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离散选择模型条件矩不等式的降维推断AI 解读

This paper studies inference of preference parameters in semiparametric discrete choice models when these parameters are not point-identified and the identified set is characterized by a class of conditional moment inequalities. Exploring the semiparametric modeling restrictions, we show that the identified set can be equivalently formulated by moment inequalities conditional on only two continuous indexing variables. Such formulation holds regardless of the covariate…

两两稳定网络矩的弱大数定律AI 解读

This paper studies the dependence structure of sparse networks realized according to a strategic model of network formation with homophilous agents. We argue that equilibrium selection and chains of indirect dependence generated by strategic interactions are the main drivers of network dependence. Drawing on results in random-graph theory, we derive weak-dependence conditions under which a law of large numbers holds for a general class of network moments. A key condition…

存在内生性时分位数处理效应的闭式估计AI 解读

This paper studies the estimation of quantile treatment effects based on the instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2005). I develop a class of flexible plug-in estimators based on closed-form solutions derived from the IVQR moment conditions. The proposed estimators remain tractable and root-n-consistent, while allowing for rich patterns of effect heterogeneity. Functional central limit theorems and bootstrap validity results for…

是否应限制散户投资者的杠杆？AI 解读

Does the provision of leverage to retail traders improve market quality or facilitate socially inefficient speculation that enriches financial intermediaries? We evaluate the effects of 2010 regulations that cap leverage in the U.S. retail foreign exchange market. Using three unique data sets and a difference-in-differences approach, we document that the leverage-constraint reduces trading volume by 23%, alleviates high-leverage traders’ losses by 40%, and reduces…

谁愿意让保障性住房建在自家附近？低收入住房开发的均衡分析AI 解读

We nonparametrically estimate spillovers of properties financed by the Low Income Housing Tax Credit (LIHTC) onto neighborhood residents by developing a new difference-in-differences style estimator. LIHTC development revitalizes low-income neighborhoods, increasing house prices 6.5 percent, lowering crime rates, and attracting racially and income diverse populations. LIHTC development in higher-income areas causes house price declines of 2.5 percent and attracts…

高维经济应用中的因子 Lasso 与 k 步 Bootstrap 推断AI 解读

We consider inference about coefficients on a small number of variables of interest in a linear panel data model with additive unobserved individual and time specific effects and a large number of additional time-varying confounding variables. We suppose that, in addition to unrestricted time and individual specific effects, these confounding variables are generated by a small number of common factors and high-dimensional weakly dependent disturbances. We allow that both the…

面板反事实的参数、半参数与非参数构造AI 解读

Summary We consider panel parametric, semiparametric and nonparametric methods of constructing counterfactuals. We show through extensive simulations that no method is able to dominate other methods in all circumstances, since the true data‐generating process is typically unknown. We therefore also suggest a model‐averaging method as a robust method to generate counterfactuals. As an illustration of the sensitivity of counterfactual construction, we reexamine the impact of…

含时间不变解释变量的线性动态面板模型估计AI 解读

Summary We present a sequential approach to estimating a dynamic Hausman–Taylor model. We first estimate the coefficients of the time‐varying regressors and subsequently regress the first‐stage residuals on the time‐invariant regressors. In comparison to estimating all coefficients simultaneously, this two‐stage procedure is more robust against model misspecification, allows for a flexible choice of the first‐stage estimator, and enables simple testing of the overidentifying…

利用抵押贷款利率跳跃估计跨期替代弹性AI 解读

Using a novel source of quasi-experimental variation in interest rates, we develop a new approach to estimating the Elasticity of Intertemporal Substitution (EIS). In the U.K., the mortgage interest rate features discrete jumps—notches—at thresholds for the loan-to-value (LTV) ratio. These notches generate large bunching below the critical LTV thresholds and missing mass above them. We develop a dynamic model that links these empirical moments to the underlying structural…

可能包含大量协变量时的两步估计与推断AI 解读

We study the implications of including many covariates in a first-step estimate entering a two-step estimation procedure. We find that a first-order bias emerges when the number of included covariates is “large” relative to the square-root of sample size, rendering standard inference procedures invalid. We show that the jackknife is able to estimate this “many covariates” bias consistently, thereby delivering a new automatic bias-corrected two-step point estimator. The…

面板数据模型中不同个体效应的分离AI 解读

Summary In this paper we consider a panel data model with individual effects that are arbitrarily correlated with the explanatory variables. The effects are composed as the sum of two different interpretable components, such as inefficiency versus heterogeneity in a production frontier setting, or ability versus socioeconomic background in an earnings function, or genetics versus environment in an epidemiological analysis. We wish to predict the two components separately.…

一种新不平等指标的统计推断AI 解读

Summary In recent decades, substantial changes have been observed in the left and right tails of income distributions in countries like the USA, Germany, the UK, and France. These changes are a major concern for policy makers. Here, we derive inferential results for a new inequality index that is specifically designed for capturing such significant shifts. We propose two empirical estimators for the index and show that they are asymptotically equivalent. Afterward, we adopt…

