论文检索

劳动供给的非参数面板估计AI 解读

In this article, we estimate structural labor supply with piecewise-linear budgets and nonseparable endogenous unobserved heterogeneity. We propose a two-stage method to address the endogeneity issue that comes from the correlation between the covariates and unobserved heterogeneity. In the first stage, Evdokimov’s nonparametric de-convolution method serves to identify the conditional distribution of unobserved heterogeneity from the quasi-reduced model that uses panel data.…

位似效率：理论与应用AI 解读

We provide a nonparametric revealed preference approach to demand analysis based on homothetic efficiency. Homotheticity is widely assumed (often implicitly) because it is a convenient and often useful restriction. However, this assumption is rarely tested, and data rarely satisfy testable conditions. To overcome this, we provide a way to estimate homothetic efficiency of consumption choices. The method provides considerably higher discriminatory power against random…

不完整数据下分位数估计的一般框架AI 解读

Summary Quantile estimation has attracted significant research interest in recent years. However, there has been only a limited literature on quantile estimation in the presence of incomplete data. We propose a general framework to address this problem. Our framework combines the two widely adopted approaches for missing data analysis, the imputation approach and the inverse probability weighting approach, via the empirical likelihood method. The method proposed is capable…

通过定制损失函数实现协变量平衡的倾向得分估计AI 解读

In observational studies, propensity scores are commonly estimated by maximum likelihood but may fail to balance high-dimensional pretreatment covariates even after specification search. We introduce a general framework that unifies and generalizes several recent proposals to improve covariate balance when designing an observational study. Instead of the likelihood function, we propose to optimize special loss functions—covariate balancing scoring rules (CBSR)—to estimate…

图模型的组合推断AI 解读

We propose a new family of combinatorial inference problems for graphical models. Unlike classical statistical inference where the main interest is point estimation or parameter testing, combinatorial inference aims at testing the global structure of the underlying graph. Examples include testing the graph connectivity, the presence of a cycle of certain size, or the maximum degree of the graph. To begin with, we study the information-theoretic limits of a large family of…

广义随机森林AI 解读

We propose generalized random forests, a method for nonparametric statistical estimation based on random forests (Breiman [Mach. Learn. 45 (2001) 5–32]) that can be used to fit any quantity of interest identified as the solution to a set of local moment equations. Following the literature on local maximum likelihood estimation, our method considers a weighted set of nearby training examples; however, instead of using classical kernel weighting functions that are prone to a…

误分类二元内生解释变量效应的识别AI 解读

This paper studies identification of the effect of a mis-classified, binary, endogenous regressor when a discrete-valued instrumental variable is available. We begin by showing that the only existing point identification result for this model is incorrect. We go on to derive the sharp identified set under mean independence assumptions for the instrument and measurement error. The resulting bounds are novel and informative, but fail to point identify the effect of interest.…

大规模社交网络中的门户节点筛选AI 解读

Network autoregression model (NAM), as a powerful tool to study user social behaviors on large scale social networks, has drawn great attention in recent years. In this paper, we are interested in identifying the influential users (i.e., portal nodes) in a social network under the framework of NAM. Especially, we consider the autoregression model that allows to have a heterogeneous and sparse network effect coefficients. Therefore, the portal nodes take influential powers…

近似稀疏固定效应高维动态面板模型的一致有效推断AI 解读

We establish oracle inequalities for a version of the Lasso in high-dimensional fixed effects dynamic panel data models. The inequalities are valid for the coefficients of the dynamic and exogenous regressors. Separate oracle inequalities are derived for the fixed effects. Next, we show how one can conduct uniformly valid inference on the parameters of the model and construct a uniformly valid estimator of the asymptotic covariance matrix which is robust to conditional…

随机权重矩阵下空间自回归模型的估计AI 解读

We examine a higher-order spatial autoregressive model with stochastic, but exogenous, spatial weight matrices. Allowing a general spatial linear process form for the disturbances that permits many common types of error specifications as well as potential ‘long memory’, we provide sufficient conditions for consistency and asymptotic normality of instrumental variables, ordinary least squares, and pseudo maximum likelihood estimates. The implications of popular weight matrix…

实际与反事实增长发生曲线及 Δ 洛伦兹曲线：估计与推断AI 解读

Summary Different economic growth episodes display very different distributional characteristics, both across countries and over time. Growth is sometimes accompanied by rising and sometimes by falling inequality. Applied economists have come to rely on the growth incidence curve, which gives the quantile‐specific rate of income growth over a certain period, to describe these differences. This paper introduces a mean‐independent analogue, the delta Lorenz curve, which gives…

参与者信念不处于均衡时动态博弈的识别与估计AI 解读

This article deals with the identification and estimation of dynamic games when players’ beliefs about other players’ actions are biased, that is, beliefs do not represent the probability distribution of the actual behaviour of other players conditional on the information available. First, we show that an exclusion restriction, typically used to identify empirical games, provides testable non-parametric restrictions of the null hypothesis of equilibrium beliefs in dynamic…

