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基于最大化原则构建经验信用评分规则AI 解读

We examine the econometric implications of the decision problem faced by a profit/utility-maximizing lender operating in a simple "double-binary" environment, where the two actions available are "approve" or "reject", and the two states of the world are "pay back" or "default". In practice, such decisions are often made by applying a fixed cutoff to the maximum likelihood estimate of a parametric model of the default probability. Following (Elliott and Lieli, 2007), we argue…

对称性下样本选择模型的半参数与非参数估计AI 解读

This paper considers the semiparametric estimation of binary choice sample selection models under a joint symmetry assumption. Our approaches overcome various drawbacks associated with existing estimators. In particular, our method provides root-n consistent estimators for both the intercept and slope parameters of the outcome equation in a heteroscedastic framework, without the usual cross equation exclusion restriction or parametric specification for the error distribution…

结构计量模型中的间接推断AI 解读

This paper considers parametric inference in a wide range of structural econometric models. It illustrates how the indirect inference principle can be used in the inference of these models. Specifically, we show that an ordinary least squares (OLS) estimation can be used as an auxiliary model, which leads to a method that is similar in spirit to a two-stage least squares (2SLS) estimator. Monte Carlo studies and an empirical analysis of timber sale auctions held in Oregon…

分位数回归推断的贝叶斯非参数方法AI 解读

We develop a Bayesian method for nonparametric model–based quantile regression. The approach involves flexible Dirichlet process mixture models for the joint distribution of the response and the covariates, with posterior inference for different quantile curves emerging from the conditional response distribution given the covariates. An extension to allow for partially observed responses leads to a novel Tobit quantile regression framework. We use simulated data sets and two…

增广动态面板模型的迭代可行广义最小二乘估计AI 解读

This article provides the large sample distribution of the iterated feasible generalized least-squares (IFGLS) estimator of an augmented dynamic panel data model. The regressors in the model include lagged values of the dependent variable and may include other explanatory variables that, while exogenous with respect to the time-varying error component, may be correlated with an unobserved time-invariant component. The article compares the finite sample properties of the…

大麻非刑罪化与吸食率：来自澳大利亚的证据AI 解读

This article uses the 2001 National Drug Strategy Household Survey to assess the impact of marijuana decriminalization policy on marijuana smoking prevalence in Australia. Both parametric and nonparametric methods are used. The parametric approach includes endogenous probit switching, two-part, sample selection, and standard dummy variable models, while the nonparametric approach uses propensity score stratification matching. Specification analyses are also conducted. A…

具有网络结构的社会互动模型：设定与估计AI 解读

This paper considers the specification and estimation of social interaction models with network structures and the presence of endogenous, contextual and correlated effects. With macro group settings, group-specific fixed effects are also incorporated in the model. The network structure provides information on the identification of the various interaction effects. We propose a quasi-maximum likelihood approach for the estimation of the model. We derive the asymptotic…

协变量自适应随机化下的假设检验理论AI 解读

The covariate-adaptive randomization method was proposed for clinical trials long ago but little theoretical work has been done for statistical inference associated with it. Practitioners often apply test procedures available for simple randomization, which is controversial since procedures valid under simple randomization may not be valid under other randomization schemes. In this paper, we provide some theoretical results for testing hypotheses after covariate-adaptive…

淘汰劣势治疗设计的区间估计AI 解读

In the first stage of a two-stage, drop-the-losers design, a candidate for the best treatment is selected. At the second stage, additional observations are collected to decide whether the candidate is actually better than the control. The design also allows the investigator to stop the trial for ethical reasons at the end of the first stage if there is already strong evidence of futility or superiority. Two types of tests have recently been developed, one based on the…

分位数微积分与删失回归AI 解读

Quantile regression has been advocated in survival analysis to assess evolving covariate effects. However, challenges arise when the censoring time is not always observed and may be covariate-dependent, particularly in the presence of continuously-distributed covariates. In spite of several recent advances, existing methods either involve algorithmic complications or impose a probability grid. The former leads to difficulties in the implementation and asymptotics, whereas…

聚焦平均导数的单指标限制检验AI 解读

This paper considers a situation where the violation of a single-index restriction is a concern only to the extent that it causes bias to the estimates of the average derivatives. We propose a method to construct tests that concentrate their asymptotic powers upon only such interesting alternatives. The test has a limiting distribution under the null hypothesis, and even accommodates the case where the parameter estimates have a convergence rate slower than as in the case of…

相关误差 Probit 模型的高效估计AI 解读

Maximum Likelihood (ML) estimation of probit models with correlated errors typically requires high-dimensional truncated integration. Prominent examples of such models are multinomial probit models and binomial panel probit models with serially correlated errors. In this paper we propose to use a generic procedure known as Efficient Importance Sampling (EIS) for the evaluation of likelihood functions for probit models with correlated errors. Our proposed EIS algorithm covers…

