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基于广义经验似然的矩条件模型选择准则AI 解读

This paper proposes model selection criteria (MSC) for unconditional moment models using generalized empirical likelihood (GEL) statistics. The use of GEL-statistics in lieu of J-statistics (in the spirit of Andrews, 1999, Econometrica 67, 543–564; and Andrews and Lu, 2001, Journal of Econometrics 101, 123–164) leads to an alternative interpretation of the MSCs that emphasizes the common information-theoretic rationale underlying model selection procedures for both…

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经典估计的 MCMC 方法AI 解读

This paper studies computationally and theoretically attractive estimators called the Laplace type estimators (LTE), which include means and quantiles of Quasi-posterior distributions defined as transformations of general (non-likelihood-based) statistical criterion functions, such as those in GMM, nonlinear IV, empirical likelihood, and minimum distance methods. The approach generates an alternative to classical extremum estimation and also falls outside the parametric…

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内生解释变量下删失模型的推断AI 解读

This paper analyzes the linear regression model y = x + with a conditional median assumption Med( j z) = 0 where z is a vector of exogenous random variables. Added complication arise due to the censoring of the outcome y. We treat the censored model as a model with interval-observed outcomes thus obtaining an incomplete model with inequality restrictions on conditional median regressions. This allows us to use the estimator introduced by Manski and Tamer (2000) to analyze…

非对称升价拍卖的计量模型AI 解读

We develop econometric models of ascending (English) auctions which allow for both bid- der asymmetries as well as common and/or private value components in bidders’ underlying valuations. We show that the equilibrium inverse bid functions in each round of the auction are implicitly defined (pointwise) by a system of nonlinear equations, so that conditions for the existence and uniqueness of an increasing-strategy equilibrium are essentially identical to those which ensure a…

三步删失分位数回归与婚外情应用AI 解读

This article suggests very simple three-step estimators for censored quantile regression models with a separation restriction on the censoring probability. The estimators are theoretically attractive (i.e., asymptotically as efficient as the celebrated Powell's censored least absolute deviation estimator). At the same time, they are conceptually simple and have trivial computational expenses. They are especially useful in samples of small size or models with many regressors,…