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固定效应模型误差序列相关的 Portmanteau 检验AI 解读

We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as a Lagrange multiplier test, but it also has a straightforward Wald test interpretation. In Monte Carlo experiments, the test displays good size and power properties.The authors thank the co-editor, the referee, David Drukker, Christian Hansen, and Jeffrey Wooldridge for their helpful comments.

存在选择偏差时总体协方差矩阵的恢复AI 解读

This paper considers the problem of using observational data in the presence of selection bias to identify causal effects in the framework of linear structural equation models. We propose a criterion for testing whether or not observed statistical dependencies among variables are generated by conditioning on a common response variable. When the answer is affirmative, we further provide formulations for recovering the covariance matrix of the whole population from that of the…

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平滑系数模型的半参数贝叶斯推断AI 解读

We describe procedures for Bayesian estimation and testing in cross sectional, panel data and nonlinear smooth coefficient models. The smooth coefficient model is a generalization of the partially linear or additive model wherein coefficients on linear explanatory variables are treated as unknown functions of an observable covariate. In the approach we describe, points on the regression lines are regarded as unknown parameters and priors are placed on differences between…

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自然实验中的随机化推断AI 解读

Since the 2000 U.S. Presidential election, social scientists have rediscovered a long tradition of research examining the effects of ballot format on voting. Using a new dataset collected by The New York Times, we investigate the causal effect of being listed on the first ballot page in the 2003 California gubernatorial recall election. California law mandates a unique randomization procedure of ballot order that, when appropriately modeled, can be used to approximate a…

幼儿园留级政策的评估AI 解读

This article considers the policy of retaining low-achieving children in kindergarten rather than promoting them to first grade. Under the stable unit treatment value assumption (SUTVA) as articulated by Rubin, each child at risk of retention has two potential outcomes: Y(1) if retained and Y(0) if promoted. But SUTVA is questionable, because a child's potential outcomes will plausibly depend on which school that child attends and also on treatment assignments of other…

最佳处理均值与对照均值之差的统计推断AI 解读

In many experiments, researchers are interested in comparing several treatment means with a control mean. When there are some treatments significantly better than the control, it is often of interest to evaluate the difference between the best treatment mean and the control mean and to identify the best treatment. In this article we derive lower confidence bounds for the aforementioned difference for the case that treatments are at least as effective as the control and for…

利用黑暗遮蔽检验交通拦截中的种族差别对待AI 解读

The key problem in testing for racial profiling in traffic stops is estimating the risk set, or “benchmark,” against which to compare the race distribution of stopped drivers. To date, the two most common approaches have been to use residential population data or to conduct traffic surveys in which observers tally the race distribution of drivers at a certain location. It is widely recognized that residential population data provide poor estimates of the population at risk…

博弈学习理论与异质性偏差AI 解读

Comparisons of learning models in repeated games have been a central preoccupation of experimental and behavioral economics over the last decade. Much of this work begins with pooled estimation of the model(s) under scrutiny. I show that in the presence of parameter heterogeneity, pooled estimation can produce a severe bias that tends to unduly favor reinforcement learning relative to belief learning. This occurs when comparisons are based on goodness of fit and when…

非线性联立方程模型的非参数识别：评 Brown（1983）与 Roehrig（1988）AI 解读

This note revisits the identification theorems of Brown (1983) and Roehrig (1988). We describe an error in the proofs of the main identification theorems in these papers, and provide an important counterexample to the theorems on the identification of the reduced form. Specifically, the reduced form of a nonseparable simultaneous equations model is not identified even under the assumptions of these papers. We provide conditions under which the reduced form is identified and…

基于消费的等价尺度半参数估计：德国案例AI 解读

Abstract Consumption‐based equivalence scales are estimated by applying the extended partially linear model (EPLM) to the 1998 German Income and Consumption Survey (EVS). In this model the equivalence scales are identified from nonlinearities in household demand. The econometric framework should not therefore impose strong restrictions on the functional forms of household expenditure shares. The chosen semi‐parametric specification meets this requirement. It is flexible, it…

