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多方程模型中的半参数贝叶斯推断AI 解读

Abstract This paper outlines an approach to Bayesian semiparametric regression in multiple equation models which can be used to carry out inference in seemingly unrelated regressions or simultaneous equations models with nonparametric components. The approach treats the points on each nonparametric regression line as unknown parameters and uses a prior on the degree of smoothness of each line to ensure valid posterior inference despite the fact that the number of parameters…

语言技能回报的非参数界限AI 解读

Abstract This paper applies the theoretical literature on nonparametric bounds on treatment effects to the estimation of how limited English proficiency (LEP) affects wages and employment opportunities for Hispanic workers in the United States. I analyse the identifying power of several weak assumptions on treatment response and selection, and stress the interactions between LEP and education, occupation and immigration status. I show that the combination of two weak but…

联立方程系统的半参数三步估计方法AI 解读

Abstract This paper proposes a new method for estimating a structural model of labour supply in which hours of work depend on (log) wages and the wage rate is considered endogenous. The main innovation with respect to other related estimation procedures is that a nonparametric additive structure in the hours of work equation is permitted. Though the focus of the paper is on this particular application, a three‐step methodology for estimating models in the presence of the…

相依序列样本分位数的 Bahadur 表示AI 解读

We establish the Bahadur representation of sample quantiles for linear and some widely used nonlinear processes. Local fluctuations of empirical processes are discussed. Applications to the trimmed and Winsorized means are given. Our results extend previous ones by establishing sharper bounds under milder conditions and thus provide new insight into the theory of empirical processes for dependent random variables.

非平稳价格下的需求系统AI 解读

Relative prices are nonstationary and standard root-T inference is invalid for demand systems. But demand systems are nonlinear functions of relative prices, and standard methods for dealing with nonstationarity in linear models cannot be used. Demand system residuals are also frequently found to be highly persistent, further complicating estimation and inference. We propose a variant of the translog demand system, the NTLOG, and an associated estimator that can be applied…

倾听世界的语言：美国的双语能力与收入AI 解读

Is there a shortage of critical foreign language skills in the United States? Recent concerns about national security and economic globalization suggest increased demand and wage premia for foreign language speakers. The use of English as the international language, however, suggests a decrease in demand for foreign language skills in the United States. To address this question, we study a representative sample of U.S. college graduates. Ordinary least squares regressions…

面板数据的工具变量估计AI 解读

The system two stage least squares estimator for the linear panel data model is shown to have different characterizations depending on the choice of instrument matrix. The more general estimator, where, in effect, separate reduced form linear projections are estimated for each time period, also has the advantage of being applicable when the number of instruments changes across time periods. The issue of efficient estimation is also treated.

迭代估计程序的收敛理论及其半参数估计应用AI 解读

We develop general conditions for rates of convergence and convergence in distribution of iterative procedures for estimating finite-dimensional parameters. An asymptotic contraction mapping condition is the centerpiece of the theory. We illustrate some of the results by deriving the limiting distribution of a two-stage iterative estimator of regression parameters in a semiparametric binary response model. Simulation results illustrating the computational benefits of the…

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揭示驾驶者对出行时间与可靠性的偏好分布AI 解读

We apply recent econometric advances to study the distribution of commuters' preferences for speedy and reliable highway travel. Our analysis applies mixed logit to combined revealed and stated preference data on commuter choices of whether to pay a toll for congestion-free express travel. We find that motorists exhibit high values of travel time and reliability, and substantial heterogeneity in those values. We suggest that road pricing policies designed to cater to such…

含内生回归变量的非可分模型：横截面与面板数据估计AI 解读

We propose two new methods for estimating models with nonseparable errors and endogenous regressors. The first method estimates a local average response. One estimates the response of the conditional mean of the dependent variable to a change in the explanatory variable while conditioning on an external variable and then undoes the conditioning. The second method estimates the nonseparable function and the joint distribution of the observable and unobservable explanatory…

