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内生折点门槛回归AI 解读

This article considers an endogenous kink threshold regression model with an unknown threshold value in a time series as well as a panel data framework, where both the threshold variable and regressors are allowed to be endogenous. We construct our estimators from a nonparametric control function approach and derive the consistency and asymptotic distribution of our proposed estimators. Monte Carlo simulations are used to assess the finite sample performance of our proposed…

门槛非线性与民主—增长关系AI 解读

Summary This paper investigates the relationship between democracy and economic growth in the context of a linear index threshold regression model. We first introduce the baseline model with endogeneity and propose a two-step smoothed generalised method of moments estimation method. We establish the consistency and derive the asymptotic distributions of the proposed estimators. We then extend the approach to a dynamic panel context and employ the model to explore the impact…

半参数门限回归中的内生性AI 解读

This paper estimates threshold regression models with an endogenous threshold variable using a nonparametric control function approach. Assuming diminishing threshold effects, we derive the consistency and limiting distribution of our proposed estimator constructed from the series approximation method for weakly dependent data. In addition, we propose a test for the endogeneity of the threshold variable, which is valid regardless of whether the threshold effects exist. We…

结构门槛回归AI 解读

This paper introduces the structural threshold regression (STR) model that allows for an endogenous threshold variable as well as for endogenous regressors. This model provides a parsimonious way of modeling nonlinearities and has many potential applications in economics and finance. Our framework can be viewed as a generalization of the simple threshold regression framework of Hansen (2000, Econometrica 68, 575–603) and Caner and Hansen (2004, Econometric Theory 20,…

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半参数等价尺度的估计AI 解读

Abstract Within the semiparametric framework introduced by Pendakur ( 1999 ) we introduce a new loss function to estimate equivalence scales. This loss function uses all available information from the total expenditures of both the reference and nonreference households and as such it produces more reliable estimates. Using Canadian family expenditure data for 1996 we apply this loss function to obtain equivalence scale estimates for a variety of expenditure share categories…

经济发展与人力资本回报：平滑系数半参数方法AI 解读

Abstract This paper investigates the impact of human capital on the process of economic growth by allowing the contribution of traditional inputs (capital and labour) as well as that of human capital to vary both across countries and time. The former is accomplished by constructing an index of TFP growth for traditional inputs, while the latter through semiparametric methods. We derive estimates of the output elasticity and social return to human capital for 51 countries at…

基于最大熵密度的部分自适应估计AI 解读

We propose a partially adaptive estimator based on information theoretic maximum entropy estimates of the error distribution. The maximum entropy (maxent) densities have simple yet flexible functional forms to nest most of the mathematical distributions. Unlike the non-parametric fully adaptive estimators, our parametric estimators do not involve choosing a bandwidth or trimming, and only require estimating a small number of nuisance parameters, which is desirable when the…

跨国增长回归中的非线性：半参数方法AI 解读

In this paper we employ an additive semiparametric partially linear model to uncover the way that initial output and schooling levels affect growth rates. Our results based on marginal integration allow for graphical representation of the non-linearities that characterize the effects that these variables have on growth rates and suggest the presence of multiple regimes (equilibria). Our findings seem to be in agreement with those of Durlauf and Johnson (1995) and Hansen…

偏好异质性与需求系统的秩AI 解读

This article examines the effect of preference heterogeneity on nonparametric and parametric tests of the rank of demand systems. Using samples of households drawn from the U.K. Family Expenditure Survey, the authors find that preference heterogeneity increases the rank of demand systems. When the effects of household characteristics on demand are removed by semiparametric techniques, a rank-three demand system appears to be an adequate empirical specification for all…

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N-kernel 软件评述AI 解读

Abstract The package performs estimation and prediction in the context of time‐series or cross‐section nonparametric models. It is menu‐driven and very easy to operate. The manual reads well. This version has some limitations, which can easily be corrected. Nevertheless it provides a useful pedagogical and research tool, even for people not familiar with nonparametric analysis.