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具有多次结构变化的协整回归估计量的极限分布AI 解读

We study estimation and inference in cointegrated regression models with multiple structural changes allowing both stationary and integrated regressors. Both pure and partial structural change models are analyzed. We derive the consistency, rate of convergence and the limit distribution of the estimated break fractions. Our technical conditions are considerably less restrictive than those in Bai et al. [Bai, J., Lumsdaine, R.L., Stock, J.H., 1998. Testing for and dating…

数据丰富环境下收益率曲线预测：无套利因子增强 VAR 方法AI 解读

This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model uses the short rate and the common components of a large number of macroeconomic variables as factors. Precisely, the dynamics of the short rate are modeled with a Factor-Augmented Vector Autoregression and the term structure is derived using parameter restrictions implied by no-arbitrage. The model has economic appeal and provides better out-of-sample…

大型条件异方差因子模型的间接估计：道琼斯30只股票应用AI 解读

We derive indirect estimators of conditionally heteroskedastic factor models in which the volatilities of common and idiosyncratic factors depend on their past unobserved values by calibrating the score of a Kalman-filter approximation with inequality constraints on the auxiliary model parameters. We also propose alternative indirect estimators for large-scale models, and explain how to apply our procedures to many other dynamic latent variable models. We analyse the small…

利用汇总数据解释个体响应AI 解读

Empirical analysis of individual response behavior is sometimes limited due to the lack of explanatory variables at the individual level. In this paper we put forward a new approach to estimate the effects of covariates on individual response, where the covariates are unknown at the individual level but observed at some aggregated level. This situation may, for example, occur when the response variable is available at the household level but covariates only at the zip-code…

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效率分析的非参数无条件分位数估计：美联储支票处理业务应用AI 解读

This paper examines the technical efficiency of U.S. Federal Reserve check processing offices over 1980–2003. We extend results from Park et al. (2000) and Daouia and Simar (2007) to develop an unconditional, hyperbolic, α-quantile estimator of efficiency. Our new estimator is fully non-parametric and robust with respect to outliers; when used to estimate distance to quantiles lying close to the full frontier, it is strongly consistent and converges at rate root-n, thus…

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GARCH(1,1) 参数准极大似然估计的自助法高阶改进AI 解读

This paper reconsiders a block bootstrap procedure for Quasi Maximum Likelihood estimation of GARCH models, based on the resampling of the likelihood function, as proposed by Gonçalves and White [2004. Maximum likelihood and the bootstrap for nonlinear dynamic models. Journal of Econometrics 119, 199-219]. First, we provide necessary conditions and sufficient conditions, in terms of moments of the innovation process, for the existence of the Edgeworth expansion of the…

资格随机设计中的处理反应数据分析AI 解读

In this paper, we develop and compare two alternative approaches for calculating the effect of the actual intake when treatments are randomized, but compliance with the assignment in the treatment arm is less than perfect for reasons that are correlated with the outcome. The approaches are based on different identification assumptions about these unobserved confounders. In the first approach, which stems from [Sommer, A., Zeger, S., 1991. On estimating efficacy in clinical…

协变量门限引致变点的二元响应模型半参数估计AI 解读

This paper is concerned with semiparametric estimation of a threshold binary response model. The estimation method considered in the paper is semiparametric since the parameters for a regression function are finite-dimensional, while allowing for heteroskedasticity of unknown form. In particular, the paper considers Manski's [Manski, Charles F., 1975. Maximum score estimation of the stochastic utility model of choice. Journal of Econometrics 3 (3), 205-228; Manski, Charles…

含噪声资产价格的跳跃检验：互换方差方法AI 解读

This paper proposes a new test for jumps in asset prices that is motivated by the literature on variance swaps. Formally, the test follows by a direct application of Itô's lemma to the semi-martingale process of asset prices and derives its power from the impact of jumps on the third and higher order return moments. Intuitively, the test statistic reflects the cumulative gain of a variance swap replication strategy which is known to be minimal in the absence of jumps but…

不可观测因素引致样本流失时的面板模型推断AI 解读

This paper concerns identification and estimation of a finite-dimensional parameter in a panel data-model under nonignorable sample attrition. Attrition can depend on second period variables which are unobserved for the attritors but an independent refreshment sample from the marginal distribution of the second period values is available. This paper shows that under a quasi-separability assumption, the model implies a set of conditional moment restrictions where the moments…

