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生产率变化的测度与分解AI 解读

Measuring productivity change with Malmquist indices has become common practice, because they are easily computed using nonparametric programming techniques and can be readily decomposed into technical and efficiency change. However, this approach is nonstochastic and requires a constant returns to scale assumption to construct the reference technology. We propose estimating productivity change using a stochastic input distance frontier, imposing no restrictions on returns…

塔科马的气味AI 解读

A variant of the average derivative estimator is developed to construct an index measuring the effects of a copper smelter on house prices in Tacoma, Washington. The estimated average derivative index is smooth and has lower standard errors than regression coefficients estimated separately across discrete time periods. The dataset spans the time of initial rumors of Superfund site designation, the closing of the smelter, Superfund site designation, and the start of cleanup…

存在未识别参数时的结果增益预测分布AI 解读

distributions of outcome gains in the framework of a standard latent variable selection model. Although most previous work has focused on estimation of mean treatment parameters as the method for characterizing outcome gains from program participation, we show how the entire distributions associated with these gains can be obtained in certain situations. Although the out-of-sample outcome gain distributions depend on an unidentified parameter, we use the results of Koop and…

公共研发补贴对企业创新活动的影响AI 解读

This study analyzes the effects of public R&D policy schemes on the innovation activities of firms in Eastern Germany. The main question in this context is whether public funds stimulate R&D activities or simply crowd out privately financed R&D. Empirically, we investigate the average causal effects of all public R&D schemes in Eastern Germany using a nonparametric matching approach. Compared to the case in which no public financial means are provided, it turns out that…

具有恰当时间依赖结构的模式混合模型AI 解读

Recently, pattern‐mixture modelling has become a popular tool for modelling incomplete longitudinal data. Such models are under‐identified in the sense that, for any drop‐out pattern, the data provide no direct information on the distribution of the unobserved outcomes, given the observed ones. One simple way of overcoming this problem, ordinary extrapolation of sufficiently simple pattern‐specific models, often produces rather unlikely descriptions; several authors consider…

纵向研究中的均值与协方差结构建模AI 解读

We exploit a reparameterisation of the marginal covariance matrix arising in longitudinal studies (Pourahmadi, 1999, 2000) to model, jointly, the mean and covariance structures in terms of three polynomial functions of time. By reanalysing Kenward's (1987) cattle data, we compare model selection procedures based on regressogram estimation with these based on a global search of the model space. Using a BIC‐based model selection criterion to identify the optimum degree triple…

面板计数数据的非参数检验AI 解读

Panel count data arise when a recurrent event is under investigation and each study subject is observed only at discrete time points. In this situation, observed data include only the numbers of occurrences of the event of interest between observation time points and no information is available on subjects between their observation time points. We propose a nonparametric test for comparing the point processes characterising the recurrent event when only panel count data are…

考虑个体内相关性的边际非参数核回归AI 解读

There has been substantial recent interest in non‐ and semiparametric methods for longitudinal or clustered data with dependence within clusters. It has been shown rather inexplicably that, when standard kernel smoothing methods are used in a natural way, higher efficiency is obtained by assuming independence than by using the true correlation structure. It is shown here that this result is a natural consequence of how standard kernel methods incorporate the within‐subject…

狄利克雷过程混合模型的边际似然与贝叶斯因子AI 解读

We present a method for comparing semiparametric Bayesian models, constructed under the Dirichlet process mixture (DPM) framework, with alternative semiparameteric or parameteric Bayesian models. A distinctive feature of the method is that it can be applied to semiparametric models containing covariates and hierarchical prior structures, and is apparently the first method of its kind. Formally, the method is based on the marginal likelihood estimation approach of Chib (1995)…

未控制混杂与应答偏差的先验分布对推断的影响AI 解读

This article examines the potential for misleading inferences from conventional analyses and sensitivity analyses of observational data, and describes some proposed solutions based on specifying prior distributions for uncontrolled sources of bias. The issues are illustrated in a sensitivity analysis of confounding in a study of residential wire code and childhood leukemia and in a pooled analysis of 12 studies of magnetic-field measurements and childhood leukemia. Both…

高维协变量下的加性条件分位数AI 解读

We investigate the estimation of the conditional quantile when many covariates are involved. In particular, we model the conditional quantile of a response as a nonlinear additive function of relevant covariates. For this setup, we propose a nonparametric smoother to estimate the unknown functions. The estimator provides direct computation of the nonlinear functions. Because it does not require any iteration, the estimator allows fast and routine data analysis. On the…

