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无单调性非可分模型中局部平均导数的识别与估计AI 解读

In many structural economic models there are no good arguments for additive separability of the error. Recently, this motivated intensive research on non-separable structures. For instance, in equation case was considered, and it was established that in the absence of the frequently employed monotonicity assumption local average structural derivatives (LASD) are still identified. In this paper, we introduce an estimator for the LASD. The estimator we propose is based on…

误差截面相关对短动态面板估计的影响AI 解读

This paper explores the impact of error cross-sectional dependence (modelled as a factor structure) on a number of widely used IV and generalized method of moments (GMM) estimators in the context of a linear dynamic panel data model. It is shown that, under such circumstances, the standard moment conditions used by these estimators are invalid -- a result that holds for any lag length of the instruments used. Transforming the data in terms of deviations from time-specific…

贝叶斯非参数推断的分位数金字塔AI 解读

Pólya trees fix partitions and use random probabilities in order to construct random probability measures. With quantile pyramids we instead fix probabilities and use random partitions. For nonparametric Bayesian inference we use a prior which supports piecewise linear quantile functions, based on the need to work with a finite set of partitions, yet we show that the limiting version of the prior exists. We also discuss and investigate an alternative model based on the…

混合分类与连续数据的分布相等非参数检验AI 解读

In this paper we consider the problem of testing for equality of two density or two conditional density functions defined over mixed discrete and continuous variables. We smooth both the discrete and continuous variables, with the smoothing parameters chosen via least-squares cross-validation. The test statistics are shown to have (asymptotic) normal null distributions. However, we advocate the use of bootstrap methods in order to better approximate their null distribution…

含解释变量的线性动态面板模型截面依赖检验AI 解读

This paper proposes a new testing procedure for detecting error cross section dependence after estimating a linear dynamic panel data model with regressors using the generalised method of moments (GMM). The test is valid when the cross-sectional dimension of the panel is large relative to the time series dimension. Importantly, our approach allows one to examine whether any error cross section dependence remains after including time dummies (or after transforming the data in…

基于模拟的竞争性结构计量模型选择AI 解读

This paper proposes a formal model selection test for choosing between two competing structural econometric models. The procedure is based on a novel lack-of-fit criterion, namely, the simulated mean squared error of predictions (SMSEP), taking into account the complexity of structural econometric models. It is asymptotically valid for any fixed number of simulations, and allows for any estimator which has a asymptotic normality or is n[alpha]-consistent for [alpha]>1/2. The…

平均处理效应估计中的有限重叠问题AI 解读

Estimation of average treatment effects under unconfounded or ignorable treatment assignment is often hampered by lack of overlap in the covariate distributions between treatment groups. This lack of overlap can lead to imprecise estimates, and can make commonly used estimators sensitive to the choice of specification. In such cases researchers have often used ad hoc methods for trimming the sample. We develop a systematic approach to addressing lack of overlap. We…

存在不依从的随机试验中因果效应的高效非参数估计AI 解读

Causal approaches based on the potential outcome framework provide a useful tool for addressing noncompliance problems in randomized trials. We propose a new estimator of causal treatment effects in randomized clinical trials with noncompliance. We use the empirical likelihood approach to construct a profile random sieve likelihood and take into account the mixture structure in outcome distributions, so that our estimator is robust to parametric distribution assumptions and…

随机删失结果的分布处理效应非参数检验AI 解读

Summary For a binary treatment ν = 0, 1 and the corresponding ‘potential response’Y0 for the control group (ν = 0) and Y1 for the treatment group (ν = 1), one definition of no treatment effect is that Y0 and Y1 follow the same distribution given a covariate vector X. Koul and Schick have provided a non-parametric test for no distributional effect when the realized response (1−ν)Y0+νY1 is fully observed and the distribution of X is the same across the two groups. This test is…

估计方程框架下纵向数据的一致模型选择与数据驱动光滑检验AI 解读

Summary Model selection for marginal regression analysis of longitudinal data is challenging owing to the presence of correlation and the difficulty of specifying the full likelihood, particularly for correlated categorical data. The paper introduces a novel Bayesian information criterion type model selection procedure based on the quadratic inference function, which does not require the full likelihood or quasi-likelihood. With probability approaching 1, the criterion…

具有社会互动的同步博弈中的统计推断AI 解读

This paper studies inference in a continuous time game where an agent's decision to quit an activity depends on the participation of other players. In equilibrium, similar actions can be explained not only by direct influences but also by correlated factors. Our model can be seen as a simultaneous duration model with multiple decision makers and interdependent durations. We study the problem of determining the existence and uniqueness of equilibrium stopping strategies in…

随机前沿模型中估计技术效率的分布AI 解读

We consider a stochastic frontier model with error [epsilon]=v-u, where v is normal and u is half normal. We derive the distribution of the usual estimate of u,E(u[epsilon]). We show that as the variance of v approaches zero, E(u[epsilon])-u converges to zero, while as the variance of v approaches infinity, E(u[epsilon]) converges to E(u). We graph the density of E(u[epsilon]) for intermediate cases. To show that E(u[epsilon]) is a shrinkage of u towards its mean, we derive…

劳动力市场项目评价中的序贯因果模型AI 解读

This article reviews inverse selection probability weighting to estimate dynamic causal effects. A distribution theory based on sequential generalized method of moments estimation is proposed and the method is applied to a reevaluation of some parts of the Swiss active labor market policy to obtain new results and discuss several issues about the implementation of the estimation procedure.

