论文检索

高维弱工具变量下的推断与新凯恩斯菲利普斯曲线AI 解读

Inference on macroeconomic relations using instrumental variables (IVs) is often characterised by weak and high-dimensional IVs. I propose a weak-IV robust method that remains valid under dependent data, arbitrarily weak identification, and a number of IVs that can increase exponentially with the sample size. I show by simulation that using methods that are not robust to weak and high-dimensional IVs can lead to substantially biased inference, while the proposed test has…

Copula 密度的非参数贝叶斯估计及金融市场应用AI 解读

We propose a nonparametric Bayesian estimator of copula density based on the Logistic Gaussian Process density estimation method. A Gaussian process prior with flexible mean and covariance functions is placed on the underlying latent function. To avoid the typical boundary issues in copula density estimation, a transformation approach is adopted, allowing the latent process to be defined on an unrestricted support and then back-transformed to obtain the posterior copula…

基于最近邻的效用最大化二元预测及信用评分应用AI 解读

We propose nonparametric k-nearest neighbor prediction rules under the framework of utility-maximizing binary prediction with possibly many predictors. One of these prediction rules, with an attempt to “break” the curse of dimensionality, is constructed based on the predictors selected by variable selection methods. We establish that allowing for the data-dependent selection of parameter k, these prediction rules are utility consistent under regularity assumptions. Such…

用波动率进入均值的 VAR 研究经济不确定性：规模、排序与分类AI 解读

Stochastic Volatility in Mean Vector Autoregressions (SVMVARs) are popularly used to jointly estimate uncertainty and its economic effects. However, existing studies analyzing macroeconomic and financial uncertainty require the researcher to classify each variable as macroeconomic or financial before estimation, do not consider whether results are sensitive to model size and adopt a specification where results depend on the way the variables are ordered. We overcome these…

条件得分残差与时间序列模型的序列依赖诊断AI 解读

This paper introduces conditional score residuals and proposes a general framework for the diagnostic analysis of time series models. Conditional score residuals encompass commonly used definitions of residuals in time series models, including ARMA residuals, squared residuals, and Pearson residuals. In particular, these residuals are special cases of conditional score residuals when the conditional distribution of the model belongs to the exponential family. On the other…

金融时间序列截面最大值的自回归条件 GB2 动态建模AI 解读

This article introduces the “autoregressive conditional generalized beta distribution of the second kind” (AcGB2) to model the dynamic cross-sectional maxima of multivariate financial times series. The temporal dependence of the resulting univariate maxima time series is characterized by the parameter dynamics of the standard GB2 distribution, which offer versatility in approximating various distributions, including heavy-tailed distributions, through parameter adjustments.…

利用无标签数据的半参数 ROC 曲线估计AI 解读

The receiver operating characteristic (ROC) curve is a widely used tool in various fields, including economics, medicine, and machine learning, for evaluating classification performance and comparing treatment effect. The absence of clear and readily labels is a frequent phenomenon in estimating ROC owing to various reasons like labeling cost, time constraints, data privacy and information asymmetry. Traditional supervised estimators commonly rely solely on labeled data,…

半参数时变面板数据模型的估计与推断AI 解读

This article introduces a new semiparametric panel data model that accounts for time-varying coefficients and aligns with recent advancements in factor models featuring nonparametric loading functions. We propose a profile marginal integration (PMI) method to jointly estimate the unknown quantities in a series of easily implementable steps. The asymptotic properties of these estimators are established. Additionally, we provide a hypothesis test to assess the validity of…

基于张量分解的向量自回归贝叶斯推断AI 解读

Vector autoregression (VAR) is a popular model for analyzing multivariate economic time series. However, VARs can be over-parameterized if the numbers of variables and lags are moderately large. Tensor VAR, a recent solution to over-parameterization, treats the coefficient matrix as a third-order tensor and estimates the corresponding tensor decomposition to achieve parsimony. In this paper, we employ the Tensor VAR structure with a CANDECOMP/PARAFAC (CP) decomposition and…

精度矩阵最小二乘：高维估计与推断AI 解读

The least squares estimator can be cast as depending only on the precision matrix of the data, similar to the weights of a global minimum variance portfolio. We give conditions under which any plug-in precision matrix estimator produces an unbiased and consistent least squares estimator for stationary time series regressions, in both low- and high-dimensional settings. Such conditions define a class of “Precision Least Squares” (PrLS) estimators, which are shown to be…

资产收益中因子强度的不稳定性AI 解读

We study the problem of detecting structural instability of factor strength in asset pricing models for financial returns with observable factors.We allow for strong and weaker factors, in which the sum of squared betas grows at a rate equal to and slower than the number of test assets, respectively: this growth rate determines the strength of the corresponding factor.We propose LM and Wald statistics for the null hypothesis of stability and derive their asymptotic…

观察性研究中多值处理政策学习的模型选择AI 解读

This study investigates the policy learning problem in observational studies, where the treatment variable can be multivalued and the propensity scores are unknown. We approximate the optimal policy in a global policy class with infinite complexity (VC/Natarajan) dimension, using a sequence of sieve policy classes with finite complexity dimension. The optimal policy within each sieve class is estimated by maximizing the empirical welfare, constructed through the doubly…

