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匹配与集聚：来自日本企业间贸易的理论与证据AI 解读

This paper shows that matching frictions and a thick market externality in firm‐to‐firm trade shape the agglomeration of economic activity. Using panel data of firm‐to‐firm trade in Japan, I demonstrate that firms gradually match with alternative suppliers following an unanticipated supplier bankruptcy, and that the rate of rematching increases in the geographic density of alternative suppliers. Motivated by these empirical findings, I develop a general equilibrium model of…

可能误设下逻辑回归的稀疏网络渐近理论AI 解读

Consider a bipartite network where N consumers choose to buy or not to buy M different products. This paper considers the properties of the logit fit of the N × M array of “ i ‐buys‐ j ” purchase decisions, Y = [ Y i j ] 1 ≤ i ≤ N , 1 ≤ j ≤ M , onto a vector of known functions of consumer and product attributes under asymptotic sequences where (i) both N and M grow large, (ii) the average number of products purchased per consumer is finite in the limit, (iii) there exists…

非参数工具变量模型中的自适应速率最优假设检验AI 解读

We propose a new adaptive hypothesis test for inequality (e.g., monotonicity, convexity) and equality (e.g., parametric, semiparametric) restrictions on a structural function in a nonparametric instrumental variables (NPIV) model. Our test statistic is based on a modified leave‐one‐out sample analog of a quadratic distance between the restricted and unrestricted sieve two‐stage least squares estimators. We provide computationally simple, data‐driven choices of sieve tuning…

保护隐私的信号AI 解读

A signal is privacy‐preserving with respect to a collection of privacy sets if the posterior probability assigned to every privacy set remains unchanged conditional on any signal realization. We characterize the privacy‐preserving signals for arbitrary state space and arbitrary privacy sets. A signal is privacy‐preserving if and only if it is a garbling of a reordered quantile signal . Furthermore, distributions of posterior means induced by privacy‐preserving signals are…

随机对照试验线性调整的精确偏差校正AI 解读

Freedman (2008a,b) showed that the linear regression estimator is biased for the analysis of randomized controlled trials under the randomization model. Under Freedman's assumptions, we derive exact closed‐form bias corrections for the linear regression estimator. We show that the limiting distribution of the bias corrected estimator is identical to the uncorrected estimator. Taken together with results from Lin (2013), our results show that Freedman's theoretical arguments…

利用微观数据非参数识别差异化产品需求AI 解读

We examine identification of differentiated products demand when one has “micro data” linking the characteristics and choices of individual consumers. Our model nests standard specifications featuring rich observed and unobserved consumer heterogeneity as well as product/market‐level unobservables that introduce the problem of econometric endogeneity. Previous work establishes identification of such models using market‐level data and instruments for all prices and…

评《现代高斯—马尔可夫定理》AI 解读

We show that Theorem 4 in Hansen (2022) applies to exactly the same class of estimators as does the classical Aitken theorem. We furthermore point out that Theorems 5–7 in Hansen (2022) contain extra assumptions not present in the classical Gauss–Markov or Aitken theorem, and thus the former theorems do not contain the latter ones as special cases.

无转移支付多对一双边匹配的识别与估计AI 解读

In a setting of many‐to‐one two‐sided matching with nontransferable utilities, for example, college admissions, we study conditions under which preferences of both sides are identified with data on one single market. Regardless of whether the market is centralized or decentralized, assuming that the observed matching is stable, we show nonparametric identification of preferences of both sides under certain exclusion restrictions. To take our results to the data, we use Monte…

固定效应模型的自助法推断AI 解读

The maximum‐likelihood estimator of nonlinear panel data models with fixed effects is asymptotically biased under rectangular‐array asymptotics. The literature has devoted substantial effort to devising methods that correct for this bias as a means to salvage standard inferential procedures. The chief purpose of this paper is to show that the (recursive, parametric) bootstrap replicates the asymptotic distribution of the (uncorrected) maximum‐likelihood estimator and of the…

团队中的生产与学习AI 解读

To what extent is a worker's human capital growth affected by the quality of his coworkers? To answer this question, we develop and estimate a model in which the productivity and the human capital growth of an individual depend on the average human capital of his coworkers. The measured production function is supermodular: The marginal product of a more knowledgeable individual is increasing in the human capital of his coworkers. The measured human capital accumulation…

低利率环境中的财富不平等AI 解读

We study the effect of interest rates on wealth inequality. While lower rates decrease the growth rate of rentiers, they also increase the growth rate of entrepreneurs by making it cheaper to raise capital. To understand which effect dominates, we derive a sufficient statistic for the effect of interest rates on the Pareto exponent of the wealth distribution: it depends on the lifetime equity and debt issuance rate of individuals in the right tail of the wealth distribution.…

含不可观测异质性与大状态空间的不完全信息博弈估计和推断AI 解读

Building on the sequential identification result of Aguirregabiria and Mira (2019), this paper develops estimation and inference procedures for static games of incomplete information with payoff‐relevant unobserved heterogeneity and multiple equilibria. With payoff‐relevant unobserved heterogeneity, sequential estimation and inference face two main challenges: the matching‐types problem and a large number of matchings . We tackle the matching‐types problem by constructing a…