关联私人价值下第一价格拍卖的非对称性AI 解读

Abstract Collusion and heterogeneity across firms may introduce asymmetry in bidding games. A major difficulty in asymmetric auctions is that the Bayesian Nash equilibrium strategies are solutions of an intractable system of differential equations. We propose a simple method for estimating asymmetric first‐price auctions with affiliated private values. Considering two types of bidders, we show that these differential equations can be rewritten using the observed bid…

烟草支出面板估计中的个体异质性与删失AI 解读

Abstract A panel of households is used to test the rational addiction model of Becker et al. ( 1994 ). These data raise problems of measurement errors, censoring, and unobservable heterogeneity. We use sample separation information to exclude those households who never purchase tobacco. To deal with the remaining zeros we compare specifications based on infrequency of purchase and on censoring. GMM and system‐GMM are used to deal with errors‐in‐variables and unobservable…

单调缺失纵向数据分析中的模式混合模型与选择模型AI 解读

Summary We examine three pattern–mixture models for making inference about parameters of the distribution of an outcome of interest Y that is to be measured at the end of a longitudinal study when this outcome is missing in some subjects. We show that these pattern–mixture models also have an interpretation as selection models. Because these models make unverifiable assumptions, we recommend that inference about the distribution of Y be repeated under a range of plausible…

利用因果图选择协变量以估计控制方案的因果效应AI 解读

Summary Consider a case where cause–effect relationships between variables can be described by a causal path diagram and the corresponding linear structural equation model. The paper proposes a graphical selection criterion for covariates to estimate the causal effect of a control plan. For designing the control plan, it is essential to determine both covariates that are used for control and covariates that are used for identification. The selection of covariates used for…

大簇规模下广义估计方程的渐近理论AI 解读

Generalized estimating equations are used in regression analysis of longitudinal data, where observations on each subject are correlated. Statistical analysis using such methods is based on the asymptotic properties of regression parameter estimators. This paper presents asymptotic results when either the number of independent subjects or the cluster sizes (the number of observations on each subject) or both go to infinity. A set of (information matrix based) general…

非对称升价拍卖的计量模型AI 解读

We develop econometric models of ascending (English) auctions which allow for both bid- der asymmetries as well as common and/or private value components in bidders’ underlying valuations. We show that the equilibrium inverse bid functions in each round of the auction are implicitly defined (pointwise) by a system of nonlinear equations, so that conditions for the existence and uniqueness of an increasing-strategy equilibrium are essentially identical to those which ensure a…

收入转移与低收入家庭的资产积累AI 解读

Contrary to the predictions of the standard life-cycle model, many low-lifetime-income households accumulate little wealth relative to their incomes compared to households with high lifetime income. I use data from the Panel Study of Income Dynamics and a correlated random-effects generalized-method-of-moments estimator to decompose the rich-poor gaps in wealth-to-permanent-income ratio into the portions attributable to differences in characteristics such as labor market…

03.1.1 利用完全数据似然推导有序 Probit 与 Logit 模型的观测信息矩阵AI 解读

Louis (1982) presents a method for computing the observed information matrix and standard errors of maximum likelihood estimates obtained via the EM algorithm based on the complete-data log likelihood function. The problem illustrates the well-known method of Louis (1982) for a widely used qualitative response model in econometrics. The observed-data log likelihood function for the following model can, of course, be easily differentiated to obtain the observed information…

部分线性分位数回归模型的有效半参数估计AI 解读

This paper is concerned with estimating a conditional quantile function that is assumed to be partially linear. The paper develops a simple estimator of the parametric component of the conditional quantile. The semiparametric efficiency bound for the parametric component is derived, and two types of efficient estimators are considered. Asymptotic properties of the proposed estimators are established under regularity conditions. Some Monte Carlo experiments indicate that the…

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非参数恩格尔曲线与显示偏好AI 解读

This paper applies revealed preference theory to the nonparametric statistical analysis of\nconsumer demand. Knowledge of expansion paths is shown to improve the power of nonparametric\ntests of revealed preference. The tightest bounds on indifference surfaces and\nwelfare measures are derived using an algorithm for which revealed preference conditions\nare shown to guarantee convergence. Nonparametric Engel curves are used to estimate\nexpansion paths and provide a…