论文检索

密度不连续性的估计与推断AI 解读

Continuity or discontinuity of probability density functions of data often plays a fundamental role in empirical economic analysis. For example, for identification and inference of causal effects in regression discontinuity designs it is typically assumed that the density function of a conditioning variable is continuous at a cutoff point that determines assignment of a treatment. Also, discontinuity in density functions can be a parameter of economic interest, such as in…

含前定解释变量的动态面板似然估计AI 解读

This article discusses the likelihood-based estimation of panel data models with individual-specific effects and both lagged dependent variable regressors and additional predetermined explanatory variables. The resulting new estimator, labeled as subsystem limited information maximum likelihood (ssLIML), is asymptotically equivalent to standard panel generalized method of moment as N → ∞ for fixed T but tends to present smaller biases in finite samples as illustrated in…

分数阶单整系统的长期识别AI 解读

We propose an extension of structural fractionally integrated vector autoregressive models that avoids certain undesirable effects on the impulse responses that occur if long-run identification restrictions are imposed. We derive the model’s Granger representation and investigate the effects of long-run restrictions. Simulations illustrate that enforcing integer integration orders can have severe consequences for impulse responses. In a system of U.S. real output and…

向量自回归与多元非线性时间序列模型的自动设定检验AI 解读

This article introduces an automatic test for the correct specification of a vector autoregression (VAR) model. The proposed test statistic is a Portmanteau statistic with an automatic selection of the order of the residual serial correlation tested. The test presents several attractive characteristics: simplicity, robustness, and high power in finite samples. The test is simple to implement since the researcher does not need to specify the order of the autocorrelation…

部分识别拍卖模型的单点决策AI 解读

This article proposes a decision-theoretic method to choose a single reserve price for partially identified auction models, such as Haile and Tamer (2003 Haile, P. A. and Tamer, E. 2003. “Inference With an Incomplete Model of English Auctions,”. Journal of Political Economy, 111: 1–51. [Crossref], [Web of Science ®] , [Google Scholar]), using data on transaction prices from English auctions. The article employs Gilboa and Schmeidler (1989 Gilboa, I. and Schmeidler, D. 1989.…

评论AI 解读

In their article, Goldsmith-Pinkham and Imbens tackle three important issues in the study of peer effects in social networks: network endogeneity, network heterogeneity, and the structure of the er...

摘要暂缺

评论AI 解读

To begin, I will express mixed feelings about the decision by Goldsmith-Pinkham and Imbens to attach my name to the linear-in-means models that are the concern of their article. I will not object s...

评论AI 解读

Consider a group of three, potentially connected, individuals (i=1, 2, 3). Available is a large random sample of such groups. For each group sampled, we observe all social ties among its constituen...

回应AI 解读

First of all, we thank the Coeditors again for inviting us to present the article and for organizing such a distinguished group of researchers to comment on our work. We would also like to thank th...

评论AI 解读

The article by Goldsmith-Pinkham and Imbens (2013) is an interesting contribution to the literature on social interactions. An important contribution of their article is to provide some answers to ...

弱工具变量的稳健检验AI 解读

We develop a test for weak instruments in linear instrumental variables regression that is robust to heteroscedasticity, autocorrelation, and clustering. Our test statistic is a scaled nonrobust first-stage F statistic. Instruments are considered weak when the two-stage least squares or the limited information maximum likelihood Nagar bias is large relative to a benchmark. We apply our procedures to the estimation of the elasticity of intertemporal substitution, where our…

时变噪声下的已实现波动率预测AI 解读

Observed high-frequency financial prices can be considered as having two components, a true price and a market microstructure noise perturbation. It is an empirical regularity, coherent with classical market microstructure theories of price determination, that the second moment of market microstructure noise is time-varying. We study the optimal, from a finite-sample forecast mean squared error (MSE) standpoint, frequency selection for realized variance in linear variance…

内生性下的无条件分位数处理效应AI 解读

This article develops estimators for unconditional quantile treatment effects when the treatment selection is endogenous. We use an instrumental variable (IV) to solve for the endogeneity of the binary treatment variable. Identification is based on a monotonicity assumption in the treatment choice equation and is achieved without any functional form restriction. We propose a weighting estimator that is extremely simple to implement. This estimator is root n consistent,…

