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聚类数量较少时处理效应的安慰剂推断AI 解读

I introduce a general, Fisher-style randomization testing framework to conduct nearly exact inference about the lack of effect of a binary treatment in the presence of very few, large clusters when the treatment effect is identified across clusters. The proposed randomization test formalizes and extends the intuitive notion of generating null distributions by assigning placebo treatments to untreated clusters. I show that under simple and easily verifiable conditions, the…

持久性与条件异方差下的预测分位数回归AI 解读

This paper provides an improved inference for predictive quantile regressions with persistent predictors and conditionally heteroskedastic errors. The confidence intervals based on conventional quantile regression techniques are not valid when predictors are highly persistent. Moreover, the conditional heteroskedasticity introduces rather complicated nuisance parameters in the limit theory, whose estimation errors can be another source of distortion. We propose a…

连续时间过程中的结构失效时间模型半参数估计AI 解读

Summary Structural failure time models are causal models for estimating the effect of time-varying treatments on a survival outcome. G-estimation and artificial censoring have been proposed for estimating the model parameters in the presence of time-dependent confounding and administrative censoring. However, most existing methods require manually pre-processing data into regularly spaced data, which may invalidate the subsequent causal analysis. Moreover, the computation…

同伴效应的随机化推断AI 解读

Xinran Lia, Peng Dingb*, Qian Linc, Dawei Yangd & Jun S. Liuaa Department of Statistics, Harvard University, Cambridge, MA; b Department of Statistics, University of California, Berkeley, CA; c Center for Statistical Science, Department of Industrial Engineering, Tsinghua University, Beijing, P. R. China; d Bureau of Personnel of Chinese Academy of Sciences & School of Education of Peking University, Beijing, P. R. ChinaSupplementary materials for this article are available…

时间序列实验与因果目标量：精确随机化检验及交易应用AI 解读

We define causal estimands for experiments on single time series, extending the potential outcome framework to dealing with temporal data. Our approach allows the estimation of a broad class of these estimands and exact randomization-based p-values for testing causal effects, without imposing stringent assumptions. We further derive a general central limit theorem that can be used to conduct conservative tests and build confidence intervals for causal effects. Finally, we…

衡量联合依赖的距离度量及其在因果推断中的应用AI 解读

Many statistical applications require the quantification of joint dependence among more than two random vectors. In this work, we generalize the notion of distance covariance to quantify joint dependence among d≥2 random vectors. We introduce the high-order distance covariance to measure the so-called Lancaster interaction dependence. The joint distance covariance is then defined as a linear combination of pairwise distance covariances and their higher-order counterparts…

用于充分降维的协变量信息矩阵AI 解读

Building upon recent research on the applications of the density information matrix, we develop a tool for sufficient dimension reduction (SDR) in regression problems called covariate information matrix (CIM). CIM exhaustively identifies the central subspace (CS) and provides a rank ordering of the reduced covariates in terms of their regression information. Compared to other popular SDR methods, CIM does not require distributional assumptions on the covariates, or…

两个时间序列之间非线性局部依赖的估计与检验AI 解读

The most common measure of dependence between two time series is the cross-correlation function. This measure gives a complete characterization of dependence for two linear and jointly Gaussian time series, but it often fails for nonlinear and non-Gaussian time series models, such as the ARCH-type models used in finance. The cross-correlation function is a global measure of dependence. In this article, we apply to bivariate time series the nonlinear local measure of…

随机张成AI 解读

This study develops and implements methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for all risk averse investors. We develop a test procedure for “stochastic spanning” for two nested portfolio sets based on subsampling and linear programming. The test is statistically consistent and asymptotically exact for a class of weakly dependent processes. A Monte Carlo simulation experiment shows…

利用大量矩不等式对因果参数与结构参数进行推断AI 解读

Abstract This article considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by $p$, is possibly much larger than the sample size $n$. There is a variety of economic applications where solving this problem allows to carry out inference on causal and structural parameters; a notable example is the market structure model of Ciliberto and Tamer (2009) where $p=2^{m+1}$ with $m$ being the number of firms that could possibly…

高维数据下的非可分模型AI 解读

This paper studies non-separable models with a continuous treatment when the dimension of the control variables is high and potentially larger than the effective sample size. We propose a three-step estimation procedure to estimate the average, quantile, and marginal treatment effects. In the first stage we estimate the conditional mean, distribution, and density objects by penalized local least squares, penalized local maximum likelihood estimation, and numerical…

具有异质动态结构的面板数据分析AI 解读

This paper proposes a model-free approach to analyze panel data with heterogeneous dynamic structures across observational units. We first compute the sample mean, autocovariances, and autocorrelations for each unit, and then estimate the parameters of interest based on their empirical distributions. We then investigate the asymptotic properties of our estimators using double asymptotics and propose split-panel jackknife bias correction and inference based on the…

聚类误差下的渐近理论与野生自助推断AI 解读

We study inference based on cluster-robust variance estimators for regression models with clustered errors, focusing on the wild cluster bootstrap. We state conditions under which asymptotic and bootstrap tests and confidence intervals are asymptotically valid. These conditions put limits on the rates at which the cluster sizes can increase as the number of clusters tends to infinity. We also derive Edgeworth expansions for the asymptotic and bootstrap test statistics.…