密度比模型下优势指数的半参数推断AI 解读

An important and often discussed research problem in statistics is how to compare several populations; examples arise in medical science, engineering, finance and other fields. Often population means or medians are compared. However, one population may have a higher mean income, for example, because of a small number of super-rich individuals; the mean therefore may not reflect the wealth of the general population. Instead, an index of the degree of stochastic dominance of…

大衰退期间融资约束的就业效应AI 解读

Abstract Employment declined substantially during the 2007–2009 recession, especially in small and young firms. Using confidential firm-level data of the universe of firms and a difference-in-differences methodology, this paper estimates that financial constraints reduced employment growth by 4 to 8 percentage points in small firms relative to large firms and by 7 to 9 percentage points in young relative to old firms. I find that the effect of financial constraints on small…

招聘税收抵免的有效性AI 解读

This article analyses the effectiveness of hiring credits. Using comprehensive administrative data, we show that the French hiring credit, implemented during the Great Recession, had significant positive employment effects and no effects on wages. Relying on the quasi-experimental variation in labour cost triggered by the hiring credit, we estimate a structural search and matching model. Simulations of counterfactual policies show that the effectiveness of the hiring credit…

随机议价模型识别的新结果AI 解读

We present new identification results for stochastic sequential bargaining models when the data only reports the time of agreement and the evolution of observable states. With no information on the stochastic surplus available for allocation or how it is allocated under agreement, we recover the latent surplus process, the distribution of unobservable states, and the equilibrium outcome in counterfactual contexts. The method we propose, which is constructive and original,…

含时变解释变量的持续期模型分位数回归AI 解读

Since the seminal work of Koenker and Bassett (1978), quantile regression has become a widely used tool in duration analysis. The existing literature, however, has focused on time-invariant regressors, even though time-varying regressors are common in practice. In this paper, we introduce a quantile regression framework with time-varying regressors and develop quantile regression estimators. Our estimators are motivated by Manski’s (1975, 1985) maximum score estimator and…

双变量Probit模型、极大似然、伪真参数与部分识别AI 解读

This paper examines the notion of “identification by functional form” for two equation triangular systems for binary endogenous variables by providing a bridge between the literature on the recursive bivariate probit model and that on partial identification. We evaluate the impact of functional form on the performance of (quasi) maximum likelihood estimators, and investigate the practical importance of available instruments in both cases of correct and incorrect…

股利支付对同业影响的响应AI 解读

I show dividend policies have peer effects. My estimates indicate that firms speed up the time taken to make a dividend change by about 1.5 quarters and increase payments by 16% in response to peer changes. The peer effects matter in increases but not decreases. In contrast to dividends, repurchases show no peer effects. In addition, announcement returns indicate that investors partially anticipate the consequences of peer effects. Overall, peer interdependencies account for…

因子数多于可观测变量数时的因子增强回归模型 CCE 估计AI 解读

Summary This paper considers estimation of factor‐augmented panel data regression models. One of the most popular approaches towards this end is the common correlated effects (CCE) estimator of Pesaran (Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica , 2006, 74 , 967–1012, 2006). For the pooled version of this estimator to be consistent, either the number of observables must be larger than the number of unobserved…

利用局部工具变量曲线进行连续工具变量的稳健因果推断AI 解读

Summary Instrumental variables are commonly used to estimate effects of a treatment afflicted by unmeasured confounding, and in practice instruments are often continuous (e.g. measures of distance, or treatment preference). However, available methods for continuous instruments have important limitations: they either require restrictive parametric assumptions for identification, or else rely on modelling both the outcome and the treatment process well (and require modelling…

未知函数分布相等的综合非参数检验AI 解读

Summary We present a novel family of non-parametric omnibus tests of the hypothesis that two unknown but estimable functions are equal in distribution when applied to the observed data structure. We developed these tests, which represent a generalization of the maximum mean discrepancy tests described by Gretton and colleagues, using recent developments from the higher order pathwise differentiability literature. Despite their complex derivation, the associated test…

网络抽样设计效应的临界阈值AI 解读

Web crawling, snowball sampling, and respondent-driven sampling (RDS) are three types of network sampling techniques used to contact individuals in hard-to-reach populations. This paper studies these procedures as a Markov process on the social network that is indexed by a tree. Each node in this tree corresponds to an observation and each edge in the tree corresponds to a referral. Indexing with a tree (instead of a chain) allows for the sampled units to refer multiple…

含未观测随机动态效应的非线性时间序列与面板模型的拉普拉斯变换识别AI 解读

We consider nonlinear parametric and semi-parametric models for time series and panel data including unobserved dynamic effects. These regression models have an affine specification with respect to lagged endogenous variables and unobserved dynamic effects. We derive conditional moment restrictions based on suitable Laplace transforms. We show how to deploy these nonlinear moment restrictions to identify the parameters of the affine regression model, and the parametric or…