论文检索

内生健康分组与老年人的异质性动态AI 解读

Summary We propose a methodology to classify individuals into few but meaningful health groups by estimating a panel Markov switching model that exploits rich information from panel household surveys. Using the HRS, we identify four persistent health groups, depending on individual's physical and mental disabilities. Our classification outperforms existing health measures at explaining entry in nursing homes, home health care, out‐of‐pocket medical expenses, and mortality…

重新审视家庭内的性别认同与相对收入：密度估计的潜在陷阱AI 解读

Summary We show that Bertrand et al.'s (QJE, 2015, ) finding of a sharp drop in the relative income distribution within married couples at the point where wives start to earn more than their husbands is unstable across different estimation procedures and varies across contexts. We apply the estimators by McCrary (JoE, 2008, McC) and Cattaneo et al. (JASA, 2020, CJM) to administrative data from the United States and Germany and compare their performance in a simulation. Large…

简约式因子扩展 VAR：利用稀疏性纳入具有经济含义的因子AI 解读

Summary Induced sparsity in the factor loading matrix identifies the factor basis, while rotational identification is obtained ex post by clustering methods closely related to machine learning. We extract meaningful economic concepts from a high‐dimensional data set, which together with observed variables follow an unrestricted, reduced‐form VAR process. Including a comprehensive set of economic concepts allows reliable, fundamental structural analysis, even of the factor…

函数型数据分布相等性的置换检验AI 解读

Summary Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. Such data are called functional data. This paper is concerned with comparing two or more stochastic processes that generate functional data. The data may be produced by a randomized experiment in which there are multiple treatments. The paper presents a method for testing the hypothesis that the same stochastic process…

利用期权数据推断金融泡沫AI 解读

Summary Financial bubbles arise when the underlying asset's market price deviates from its fundamental value. Unlike other bubble tests that use time series data and assume a reduced‐form price process, we infer the existence of bubbles nonparametrically using option price data. Under no‐arbitrage and acknowledging data constraints, we can partially identify asset price bubbles using a cross section of European option prices. In the empirical analysis, we obtain interval…

高维线性回归逐协变量多重检验变量选择法的狭义复现AI 解读

Summary Chudik, Kapetanios, & Pesaran (Econometrica 2018, 86, 1479‐1512) propose a one covariate at a time, multiple testing (OCMT) approach to variable selection in high‐dimensional linear regression models as an alternative approach to penalised regression. We offer a narrow replication of their key OCMT results based on the Stata software instead of the original MATLAB routines. Using the new user‐written Stata commands baing and ocmt , we find results that match closely…

稀疏变点 VAR 模型AI 解读

Abstract Change‐point (CP) VAR models face a dimensionality curse due to the proliferation of parameters that arises when new breaks are detected. We introduce the Sparse CP‐VAR model which determines which parameters truly vary when a break is detected. By doing so, the number of new parameters to be estimated at each regime is drastically reduced and the break dynamics becomes easier to be interpreted. The Sparse CP‐VAR model disentangles the dynamics of the mean…

医生的劳动供给、服务强度与薪酬合同：理论与证据AI 解读

Summary Based on linked administrative and survey panel data, we analyse the labour supply behaviour of physicians who could adopt either a standard fee‐for‐service contract or a mixed remuneration (MR) contract. Under MR, physicians received a per diem and a reduced fee for services provided. We present estimates of a structural discrete choice model that incorporates service intensity (services provided per hour) and contract choice into a labour supply framework. We use…

预测目标未知时如何解释点预测AI 解读

Abstract Point forecasts can be interpreted as functionals (i.e., point summaries) of predictive distributions. We extend methodology for the identification of the functional based on time series of point forecasts and associated realizations. Focusing on state‐dependent quantiles and expectiles, we provide a generalized method of moments estimator for the functional, along with tests of optimality under general joint hypotheses of functional relationships and information…

新教是否通过提高人力资本促进繁荣？复现Becker–Woessmann结果AI 解读

Summary This paper shows that the Becker–Woessmann reformulation of the Weber thesis—Protestants were more prosperous in 19th‐century Prussia because they had higher human capital—is untenable. Regional variations in the Prussian institutional framework influenced economic outcomes, but Becker and Woessmann's econometric analysis takes no account of these variables, which suggests that their instrumental variable—distance to Wittenberg, a spatial variable—is invalid. When…

