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随机效应分位数回归模型的半参数方法AI 解读

We consider a random effects quantile regression analysis of clustered data and propose a semiparametric approach using empirical likelihood. The random regression coefficients are assumed independent with a common mean, following parametrically specified distributions. The common mean corresponds to the population-average effects of explanatory variables on the conditional quantile of interest, while the random coefficients represent cluster specific deviations in the…

死亡截断结局下主层化因果效应的可识别性与估计AI 解读

In medical studies, there are many situations where the final outcomes are truncated by death, in which patients die before outcomes of interest are measured. In this article we consider identifiability and estimation of causal effects by principal stratification when some outcomes are truncated by death. Previous studies mostly focused on large sample bounds, Bayesian analysis, sensitivity analysis. In this article, we propose a new method for identifying the causal…

离散指数族的不稳定性、敏感性与退化AI 解读

In applications to dependent data, first and foremost relational data, a number of discrete exponential family models has turned out to be near-degenerate and problematic in terms of Markov chain Monte Carlo simulation and statistical inference. We introduce the notion of instability with an eye to characterize, detect, and penalize discrete exponential family models that are near-degenerate and problematic in terms of Markov chain Monte Carlo simulation and statistical…

因果推断中连续中间变量的贝叶斯半参数建模AI 解读

In causal inference studies, treatment comparisons often need to be adjusted for confounded post-treatment variables. Principal stratification (PS) is a framework to deal with such variables within the potential outcome approach to causal inference. Continuous intermediate variables introduce inferential challenges to PS analysis. Existing methods either dichotomize the intermediate variable, or assume a fully parametric model for the joint distribution of the potential…

收入波动异质性的半参数贝叶斯建模AI 解读

Research on income risk typically treats its proxy—income volatility, the expected magnitude of income changes—as if it were unchanged for an individual over time, the same for everyone at a point in time, or both. In reality, income risk evolves over time, and some people face more of it than others. To model heterogeneity and dynamics in (unobserved) income volatility, we develop a novel semiparametric Bayesian stochastic volatility model. Our Markovian hierarchical…

动态非线性固定效应面板模型的偏差减少AI 解读

The fixed effects estimator of panel models can be severely biased because of well-known incidental parameter problems. It is shown that this bias can be reduced in nonlinear dynamic panel models. We consider asymptotics where n and T grow at the same rate as an approximation that facilitates comparison of bias properties. Under these asymptotics, the bias-corrected estimators we propose are centered at the truth, whereas fixed effects estimators are not. We discuss several…

用于评估主层直接效应的增强实验设计AI 解读

Summary Many studies involving causal questions are often concerned with understanding the causal pathways by which a treatment affects an outcome. Thus, the concept of ‘direct’versus‘indirect’ effects comes into play. We tackle the problem of disentangling direct and indirect effects by investigating new augmented experimental designs, where the treatment is randomized, and the mediating variable is not forced, but only randomly encouraged. There are two key features of our…

使用Aalen加性风险模型估计生存数据的直接效应AI 解读

Summary We extend the definition of the controlled direct effect of a point exposure on a survival outcome, other than through some given, time-fixed intermediate variable, to the additive hazard scale. We propose two-stage estimators for this effect when the exposure is dichotomous and randomly assigned and when the association between the intermediate variable and the survival outcome is confounded only by measured factors, which may themselves be affected by the exposure.…

所有权结构与融资约束：结构估计的证据AI 解读

This article examines the impact of the divergence between corporate insiders' control rights and cash-flow rights on firms' external finance constraints via generalized method of moments estimation of an investment Euler equation. Using a large sample of U.S. firms during the 1994–2002 period, we find that the shadow value of external funds is significantly higher for companies with a wider insider control-ownership divergence, suggesting that companies whose corporate…

处理效应估计的因果图及其在有效协变量选择中的应用AI 解读

Careful examination of the structure determining treatment choice and outcomes, as advocated by Heckman (2008), is central to the design of treatment effect estimators and, in particular, proper choice of covariates. Here, we demonstrate how causal diagrams developed in the machine learning literature by Judea Pearl and his colleagues, but not so well known to economists, can play a key role in this examination by using these methods to give a detailed analysis of the choice…

走上毒品阶梯：开始使用烈性毒品的贝叶斯分析AI 解读

Abstract Since empirical studies have shown that cannabis users are much more likely to initiate hard drug use, a causal linkage has been suggested (‘gateway hypothesis’). However, individual differences in proneness and accessibility to drugs provide alternative non‐causal explanations for the observed drug use pattern. We propose a Bayesian estimation and predictive framework to analyze the effects and relative importance of previous cannabis use, proneness and…

随机系数分布的简便估计方法AI 解读

We propose a simple mixtures estimator for recovering the joint distribution of parameter heterogeneity in economic models, such as the random coefficients logit. The estimator is based on linear regression subject to linear inequality constraints, and is robust, easy to program, and computationally attractive compared to alternative estimators for random coefficient models. For complex structural models, one does not need to nest a solution to the economic model during…

