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长周期的建模与推断AI 解读

Recurrent boom-and-bust cycles are a salient feature of economic and financial history. Cycles found in the data are stochastic, often highly persistent, and span substantial fractions of the sample size. We refer to such cycles as “long”. In this paper, we develop a novel approach to modeling cyclical behavior specifically designed to capture long cycles. We show that existing inferential procedures may produce misleading results in the presence of long cycles and propose a…

非可分三角模型中个体处理效应的推断AI 解读

In nonseparable triangular models with a binary endogenous treatment and a binary instrumental variable, Vuong and Xu (2017) established identification results for individual treatment effects (ITEs) under the rank invariance assumption. Using their approach, Feng et al. (2019) proposed a uniformly consistent kernel estimator for the density of the ITE that utilizes estimated ITEs. In this paper, we establish the asymptotic normality of the density estimator of Feng et al.…

网络依赖随机变量的极限定理AI 解读

This paper is concerned with cross-sectional dependence arising because observations are interconnected through an observed network. Following (Doukhan and Louhichi, 1999), we measure the strength of dependence by covariances of nonlinearly transformed variables. We provide a law of large numbers and central limit theorem for network dependent variables. We also provide a method of calculating standard errors robust to general forms of network dependence. For that purpose,…

第一价格拍卖中基于 GPV 估计量的推断AI 解读

We consider inference on the probability density of valuations in the first-price sealed-bid auctions model within the independent private value paradigm. We show the asymptotic normality of the two-step nonparametric estimator of Guerre et al. (2000) (GPV), and propose an easily implementable and consistent estimator of the asymptotic variance. We prove the validity of the pointwise percentile bootstrap confidence intervals based on the GPV estimator. Lastly, we use the…

线性工具变量模型中的最优推断AI 解读

This paper considers tests and confidence sets (CSs) concerning the coefficient on the endogenous variable in the linear IV regression model with homoskedastic normal errors and one right‐hand side endogenous variable. The paper derives a finite‐sample lower bound function for the probability that a CS constructed using a two‐sided invariant similar test has infinite length and shows numerically that the conditional likelihood ratio (CLR) CS of Moreira (2003) is not always…

In fuzzy regression discontinuity (FRD) designs, the treatment effect is identified through a discontinuity in the conditional probability of treatment assignment. We show that when identification is weak (i.e., when the discontinuity is of a small magnitude), the usual t-test based on the FRD estimator and its standard error suffers from asymptotic size distortions as in a standard instrumental variables setting. This problem can be especially severe in the FRD setting…

第一价格拍卖应采用何种进入模型？一种非参数方法AI 解读

We develop a selective entry model for first-price auctions that nests two polar models often estimated in the empirical literature on auctions, Levin and Smith (1994), and Samuelson (1985). The selective entry model features a pro-competitive selection effect. The selection effect is shown to be nonparametrically identifiable, and a nonparametric test for its presence is proposed. This test can be used to discriminate between the two polar models.

选定拟合度量下误设矩限制模型的最优比较AI 解读

Suppose that the econometrician is interested in comparing two misspecified moment restriction models, where the comparison is performed in terms of some chosen measure of fit. This paper is concerned with describing an optimal test of the Vuong (1989) and Rivers and Vuong (2002) type null hypothesis that the two models are equivalent under the given measure of fit (the ranking may vary for different measures). We adopt the generalized Neyman–Pearson optimality criterion,…

误设校准模型的比较：最小距离方法AI 解读

This paper proposes several testing procedures for comparison of misspecified calibrated models. The proposed tests are of the Vuong-type (Vuong, 1989; Rivers and Vuong, 2002). In our framework, the econometrician selects values for model’s parameters in order to match some characteristics of data with those implied by the theoretical model. We assume that all competing models are misspecified, and suggest a test for the null hypothesis that they provide equivalent fit to…

第一价格拍卖的分位数非参数推断AI 解读

We propose a quantile-based nonparametric approach to inference on the probability density function (PDF) of the private values in first-price sealed-bid auctions with independent private values. Our method of inference is based on a fully nonparametric kernel-based estimator of the quantiles and PDF of observable bids. Our estimator attains the optimal rate of Guerre et al. (2000), and is also asymptotically normal with an appropriate choice of the bandwidth.

非线性、非平稳性与伪预测AI 解读

Implications of nonlinearity, nonstationarity and misspeci...cation are considered from a forecasting perspective. My model allows for small departures from the martingale di¤erence sequence hypothesis by including a nonlinear component, formulated as a general, integrable transformation of the I(1) predictor. I assume that the true generating mechanism is unknown to the econometrician and he is therefore forced to use some approximating functions. I show that the linear…

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