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有序离散选择模型的设定检验AI 解读

We discuss how to test the specification of an ordered discrete choice model against a general alternative. Two main approaches can be followed: tests based on moment conditions and tests based on comparisons between parametric and nonparametric estimations. Following these approaches, various statistics are proposed and their asymptotic properties are discussed. The performance of the statistics is compared by means of simulations. An easy-to-compute variant of the standard…

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回归不连续设计中运行变量操纵的密度检验AI 解读

Standard sufficient conditions for identification in the regression discontinuity design are continuity of the conditional expectation of counterfactual outcomes in the running variable. These continuity assumptions may not be plausible if agents are able to manipulate the running variable. This paper develops a test of manipulation related to continuity of the running variable density function. The methodology is applied to popular elections to the House of Representatives,…

存在设定误差时的回归不连续推断AI 解读

A regression discontinuity (RD) research design is appropriate for program evaluation problems in which treatment status (or the probability of treatment) depends on whether an observed covariate exceeds a fixed threshold. In many applications the treatment-determining covariate is discrete. This makes it impossible to compare outcomes for observations "just above" and "just below" the treatment threshold, and requires the researcher to choose a functional form for the…

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美国众议院选举中非随机选择产生的局部随机实验AI 解读

This paper establishes the relatively weak conditions under which causal inferences from a regression-discontinuity (RD) analysis can be as credible as those from a randomized experiment, and hence under which the validity of the RD design can be tested by examining whether or not there is a discontinuity in any pre-determined (or “baseline”) variables at the RD threshold. Specifically, consider a standard treatment evaluation problem in which treatment is assigned to an…

回归不连续设计：实践指南AI 解读

In Regression Discontinuity (RD) designs for evaluating causal effects of interventions, assignment to a treatment is determined at least partly by the value of an observed covariate lying on either side of a fixed threshold. These designs were first introduced in the evaluation literature by Thistlewaite and Campbell (1960). With the exception of a few unpublished theoretical papers, these methods did not attract much attention in the economics literature until recently.…

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多元 GARCH 过程的时间聚合AI 解读

This paper derives results for the temporal aggregation of multivariate GARCH processes in the general vector specification. It is shown that the class of weak mul- tivariate GARCH processes is closed under temporal aggregation. Fourth moment characteristics turn out to be crucial for the low frequency dynamics for both stock and flow variables. It is shown that spurious instantaneous causality in variance will only appear in degenerated cases, but that spurious Granger…

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幂变换与门限 GARCH 模型的估计和检验AI 解读

Consider a class of power transformed and threshold GARCH(p,q) (PTTGRACH(p,q)) model, which is a natural generalization of power-transformed and threshold GARCH(1,1) model in Hwang and Basawa (2004) and includes the standard GARCH model and many other models as special cases. We first establish the asymptotic normality for quasi-maximum likelihood estimators (QMLE) of the parameters under the condition that the error distribution has finite fourth moment. For the case of…

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