长期方差的正定收敛核估计AI 解读

Kernel estimators have been popular for decades in long-run variance estimation.To minimize the loss of efficiency measured by the mean-squared error in important aspects of kernel estimation, we propose a novel class of converging kernel estimators with three major properties: (a) the optimal bandwidth choice is model-free; (b) positive-definiteness is ensured through a principle-driven aggregation technique with no loss of theoretical efficiency; and (c) potentially…

去偏 Lasso 的小调参选择AI 解读

In this study, we investigate the bias and variance properties of the debiased Lasso in linear regression when the tuning parameter of the node-wise Lasso is selected to be smaller than in previous studies. We consider the case where the number of covariates p is bounded by a constant multiple of the sample size n. First, we show that the bias of the debiased Lasso can be reduced without diverging the asymptotic variance by setting the order of the tuning parameter to 1/n.…

生产者—消费者模型识别与推断的显示偏好方法AI 解读

This paper provides a new identification result for a large class of models in which consumers participate in production. I show that consumer preferences are necessary and sufficient to identify production functions through cross-equation restrictions implied by first-order conditions. In addition, I derive a nonparametric revealed preference characterization of the class of models that exhausts its empirical implications. Finally, I use a novel and easy-to-apply inference…

微观结构噪声下傅里叶瞬时波动率估计的渐近正态性与有限样本稳健性AI 解读

We study the efficiency and robustness of the Fourier spot volatility estimator when high-frequency prices are contaminated by microstructure noise. First, we show that the estimator is consistent and asymptotically efficient in the presence of additive noise, establishing a Central Limit Theorem (CLT) with the optimal rate of convergence n1/8. Additionally, we complete the asymptotic theory in the absence of noise, obtaining a CLT with the optimal rate of convergence n1/4.…

极端连续处理效应的估计与推断AI 解读

This article studies estimation and inference for the treatment effect in deep tails of the potential outcome distributions corresponding to a continuously valued treatment, namely the extreme continuous treatment effect. We consider two measures for the tail characteristics: the quantile function and the tail mean function defined as the conditional mean beyond a quantile level. Then, for a quantile level close to 1, we define the extreme quantile treatment effect (EQTE)…

裂区设计中的再随机化与协变量调整AI 解读

Split-plot designs are widely used in agricultural, industrial, social, and biomedical experiments to accommodate hard-to-change factors. Given multiple factors of interest and experimental units that are nested within groups, the design assigns a subset of the factors by a cluster randomization at the group level and assigns the remaining factors by a stratified randomization at the unit level. The randomization mechanism ensures covariate balance on average at both the…

状态空间模型的高效重要性变分近似AI 解读

Variational methods are a potentially scalable estimation approach for state space models.However, existing methods are inaccurate or computationally infeasible for many state space models.This article proposes a variational approximation that is accurate and fast for any model with a closed-form measurement density function and a state transition distribution within the exponential family of distributions.Our approach constructs a variational approximation to the states…

神经网络菲利普斯曲线与深度产出缺口AI 解读

Many problems plague empirical Phillips curves (PCs). Among them is the hurdle that the two key components, inflation expectations and the output gap, are both unobserved. Traditional remedies include proxying for the absentees or extracting them via assumptions-heavy filtering procedures. I propose an alternative route: a Hemisphere Neural Network (HNN) whose architecture yields a final layer where components can be interpreted as latent states within a Neural PC. First,…

高维部分线性测量误差模型的校准均衡估计与双重选择AI 解读

In practice, measurement error data is frequently encountered and needs to be handled appropriately. As a result of additional bias induced by measurement error, many existing estimation methods fail to achieve satisfactory performances. This paper studies high-dimensional partially linear measurement error models. It proposes a calibrated equilibrium (CARE) estimation method to calibrate the bias caused by measurement error and overcomes the technical difficulty of the…

重新审视依赖性：时间序列最可预测的方面AI 解读

Serial dependence and predictability are two sides of the same coin. The literature has considered alternative measures of these two fundamental concepts. In this article, we aim to distill the most predictable aspect of a univariate time series, that is, the one for which predictability is optimized. Our target measure is the mutual information between the past and future of a random process, a broad measure of predictability that takes into account all future forecast…

含因子面板模型中工具变量估计量的组合AI 解读

We address the estimation of factor-augmented panel data models using observed measurements to proxy for unobserved factors or loadings and explore the use of internal instruments to address the resulting endogeneity.The main challenge consists in that economic theory rarely provides insights into which measurements to choose as proxies when several are available.To overcome this problem, we propose a new class of estimators that are linear combinations of instrumental…

基于自适应核方法的 Copula 结构变化检验AI 解读

This article proposes a structural change test for copula models based on the kernel smoothing method. The proposed approach enables adaptable estimation of the dynamic marginal distributions, either parametrically or semi-parametrically. The test statistic is formulated via the weighted quadratic distance between the local smoothing copula and the empirical copula function, using pseudo-observations of marginal distributions. The test statistic is pivotal with an asymptotic…