含随机波动率的不可观测成分模型：模拟估计与信号提取AI 解读

Summary The unobserved components time series model with stochastic volatility has gained much interest in econometrics, especially for the purpose of modelling and forecasting inflation. We present a feasible simulated maximum likelihood method for parameter estimation from a classical perspective. The method can also be used for evaluating the marginal likelihood function in a Bayesian analysis. We show that our simulation‐based method is computationally feasible, for both…

因子强度的测量：理论与实践AI 解读

Abstract This paper proposes an estimator of factor strength and establishes its consistency and asymptotic distribution. The estimator is based on the number of statistically significant factor loadings, taking multiple testing into account. Both cases of observed and unobserved factors are considered. The small sample properties of the proposed estimator are investigated using Monte Carlo experiments. It is shown that the proposed estimation and inference procedures…

允许条件异方差的多变量分数积分检验：收益波动率与成交量应用AI 解读

Summary We introduce a new joint test for the order of fractional integration of a multivariate fractionally integrated vector autoregressive (FIVAR) time series based on applying the Lagrange multiplier principle to a feasible generalised least squares estimate of the FIVAR model obtained under the null hypothesis. A key feature of the test we propose is that it is constructed using a heteroskedasticity‐robust estimate of the variance matrix. As a result, the test has a…

无套利先验、时变波动率与利率期限结构AI 解读

Abstract We use a Bayesian vector autoregression with stochastic volatility to forecast government bond yields. We form the conjugate prior from a no‐arbitrage affine term structure model. The model improves on the accuracy of point and density forecasts from a no‐change random walk and an affine term structure model with stochastic volatility. Our proposed approach may succeed by relaxing the no‐arbitrage affine term structure model's requirements that yields obey a factor…

欧元区低通胀会持续吗？含调查数据的时变参数模型见解AI 解读

Summary We build a time‐varying parameter model that jointly explains the dynamics of euro area inflation and inflation expectations. Our goal is to explain the weak inflation during the post‐financial crisis economic recovery of 2013–2019. We find that the inclusion of survey data leads to a more muted decline of trend inflation in recent years and more economic slack. Moreover, the impact of economic slack and import prices on inflation has recently strengthened, and…

家庭消费保险程度的估计AI 解读

Summary Blundell, Pistaferri, and Preston ( American Economic Review , 2008, 98(5), 1887–1921) report an estimate of household consumption insurance with respect to permanent income shocks of 36%. In replicating findings for their model and data, we find that this estimate is distorted by a code error and is not robust to weighting scheme for generalized method of moments (GMM) or consideration of quasi maximum likelihood estimation (QMLE), which produces a significantly…

聚焦预测目标的贝叶斯预测AI 解读

Summary We propose a new method for conducting Bayesian prediction that delivers accurate predictions without correctly specifying the unknown true data generating process. A prior is defined over a class of plausible predictive models. After observing data, we update the prior to a posterior over these models, via a criterion that captures a user‐specified measure of predictive accuracy. Under regularity, this update yields posterior concentration onto the element of the…

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…

我们能预测多远？预测信息含量的统计检验AI 解读

Summary We develop tests for the null hypothesis that forecasts become uninformative beyond some maximum forecast horizon h ∗ . The forecast may result from a survey of forecasters or from an estimated parametric model. The first class of tests compares the mean‐squared prediction error of the forecast to the variance of the evaluation sample, whereas the second class of tests compares it with the mean‐squared prediction error of the recursive mean. We show that the forecast…

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…

回归不连续设计下条件处理效应的单调性检验AI 解读

Summary Researchers are often interested in the relationship between treatment effects and observed individual heterogeneity. This paper proposes the first nonparametric monotonicity test for conditional treatment effects under the popular regression discontinuity framework. The proposed test examines whether the average treatment effect or the local average treatment effect has a monotonic relationship with some of the observed individual characteristics. We show…