社会网络与同伴效应的识别AI 解读

There is a large and growing literature on peer effects in economics. In the current article, we focus on a Manski-type linear-in-means model that has proved to be popular in empirical work. We critically examine some aspects of the statistical model that may be restrictive in empirical analyses. Specifically, we focus on three aspects. First, we examine the endogeneity of the network or peer groups. Second, we investigate simultaneously alternative definitions of links and…

固定效应部分线性单指标面板数据模型的估计AI 解读

In this article, we consider semiparametric estimation in a partially linear single-index panel data model with fixed effects. Without taking the difference explicitly, we propose using a semiparametric minimum average variance estimation (SMAVE) based on a dummy variable method to remove the fixed effects and obtain consistent estimators for both the parameters and the unknown link function. As both the cross-section size and the time series length tend to infinity, we not…

贝叶斯 DSGE 模型的识别问题AI 解读

This article is concerned with local identification of individual parameters of dynamic stochastic general equilibrium (DSGE) models estimated by Bayesian methods. Identification is often judged by a comparison of the posterior distribution of a parameter with its prior. However, these can differ even when the parameter is not identified. Instead, we propose two Bayesian indicators of identification. The first follows a suggestion by Poirier of comparing the posterior…

动态条件相关：性质与估计AI 解读

This article addresses some of the issues that arise with the Dynamic Conditional Correlation (DCC) model. It is proven that the DCC large system estimator can be inconsistent, and that the traditional interpretation of the DCC correlation parameters can result in misleading conclusions. Here, we suggest a more tractable DCC model, called the cDCC model. The cDCC model allows for a large system estimator that is heuristically proven to be consistent. Sufficient stationarity…

非对称信息的非参数检验AI 解读

Asymmetric information is an important phenomenon in many markets and in particular in insurance markets. Testing for asymmetric information has become a very important issue in the literature in the last two decades. Almost all testing procedures that are used in empirical studies are parametric, which may yield misleading conclusions in the case of misspecification of either functional or distributional relationships among the variables of interest. Motivated by the…

噪声与跳跃下二次变差的预平均估计：理论、实现与经验证据AI 解读

This article contributes to the theory for preaveraging estimators of the daily quadratic variation of asset prices and provides novel empirical evidence. We develop asymptotic theory for preaveraging estimators in the case of autocorrelated microstructure noise and propose an explicit test for serial dependence. Moreover, we extend the theory on preaveraging estimators for processes involving jumps. We discuss several jump-robust measures and derive feasible central limit…

宏观预测者是否应使用日度金融数据，以及如何使用？AI 解读

We introduce easy-to-implement, regression-based methods for predicting quarterly real economic activity that use daily financial data and rely on forecast combinations of mixed data sampling (MIDAS) regressions. We also extract a novel small set of daily financial factors from a large panel of about 1000 daily financial assets. Our analysis is designed to elucidate the value of daily financial information and provide real-time forecast updates of the current (nowcasting)…

Dirichlet 先验下的搜寻：估计与消费者需求含义AI 解读

This article is an empirical application of the search model with an unknown distribution, as introduced by Rothschild in 1974. For searchers who hold Dirichlet priors, we develop a novel characterization of optimal search behavior. Our solution delivers easily computable formulas for the ex-ante purchase probabilities as outcomes of search, as required by discrete-choice-based estimation. Using our method, we investigate the consequences of consumer learning on the…

函数系数工具变量模型的局部线性 GMM 估计及教育回报应用AI 解读

We consider the local linear generalized method of moment (GMM) estimation of functional coefficient models with a mix of discrete and continuous data and in the presence of endogenous regressors. We establish the asymptotic normality of the estimator and derive the optimal instrumental variable that minimizes the asymptotic variance-covariance matrix among the class of all local linear GMM estimators. Data-dependent bandwidth sequences are also allowed for. We propose a…

利用宏观经济理论先验信息的结构动态因子分析AI 解读

Dynamic factor models are becoming increasingly popular in empirical macroeconomics due to their ability to cope with large datasets. Dynamic stochastic general equilibrium (DSGE) models, on the other hand, are suitable for the analysis of policy interventions from a methodical point of view. In this article, we provide a Bayesian method to combine the statistically rich specification of the former with the conceptual advantages of the latter by using information from a DSGE…