变换加性可分模型的识别与非参数估计AI 解读

Let r(x,z) be a function that, along with its derivatives, can be consistently estimated nonparametrically. This paper discusses the identification and consistent estimation of the unknown functions H, M, G and F, where r(x,z)=H[M(x,z)], M(x,z)=G(x)+F(z), and H is strictly monotonic. An estimation algorithm is proposed for each of the model's unknown components when r(x,z) represents a conditional mean function. The resulting estimators use marginal integration to separate…

Hausman 预检验对假设检验尺寸的影响：面板数据情形AI 解读

The size properties of a two-stage test in a panel data model are investigated where in the first stage a Hausman (1978) specification test is used as a pretest of the random effects specification and in the second stage, a simple hypothesis about a component of the parameter vector is tested, using a t-statistic that is based on either the random effects or the fixed effects estimator depending on the outcome of the Hausman pretest. It is shown that the asymptotic size of…

序贯教育决策中的异质回报AI 解读

This paper presents a method for estimating returns to multiple schooling levels taking into account that returns may be heterogeneous among agents and that educational decisions are made sequentially. A sequential decision model explicitly considers that the level of education is the result of previous schooling choices and so, the variation of supply-side instruments over time will emerge as a source of identification of the desired parameters. A test for heterogeneity in…

观察性研究中的设计敏感度与效率AI 解读

An observational study attempts to draw inferences about the effects caused by a treatment when subjects are not randomly assigned to treatment or control as they would be in a randomized trial. After adjustments have been made for imbalances in measured covariates, the key source of uncertainty in an observational study is the possibility that subjects were not comparable prior to treatment in terms of some unmeasured covariate, so that differing outcomes in treated and…

分析有序偏好数据的贝叶斯向量多维尺度方法AI 解读

Multidimensional scaling (MDS) comprises a family of geometric models for the multidimensional representation of data and a corresponding set of methods for fitting such models to actual data. In this paper, we develop a new Bayesian vector MDS model to analyze ordered successive categories preference/dominance data commonly collected in many social science and business studies. A joint spatial representation of the row and column elements of the input data matrix is…

比较案例研究的合成控制方法：估计加州控烟计划的效果AI 解读

Building on an idea in Abadie and Gardeazabal (2003), this article investigates the application of synthetic control methods to comparative case studies. We discuss the advantages of these methods and apply them to study the effects of Proposition 99, a large-scale tobacco control program that California implemented in 1988. We demonstrate that, following Proposition 99, tobacco consumption fell markedly in California relative to a comparable synthetic control region. We…

随机系数模型的非参数分析AI 解读

Linearity in a causal relationship between a dependent variable and a set of regressors is a common assumption throughout economics. In this paper we consider the case when the coefficients in this relationship are random and distributed independently from the regressors. Our aim is to identify and estimate the distribution of the coefficients nonparametrically. We propose a kernel-based estimator for the joint probability density of the coefficients. Although this estimator…

部分识别结构方程中 LIML 估计量的渐近分布AI 解读

We derive a closed-form expression for the asymptotic distribution of the LIML estimator for the coefficients of both endogenous and exogenous variables in a partially identified linear structural equation. We extend previous results of Phillips (1989) and Choi and Phillips (1992), where the focus was on IV estimators. We show that partial failure of identification affects the LIML in that its moments do not exist even asymptotically.

处理效应分布的尖锐界及其统计推断AI 解读

In this paper, we propose nonparametric estimators of sharp bounds on the distribution of treatment effects of a binary treatment and establish their asymptotic distributions. We note the possible failure of the standard bootstrap with the same sample size and apply the fewer-than- n bootstrap to making inferences on these bounds. The finite sample performances of the confidence intervals for the bounds based on normal critical values, the standard bootstrap, and the…

具有有限个多重均衡的面板数据模型AI 解读

We study a nonlinear panel data model in which the fixed effects are assumed to have finite support. The fixed effects estimator is known to have the incidental parameters problem. We contribute to the literature by making a qualitative observation that the incidental parameters problem in this model may not be not as severe as in the conventional case. Because fixed effects have finite support, the probability of correctly identifying the fixed effect converges to one even…

动态离散选择结构模型：综述AI 解读

This paper reviews methods for the estimation of dynamic discrete choice structural models and discusses related econometric issues. We consider single-agent models, competitive equilibrium models and dynamic games. The methods are illustrated with descriptions of empirical studies which have applied these techniques to problems in different areas of economics. Programming codes for some of the estimation methods are available in a companion web page.

工具变量与结构模型的比较：简单 IV 能识别什么AI 解读

This paper compares the economic questions addressed by instrumental variables estimators with those addressed by structural approaches. We discuss Marschak's Maxim: estimators should be selected on the basis of their ability to answer well-posed economic problems with minimal assumptions. A key identifying assumption that allows structural methods to be more informative than IV can be tested with data and does not have to be imposed.