协变量在合成控制法中的作用AI 解读

Summary Abadie et al. (2010) derive bounds on the bias of the synthetic control estimator under a perfect balance assumption on both observed covariates and pre-treatment outcomes. In the absence of a perfect balance on covariates, we show that it is still possible to derive such bounds, albeit at the expense of relying on stronger assumptions about the effects of observed and unobserved covariates and of generating looser bounds. We also show that a perfect balance on…

用马尔可夫转换图结构SUR模型刻画系统性风险AI 解读

We propose a Markov Switching Graphical Seemingly Unrelated Regression (MS-GSUR) model to investigate time-varying systemic risk based on a range of multi-factor asset pricing models. Methodologically, we develop a Markov Chain Monte Carlo (MCMC) scheme in which latent states are identified on the basis of a novel weighted eigenvector centrality measure. An empirical application to the constituents of the S&P100 index shows that cross-firm connectivity significantly…

优化的断点回归设计AI 解读

The increasing popularity of regression discontinuity methods for causal inference in observational studies has led to a proliferation of different estimating strategies, most of which involve first fitting nonparametric regression models on both sides of a treatment assignment boundary and then reporting plug-in estimates for the effect of interest. In applications, however, it is often difficult to tune the nonparametric regressions in a way that is well calibrated for the…

高维近似稀疏分位数回归模型中的有效选择后推断AI 解读

This work proposes new inference methods for a regression coefficient of interest in a (heterogeneous) quantile regression model. We consider a high-dimensional model where the number of regressors potentially exceeds the sample size but a subset of them suffice to construct a reasonable approximation to the conditional quantile function. The proposed methods are (explicitly or implicitly) based on orthogonal score functions that protect against moderate model selection…

析因实验中的因果交互作用：联合分析应用AI 解读

We study causal interaction in factorial experiments, in which several factors, each with multiple levels, are randomized to form a large number of possible treatment combinations. Examples of such experiments include conjoint analysis, which is often used by social scientists to analyze multidimensional preferences in a population. To characterize the structure of causal interaction in factorial experiments, we propose a new causal interaction effect, called the average…

观察性研究中代表性干预下风险的逆概率加权估计AI 解读

Researchers are often interested in using observational data to estimate the effect on a health outcome of maintaining a continuous treatment within a pre-specified range over time; e.g. "always exercise at least 30 minutes per day". There may be many precise interventions that could achieve this range. In this paper we consider representative interventions. These are special cases of random dynamic interventions; interventions under which treatment at each time is assigned…

基于增量倾向得分干预的非参数因果效应AI 解读

Most work in causal inference considers deterministic interventions that set each unit’s treatment to some fixed value. However, under positivity violations these interventions can lead to nonidentification, inefficiency, and effects with little practical relevance. Further, corresponding effects in longitudinal studies are highly sensitive to the curse of dimensionality, resulting in widespread use of unrealistic parametric models. We propose a novel solution to these…

成对匹配观察性研究的敏感性值AI 解读

This article proposes a new quantity called the “sensitivity value,” which is defined as the minimum strength of unmeasured confounders needed to change the qualitative conclusions of a naive analysis assuming no unmeasured confounder. We establish the asymptotic normality of the sensitivity value in pair-matched observational studies. The theoretical results are then used to approximate the power of a sensitivity analysis and select the design of a study. We explore the…

社区数量未知时的概率社区检测AI 解读

A fundamental problem in network analysis is clustering the nodes into groups which share a similar connectivity pattern. Existing algorithms for community detection assume the knowledge of the number of clusters or estimate it a priori using various selection criteria and subsequently estimate the community structure. Ignoring the uncertainty in the first stage may lead to erroneous clustering, particularly when the community structure is vague. We instead propose a…

含协变量的有向网络模型中的统计推断AI 解读

Ting Yana http://orcid.org/0000-0001-9830-6646, Binyan Jiangb, Stephen E. Fienbergc* & Chenlei Lengd*a Department of Statistics, Central China Normal University, Wuhan, Chinab Department of Applied Mathematics, Hong Kong Polytechnic University, Hong Kong, Chinac Department of Statistics, Heinz College, Machine Learning Department, Cylab, Carnegie Mellon University, Pittsburgh, PAd Department of Statistics, University of Warwick and Alan Turing Institute, Coventry, UKCONTACT…

关于“不可观测选择与系数稳定性：理论与证据”及“测量不准的混杂因素放在左侧比右侧更有用”的评论AI 解读

We establish a link between the approaches proposed by Oster (2019) and Pei, Pischke, and Schwandt (2019) which contribute to the development of inferential procedures for causal effects in the challenging and empirically relevant situation where the unknown data-generation process is not included in the set of models considered by the investigator. We use the general misspecification framework recently proposed by De Luca, Magnus, and Peracchi (2018) to analyze and…

测量不准的混杂因素放在回归左侧更有用AI 解读

Researchers frequently test identifying assumptions in regression-based research designs (which include instrumental variables or difference-in-differences models) by adding additional control variables on the right-hand side of the regression. If such additions do not affect the coefficient of interest (much), a study is presumed to be reliable. We caution that such invariance may result from the fact that the observed variables used in such robustness checks are often poor…