美国黑人与白人代际收入流动差异的非参数分析AI 解读

Lower intergenerational income mobility for blacks is a likely cause behind the persistent interracial gap in economic status in the United States.However, few studies have analyzed black-white differences in intergenerational income mobility and the factors that determine these differences.This is largely due to the absence of appropriate methodological tools.We develop nonparametric methods to estimate the effects of covariates on two measures of mobility.We first consider…

分布函数的反卷积估计AI 解读

The subject of this paper is the problem of nonparametric estimation of a continuous distribution function from observations with measurement errors. We study minimax complexity of this problem when unknown distribution has a density belonging to the Sobolev class, and the error density is ordinary smooth. We develop rate optimal estimators based on direct inversion of empirical characteristic function. We also derive minimax affine estimators of the distribution function…

网络模型的矩方法与度分布AI 解读

Probability models on graphs are becoming increasingly important in many applications, but statistical tools for fitting such models are not yet well developed. Here we propose a general method of moments approach that can be used to fit a large class of probability models through empirical counts of certain patterns in a graph. We establish some general asymptotic properties of empirical graph moments and prove consistency of the estimates as the graph size grows for all…

二元选择固定效应面板中的非参数模型AI 解读

In this paper we extend the fixed effects approach to deal with non‐linear panel data with non‐parametric components. Specifically, we propose a non‐parametric procedure that generalizes the conditional logit approach. We develop an estimator based on non‐linear stochastic integral equations and provide the asymptotic property of the estimator and an iterative algorithm to implement the estimator. We analyse the small sample behaviour of the estimator through a Monte Carlo…

带固定效应的非参数时变系数面板数据模型AI 解读

This paper is concerned with developing a non‐parametric time‐varying coefficient model with fixed effects to characterize non‐stationarity and trending phenomenon in a non‐linear panel data model. We develop two methods to estimate the trend function and the coefficient function without taking the first difference to eliminate the fixed effects. The first one eliminates the fixed effects by taking cross‐sectional averages, and then uses a non‐parametric local linear method…

有多少消费者是理性的？AI 解读

Rationality places strong restrictions on individual consumer behavior. This paper is concerned with assessing the validity of the integrability constraints imposed by standard utility maximization, arising in classical consumer demand analysis. More specifically, we characterize the testable implications of negative semidefiniteness and symmetry of the Slutsky matrix across a heterogeneous population without assuming anything on the functional form of individual…

企业套期保值对融资与投资的影响AI 解读

ABSTRACT We study the implications of hedging for corporate financing and investment. We do so using an extensive, hand‐collected data set on corporate hedging activities. Hedging can lower the odds of negative realizations, thereby reducing the expected costs of financial distress. In theory, this should ease a firm's access to credit. Using a tax‐based instrumental variable approach, we show that hedgers pay lower interest spreads and are less likely to have capital…

非连续价格调整：微观计量分析AI 解读

Based on a reduced-form state-dependent pricing model with random thresholds, we specify and estimate a nonlinear panel data model with an unobserved factor representing the common cost or demand components of the unobserved optimal price. Using this model, we are able to assess the relative importance of common and idiosyncratic shocks in explaining the frequency and magnitude of price changes in the case of a wide variety of consumer products in Belgium and France. We find…

生产函数参数估计的新方法：难以确定的资本—劳动替代弹性AI 解读

Parameters of taste and technology are central to a wide variety of economic models and issues. This article proposes a simple method for estimating production function parameters from panel data, with a particular focus on the elasticity of substitution between capital and labor. Elasticity estimates have varied widely, and a consensus estimate remains elusive. Our estimation strategy exploits long-run variation and thus avoids several pitfalls, including…

计件锦标赛中的同质与异质参赛者：理论与实证分析AI 解读

In this article we show that sorting different ability contestants in piece rate tournaments into more homogenous groups alters agents’ incentives to exert effort. We propose a method for structurally estimating the piece rate tournament game with heterogenous players and apply it to the payroll data from a broiler production contract. Our counterfactual analysis shows that under reasonable assumptions, both the principal and the growers can gain when the tournament groups…

个体固定效应面板线性回归的移动区块自助法AI 解读

In this paper we propose a bootstrap method for panel data linear regression models with individual fixed effects. The method consists of applying the standard moving blocks bootstrap of Künsch (1989, Annals of Statistics 17, 1217–1241) and Liu and Singh (1992, in R. LePage & L. Billiard (eds.), Exploring the Limits of the Bootstrap ) to the vector containing all the individual observations at each point in time. We show that this bootstrap is robust to serial and…

响应误分类下相关二元数据的边际分析方法AI 解读

Misclassification is a longstanding concern in medical research. Although there has been much research concerning error-prone covariates, relatively little work has been directed to problems with response variables subject to error. In this paper we focus on misclassification in clustered or longitudinal outcomes. We propose marginal analysis methods to handle binary responses which are subject to misclassification. The proposed methods have several appealing features,…