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组层面处理的工具变量分位数回归：贸易的分布效应AI 解读

We present a methodology for estimating the distributional effects of an endogenous treatment that varies at the group level when there are group-level unobservables, a quantile extension of Hausman and Taylor, 1981. Because of the presence of group-level unobservables, standard quantile regression techniques are inconsistent in our setting even if the treatment is independent of unobservables. In contrast, our estimation technique is consistent as well as computationally…

评论《结构模型估计的约束优化方法》AI 解读

We revisit the comparison of mathematical programming with equilibrium constraints (MPEC) and nested fixed point (NFXP) algorithms for estimating structural dynamic models by Su and Judd (SJ, 2012). Their implementation of the nested fixed point algorithm used successive approximations to solve the inner fixed point problem (NFXP-SA). We re-do their comparison using the more efficient version of NFXP proposed by Rust (1987), which combines successive approximations and…

基于期权面板的参数推断与动态状态恢复AI 解读

We develop a new parametric estimation procedure for option panels observed with error. We exploit asymptotic approximations assuming an ever increasing set of option prices in the moneyness (cross-sectional) dimension, but with a fixed time span. We develop consistent estimators for the parameters and the dynamic realization of the state vector governing the option price dynamics. The estimators converge stably to a mixed-Gaussian law and we develop feasible estimators for…

作为双边需求系统的大型匹配市场AI 解读

This paper studies two-sided matching markets with non-transferable utility when the number of market participants grows large. We consider a model in which each agent has a random preference ordering over individual potential matching partners, and agents' types are only partially observed by the econometrician. We show that in a large market, the inclusive value is a sufficient statistic for an agent's endogenous choice set with respect to the probability of being matched…

面板数据中异质性的分组模式AI 解读

This paper introduces time-varying grouped patterns of heterogeneity in linear panel data models. A distinctive feature of our approach is that group membership is left unrestricted. We estimate the parameters of the model using a “grouped fixed-effects” estimator that minimizes a least squares criterion with respect to all possible groupings of the cross-sectional units. Recent advances in the clustering literature allow for fast and efficient computation. We provide…

半参数与非参数条件矩模型的筛法 Wald 与 QLR 推断AI 解读

This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals, which include all of the (nonlinear) nonparametric instrumental variables (IV) as special cases. These models are often ill-posed and hence it is difficult to verify whether a (possibly nonlinear) functional is root-n estimable or not. We provide computationally simple, unified inference procedures that are asymptotically valid…

离散工具变量下非可分三角模型的识别AI 解读

We study the identification through instruments of a nonseparable function that relates a continuous outcome to a continuous endogenous variable. Using group and dynamical systems theories, we show that full identification can be achieved under strong exogeneity of the instrument and a dual monotonicity condition, even if the instrument is discrete. When identified, the model is also testable. Our results therefore highlight the identifying power of strong exogeneity when…

小支撑集工具变量下非可分模型的识别AI 解读

I consider nonparametric identification of nonseparable instrumental variables models with continuous endogenous variables. If both the outcome and first stage equations are strictly increasing in a scalar unobservable, then many kinds of continuous, discrete, and even binary instruments can be used to point-identify the levels of the outcome equation. This contrasts sharply with related work by Imbens and Newey, 2009 that requires continuous instruments with large support.…

存在联立关系的非参数模型估计AI 解读

We introduce methods for estimating nonparametric, nonadditive models with simultaneity. The methods are developed by directly connecting the elements of the structural system to be estimated with features of the density of the observable variables, such as ratios of derivatives or averages of products of derivatives of this density. The estimators are therefore easily computed functionals of a nonparametric estimator of the density of the observable variables. We consider…

矩不等式及其应用AI 解读

This paper provides conditions under which the inequality constraints generated by either single agent optimizing behavior or the best response condition of multiple agent problems can be used as a basis for estimation and inference. An application illustrates how the use of these inequality constraints can simplify the analysis of complex behavioral models.

衰退期间的消费动态AI 解读

Are there times when durable spending is less responsive to economic stimulus? We argue that aggregate durable expenditures respond more sluggishly to economic shocks during recessions because microeconomic frictions lead to declines in the frequency of households' durable adjustment. We show this by first using indirect inference to estimate a heterogeneous agent incomplete markets model with fixed costs of durable adjustment to match consumption dynamics in PSID microdata.…

近期生产函数估计方法的识别性质AI 解读

This paper examines some of the recent literature on the estimation of production functions. We focus on techniques suggested in two recent papers, Olley and Pakes (1996) and Levinsohn and Petrin (2003). While there are some solid and intuitive identification ideas in these papers, we argue that the techniques can suffer from functional dependence problems. We suggest an alternative approach that is based on the ideas in these papers, but does not suffer from the functional…

