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动态幂律分布的非参数方法与基于局部时间的估计AI 解读

Summary This paper introduces nonparametric econometric methods that characterize general power law distributions under basic stability conditions. These methods extend the literature on power laws in the social sciences in several directions. First, we show that any stationary distribution in a random growth setting is shaped entirely by two factors: the idiosyncratic volatilities and reversion rates (a measure of cross‐sectional mean reversion) for different ranks in the…

美国信用合作社行业的多元化经济AI 解读

Summary Significant scale economies have been recently cited to rationalize a dramatic growth in the US retail credit union sector over the past few decades. In this paper, we explore another plausible supply‐side explanation for the growth of the industry, namely economies of diversification. We focus on the fact that credit unions differ among themselves in the range of financial services they offer to their members. Since larger credit unions tend to offer a more…

带交互固定效应的大型异质面板离散选择模型：公司债发行决定因素AI 解读

Summary What is the effect of funding costs on the conditional probability of issuing a corporate bond? We study this question in a novel dataset covering 5610 issuances by US firms over the period from 1990 to 2014. Identification of this effect is complicated because of unobserved, common shocks such as the global financial crisis. To account for these shocks, we extend the common correlated effects estimator to settings where outcomes are discrete. Both the asymptotic…

未观测的选择异质性与性别工资差距AI 解读

Summary Selection correction methods usually make assumptions about selection itself. In the case of gender wage gap estimation, those assumptions are especially tenuous because of high female nonparticipation and because selection could be different in different parts of the labor market. This paper proposes an estimator for the wage gap that allows for arbitrary and unobserved heterogeneity in selection. It applies to the subpopulation of “always employed” women, which is…

同类匹配模型中的潜在指数AI 解读

A large class of two-sided matching models that include both transferable and non-transferable utility result in positive assortative matching along a latent index. Data from matching markets, however, may not exhibit perfect assortativity due to the presence of unobserved characteristics. This paper studies the identification and estimation of such models. We show that the distribution of the latent index is not identified when data from one-to-one matches are observed.…

组合离散选择模型与二元博弈的识别札记AI 解读

We study nonparametric identification of single-agent discrete choice models for bundles (without requiring bundle-specific prices) and of binary games of complete information. We show that these two models are quite similar from an identification standpoint. Moreover, they are mathematically equivalent when we restrict attention to the class of potential games and impose a specific equilibrium selection mechanism in the data generating process. We provide new identification…

一口价拍卖中时间偏好与风险偏好的识别AI 解读

Buy price auctions merge a posted price option with a standard bidding mechanisms, and have been used by various online auction sites including eBay and General Motors Assistance Corporation. A buyer in a buy price auction can accept the buy price to win with certainty and end the auction early. Intuitively, the buy price option may appeal to bidders who are risk averse or impatient to obtain the good, and a number of authors have examined how such mechanisms can increase…

动态技能积累、教育政策与 schooling 回报AI 解读

Using a dynamic skill accumulation model of schooling and labor supply with learning-by-doing, we decompose early life-cycle wage growth of U.S. white males into four main sources: education, hours worked, cognitive skills (Armed Forces Qualification Tests scores), and unobserved heterogeneity, and evaluate the effect of compulsory high school graduation and a reduction in the cost of college. About 60 percent of the differences in slopes of early life-cycle wage profiles…

尼日利亚 PEPFAR 项目中抗逆转录病毒治疗经依从性传导的路径特定效应AI 解读

Since the early 2000s, evidence has accumulated for a significant differential effect of first-line antiretroviral therapy (ART) regimens on human immunodeficiency virus (HIV) viral load suppression. This finding was replicated in our data from the Harvard President's Emergency Plan for AIDS Relief (PEPFAR) program in Nigeria. Investigators were interested in finding the source of these differences, i.e., understanding the mechanisms through which one regimen outperforms…

有限总体中心极限定理的一般形式及其因果推断应用AI 解读

Frequentists’ inference often delivers point estimators associated with confidence intervals or sets for parameters of interest. Constructing the confidence intervals or sets requires understanding the sampling distributions of the point estimators, which, in many but not all cases, are related to asymptotic Normal distributions ensured by central limit theorems. Although previous literature has established various forms of central limit theorems for statistical inference in…

平均处理效应匹配估计量的自助法推断AI 解读

It is known that the naive bootstrap is not asymptotically valid for a matching estimator of the average treatment effect with a fixed number of matches. In this article, we propose asymptotically valid inference methods for matching estimators based on the weighted bootstrap. The key is to construct bootstrap counterparts by resampling based on certain linear forms of the estimators. Our weighted bootstrap is applicable for the matching estimators of both the average…

从高维常微分方程重建网络AI 解读

We consider the task of learning a dynamical system from high-dimensional time-course data. For instance, we might wish to estimate a gene regulatory network from gene expression data measured at discrete time points. We model the dynamical system nonparametrically as a system of additive ordinary differential equations. Most existing methods for parameter estimation in ordinary differential equations estimate the derivatives from noisy observations. This is known to be…

