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具有因子残差的面板模型工具变量估计AI 解读

This paper proposes a new instrumental variables approach for consistent and asymptotically efficient estimation of panel data models with weakly exogenous or endogenous regressors and residuals generated by a multi-factor error structure. In this case, the standard dynamic panel estimators fail to provide consistent estimates of the parameters. The novelty of our approach is that we introduce new parameters to represent the unobserved covariances between the instruments and…

广义Roy模型与社会项目的成本收益分析AI 解读

The literature on treatment effects focuses on gross benefits from program participation. We extend this literature by developing conditions under which it is possible to identify parameters measuring the cost and net surplus from program participation. Using the generalized Roy model, we nonparametrically identify the cost, benefit, and net surplus of selection into treatment without requiring the analyst to have direct information on costs. We apply our methodology to…

Haavelmo 对联立方程估计的贡献AI 解读

This paper surveys Trygve Haavelmo’s contributions to econometrics. A brief summary of his 1944 monograph is followed by an analysis of the six important papers he contributed during 1943–47. Four of them were devoted to macroeconomic models including estimation of the Keynesian marginal propensity to consume; the first two introduced the methodology of a system of structural equations; the third marked a milestone in econometric method by deriving the reduced form of such a…

Summary Many empirical applications of regression discontinuity (RD) models use a running variable that is rounded and hence discrete, e.g. age in years, or birth weight in ounces. This paper shows that standard RD estimation using a rounded discrete running variable leads to inconsistent estimates of treatment effects, even when the true functional form relating the outcome and the running variable is known and is correctly specified. This paper provides simple formulas to…

Abstract This paper generalizes existing econometric models for censored competing risks by introducing a new flexible specification based on a piecewise linear baseline hazard, time‐varying regressors, and unobserved individual heterogeneity distributed as an infinite mixture of generalized inverse Gaussian (GIG) densities, nesting the gamma kernel as a special case. A common correlated latent time effect induces dependence among risks. Our model is based on underlying…

巴黎住房特征价格：含嵌套随机效应的非平衡空间滞后伪面板模型AI 解读

Summary This paper estimates a hedonic housing model based on flats sold in the city of Paris over the period 1990–2003. This is done using maximum likelihood estimation, taking into account the nested structure of the data. Paris is historically divided into 20 arrondissements , each divided into four quartiers (quarters), which in turn contain between 15 and 169 blocks ( îlot , in French) per quartier . This is an unbalanced pseudo‒panel data containing 156,896…

医院生产分析：产出指数方法AI 解读

Summary In this study, we develop and implement an output index approach to the estimation of hospital cost functions that reflects the differentiated nature of hospital care. The approach combines the estimation of an output index within a flexible functional form. We find, in an application to California hospitals, evidence of scope economies across specialties within primary care, and diseconomies of scope within secondary and tertiary care. Minimum efficient scale is…

超高维异质数据的条件分位数筛选AI 解读

To accommodate the heterogeneity that is often present in ultrahigh-dimensional data, we propose a conditional quantile screening method, which enables us to select features that contribute to the conditional quantile of the response given the covariates. The method can naturally handle censored data by incorporating a weighting scheme through redistribution of the mass to the right; moreover, it is invariant to monotone transformation of the response and requires…

信息性响应缺失下线性混合效应模型的变换方法AI 解读

We consider a linear mixed-effects model in which the response panel vector has missing components and the missing data mechanism depends on observed data as well as missing responses through unobserved random effects. Using a transformation of the data that eliminates the random effects, we derive asymptotically unbiased and normally distributed estimators of certain model parameters. Estimators of model parameters that cannot be estimated using the transformed data are…

最小绝对偏差回归及其他 Z 估计问题的一致有效选择后推断AI 解读

We develop uniformly valid confidence regions for regression coefficients in a high-dimensional sparse median regression model with homoscedastic errors. Our methods are based on a moment equation that is immunized against nonregular estimation of the nuisance part of the median regression function by using Neyman’s orthogonalization. We establish that the resulting instrumental median regression estimator of a target regression coefficient is asymptotically normally…

混合图模型的选择与估计AI 解读

We consider the problem of estimating the parameters in a pairwise graphical model in which the distribution of each node, conditioned on the others, may have a different exponential family form. We identify restrictions on the parameter space required for the existence of a well-defined joint density, and establish the consistency of the neighbourhood selection approach for graph reconstruction in high dimensions when the true underlying graph is sparse. Motivated by our…

删失数据下个体化治疗规则估计的双重稳健学习AI 解读

Individualized treatment rules recommend treatments based on individual patient characteristics in order to maximize clinical benefit. When the clinical outcome of interest is survival time, estimation is often complicated by censoring. We develop nonparametric methods for estimating an optimal individualized treatment rule in the presence of censored data. To adjust for censoring, we propose a doubly robust estimator which requires correct specification of either the…