随机效用框架中的参数演化建模AI 解读

Random utility models have become standard econometric tools, allowing parameter inference for individual-level categorical choice data. Such models typically presume that changes in observed choices over time can be attributed to changes in either covariates or unobservables. We study how choice dynamics can be captured more faithfully by also directly modeling temporal changes in parameters, using a vector autoregressive process and Bayesian estimation. This approach…

土耳其银行业的低效率与异质性：1990—2000年AI 解读

Abstract Recent studies have stressed the importance of privatization and openness to foreign competition for bank efficiency and economic growth. We study bank efficiency in Turkey, an emerging economy with great heterogeneity in bank types and ownership structures. Earlier studies of Turkish banking had three limitations: (i) excessive reliance on cost‐function frontier analyses, wherein volume of loans is a measure of banking output; (ii) pooling all banks or imposing ad…

利用降维近似条件分布函数AI 解读

Motivated by applications to prediction and forecasting, we suggest methods for approximating the conditional distribution function of a random variable Y given a dependent random d-vector X. The idea is to estimate not the distribution of Y|X, but that of Y|θTX, where the unit vector θ is selected so that the approximation is optimal under a least-squares criterion. We show that θ may be estimated root-n consistently. Furthermore, estimation of the conditional distribution…

非参数混合效应模型中的最优平滑AI 解读

Mixed-effect models are widely used for the analysis of correlated data such as longitudinal data and repeated measures. In this article, we study an approach to the nonparametric estimation of mixed-effect models. We consider models with parametric random effects and flexible fixed effects, and employ the penalized least squares method to estimate the models. The issue to be addressed is the selection of smoothing parameters through the generalized cross-validation method,…

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个体效应随时间参数化变化的面板数据模型估计AI 解读

This paper is an extension of Ahn, Lee and Schmidt (2001) to allow a parametric function for time-varying coefficients on the individual effects. It is shown that the main results of Ahn, Lee and Schmidt (2001) hold for our model too. Least squares is consistent, given white noise errors, but less efficient than a GMM estimator. An application of the GMM estimators to the measurement of cost efficiency of Spanish banks is also included. The empirical study shows the…

稀疏纵向数据的函数型数据分析AI 解读

We propose a nonparametric method to perform functional principal components analysis for the case of sparse longitudinal data. The method aims at irregularly spaced longitudinal data, where the number of repeated measurements available per subject is small. In contrast, classical functional data analysis requires a large number of regularly spaced measurements per subject. We assume that the repeated measurements are located randomly with a random number of repetitions for…

剂量含随机测量误差时的精确非参数推断AI 解读

Studies that estimate the effects of exposure to a possibly harmful agent often compare exposed subjects who received varied doses with matched controls who received zero dose. If the doses are measured with error, then one may wish to use the fallible doses to estimate a linear relationship between the unobserved true dose and the observed response. If one is willing to assume that the dose errors for exposed subjects are symmetrically distributed about 0—that is, the dose…

企业杠杆是否不足？杠杆对违约概率的影响AI 解读

ABSTRACT A commonly held view in corporate finance is that firms are less leveraged than they should be, given the potentially large tax benefits of debt. In this paper, I study the effect of firms' leverage on default probabilities as represented by the firms' ratings. Using an instrumental variable approach, I find that the leverage's effect on ratings is three times stronger than it is if the endogeneity of leverage is ignored. This stronger effect results in a higher…

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相关随机系数与处理效应面板模型的固定效应及相关估计量AI 解读

I derive conditions under which a class of fixed-effects estimators consistently estimates the population-averaged slope coefficients in panel data models with individual-specific slopes, where the slopes are allowed to be correlated with the covariates. In addition to including the usual fixed-effects estimator, the results apply to estimators that eliminate individual-specific trends. I apply the results, and propose alternative estimators, to estimation of average…

结构方程、处理效应与计量经济政策评估AI 解读

This paper uses the marginal treatment effect (MTE) to unify the nonparametric literature on treatment effects with the econometric literature on structural estimation using a nonparametric analog of a policy invariant parameter; to generate a variety of treatment effects from a common semiparametric functional form; to organize the literature on alternative estimators; and to explore what policy questions commonly used estimators in the treatment effect literature answer. A…