处理效应异质性下的动态断点回归AI 解读

Regression discontinuity is a popular tool for analyzing economic policies or treatment interventions. This research extends the classic static RD model to a dynamic framework, where observations are eligible for repeated RD events and, therefore, treatments. Such dynamics often complicate the identification and estimation of long‐term average treatment effects. Empirical papers with such designs have so far ignored the dynamics or adopted restrictive identifying…

利用两个次序统计量进行反卷积AI 解读

Economic data are often contaminated by measurement errors and truncated by ranking. This paper shows that the classical measurement error model with independent and additive measurement errors is identified nonparametrically using only two order statistics of repeated measurements. The identification result confirms a hypothesis by Athey and Haile (2002) for a symmetric ascending auction model with unobserved heterogeneity. Extensions allow for heterogeneous measurement…

面板数据中对分配设计稳健的双向固定效应回归AI 解读

We propose a new estimator for average causal effects of a binary treatment with panel data in settings with general treatment patterns. Our approach augments the popular two‐way‐fixed‐effects specification with unit‐specific weights that arise from a model for the assignment mechanism. We show how to construct these weights in various settings, including the staggered adoption setting, where units opt into the treatment sequentially but permanently. The resulting estimator…

用于文本分析的稳健机器学习算法AI 解读

We study the Latent Dirichlet Allocation model, a popular Bayesian algorithm for text analysis. We show that the model's parameters are not identified, which suggests that the choice of prior matters. We characterize the range of values that the posterior mean of a given functional of the model's parameters can attain in response to a change in the prior, and we suggest two algorithms that report this range. Both of our algorithms rely on obtaining multiple Nonnegative…

最优异方差与自相关稳健推断AI 解读

This paper considers the problem of deriving heteroskedasticity and autocorrelation robust (HAR) inference about a scalar parameter of interest. The main assumption is that there is a known upper bound on the degree of persistence in data. I derive finite‐sample optimal tests in the Gaussian location model and show that the robustness‐efficiency tradeoffs embedded in the optimal tests are essentially determined by the maximal persistence. I find that with an appropriate…

分层实验中的协变量调整AI 解读

This paper studies covariate adjusted estimation of the average treatment effect in stratified experiments. We work in a general framework that includes matched tuples designs, coarse stratification, and complete randomization as special cases. Regression adjustment with treatment‐covariate interactions is known to weakly improve efficiency for completely randomized designs. By contrast, we show that for stratified designs such regression estimators are generically…

横截面与面板数据中的高效偏差修正AI 解读

Bias correction can often improve the finite sample performance of estimators. We show that the choice of bias correction method has no effect on the higher‐order variance of semiparametrically efficient parametric estimators, so long as the estimate of the bias is asymptotically linear. It is also shown that bootstrap, jackknife, and analytical bias estimates are asymptotically linear for estimators with higher‐order expansions of a standard form. In particular, we find…

系统性风险暴露张成空间的变化AI 解读

We develop a test for deciding whether the linear spaces spanned by the factor exposures of a large cross‐section of assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset returns in local windows around the two time points. The asymptotic setup is of joint type: the number of assets and the number of return observations per asset increase asymptotically while the length of both time windows shrinks. We…

局部识别失效下条件矩限制的设定检验AI 解读

In this paper, we study the asymptotic behavior of specification tests in conditional moment restriction models under first‐order local identification failure with dependent data. More specifically, we obtain conditions under which the conventional specification test for conditional moment restrictions retains its standard normal limit when first‐order local identification fails but global identification is still attainable. In the process, we derive some novel intermediate…

定量一般均衡中关税与非关税贸易壁垒的异质效应AI 解读

Structural quantitative work in international economics typically models trade costs as a log‐linear function of exogenous trade‐policy variables. We propose a structural approach that allows for a nonparametric relationship and for treating tariff and nontariff trade‐policy variables as potentially endogenous. The data reject the assumption of log‐linearity of trade costs in both tariff‐ and nontariff‐policy variables. We assess the effects of a unilateral increase of US…

匹配元组与完全分块析因设计的推断AI 解读

This paper studies inference in randomized controlled trials with multiple treatments, where treatment status is determined according to a “matched tuples” design. If there are | D | possible treatments, then by a matched tuples design, we mean an experimental design where units are sampled i.i.d. from the population of interest, grouped into “homogeneous” blocks of size | D | , and finally, within each block, exactly one individual is randomly assigned to each of the | D |…

非高斯结构向量自回归模型的局部稳健推断AI 解读

All parameters in structural vector autoregressive (SVAR) models are locally identified when the structural shocks are independent and follow non‐Gaussian distributions. Unfortunately, standard inference methods that exploit such features of the data for identification fail to yield correct coverage for structural functions of the model parameters when deviations from Gaussianity are small. To this extent, we propose a locally robust semiparametric approach to conduct…