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Abstract We study identification and inference in first-price auctions with risk-averse bidders and selective entry, building on a flexible framework we call the Affiliated Signal with Risk Aversion (AS-RA) model. Assuming exogenous variation in either the number of potential bidders (N) or a continuous instrument (z) shifting opportunity costs of entry, we provide a sharp characterization of the nonparametric restrictions implied by equilibrium bidding. This…

过滤非平稳成分后的半参数动态 Copula 模型改进估计AI 解读

This paper considers estimation of short-run dynamics in time series that contain a nonstationary component. We assume that appropriate preliminary methods can be applied to the observed time series to separate short-run elements from long-run slowly evolving secular components, and focus on estimation of the short-run dynamics based on the filtered data. We use a flexible copula-generated Markov model to capture the nonlinear temporal dependence in the short-run component…

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使用非线性筛方法推断时间序列非参数条件矩限制AI 解读

This paper studies estimation of and inference on dynamic nonparametric conditional moment restrictions of high dimensional variables for weakly dependent data, where the unknown functions of endogenous variables can be approximated via nonlinear sieves such as neural networks and Gaussian radial bases. The true unknown functions and their sieve approximations are allowed to be in general weighted function spaces with unbounded supports, which is important for time series…

Abstract Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or irrelevant. Building on Bierens (1990), we propose penalized maximum statistics and combine bootstrap inference with model selection. Our method optimizes asymptotic power by…

Abstract We introduce two data-driven procedures for optimal estimation and inference in nonparametric models using instrumental variables. The first is a data-driven choice of sieve dimension for a popular class of sieve two-stage least-squares estimators. When implemented with this choice, estimators of both the structural function h0 and its derivatives (such as elasticities) converge at the fastest possible (i.e. minimax) rates in sup-norm. The second is for constructing…

不依赖理性预期的矩条件模型稳健推断AI 解读

Applied researchers using structural models under rational expectations (RE) often confront empirical evidence of misspecification. In this paper we consider a generic dynamic model that is posed as a vector of unconditional moment restrictions. We suppose that the model is globally misspecified under RE, and thus empirically flawed in a way that is not econometrically subtle. We relax the RE restriction by allowing subjective beliefs to differ from the data-generating…

混杂变量维度增长时利用神经网络推断一般处理效应AI 解读

Semiparametric efficient estimation of various multi-valued causal effects, including quantile treatment effects, is important in economic, biomedical, and other social sciences. Under the unconfoundedness condition, adjustment for confounders requires estimating the nuisance functions relating outcome or treatment to confounders nonparametrically. This paper considers a generalized optimization framework for efficient estimation of general treatment effects using artificial…

非参数工具变量模型中的自适应速率最优假设检验AI 解读

We propose a new adaptive hypothesis test for inequality (e.g., monotonicity, convexity) and equality (e.g., parametric, semiparametric) restrictions on a structural function in a nonparametric instrumental variables (NPIV) model. Our test statistic is based on a modified leave‐one‐out sample analog of a quadratic distance between the restricted and unrestricted sieve two‐stage least squares estimators. We provide computationally simple, data‐driven choices of sieve tuning…

NPIV模型平均导数的有效估计：神经网络估计量的模拟比较AI 解读

Artificial Neural Networks (ANNs) can be viewed as nonlinear sieves that can approximate complex functions of high dimensional variables more effectively than linear sieves. We investigate the performance of various ANNs in nonparametric instrumental variables (NPIV) models of moderately high dimensional covariates that are relevant to empirical economics. We present two efficient procedures for estimation and inference on a weighted average derivative (WAD): an…

滤除非平稳性的 Copula 时间序列模型AI 解读

Economic and financial time series data can exhibit nonstationary and nonlinear patterns simultaneously. This paper studies copula-based time series models that capture both patterns. We introduce a procedure where nonstationarity is removed via a filtration, and then the nonlinear temporal dependence in the filtered data is captured via a flexible Markov copula. We propose two estimators of the copula dependence parameters: the parametric (two-step) copula estimator where…

多变量半非参数GARCH滤波Copula模型的有效估计AI 解读

This paper considers estimation of semi-nonparametric GARCH filtered copula models in which the individual time series are modeled by semi-nonparametric GARCH and the joint distributions of the multivariate standardized innovations are characterized by parametric copulas with nonparametric marginal distributions. The models extend those of Chen and Fan (2006) to allow for semi-nonparametric conditional means and volatilities, which are estimated via the method of sieves. The…

非参数分位数工具变量回归加权平均导数的惩罚筛广义经验似然AI 解读

This paper considers estimation and inference for a weighted average derivative (WAD) of a nonparametric quantile instrumental variables regression (NPQIV). NPQIV is a non-separable and nonlinear ill-posed inverse problem, which might be why there is no published work on the asymptotic properties of any estimator of its WAD. We first characterize the semiparametric efficiency bound for a WAD of a NPQIV, which, unfortunately, depends on an unknown conditional derivative…

