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We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., a factor structure). We show that previously developed estimators and confidence intervals (CIs) are heavily biased and size distorted when some of the factors are weak. Combining the theory of minimax linear estimation with a nuclear norm bound on the error of an initial estimate of the interactive effects, we propose estimators with improved rates of…

适应模型误设的估计AI 解读

Empirical research typically involves a robustness‐efficiency tradeoff. A researcher seeking to estimate a scalar parameter can invoke strong assumptions to motivate a restricted estimator that is precise but may be heavily biased, or they can relax some of these assumptions to motivate a more robust, but variable, unrestricted estimator. When a bound on the bias of the restricted estimator is available, it is optimal to shrink the unrestricted estimator towards the…

稳健经验贝叶斯置信区间AI 解读

We construct robust empirical Bayes confidence intervals (EBCIs) in a normal means problem. The intervals are centered at the usual linear empirical Bayes estimator, but use a critical value accounting for shrinkage. Parametric EBCIs that assume a normal distribution for the means (Morris (1983b)) may substantially undercover when this assumption is violated. In contrast, our EBCIs control coverage regardless of the means distribution, while remaining close in length to the…

无混杂条件下平均处理效应的有限样本最优估计与推断AI 解读

We consider estimation and inference on average treatment effects under unconfoundedness conditional on the realizations of the treatment variable and covariates. Given nonparametric smoothness and/or shape restrictions on the conditional mean of the outcome variable, we derive estimators and confidence intervals (CIs) that are optimal in finite samples when the regression errors are normal with known variance. In contrast to conventional CIs, our CIs use a larger critical…

利用近似矩条件模型进行敏感性分析AI 解读

We consider inference in models defined by approximate moment conditions. We show that near‐optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard error times a critical value that takes into account the potential bias from misspecification of the moment conditions. In order to optimize performance under potential misspecification, the weighting matrix for this GMM estimator takes…

非参数回归中简单且诚实的置信区间AI 解读

We consider the problem of constructing honest confidence intervals (CIs) for a scalar parameter of interest, such as the regression discontinuity parameter, in nonparametric regression based on kernel or local polynomial estimators. To ensure that our CIs are honest, we use critical values that take into account the possible bias of the estimator upon which the CIs are based. We show that this approach leads to CIs that are more efficient than conventional CIs that achieve…

条件矩不等式检验统计量的选择AI 解读

This paper derives asymptotic approximations to the power of Cramer–von Mises (CvM) style tests for inference on a finite dimensional parameter defined by conditional moment inequalities in the case where the parameter is set identified. Combined with power results for Kolmogorov–Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting function and, for tests based on kernel estimates, kernel bandwidth. The results show that, in the…

一类回归模型中的最优推断AI 解读

We consider the problem of constructing confidence intervals (CIs) for a linear functional of a regression function, such as its value at a point, the regression discontinuity parameter, or a regression coefficient in a linear or partly linear regression. Our main assumption is that the regression function is known to lie in a convex function class, which covers most smoothness and/or shape assumptions used in econometrics. We derive finite‐sample optimal CIs and sharp…

已知第一阶段符号时的无偏工具变量估计AI 解读

We derive mean-unbiased estimators for the structural parameter in instrumental variables models with a single endogenous regressor where the sign of one or more first-stage coefficients is known. In the case with a single instrument, there is a unique nonrandomized unbiased estimator based on the reduced-form and first-stage regression estimates. For cases with multiple instruments we propose a class of unbiased estimators and show that an estimator within this class is…

条件矩不等式的多尺度自适应推断AI 解读

This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple analytic formula, and to prove the asymptotic validity of a modified bootstrap procedure. The asymptotic distribution is extreme value, and the proof uses new techniques to overcome several technical obstacles. The test detects local…

含经济供给模型的差异化产品需求估计：大市场渐近分析AI 解读

IO economists often estimate demand for differentiated products using data sets with a small number of large markets. By modeling demand as depending on a small number of product characteristics, one might hope to obtain increasingly precise estimates of demand parameters as the number of products in a single market grows large. In this paper, I address the question of consistency and asymptotic distributions of IV estimates of demand in a small number of markets as the…

条件矩不等式模型中的渐近精确推断AI 解读

This paper derives the rate of convergence and asymptotic distribution for a class of Kolmogorov–Smirnov style test statistics for conditional moment inequality models for parameters on the boundary of the identified set under general conditions. Using these results, I propose tests that are more powerful than existing approaches for choosing critical values for this test statistic. I quantify the power improvement by showing that the new tests can detect alternatives that…

条件矩不等式推断中的加权 KS 统计量AI 解读

This paper proposes set estimators and conservative confidence regions for the identified set in conditional moment inequality models using Kolmogorov–Smirnov statistics with a truncated inverse variance weighting with increasing truncation points. The new weighting differs from those proposed in the literature in two important ways. First, this paper shows that estimators based on KS statistics with the proposed weighting function converge to the identified set at a faster…

参数与半参数模型的快速重抽样方法AI 解读

We propose a fast resample method for two step nonlinear parametric and semiparametric models, which does not require recomputation of the second stage estimator during each resample iteration. The fast resample method directly exploits the score function representations computed on each bootstrap sample, thereby reducing computational time considerably. This method is used to approximate the limit distribution of parametric and semiparametric estimators, possibly simulation…

存在不可观测异质性时的拍卖界限AI 解读

Many empirical studies of auctions rely on the assumption that the researcher observes all variables that make auctions differ ex ante. When there is unobserved heterogeneity, the direction of the bias this causes is known only in a few restrictive examples. In this paper, I show that ignoring unobserved heterogeneity in a first price sealed bid auction with symmetric independent private values gives bounds on several quantities of economic interest under surprisingly…