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社会福利的自适应最大化AI 解读

We consider the problem of repeatedly choosing policies to maximize social welfare. Welfare is a weighted sum of private utility and public revenue. Earlier outcomes inform later policies. Utility is not observed, but indirectly inferred. Response functions are learned through experimentation. We derive a lower bound on regret, and a matching adversarial upper bound for a variant of the Exp3 algorithm. Cumulative regret grows at a rate of T 2/3 . This implies that (i)…

多臂老虎机实验中的风险与最优策略AI 解读

We provide a decision‐theoretic analysis of bandit experiments under local asymptotics. Working within the framework of diffusion processes, we define suitable notions of asymptotic Bayes and minimax risk for these experiments. For normally distributed rewards, the minimal Bayes risk can be characterized as the solution to a second‐order partial differential equation (PDE). Using a limit of experiments approach, we show that this PDE characterization also holds…

让补贴发挥作用：规则与自由裁量AI 解读

We estimate the employment effects of a large program of public investment subsidies to private firms that ranked applicants on a score reflecting both objective rules and local politicians' discretion. Leveraging the rationing of funds as an ideal Regression Discontinuity Design, we characterize the heterogeneity of treatment effects and cost‐per‐new‐job across inframarginal firms and estimate the cost‐effectiveness of subsidies under factual and counterfactual allocations.…

评《自回归条件持续时间：不规则间隔交易数据的新模型》AI 解读

Based on the GARCH literature, Engle and Russell (1998) established consistency and asymptotic normality of the QMLE for the autoregressive conditional duration (ACD) model, assuming strict stationarity and ergodicity of the durations. Using novel arguments based on renewal process theory, we show that their results hold under the stronger requirement that durations have finite expectation. However, we demonstrate that this is not always the case under the assumption of…

平均处理效应的双重稳健贝叶斯推断AI 解读

We propose a double robust Bayesian inference procedure on the average treatment effect (ATE) under unconfoundedness. For our new Bayesian approach, we first adjust the prior distributions of the conditional mean functions, and then correct the posterior distribution of the resulting ATE. Both adjustments make use of pilot estimators motivated by the semiparametric influence function for ATE estimation. We prove asymptotic equivalence of our Bayesian procedure and efficient…

脉冲响应的均匀先验AI 解读

There has been a call for caution regarding the standard procedure for Bayesian inference in set‐identified structural vector autoregressions on the grounds that the common practice of using a uniform prior over the set of orthogonal matrices induces a non‐uniform prior for individual impulse responses or other quantities of interest. This paper challenges this call by formally showing that when the focus is on joint inference, the uniform prior over the set of orthogonal…

候选人综合素质的估计AI 解读

We estimate valence measures of candidates running in U.S. House elections from data on vote shares. Our identification and estimation strategy builds on ideas developed for estimating production functions, allowing us to control for possible endogeneity of campaign spending and sample selection of candidates due to endogenous entry. We find that incumbents have substantially higher valence measures than challengers running against them, resulting in about 3.5…

管理自主权对企业结果的影响AI 解读

The allocation of decision‐making power is a critical choice that organizations make to mitigate agency problems and information frictions. This paper investigates the role of delegation for organizations where the agency problem is both pervasive and has potentially high welfare consequences: state‐owned enterprises (SOEs). I use a natural experiment in India to uncover the causal effects of granting SOE managers more autonomy over strategic decisions. Managers meaningfully…

匹配与集聚：来自日本企业间贸易的理论与证据AI 解读

This paper shows that matching frictions and a thick market externality in firm‐to‐firm trade shape the agglomeration of economic activity. Using panel data of firm‐to‐firm trade in Japan, I demonstrate that firms gradually match with alternative suppliers following an unanticipated supplier bankruptcy, and that the rate of rematching increases in the geographic density of alternative suppliers. Motivated by these empirical findings, I develop a general equilibrium model of…

可能误设下逻辑回归的稀疏网络渐近理论AI 解读

Consider a bipartite network where N consumers choose to buy or not to buy M different products. This paper considers the properties of the logit fit of the N × M array of “ i ‐buys‐ j ” purchase decisions, Y = [ Y i j ] 1 ≤ i ≤ N , 1 ≤ j ≤ M , onto a vector of known functions of consumer and product attributes under asymptotic sequences where (i) both N and M grow large, (ii) the average number of products purchased per consumer is finite in the limit, (iii) there exists…

非参数工具变量模型中的自适应速率最优假设检验AI 解读

We propose a new adaptive hypothesis test for inequality (e.g., monotonicity, convexity) and equality (e.g., parametric, semiparametric) restrictions on a structural function in a nonparametric instrumental variables (NPIV) model. Our test statistic is based on a modified leave‐one‐out sample analog of a quadratic distance between the restricted and unrestricted sieve two‐stage least squares estimators. We provide computationally simple, data‐driven choices of sieve tuning…

保护隐私的信号AI 解读

A signal is privacy‐preserving with respect to a collection of privacy sets if the posterior probability assigned to every privacy set remains unchanged conditional on any signal realization. We characterize the privacy‐preserving signals for arbitrary state space and arbitrary privacy sets. A signal is privacy‐preserving if and only if it is a garbling of a reordered quantile signal . Furthermore, distributions of posterior means induced by privacy‐preserving signals are…