非线性价格下水需求的简约式模型与结构模型比较AI 解读

Increasing-block prices are common in markets for water, cellular phone service, and retail electricity. This study estimates demand models under block prices and conducts a Monte Carlo experiment to test the small-sample bias of structural and instrumental variables (IV) estimators. We estimate the price and income elasticity of water demand under increasing-block prices using a structural discrete/continuous choice (DCC) model, as well as random effects and IV. Elasticity…

不平等、贫困与福利的广义基尼指数统计推断AI 解读

This article considers statistical inference for consistent estimators of generalized Gini indices of inequality, poverty, and welfare. Our method does not require grouping the population into a fixed number of quantiles. The empirical indices are shown to be asymptotically normally distributed using functional limit theory. Easily computed asymptotic variance expressions are obtained using influence functions. Inference based on first-order asymptotics is then compared with…

随机递归划分：估计平均处理效应的匹配方法AI 解读

Abstract In this paper we introduce the Random Recursive Partitioning (RRP) matching method. RRP generates a proximity matrix which might be useful in econometric applications like average treatment effect estimation. RRP is a Monte Carlo method that randomly generates non‐empty recursive partitions of the data and evaluates the proximity between two observations as the empirical frequency they fall in a same cell of these random partitions over all Monte Carlo replications.…

未知异方差与非线性依赖下线性中位数回归的有限样本无分布推断AI 解读

We construct finite-sample distribution-free tests and confidence sets for the parameters of a linear median regression, where no parametric assumption is imposed on the noise distribution. The set-up studied allows for non-normality, heteroscedasticity, non-linear serial dependence of unknown forms as well as for discrete distributions. We consider a mediangale structure--the median-based analogue of a martingale difference--and show that the signs of mediangale sequences…

单调工具变量的进一步分析AI 解读

Econometric analyses of treatment response often use instrumental variable (IV) assumptions to identify treatment effects. The traditional IV assumption holds that mean response is constant across the sub-populations of persons with different values of an observed covariate. Manski and Pepper (2000) introduced monotone instrumental variable assumptions, which replace equalities with weak inequalities. This paper presents further analysis of the monotone instrumental variable…

基于 Copula 的非线性分位数自回归AI 解读

Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-based time series models offers some salient advantages over classical global parametric approaches. Consistency and asymptotic normality of the proposed quantile estimators are established under mild conditions, allowing for global misspecification of parametric copulas and marginals, and without…

函数型数据的拟合优度检验AI 解读

Economic data are frequently generated by stochastic processes that can be modelled as occurring in continuous time. That is, the data are treated as realizations of a random function (functional data). Sometimes an economic theory model specifies the process up to a finite-dimensional parameter. This paper develops a test of the null hypothesis that a given functional data set was generated by a specified parametric model of a continuous-time process. The alternative…

动态离散选择模型的贝叶斯估计AI 解读

We propose a new methodology for structural estimation of dynamic discrete choice models. We combine the Dynamic Programming (DP) solution algorithm with the Bayesian Markov Chain Monte Carlo algorithm into a single algorithm that solves the DP problem and estimates the parameters simultaneously. As a result, the computational burden of estimating a dynamic model becomes comparable to that of a static model. Another feature of our algorithm is that even though per…

航空市场的市场结构与多重均衡AI 解读

We provide a practical method to estimate the payoff functions of players in complete information, static, discrete games. With respect to the empirical literature on entry games originated by Bresnahan and Reiss (1990) and Berry (1992), the main novelty of our framework is to allow for general forms of heterogeneity across players without making equilibrium selection assumptions. We allow the effects that the entry of each individual airline has on the profits of its…

统计处理规则的渐近理论AI 解读

This paper develops asymptotic optimality theory for statistical treatment rules in smooth parametric and semiparametric models. Manski (2000, 2002, 2004) and Dehejia (2005) have argued that the problem of choosing treatments to maximize social welfare is distinct from the point estimation and hypothesis testing problems usually considered in the treatment effects literature, and advocate formal analysis of decision procedures that map empirical data into treatment choices.…

含序列相关不可观测状态变量的动态离散选择模型推断AI 解读

This paper develops a method for inference in dynamic discrete choice models with serially correlated unobserved state variables. Estimation of these models involves computing high-dimensional integrals that are present in the solution to the dynamic program and in the likelihood function. First, the paper proposes a Bayesian Markov chain Monte Carlo estimation procedure that can handle the problem of multidimensional integration in the likelihood function. Second, the paper…