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评《利用随机化打破维数灾难》AI 解读

Rust (1997b) discovered a class of dynamic programs that can be solved in polynomial time with a randomized algorithm. For these dynamic programs, the optimal values of a polynomially large sample of states are sufficient statistics for the (near) optimal values everywhere, and the values of this random sample can be bootstrapped from the sample itself. However, I show that this class is limited, as it requires all but a vanishingly small fraction of state variables to…

随机网络结构差异检验AI 解读

How can one determine whether a treatment, such as the introduction of a social program or trade shock, alters agents' incentives to form links in a network? This paper proposes analogs of a two‐sample Kolmogorov–Smirnov test, widely used in the literature to test the null hypothesis of no treatment effects, for network data. It first specifies a testing problem in which the null hypothesis is that two networks are drawn from the same random graph model. It then describes…

高维数据下的无条件分位数回归AI 解读

This paper considers estimation and inference for heterogeneous counterfactual effects with high‐dimensional data. We propose a novel robust score for debiased estimation of the unconditional quantile regression (Firpo, Fortin, and Lemieux (2009)) as a measure of heterogeneous counterfactual marginal effects. We propose a multiplier bootstrap inference and develop asymptotic theories to guarantee the size control in large sample. Simulation studies support our theories.…

自然资源资产时变风险建模与气候变化影响AI 解读

A multivariate GARCH model of natural resources is specified to capture the effects of time varying portfolio risk. A special feature of the model is the inclusion of realized volatility for natural resource assets that are available at multiple frequencies as well as being sensitive to sudden changes in climatic conditions. Natural resource portfolios under climate change are simulated from bootstrapping schemes as well as being derived from global climate model…

动态分位数模型的一致设定检验AI 解读

Correct specification of a conditional quantile model implies that a particular conditional moment is equal to zero. We nonparametrically estimate the conditional moment function via series regression and test whether it is identically zero using uniform functional inference. Our approach is theoretically justified via a strong Gaussian approximation for statistics of growing dimensions in a general time series setting. We propose a novel bootstrap method in this nonstandard…

少量处理观测与大量对照观测下的匹配估计AI 解读

We analyze the properties of matching estimators when there are few treated, but many control observations. We show that, under standard assumptions, the nearest neighbor matching estimator for the average treatment effect on the treated is asymptotically unbiased in this framework. However, when the number of treated observations is fixed, the estimator is not consistent, and it is generally not asymptotically normal. Since standard inference methods are inadequate, we…

含干扰参数的异质性处理效应置换检验AI 解读

This paper proposes an asymptotically valid permutation test for heterogeneous treatment effects in the presence of an estimated nuisance parameter. Not accounting for the estimation error of the nuisance parameter results in statistics that depend on the particulars of the data generating process, and the resulting permutation test fails to control the Type 1 error, even asymptotically.

针对平均处理效应的协变量调整 Fisher 随机化检验AI 解读

Fisher’s randomization test (frt) delivers exact p-values under the strong null hypothesis of no treatment effect on any units whatsoever and allows for flexible covariate adjustment to improve the power. Of interest is whether the resulting covariate-adjusted procedure could also be valid for testing the weak null hypothesis of zero average treatment effect. To this end, we evaluate two general strategies for conducting covariate adjustment in frts: the pseudo-outcome…

多时期双重差分的识别、估计与推断AI 解读

In this article, we consider identification, estimation, and inference procedures for treatment effect parameters using Difference-in-Differences (DiD) with (i) multiple time periods, (ii) variation in treatment timing, and (iii) when the “parallel trends assumption” holds potentially only after conditioning on observed covariates. We show that a family of causal effect parameters are identified in staggered DiD setups, even if differences in observed characteristics create…

基于最大偏差的函数型数据生物等效性检验AI 解读

Summary We study the problem of testing equivalence of functional parameters, such as the mean or the variance function, in the two-sample functional data setting. In contrast to previous work where the functional problem is reduced to a multiple testing problem for the equivalence of scalar data by comparing the functions at each point, our approach is based on an estimate of a distance measuring the maximum deviation between the two functional parameters. Equivalence is…

高维 Markov 网络的双样本推断AI 解读

Abstract Markov networks are frequently used in sciences to represent conditional independence relationships underlying observed variables arising from a complex system. It is often of interest to understand how an underlying network differs between two conditions. In this paper, we develop methods for comparing a pair of high-dimensional Markov networks where we allow the number of observed variables to increase with the sample sizes. By taking the density ratio approach,…

利用高阶无条件矩识别结构向量自回归AI 解读

This paper pursues two objectives. First, we determine the sufficient condition for local, statistical identification of SVAR processes through the third and fourth unconditional moments of the reduced-form innovations. Our findings provide novel insights when the entire system is not identified, as they highlight which subset of structural parameters is identified and which is not. Second, we elaborate a tractable testing procedure to verify whether the identification…

