论文检索

用单一工具变量识别多个边际效应AI 解读

This paper proposes a new strategy for the identification of the marginal effects of an endogenous multivalued variable (which can be continuous, or a vector) in a model with an Instrumental Variable (IV) of lower dimension, which may even be a single binary variable, and multiple controls. Despite the failure of the classical order condition, we show that identification may be achieved by exploiting heterogeneity of the “first stage” in the controls through a new rank…

局部复合分位数回归平滑：混合数据结构与交叉验证AI 解读

In this paper, we study the local composite quantile regression estimator for mixed categorical and continuous data. The local composite quantile estimator is an efficient and safe alternative to the local polynomial method and has been well-studied for continuous covariates. Generalization of the local composite quantile regression estimator to a flexible data structure is appealing to practitioners as empirical studies often encounter categorical data. Furthermore, we…

利用重要性采样间接推断理解女性工资增长AI 解读

Summary The goal of this work is to investigate the effects of time out of the labor market for childcare on women's lifecycle wage growth. We develop a dynamic lifecycle model of human capital, fertility, and labor supply for women. We estimate by indirect inference using importance sampling and formalize the use of this procedure. The results indicate a modest effect of fertility‐induced non‐employment spells on human capital accumulation. The difference in human capital…

部分识别下的反事实分析：局部稳健细化AI 解读

Summary Structural models that admit multiple reduced forms, such as game‐theoretic models with multiple equilibria, pose challenges in practice, especially when parameters are set identified and the identified set is large. In such cases, researchers often choose to focus on a particular subset of equilibria for counterfactual analysis, but this choice can be hard to justify. This paper shows that some parameter values can be more “desirable” than others for counterfactual…

中国的迁移：为了工作，还是为了婚嫁？AI 解读

Summary This paper develops a model encompassing both matching and hedonic models, studies its properties, and provides identification and estimation strategies. We bring the model to data on internal migration in China to answer the question raised in the title. We estimate the migration surplus of singles and couples and the marital surplus of natives and, using counterfactuals together with our identification strategy, quantify the “marrying‐up” and the “work” effects of…

双边关系中由地理特征生成的工具变量何时无效？AI 解读

Summary In their highly influential paper, “Does Trade Cause Growth?,” Frankel and Romer estimate a trade equation to predict bilateral trade shares, which are in turn aggregated to construct an instrument for trade openness in income regressions. The Frankel‐Romer approach has gained widespread popularity as a method to generate instruments for trade and many other outcome variables from estimated bilateral relationships. In this paper, we show analytically and empirically…

精确仿射 Stone 指数需求系统的贝叶斯估计：复现 Lewbel 与 Pendakur（2009）的结果AI 解读

Summary This paper proposes a Bayesian approach to perform inference in the exact affine Stone index (EASI) demand system that was proposed by Lewbel and Pendakur (2009), while taking into account nonlinearity and endogeneity. A Bayesian approach enables us to easily handle censored data, test and impose inequality restrictions (strict cost monotonicity) and concavity of the cost function, and perform inference of nonlinear functions of the parameter estimates as by‐product…

动态离散选择博弈的迭代估计AI 解读

Abstract We study the first-order asymptotic properties of a class of estimators of the structural parameters in dynamic discrete choice games. We consider $K$-stage policy iteration (PI) estimators, where $K$ denotes the number of PIs employed in the estimation. This class nests several estimators proposed in the literature. By considering a “pseudo likelihood” criterion function, our estimator becomes the $K$-pseudo maximum likelihood (PML) estimator in Aguirregabiria and…

异质性处理效应的准 Oracle 估计AI 解读

Summary Flexible estimation of heterogeneous treatment effects lies at the heart of many statistical applications, such as personalized medicine and optimal resource allocation. In this article we develop a general class of two-step algorithms for heterogeneous treatment effect estimation in observational studies. First, we estimate marginal effects and treatment propensities to form an objective function that isolates the causal component of the signal. Then, we optimize…

统一广义符号秩检验及其设计敏感度AI 解读

Summary A sensitivity analysis in an observational study tests whether the qualitative conclusions of an analysis would change if we were to allow for the possibility of limited bias due to confounding. The design sensitivity of a hypothesis test quantifies the asymptotic performance of the test in a sensitivity analysis against a particular alternative. We propose a new, nonasymptotic, distribution-free test, the uniform general signed rank test, for observational studies…

可能误设的高维模型中处理效应参数的推断AI 解读

Summary Eliminating the effect of confounding in observational studies typically involves fitting a model for an outcome adjusted for covariates. When, as often, these covariates are high-dimensional, this necessitates the use of sparse estimators, such as the lasso, or other regularization approaches. Naïve use of such estimators yields confidence intervals for the conditional treatment effect parameter that are not uniformly valid. Moreover, as the number of covariates…

差异潜变量图模型估计及其脑连接应用AI 解读

Summary Differential graphical models are designed to represent the difference between the conditional dependence structures of two groups, and thus are of particular interest for scientific investigations. Motivated by modern applications, this manuscript considers an extended setting where each group is generated by a latent variable Gaussian graphical model. Due to the existence of latent factors, the differential network is decomposed into sparse and low-rank components,…