扩展Roll模型中买卖价差的半参数估计AI 解读

We propose new methods for estimating the bid–ask spread from observed transaction prices alone. Our methods are based on the empirical characteristic function. We compare our methods theoretically and numerically with the Roll (1984) method as well as with its best known competitor, the Hasbrouck (2004) method, and find that our estimators perform much better when this distribution is far from Gaussian. Our methods are applied to the E-mini futures contract on the S&P 500…

非参数工具变量回归的最优上确界范数收敛率与非线性泛函一致推断AI 解读

This paper makes several important contributions to the literature about nonparametric instrumental variables (NPIV) estimation and inference on a structural function h0 and functionals of h0. First, we derive sup‐norm convergence rates for computationally simple sieve NPIV (series two‐stage least squares) estimators of h0 and its derivatives. Second, we derive a lower bound that describes the best possible (minimax) sup‐norm rates of estimating h0 and its derivatives, and…

识别集的蒙特卡洛置信集AI 解读

It is generally difficult to know whether the parameters in nonlinear econometric models are point‐identified. We provide computationally attractive procedures to construct confidence sets (CSs) for identified sets of the full parameter vector and of subvectors in models defined through a likelihood or a vector of moment equalities or inequalities. The CSs are based on level sets of “optimal” criterion functions (such as likelihoods, optimally‐weighted or…

正则模型中的过度识别AI 解读

In the unconditional moment restriction model of Hansen (), specification tests and more efficient estimators are both available whenever the number of moment restrictions exceeds the number of parameters of interest. We show that a similar relationship between potential refutability of a model and existence of more efficient estimators is present in much broader settings. Specifically, a condition we name local overidentification is shown to be equivalent to both the…

扩展Roll模型中买卖价差的半参数识别AI 解读

This paper provides new identification results for the bid–ask spread and the nonparametric distribution of the latent fundamental price increments (εt) from the observed transaction prices alone. The results are established via the characteristic function approach, and hence allow for discrete or continuous εt and the observed price increments do not need to have any finite moments. Constructive identification (and overidentification) results are established first in the…

依赖情形下自归一化的 Cramér 型中等偏差AI 解读

We establish a Cramér-type moderate deviation result for self-normalized sums of weakly dependent random variables, where the moment requirement is much weaker than the non-self-normalized counterpart. The range of the moderate deviation is shown to depend on the moment condition and the degree of dependence of the underlying processes. We consider three types of self-normalization: the equal-block scheme, the big-block-small-block scheme and the interlacing scheme.…

数量随样本增长的矩条件估计量平均AI 解读

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of $\sqrt n$ -consistent nonlinear estimators whose cardinality increases with sample size. The method can be compared with the usual approaches of combining the moment conditions (GMM) and combining the instruments (IV), and achieves similar objectives of aggregating the available information. One advantage of aggregating the estimators rather than the…

弱依赖数据下的筛法半参数两步 GMMAI 解读

This paper considers semiparametric two-step GMM estimation and inference with weakly dependent data, where unknown nuisance functions are estimated via sieve extremum estimation in the first step. We show that although the asymptotic variance of the second-step GMM estimator may not have a closed form expression, it can be well approximated by sieve variances that have simple closed form expressions. We present consistent or robust variance estimation, Wald tests and…

弱依赖与弱条件下级数估计量的最优一致收敛率及渐近正态性AI 解读

We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal uniform (i.e. sup-norm) convergence rate (n/logn)−p/(2p+d) of Stone (1982), where d is the number of regressors and p is the smoothness of the regression function. The optimal rate is achieved even for heavy-tailed martingale difference errors with finite (2+(d/p))th absolute moment for d/p<2. We also establish the asymptotic normality of t statistics for possibly…

半参数与非参数条件矩模型的筛法 Wald 与 QLR 推断AI 解读

This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals, which include all of the (nonlinear) nonparametric instrumental variables (IV) as special cases. These models are often ill-posed and hence it is difficult to verify whether a (possibly nonlinear) functional is root-n estimable or not. We provide computationally simple, unified inference procedures that are asymptotically valid…

弱依赖数据下高维矩约束的广义经验似然AI 解读

This paper considers the maximum generalized empirical likelihood (GEL) estimation and inference on parameters identified by high dimensional moment restrictions with weakly dependent data when the dimensions of the moment restrictions and the parameters diverge along with the sample size. The consistency with rates and the asymptotic normality of the GEL estimator are obtained by properly restricting the growth rates of the dimensions of the parameters and the moment…