函数型数据分布相等性的置换检验AI 解读

Summary Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. Such data are called functional data. This paper is concerned with comparing two or more stochastic processes that generate functional data. The data may be produced by a randomized experiment in which there are multiple treatments. The paper presents a method for testing the hypothesis that the same stochastic process…

交错采用处理的观察性研究中的随机化检验AI 解读

This article considers the problem of inference in observational studies with time-varying adoption of treatment. In addition to an unconfoundedness assumption that the potential outcomes are independent of the times at which units adopt treatment conditional on the units’ observed characteristics, our analysis assumes that the time at which each unit adopts treatment follows a Cox proportional hazards model. This assumption permits the time at which each unit adopts…

人工对照的反事实分析：推断、高维与非平稳性AI 解读

Recently, there has been growing interest in developing statistical tools to conduct counterfactual analysis with aggregate data when a single “treated” unit suffers an intervention, such as a policy change, and there is no obvious control group. Usually, the proposed methods are based on the construction of an artificial counterfactual from a pool of “untre ated” peers, organized in a panel data structure. In this article, we consider a general framework for counterfactual…

半参数核独立性检验及其突变特征应用AI 解读

Cancers arise owing to somatic mutations, and the characteristic combinations of somatic mutations form mutational signatures. Despite many mutational signatures being identified, mutational processes underlying a number of mutational signatures remain unknown, which hinders the identification of interventions that may reduce somatic mutation burdens and prevent the development of cancer. We demonstrate that the unknown cause of a mutational signature can be inferred by the…

随机实验中弱零假设的随机化检验AI 解读

The Fisher randomization test (FRT) is appropriate for any test statistic, under a sharp null hypothesis that can recover all missing potential outcomes. However, it is often sought after to test a weak null hypothesis that the treatment does not affect the units on average. To use the FRT for a weak null hypothesis, we must address two issues. First, we need to impute the missing potential outcomes although the weak null hypothesis cannot determine all of them. Second, we…

依赖结构相等性的随机化检验AI 解读

We develop a new statistical procedure to test whether the dependence structure is identical between two groups. Rather than relying on a single index such as Pearson’s correlation coefficient or Kendall’s τ, we consider the entire dependence structure by investigating the dependence functions (copulas). The critical values are obtained by a modified randomization procedure designed to exploit asymptotic group invariance conditions. Implementation of the test is intuitive…

局部矩的广义跳跃回归AI 解读

We develop new high-frequency-based inference procedures for analyzing the relationship between jumps in instantaneous moments of stochastic processes. The estimation consists of two steps: the nonparametric determination of the jumps as differences in local averages, followed by a minimum-distance type estimation of the parameters of interest under general loss functions that include both least-square and more robust quantile regressions as special cases. The resulting…

分位数格兰杰因果性的度量AI 解读

We consider measures of Granger causality in quantiles, which detect and quantify both linear and nonlinear causal effects between random variables. The measures are based on nonparametric quantile regressions and defined as logarithmic functions of restricted and unrestricted expectations of quantile check loss functions. They can consistently be estimated by replacing the unknown expectations of check loss functions by their nonparametric kernel estimates. We derive a…

海量数据的分布式统计推断AI 解读

This paper considers distributed statistical inference for general symmetric statistics in the context of massive data with efficient computation. Estimation efficiency and asymptotic distributions of the distributed statistics are provided, which reveal different results between the nondegenerate and degenerate cases, and show the number of the data subsets plays an important role. Two distributed bootstrap methods are proposed and analyzed to approximation the underlying…

Willem van Zwet 的研究贡献AI 解读

Willem van Zwet made deep and influential contributions to probability and statistics, which we review in this paper. Bickel and Götze collaborated with him on his major contributions to higher order asymptotics of nonlinear statistics and on resampling and the bootstrap. We relate this work to his remarkable development of the properties of the Hoeffding expansion for symmetric statistics as well as Fourier analytic tools. Fiocco and De Gunst were his students. We describe…

基于U统计量置换检验的独立性检验最优速率AI 解读

We study the problem of independence testing given independent and identically distributed pairs taking values in a σ-finite, separable measure space. Defining a natural measure of dependence D(f) as the squared L2-distance between a joint density f and the product of its marginals, we first show that there is no valid test of independence that is uniformly consistent against alternatives of the form {f:D(f)≥ρ2}. We therefore restrict attention to alternatives that impose…

受限随机占优的改进自助检验AI 解读

Bootstrap Testing for restricted stochastic dominance of a pre-specified order between two distributions is of interest in many areas of economics. This paper develops a new method for improving the performance of such tests that employ a moment selection procedure: tilting the empirical distribution in the moment selection procedure. We propose that the amount of tilting be chosen to maximize the empirical likelihood subject to the restrictions of the null hypothesis, which…