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协变量阈值引致变点的 U 过程 M 估计量AI 解读

Economic theory often predicts a “tipping point” effect due to multiple equilibria. Linear threshold regressions estimate the “tipping point” by assuming at the same time that the response variable is linear in an index of covariates. However, economic theory rarely imposes a specific functional form, but rather predicts a monotonic relationship between the response variable and the index. We propose new, rank-based, estimators for both the “tipping point” and other…

尾部限制下二元响应模型截距估计量的根号 n 一致性AI 解读

The intercept of the binary response model is not regularly identified (i.e., $\sqrt n$ consistently estimable) when the support of both the special regressor V and the error term ε are the whole real line. The estimator of the intercept potentially has a slower than $\sqrt n$ convergence rate, which can result in a large estimation error in practice. This paper imposes additional tail restrictions which guarantee the regular identification of the intercept and thus the $\sqrt n$…