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通过条件分位数回归估计无条件分位数偏效应AI 解读

This paper develops a semi-parametric procedure for estimation of unconditional quantile partial effects using quantile regression coefficients. The estimator is based on an identification result showing that, for continuous covariates, unconditional quantile effects are a weighted average of conditional ones at particular quantile levels that depend on the covariates. We propose a two-step estimator for the unconditional effects where in the first step one estimates a…

一般政策干预的无条件效应AI 解读

This paper studies the unconditional effects of a general policy intervention, which includes location-scale shifts and simultaneous shifts as special cases. The location-scale shift is intended to study a counterfactual policy aimed at changing not only the mean or location of a covariate but also its dispersion or scale. The simultaneous shift refers to the situation where shifts in two or more covariates take place simultaneously. For example, a shift in one covariate is…

工具变量分位数回归的一阶段表示AI 解读

Summary This paper develops a first-stage linear regression representation for an instrumental variables (IV) quantile regression (QR) model. The quantile first stage is analogous to the least-squares case, i.e., a linear projection of the endogenous variables on the instruments and other exogenous covariates, with the difference that the QR case is a weighted projection. The weights are given by the conditional density function of the innovation term in the QR structural…

局部误设备择下的非线性限制检验及理性预期应用AI 解读

Summary This paper develops generalized method of moments-based (GMM-based) Lagrange multiplier tests for nonlinear hypotheses that are robust to locally misspecified possibly nonlinear alternatives. The procedure is based on an initial consistent GMM estimator of the parameters under a given set of nonlinear restrictions. The new test for one particular set of nonlinear hypotheses is consistent and has correct asymptotic size independently of whether the other, also…

单向误差分量模型中异方差的稳健检验AI 解读

This paper constructs tests for heteroskedasticity in one-way error components models, in line with Baltagi et al. [Baltagi, B.H., Bresson, G., Pirotte, A., 2006. Joint LM test for homoskedasticity in a one-way error component model. Journal of Econometrics 134, 401-417]. Our tests have two additional robustness properties. First, standard tests for heteroskedasticity in the individual component are shown to be negatively affected by heteroskedasticity in the remainder…

局部错设模型下的一般设定检验AI 解读

A well known result is that many of the tests used in econometrics, such as the Rao score (RS) test, may not be robust to misspecified alternatives, that is, when the alternative model does not correspond to the underlying data generating process. Under this scenario, these tests spuriously reject the null hypothesis too often. We generalize this result to generalized method of moments–based (GMM-based) tests. We also extend the method proposed in Bera and Yoon (1993,…