空间单位根与伪回归AI 解读

This paper proposes a model for, and investigates the consequences of, strong spatial dependence in economic variables. Our findings echo those of the corresponding “unit root” time series literature: Spatial unit root processes induce spuriously significant regression results, even with clustered standard errors or spatial HAC corrections. We develop large‐sample valid unit root and stationarity tests that can detect such strong spatial dependence. Finally, we use…

随机对照试验线性调整的精确偏差校正AI 解读

Freedman (2008a,b) showed that the linear regression estimator is biased for the analysis of randomized controlled trials under the randomization model. Under Freedman's assumptions, we derive exact closed‐form bias corrections for the linear regression estimator. We show that the limiting distribution of the bias corrected estimator is identical to the uncorrected estimator. Taken together with results from Lin (2013), our results show that Freedman's theoretical arguments…

利用微观数据非参数识别差异化产品需求AI 解读

We examine identification of differentiated products demand when one has “micro data” linking the characteristics and choices of individual consumers. Our model nests standard specifications featuring rich observed and unobserved consumer heterogeneity as well as product/market‐level unobservables that introduce the problem of econometric endogeneity. Previous work establishes identification of such models using market‐level data and instruments for all prices and…

单调可加统计量AI 解读

The expectation is an example of a descriptive statistic that is monotone with respect to stochastic dominance, and additive for sums of independent random variables. We provide a complete characterization of such statistics, and explore a number of applications to models of individual and group decision‐making. These include a representation of stationary monotone time preferences, extending the work of Fishburn and Rubinstein (1982) to time lotteries. This extension offers…

跨国执行劳动法：强化职业安全与健康委员会的实验证据AI 解读

Annually, work‐related mortality is responsible for 5–7% of all global deaths, and at least 1‐in‐9 workers experience nonfatal occupational accidents (ILO (2019a,b)). Occupational Safety and Health (OSH) committees are considered the key worker voice institution through which to improve workplace safety and health (ILO (1981)). I present evidence of OSH committees' causal effects on workers and on factories. To do so, I collaborated with 29 multinational apparel buyers that…

评《现代高斯—马尔可夫定理》AI 解读

We show that Theorem 4 in Hansen (2022) applies to exactly the same class of estimators as does the classical Aitken theorem. We furthermore point out that Theorems 5–7 in Hansen (2022) contain extra assumptions not present in the classical Gauss–Markov or Aitken theorem, and thus the former theorems do not contain the latter ones as special cases.

无转移支付多对一双边匹配的识别与估计AI 解读

In a setting of many‐to‐one two‐sided matching with nontransferable utilities, for example, college admissions, we study conditions under which preferences of both sides are identified with data on one single market. Regardless of whether the market is centralized or decentralized, assuming that the observed matching is stable, we show nonparametric identification of preferences of both sides under certain exclusion restrictions. To take our results to the data, we use Monte…

模糊断点回归设计中的偏差感知推断AI 解读

We propose new confidence sets (CSs) for the regression discontinuity parameter in fuzzy designs. Our CSs are based on local linear regression, and are bias‐aware, in the sense that they take possible bias explicitly into account. Their construction shares similarities with that of Anderson–Rubin CSs in exactly identified instrumental variable models, and thereby avoids issues with “delta method” approximations that underlie most commonly used existing inference methods for…

固定效应模型的自助法推断AI 解读

The maximum‐likelihood estimator of nonlinear panel data models with fixed effects is asymptotically biased under rectangular‐array asymptotics. The literature has devoted substantial effort to devising methods that correct for this bias as a means to salvage standard inferential procedures. The chief purpose of this paper is to show that the (recursive, parametric) bootstrap replicates the asymptotic distribution of the (uncorrected) maximum‐likelihood estimator and of the…

群组形成实验中同伴效应的随机化检验AI 解读

Measuring the effect of peers on individuals' outcomes is a challenging problem, in part because individuals often select peers who are similar in both observable and unobservable ways. Group formation experiments avoid this problem by randomly assigning individuals to groups and observing their responses; for example, do first‐year students have better grades when they are randomly assigned roommates who have stronger academic backgrounds? In this paper, we propose…

团队中的生产与学习AI 解读

To what extent is a worker's human capital growth affected by the quality of his coworkers? To answer this question, we develop and estimate a model in which the productivity and the human capital growth of an individual depend on the average human capital of his coworkers. The measured production function is supermodular: The marginal product of a more knowledgeable individual is increasing in the human capital of his coworkers. The measured human capital accumulation…

低利率环境中的财富不平等AI 解读

We study the effect of interest rates on wealth inequality. While lower rates decrease the growth rate of rentiers, they also increase the growth rate of entrepreneurs by making it cheaper to raise capital. To understand which effect dominates, we derive a sufficient statistic for the effect of interest rates on the Pareto exponent of the wealth distribution: it depends on the lifetime equity and debt issuance rate of individuals in the right tail of the wealth distribution.…