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结构不稳定下预测交叉验证的分析AI 解读

When forecasting with economic time series data, researchers often use a restricted window of observations or downweight past observations in order to mitigate the potential effects of parameter instability. In this paper, we study the problem of selecting a window for point forecasts made at the end of the sample. We develop asymptotic approximations to the sampling properties of window selection methods, and post-window selection point forecasts, where there is local…

一口价拍卖中时间偏好与风险偏好的识别AI 解读

Buy price auctions merge a posted price option with a standard bidding mechanisms, and have been used by various online auction sites including eBay and General Motors Assistance Corporation. A buyer in a buy price auction can accept the buy price to win with certainty and end the auction early. Intuitively, the buy price option may appeal to bidders who are risk averse or impatient to obtain the good, and a number of authors have examined how such mechanisms can increase…

模型不确定性下的预测：表示与风险降低AI 解读

We consider forecasting with uncertainty about the choice of predictor variables. The researcher wants to select a model, estimate the parameters, and use this for forecasting. We investigate the dis-tributional properties of a number of different schemes for model choice and parameter estimation: in-sample model selection using the Akaike information criterion, out-of-sample model selection, and splitting the data into subsamples for model selection and parameter…

利用倾向得分的自适应实验设计AI 解读

Many social experiments are run in multiple waves or replicate earlier social experiments. In principle, the sampling design can be modified in later stages or replications to allow for more efficient estimation of causal effects. We consider the design of a two-stage experiment for estimating an average treatment effect when covariate information is available for experimental subjects. We use data from the first stage to choose a conditional treatment assignment rule for…

支持集依赖参数的参数化结构模型中的渐近效率AI 解读

In certain auction, search, and related models, the boundary of the support of the observed data depends on some of the parameters of interest. For such nonregular models, standard asymptotic distribution theory does not apply. Previous work has focused on characterizing the nonstandard limiting distributions of particular estimators in these models. In contrast, we study the problem of constructing efficient point estimators. We show that the maximum likelihood estimator is…

利用估计倾向得分高效估计平均处理效应AI 解读

We are interested in estimating the average effect of a binary treatment on a scalar outcome. If assignment to the treatment is exogenous or unconfounded, that is, independent of the potential outcomes given covariates, biases associated with simple treatment-control average comparisons can be removed by adjusting for differences in the covariates. Rosenbaum and Rubin (1983) show that adjusting solely for differences between treated and control units in the propensity score…

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