内生社会网络中同伴效应的控制函数估计AI 解读

Abstract We propose methods of estimating the linear-in-means model of peer effects in which the peer group, defined by a social network, is endogenous in the outcome equation for peer effects. Endogeneity is due to unobservable individual characteristics that influence both link formation in the network and the outcome of interest. We propose two estimators of the peer effect equation that control for the endogeneity of the social connections using a control function…

控制变量、离散工具变量与结构函数识别AI 解读

Control variables provide an important means of controlling for endogeneity in econometric models with nonseparable and/or multidimensional heterogeneity. We allow for discrete instruments, giving identification results under a variety of restrictions on the way the endogenous variable and the control variables affect the outcome. We consider many structural objects of interest, such as average or quantile treatment effects. We illustrate our results with an empirical…

结构动态离散选择模型的线性工具变量估计AI 解读

In structural dynamic discrete choice models, unobserved or mis-measured state variables may lead to biased parameter estimates and misleading inference. In this paper, we show that instrumental variables can address such measurement problems when they relate to state variables that evolve exogenously from the perspective of individual agents (i.e., market-level states). We define a class of linear instrumental variables estimators that rely on Euler equations expressed in…

利用拉普拉斯方法与重叠模拟抽样估计 BLP 模型AI 解读

We derive the asymptotic distribution of the parameters of the Berry et al. (1995) (BLP) model in a many markets setting which takes into account simulation noise under the assumption of overlapping simulation draws. We show that as long as the number of simulation draws R and the number of markets T approach infinity, our estimator is m=min(R,T) consistent and asymptotically normal. We do not impose any relationship between the rates at which R and T go to infinity, thus…

主观预期下的动态决策：结构分析AI 解读

We study dynamic discrete choice models without assuming rational expectations. Agents’ beliefs about state transitions are subjective, unknown, and may differ from their objective counterparts. We show that agents’ preferences and subjective beliefs are identified in both finite and infinite horizon models. We estimate the model primitives via maximum likelihood estimation and demonstrate the good performance of the estimator by Monte Carlo experiments. Using the Panel…

内生抽样时间序列的估计：钢材市场价格投机案例AI 解读

We consider the problem of estimating a Markov process that is endogenously sampled. We observe a discrete-time Markov process {pt} at a set of random times {t1,…,tn} that depend on the outcome of a probabilistic sampling rule that depends on the state of the process and other observed covariates xt. We focus on a particular example where pt is the daily wholesale price of a standardized steel product. The endogenous sampling problem arises from the fact that we only observe…

未观测选择集异质性下的偏好估计综述AI 解读

We provide an introduction to the estimation of discrete choice models when choice sets are heterogeneous and unobserved to the econometrician. We survey the two most popular approaches: “integrating over” and “differencing out” unobserved choice sets. Inspired by Chamberlain (1980)’s original idea of constructing sufficient statistics from observed choices, we introduce the term “sufficient set” to refer to any combination of observed choices that lies within the true but…

利用含噪神经测量评估消费者需求AI 解读

Recent studies have used the random utility framework to examine whether neural data can assess and predict demand for consumer products, both within and across individuals. However the effectiveness of this methodology has been limited by the large degree of measurement error in neural data. The resulting “error-in-variables” problem severely biases the estimates of the relationship between neural measurements and choice behaviour, thus limiting the role such data can play…

随机系数多项 Logit 模型中的惩罚似然参数选择AI 解读

This paper is about estimating a random coefficients logit model in which the distribution of each coefficient is characterized by finitely many parameters, some of which may be zero. The paper gives conditions under which, with probability approaching 1 as the sample size increases, penalized maximum likelihood (PML) estimation with the adaptive LASSO (AL) penalty distinguishes correctly between zero and non-zero parameters. The paper also gives conditions under which PML…

多项 Logistic 与计数回归的对数线性贝叶斯加性回归树AI 解读

We introduce Bayesian additive regression trees (BART) for log-linear models including multinomial logistic regression and count regression with zero-inflation and overdispersion. BART has been applied to nonparametric mean regression and binary classification problems in a range of settings. However, existing applications of BART have been mostly limited to models for Gaussian “data,” either observed or latent. This is primarily because efficient MCMC algorithms are…

多个时变关联群组的建模：动态层次贝叶斯方法及其在健康与退休研究中的应用AI 解读

As the population of the older individuals continues to grow, it is important to study the relationship among the variables measuring financial health and physical health of the older individuals to better understand the demand for healthcare, and health insurance. We propose a semiparametric approach to jointly model these variables. We use data from the Health and Retirement Study which includes a set of correlated longitudinal variables measuring financial and physical…

对 Kallus 及 Mo、Qi、Liu 的讨论：政策学习的新目标AI 解读

One of the key contributions that the causal inference literature has brought is a focus on clearly defined estimands. This focus has led to a real shift in the statistical approach (see, e.g., Dan...