广义回归折点设计中的因果效应推断AI 解读

A.1. Proofs of Propositions 1 and 2IN ORDER TO PROVE PROPOSITION 1, we first present and prove the following lemmas.LEMMA 1: Let ϕ(x t) : I × [c d] → R, where I is a compact subset of R m .Suppose ϕ(x t) and its partial derivative, ϕ 2 (x t), are continuous and that ϕ is integrable with respect to the probability measure α for each t.Then f (t) = ϕ(x t) dα(x) is continuously differentiable on [c d].PROOF: By Theorem 5 (p.97) of Roussas (2004), f (t) = ϕ 2 (x t) dα(x) for all…

样本外预测比较与 Wald 统计量的等价性AI 解读

We demonstrate the asymptotic equivalence between commonly used test statistics for out-of-sample forecasting performance and conventional Wald statistics. This equivalence greatly simplifies the computational burden of calculating recursive out-of-sample test statistics and their critical values. For the case with nested models, we show that the limit distribution, which has previously been expressed through stochastic integrals, has a simple representation in terms of…

符号限制、结构向量自回归与有用的先验信息AI 解读

This paper makes the following original contributions to the literature. (i) We develop a simpler analytical characterization and numerical algorithm for Bayesian inference in structural vector autoregressions (VARs) that can be used for models that are overidentified, just-identified, or underidentified. (ii) We analyze the asymptotic properties of Bayesian inference and show that in the underidentified case, the asymptotic posterior distribution of contemporaneous…

高阶理性的识别AI 解读

Strategic choice data from a carefully chosen set of ring‐network games are used to obtain individual‐level estimates of higher‐order rationality. The experimental design exploits a natural exclusion restriction that is considerably weaker than the assumptions underlying alternative designs in the literature. In our data set, 93 percent of subjects are rational, 71 percent are rational and believe others are rational, 44 percent are rational and hold second‐order beliefs…

工具变量有效性检验AI 解读

This paper develops a specification test for instrument validity in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. The strongest testable implication for instrument validity is given by the condition for nonnegativity of point‐identifiable compliers' outcome densities. Our specification test infers this testable implication using a variance‐weighted Kolmogorov–Smirnov test statistic. The test can be applied to both discrete and…

存在聚集现象的模型中无需工具变量的外生性检验AI 解读

This paper presents a test of the exogeneity of a single explanatory variable in a multivariate model. It does not require the exogeneity of the other regressors or the existence of instrumental variables. The fundamental maintained assumption is that the model must be continuous in the explanatory variable of interest. This test has power when unobservable confounders are discontinuous with respect to the explanatory variable of interest, and it is particularly suitable for…

动态婚姻匹配：一个实证框架AI 解读

The paper proposes a dynamic version of the frictionless Becker-Shapley-Shubik marriage matching model with transferable utility. Its primary objective is to develop a tractable model that rationalizes the marriage distribution of ‘who marries whom’ by age. This behavioral dynamic model rationalizes a new marriage matching function. An empirical methodology that relies on the equilibrium outcomes of the model identies the marital preferences over spouses. This framework also…

高维横截面检验的功效增强AI 解读

= 0 against sparse alternatives where the null hypothesis is violated only by a couple of components. Existing tests based on quadratic forms such as the Wald statistic often suffer from low powers due to the accumulation of errors in estimating high-dimensional parameters. More powerful tests for sparse alternatives such as thresholding and extreme-value tests, on the other hand, require either stringent conditions or bootstrap to derive the null distribution and often…

承诺、灵活性与时间不一致性的最优筛选AI 解读

I examine markets for flexible commitment devices populated by agents who value both commitment and ‡exibility, and whose preferences exhibit varying degrees of time inconsistency. I show that, if the agents’ time inconsistency is observable, then both a profit-maximizing monopolist and a welfare-maximizing planner help each agent commit to the efficient level of ‡exibility. If instead the agents’ time inconsistency is unobservable, the monopolist and the planner face a…

因子数未知时含交互固定效应的线性面板回归AI 解读

In this paper we study the least squares (LS) estimator in a linear panel regression model with unknown number of factors appearing as interactive fixed effects. Assuming that the number of factors used in estimation is larger than the true number of factors in the data, we establish the limiting distribution of the LS estimator for the regression coefficients as the number of time periods and the number of cross-sectional units jointly go to infinity. The main result of the…

离散选择的非参数福利分析AI 解读

We consider empirical measurement of equivalent/compensating variation resulting from price-change of a discrete good using individual-level data, when there is unobserved heterogeneity in preferences.We show that for binary and unordered multinomial choice, the marginal distributions of EV/CV can be expressed as simple closed-form functionals of conditional choice-probabilities under essentially unrestricted preference-distributions.These results hold even when the…

带有选择厌恶的动态 Logit 模型AI 解读

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