大学专业与收入：利用关联程度识别非可忽略无应答偏差AI 解读

We link information on graduates from many cohorts to their high-school and college records and demographics to infer the impact of college major on earnings. We develop an estimator to handle potential non-response bias and identify non-response using an affinity measure--the potential respondent's link to the survey organization. This technique is generally applicable for adjusting for unit non-response. In the earnings model estimated using the identified (for…

近奇异设计下的 GMM 与广义经验似然估计AI 解读

Nearly-Singular design relaxes the nonsingularity assumption of the limit weight matrix in GMM, and the nonsingularity of the limit variance matrix for the first order conditions in GEL. The sample versions of these matrices are nonsingular, but in large samples we assume these sample matrices converge to a singular matrix. This can result in size distortions for the overidentifying restrictions test and large bias for the estimators. This nearly-singular design may occur…

受限卡尔曼滤波再探AI 解读

We propose a more compact and general derivation of results concerning the estimation of linear state space models with linear restrictions in the state vector. The resulting methodological contributions are that the restricted Kalman filtering is valid regardless of the type of linear restriction being considered, and that linear restrictions can be carried out by any type of state smoothing.

检验技术无效率是否依赖企业特征的有效方法AI 解读

We wish to test whether technical inefficiency depends on observable characteristics of the firm. We consider a two-step procedure in which the second step is a regression of estimated inefficiency on firm characteristics. A valid test of the hypothesis of no effect requires an adjustment to the variance matrix of the estimates. Unfortunately the adjustment is not distribution-free. We show that this test is the LM test in the exponential case. We also consider tests based…

偏微分方程估计及其金融应用AI 解读

Linear parabolic partial differential equations (PDE's) and diffusion models are closely linked through the celebrated Feynman-Kac representation of solutions to PDE's. In asset pricing theory, this leads to the representation of derivative prices as solutions to PDE's. Very often implied derivative prices are calculated given preliminary estimates of the diffusion model for the underlying variable. We demonstrate that the implied derivative prices are consistent and derive…

双重差分与广义最小二乘：假设检验的高阶性质AI 解读

We investigate the estimation and inference in difference in difference econometric models used in the analysis of treatment effects. When the innovations in such models display serial correlation, commonly used ordinary least squares (OLS) procedures are inefficient and may lead to tests with incorrect size. Implementation of feasible generalized least squares (FGLS) procedures is often hindered by too few observations in the cross-section to allow for unrestricted…

协方差平稳面板 AR(1)／单位根模型的最大似然估计与推断AI 解读

This paper considers Maximum Likelihood (ML) based estimation and inference procedures for linear dynamic panel data models with fixed effects. The paper first studies the asymptotic properties of MaCurdy's [MaCurdy, T., 1982. The use of time series processes to model the time structure of earnings in a longitudinal data analysis. Journal of Econometrics 18, 83-114] First Difference Maximum Likelihood (FDML) estimator for the covariance stationary panel AR(1)/unit rootÂ…

医疗试验中的患者入组：随机实验的选择偏差AI 解读

Self-selection can bias estimates of treatment effects from randomized experiments if one is interested in extrapolating results to the general population. This paper notes that there is an isomorphism between the Roy model for the sorting of workers into sectors and the decision of subjects to participate in randomized experiments. The main implication is that, as the probability of receiving active treatment rises, patients who are less optimistic about new treatment will…

贝叶斯学习模型中预测分歧的演化AI 解读

We estimate a Bayesian learning model with heterogeneity aimed at explaining expert forecast disagreement and its evolution over horizons. Disagreement is postulated to have three components due to differences in: (i) the initial prior beliefs, (ii) the weights attached on priors, and (iii) interpreting public information. The fixed-target, multi-horizon, cross-country feature of the panel data allows us to estimate the relative importance of each component precisely. The…

误分类数据下概率分布的部分识别AI 解读

This paper addresses the problem of data errors in discrete variables. When data errors occur, the observed variable is a misclassified version of the variable of interest, whose distribution is not identified. Inferential problems caused by data errors have been conceptualized through convolution and mixture models. This paper introduces the direct misclassification approach. The approach is based on the observation that in the presence of classification errors, the…

工具变量问题的半参数贝叶斯方法AI 解读

We develop a Bayesian semi-parametric approach to the instrumental variable problem. We assume linear structural and reduced form equations, but model the error distributions non-parametrically. A Dirichlet process prior is used for the joint distribution of structural and instrumental variable equations errors. Our implementation of the Dirichlet process prior uses a normal distribution as a base model. It can therefore be interpreted as modeling the unknown joint…