竞标者不对称下国债拍卖机制的估计与比较AI 解读

Abstract The structural parameters of a share‐auction model accounting for asymmetries across bidders, as well as supply uncertainty, are estimated with a sample of French Treasury auctions. We find evidence of both informational and risk aversion asymmetries across bidders. A counter‐factual analysis also suggests that, in the context of the French Treasury auctions, a shift from the discriminatory to the uniform‐price format would simultaneously benefit the French Treasury…

测量误差对生产函数估计的影响评估AI 解读

Abstract This article explores to what extent the poor results that are often found when estimating parameters of production functions can be attributed to measurement errors, due to the use of common price deflators across firms. Because of the lack of detailed micro‐economic data, econometricians have to rely on industry‐wide deflators when computing outputs and intermediate inputs. A unique feature of the longitudinal data used in this paper is that it reports firm‐level…

财富动态：减少面板数据中的噪声AI 解读

Abstract Although the asset data from the Health and Retirement Study (HRS) is of very high quality, there is sufficient noise to frustrate attempts to study saving behaviour by examining wave‐to‐wave change in wealth. In this research, we attempt to reduce noise by means of reactive‐dependent interviewing in which respondents with large inexplicable changes in assets between 1998 and 2000 are called back by HRS interviewers, presented with their prior reports and asked to…

理解本质异质性模型中的工具变量AI 解读

This paper examines the properties of instrumental variables (IV) applied to models with essential heterogeneity, that is, models where responses to interventions are heterogeneous and agents adopt treatments (participate in programs) with at least partial knowledge of their idiosyncratic response. We analyze two-outcome and multiple-outcome models, including ordered and unordered choice models. We allow for transition-specific and general instruments. We generalize previous…

参数条件分布的非参数 Bootstrap 检验AI 解读

This paper proposes a bootstrap test for the correct specification of parametric conditional distributions. It extends Zheng's test (Zheng, 2000, Econometric Theory 16, 667–691) to allow for discrete dependent variables and for mixed discrete and continuous conditional variables. We establish the asymptotic null distribution of the test statistic with data-driven stochastic smoothing parameters. By smoothing both the discrete and continuous variables via the method of…

含单整协变量的半参数二元选择模型AI 解读

This paper studies a semiparametric nonstationary binary choice model. Imposing a spherical normalization constraint on the parameter for identification purposes, we find that the maximum score estimator and smoothed maximum score estimator are at least [square root of n]-consistent. Comparing this rate to the convergence rate of the parametric maximum likelihood estimator (MLE), we show that when a normalization restriction is imposed on the parameter, the Park and Phillips…

条件分位数函数相等的相合非参数检验AI 解读

This paper proposes a consistent nonparametric test for testing for equality of unknown conditional quantile curves across subgroups within a survey data framework. Moreover, to improve the small-sample performance of the test, we propose a modified version of wild bootstrap procedure in a quantile context. Monte Carlo evidence shows that the performance of the test in small samples is adequate but is improved significantly when the bootstrap critical values are used.I thank…

存在选择的非正态处理—结果模型：设定、模拟似然估计与医疗利用应用AI 解读

We develop a specification and estimation framework for a class of nonlinear, non-normal microeconometric models of treatment and outcome with selection. A latent factor structure is used to accommodate selection into treatment and a simulated likelihood method is used for estimation. The methodology is applied to examine the causal effect of managed care, a multinomial discrete choice process, on the utilization of health care services, measured as binary indicators and…

具有异质线性趋势的二元选择面板模型的一致估计AI 解读

This paper presents an extension of fixed effects binary choice models for panel data, to the case of heterogeneous linear trends. Two estimators are proposed: a Logit estimator based on double conditioning and a semiparametric, smoothed maximum score estimator based on double differences. We investigate small-sample properties of these estimators with a Monte Carlo simulation experiment, and compare their statistical properties with standard fixed effects procedures. An…

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自相关误差联立方程的有限信息贝叶斯分析及美国汽油市场应用AI 解读

Using Markov Chain Monte Carlo algorithms within the limited information Bayesian framework, we estimate the parameters of the structural equation of interest and test weak exogeneity in a simultaneous equation model with white noise as well as autocorrelated error terms. A numerical example and an estimation of the supply and demand equations of the U.S. gasoline market show that if we ignore autocorrelation we obtain unreasonable posterior distributions of the parameters…