通过百分位自助法对逆概率加权估计进行敏感性分析AI 解读

Summary To identify the estimand in missing data problems and observational studies, it is common to base the statistical estimation on the ‘missingness at random’ and ‘no unmeasured confounder’ assumptions. However, these assumptions are unverifiable by using empirical data and pose serious threats to the validity of the qualitative conclusions of statistical inference. A sensitivity analysis asks how the conclusions may change if the unverifiable assumptions are violated…

大多无害的模拟？用蒙特卡洛研究选择估计量AI 解读

Summary We consider two recent suggestions for how to perform an empirically motivated Monte Carlo study to help select a treatment effect estimator under unconfoundedness. We show theoretically that neither is likely to be informative except under restrictive conditions that are unlikely to be satisfied in many contexts. To test empirical relevance, we also apply the approaches to a real‐world setting where estimator performance is known. Both approaches are worse than…

用野生自助法改善聚类工具变量模型推断的两个应用AI 解读

Summary Microeconomic data often have within‐cluster dependence, which affects standard error estimation and inference. When the number of clusters is small, asymptotic tests can be severely oversized. In the instrumental variables (IV) model, the potential presence of weak instruments further complicates hypothesis testing. We use wild bootstrap methods to improve inference in two empirical applications with these characteristics. Building from estimating equations and…

重抽样方法的负相依性、排序与收敛AI 解读

We study convergence and convergence rates for resampling schemes. Our first main result is a general consistency theorem based on the notion of negative association, which is applied to establish the almost sure weak convergence of measures output from Kitagawa’s [J. Comput. Graph. Statist. 5 (1996) 1–25] stratified resampling method. Carpenter, Ckiffird and Fearnhead’s [IEE Proc. Radar Sonar Navig. 146 (1999) 2–7] systematic resampling method is similar in structure but…

自适应 Lasso 的扰动自助法AI 解读

The Adaptive Lasso (Alasso) was proposed by Zou [J. Amer. Statist. Assoc. 101 (2006) 1418–1429] as a modification of the Lasso for the purpose of simultaneous variable selection and estimation of the parameters in a linear regression model. Zou [J. Amer. Statist. Assoc. 101 (2006) 1418–1429] established that the Alasso estimator is variable-selection consistent as well as asymptotically Normal in the indices corresponding to the nonzero regression coefficients in certain…

第一价格拍卖中基于 GPV 估计量的推断AI 解读

We consider inference on the probability density of valuations in the first-price sealed-bid auctions model within the independent private value paradigm. We show the asymptotic normality of the two-step nonparametric estimator of Guerre et al. (2000) (GPV), and propose an easily implementable and consistent estimator of the asymptotic variance. We prove the validity of the pointwise percentile bootstrap confidence intervals based on the GPV estimator. Lastly, we use the…

收入区间数据下离散选择的应用福利分析AI 解读

This paper concerns empirical measurement of Hicksian consumer welfare under interval-reported income. Bhattacharya (2015, 2018a) has shown that for discrete choice, welfare distributions resulting from a hypothetical price-change can be expressed as closed-form transformations of choice probabilities. However, when income is interval-reported, as is the case in many surveys, the choice probabilities, and hence welfare distributions are not point-identified. We derive bounds…

计量经济模型中回归单调性的检验AI 解读

Monotonicity is a key qualitative prediction of a wide array of economic models derived via robust comparative statics. It is therefore important to design effective and practical econometric methods for testing this prediction in empirical analysis. This article develops a general nonparametric framework for testing monotonicity of a regression function. Using this framework, a broad class of new tests is introduced, which gives an empirical researcher a lot of flexibility…

美国各州住房价格的共同变动与非对称尾部依赖：非参数方法AI 解读

Summary We reexamine the methods used in estimating comovements among US regional home prices and find that there are insufficient moments to ensure a normal limit necessary for employing the quasi‐maximum likelihood estimator. Hence we propose applying the self‐weighted quasi‐maximum exponential likelihood estimator and a bootstrap method to test and account for the asymmetry of comovements as well as different magnitudes across state pairs. Our results reveal interstate…

删失分位数回归的适配损失函数AI 解读

In this article, we study a novel approach for the estimation of quantiles when facing potential right censoring of the responses. Contrary to the existing literature on the subject, the adopted strategy of this article is to tackle censoring at the very level of the loss function usually employed for the computation of quantiles, the so-called “check” function. For interpretation purposes, a simple comparison with the latter reveals how censoring is accounted for in the…

多个右删失与区间删失事件的半参数回归分析AI 解读

Health sciences research often involves both right- and interval-censored events because the occurrence of a symptomatic disease can only be observed up to the end of follow-up, while the occurrence of an asymptomatic disease can only be detected through periodic examinations. We formulate the effects of potentially time-dependent covariates on the joint distribution of multiple right- and interval-censored events through semiparametric proportional hazards models with…