别与估计干预的分布影响AI 解读

This paper presents estimators of distributional impacts of interventions when selection to the program is based on observable characteristics. Distributional impacts are calculated as differences in inequality measures of the marginal distributions of potential outcomes of receiving and not receiving the treatment. The estimation procedure involves a first non-parametric estimation of the propensity score. In the second step weighted versions of inequality measures are…