网络总体的贝叶斯非参数建模AI 解读

Replicated network data are increasingly available in many research fields. For example, in connectomic applications, interconnections among brain regions are collected for each patient under study, motivating statistical models which can flexibly characterize the probabilistic generative mechanism underlying these network-valued data. Available models for a single network are not designed specifically for inference on the entire probability mass function of a network-valued…

偏倚抽样下生存数据分位数回归的估计与推断AI 解读

Biased sampling occurs frequently in economics, epidemiology, and medical studies either by design or due to data collecting mechanism. Failing to take into account the sampling bias usually leads to incorrect inference. We propose a unified estimation procedure and a computationally fast resampling method to make statistical inference for quantile regression with survival data under general biased sampling schemes, including but not limited to the length-biased sampling,…

含未知相关随机效应的二元响应面板模型的√N一致估计AI 解读

In this article, we consider the estimation of a panel data binary response model with a weak restriction imposed on the individual specific effects. Our estimator is n-consistent and asymptotically normal under reasonable regularity conditions. Furthermore, we allow the error terms to be heteroscedastic over time. The proposed estimator has a closed form expression and thus is very easy to compute. Simulations and the empirical illustration demonstrate the usefulness of our…

同时含时变与时间不变解释变量的若干非线性面板模型估计AI 解读

The so-called “fixed effects” approach to the estimation of panel data models suffers from the limitation that it is not possible to estimate the coefficients on explanatory variables that are time-invariant. This is in contrast to a “random effects” approach, which achieves this by making much stronger assumptions on the relationship between the explanatory variables and the individual-specific effect. In a linear model, it is possible to obtain the best of both worlds by…

空间自回归模型的设定检验AI 解读

This article considers a simple test for the correct specification of linear spatial autoregressive models, assuming that the choice of the weight matrix Wn is true. We derive the limiting distributions of the test under the null hypothesis of correct specification and a sequence of local alternatives. We show that the test is free of nuisance parameters asymptotically under the null and prove the consistency of our test. To improve the finite sample performance of our test,…

协变量自适应治疗分配中的信息与遗憾权衡AI 解读

Covariate-adaptive treatment allocation is considered in the situation when a compromise must be made between information (about the dependency of the probability of success of each treatment upon influential covariates) and cost (in terms of number of subjects receiving the poorest treatment). Information is measured through a design criterion for parameter estimation, the cost is additive and is related to the success probabilities. Within the framework of approximate…

利用方差限制识别社会网络中的同伴效应AI 解读

This paper presents a novel method to identify peer effects through exploiting fluctuations in the variances and covariances of outcomes over a social network. Endogenous and contextual peer effects can be disentangled by contrasting the covariances of the outcomes of peers with the covariances of the outcomes of peers of peers. Correlated effects are incorporated by allowing for unrestricted network level heterogeneity. The method is applied to the Project STAR data to…

二元响应面板数据模型中的多重固定效应AI 解读

This paper considers the adaptability of estimation methods for binary response panel data models to multiple fixed effects. It is motivated by the gravity equation used in international trade, where important papers use binary response models with fixed effects for both importing and exporting countries. Econometric theory has mostly focused on the estimation of single fixed effects models. This paper investigates whether existing methods can be modified to eliminate…

具有分块结构的超大网络稀疏估计AI 解读

Networks with a very large number of nodes appear in many application areas and pose challenges for traditional Gaussian graphical modelling approaches. In this paper, we focus on the estimation of a Gaussian graphical model when the dependence between variables has a block‐wise structure. We propose a penalized likelihood estimation of the inverse covariance matrix, also called Graphical LASSO, applied to block averages of observations, and we derive its asymptotic…

青少年就寝决策中的同伴效应：基于抽样数据的社会网络模型AI 解读

Using unique information on a representative sample of US teenagers, we investigate peer effects in adolescent bedtime decisions. We extend the nonlinear least‐squares estimator for spatial autoregressive models to estimate network models with network fixed effects and sampled observations on the dependent variable. We show the extent to which neglecting the sampling issue yields misleading inferential results. When accounting for sampling, we find that, besides the…

非均衡信念下第一价格拍卖的识别：测量误差方法AI 解读

This paper studies identification and estimation of two models for first-price auctions: (1) bidders’ beliefs about their opponents’ bidding behavior are not in equilibrium but follow “level-k” thinking, and (2) bidders’ values are asymmetrically distributed. Exploiting the nonparametric methodology developed for measurement error models (e.g., Hu, 2008), we show that both models can be identified by a unified methodology. The proposed methodology is applied to US Forest…

理解测量误差对分位数回归的影响AI 解读

The impact of measurement error in explanatory variables on quantile regression functions is investigated using a small variance approximation. The approximation shows how the error contaminated and error free quantile regression functions are related. A key factor is the distribution of the error free explanatory variable. Exact calculations probe the accuracy of the approximation. The order of the approximation error is unchanged if the density of the error free…