纵向数据比例似然比模型的矩型估计量AI 解读

Luo & Tsai, Biometrika99, 211–22, 2012, proposed a proportional likelihood ratio model and discussed a maximum likelihood method for its parameter estimation. In this paper, we use this model as the marginal distribution to analyse longitudinal data, where the maximum likelihood method is not directly applicable because the joint distribution is not fully specified. We propose a moment-type method that is an extension of the generalized estimating equation method. The…

Summary We consider estimation of the causal effect of a binary treatment on an outcome, conditionally on covariates, from observational studies or natural experiments in which there is a binary instrument for treatment. We describe a doubly robust, locally efficient estimator of the parameters indexing a model for the local average treatment effect conditionally on covariates V when randomization of the instrument is only true conditionally on a high dimensional vector of…

完全依从或完全不依从生存研究中的因果推断：半参数变换模型AI 解读

Summary We consider causal inference in randomized survival studies with right-censored outcomes and all-or-nothing compliance, using semiparametric transformation models to estimate the distribution of survival times in treatment and control groups, conditionally on covariates and latent compliance type. Estimands depending on these distributions, e.g. the complier average causal effect, the complier effect on survival beyond time t and the complier quantile effect, are…

边际期望损失的估计：当相关变量处于极端值时AI 解读

Summary Denote the loss return on the equity of a financial institution as X and that of the entire market as Y. For a given very small value of p > 0, the marginal expected shortfall (MES) is defined as E{X|Y>QY(1−p)}, where Q Y(1 − p) is the (1 − p)th quantile of the distribution of Y. The MES is an important factor when measuring the systemic risk of financial institutions. For a wide non-parametric class of bivariate distributions, we construct an estimator of the MES…

空间误差动态面板模型的准极大似然估计AI 解读

We propose quasi maximum likelihood (QML) estimation of dynamic panel models with spatial errors when the cross-sectional dimension n is large and the time dimension T is fixed. We consider both the random effects and fixed effects models, and prove consistency and derive the limiting distributions of the QML estimators under different assumptions on the initial observations. We propose a residual-based bootstrap method for estimating the standard errors of the QML…

多市场差异化产品需求模型的渐近理论AI 解读

This paper develops asymptotic theory for differentiated product demand models with a large number of markets T. It takes into account that the predicted market shares are approximated by Monte Carlo integration with R draws and that the observed market shares are approximated from a sample of N consumers. The estimated parameters are T consistent and asymptotically normal as long as R and N grow fast enough relative to T. Both approximations yield additional bias and…

非经典测量误差下条件矩模型的半参数估计AI 解读

This paper develops a framework for the analysis of semiparametric conditional moment models with endogenous and mismeasured causes, which is of empirical importance. We show that one set of valid instruments is sufficient to control for both endogeneity and measurement errors of the causes of interest, which has been observed in linear parametric models. Two-step consistent estimators of the parameters of interest are proposed. We also show that the proposed estimators are…

条件分位数过程的非参数估计与推断AI 解读

This paper presents estimation methods and asymptotic theory for the analysis of a nonparametrically specified conditional quantile process. Two estimators based on local linear regressions are proposed. The first estimator applies simple inequality constraints while the second uses rearrangement to maintain quantile monotonicity. The bandwidth parameter is allowed to vary across quantiles to adapt to data sparsity. For inference, the paper first establishes a uniform…

基于固定平滑渐近与埃奇沃思展开的分位数推断改进AI 解读

To estimate a sample quantile’s variance, the quantile spacing method involves smoothing parameter m. When m,n→∞, the corresponding Studentized test statistic is asymptotically N(0,1). Holding m fixed instead, the asymptotic distribution contains the Edgeworth expansion term capturing the variance of the quantile spacing. Consequently, the fixed-m distribution is more accurate than the standard normal under both asymptotic frameworks. A testing-optimal m is proposed to…

二元结果半参数样本选择模型的边际效应估计AI 解读

This paper addresses the estimation of a semiparametric sample selection index model where both the selection rule and the outcome variable are binary. Since the marginal effects are often of primary interest and are difficult to recover in a semiparametric setting, we focus on developing an estimator for the marginal effects. This marginal effect estimator uses only observations where the selection probability is above a certain threshold. A key innovation is that this high…

不同收入与选择过程下匹配和双重差分的偏差分析AI 解读

Matching and Difference in Difference (DID) are two widespread methods that use pre-treatment outcomes to correct for selection bias. I detail the sources of bias of both estimators in a model of earnings dynamics and entry into a Job Training Program (JTP) and I assess their performances using Monte Carlo simulations of the model calibrated with realistic parameter values. I find that Matching generally underestimates the average causal effect of the program and gets closer…

Bottazzi and Peri (Economic Journal 2007; 117: 486–511) show the existence of a cointegrating relationship between the domestic stock of knowledge, domestic R&D and the international knowledge stock for a panel of OECD countries and interpret it as evidence supporting the semi-endogenous versus the endogenous growth theory. We replicate the baseline specification of their study and we show that main results are robust to the use of a different estimation strategy (Bai et…