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利用教育回报估计教育借贷约束AI 解读

This paper measures the importance of borrowing constraints on education decisions. Empirical identification of borrowing constraints is secured by the economic prediction that opportunity costs and direct costs of schooling affect borrowing-constrained and unconstrained persons differently. Direct costs need to be financed during school and impose a larger burden on credit-constrained students. By contrast, gross forgone earnings do not have to be financed. We explore the…

工具变量回归中结构参数子集的检验AI 解读

We develop Lagrange multiplier and likelihood ratio statistics to test hypotheses on subsets of the structural parameters in an instrumental variables regression model. The asymptotic distributions of these statistics are robust to instrument quality. A key assumption is, however, that the instruments are valid for the remaining endogenous variables. We show that the statistics lead to 95% confidence sets for the return on education in data from Card (1995) that are…

使用匹配、工具变量与控制函数估计经济选择模型AI 解读

This paper investigates four topics. (1) It examines the different roles played by the propensity score (the probability of selection into treatment) in matching, instrumental variable, and control function methods. (2) It contrasts the roles of exclusion restrictions in matching and selection models. (3) It characterizes the sensitivity of matching to the choice of conditioning variables and demonstrates the greater robustness of control function methods to misspecification…

04.1.1 基于固定效应与误差成分两阶段最小二乘差异的 Hausman 检验AI 解读

A Hausman test based on the difference between fixed effects two-stage least squares and error components two-stage least squares.

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多工具变量下的随机效应估计量AI 解读

In this paper we propose a new estimator for a model with one endogenous regressor and many instrumental variables. Our motivation comes from the recent literature on the poor properties of standard instrumental variables estimators when the instrumental variables are weakly correlated with the endogenous regressor. Our proposed estimator puts a random coefficients structure on the relation between the endogenous regressor and the instruments. The variance of the random…

异质性模型的贝叶斯分析AI 解读

effects, which is also known as the heterogeneity model. First, we discuss the properties of various Markov chain Monte Carlo samplers that are obtained from full conditional Gibbs sampling by grouping and collapsing. Whereas full conditional Gibbs sampling turns out to be sensitive to the parameterization chosen for the mean structure of the model, the alternative sampler is robust in this respect. However, the logical extension of the approach to the sampling of the group…

若干稳健工具变量估计量的表现AI 解读

and rank regression estimators. The asymptotic properties of the estimators are discussed, and a small-scale Monte Carlo study is used to illustrate the potential advantages of the approach. Finally, the proposed methods are implemented for two empirical examples.

不可忽略无应答下的多元缺失数据分析AI 解读

We consider multivariate regression analysis with missing data in the outcome variables, when the nonresponse mechanism depends on the underlying values of the responses and hence is nonignorable. Related problems include response‐biased sampling where data are sampled with probability depending only on the univariate response. Our methods do not require specification of the form of the nonresponse mechanism. We show that, under certain regularity conditions, all the…

多周期函数解卷积的非参数方法AI 解读

Summary Multiperiodic functions, or functions that can be represented as finite additive mixtures of periodic functions, arise in problems related to stellar radiation. There they represent the overall variation in radiation intensity with time. The individual periodic components generally correspond to different sources of radiation and have intrinsic physical meaning provided that they can be ‘deconvolved’ from the mixture. We suggest a combination of kernel and orthogonal…

使用广义结构均值模型进行因果推断AI 解读

Summary We estimate cause–effect relationships in empirical research where exposures are not completely controlled, as in observational studies or with patient non-compliance and self-selected treatment switches in randomized clinical trials. Additive and multiplicative structural mean models have proved useful for this but suffer from the classical limitations of linear and log-linear models when accommodating binary data. We propose the generalized structural mean model to…

样本末端不稳定性检验AI 解读

This paper considers tests for structural instability of short duration, such as at the end of the sample. The key feature of the testing problem is that the number, m, of observations in the period of potential change is relatively small—possibly as small as one. The well-known F test of Chow (1960) for this problem only applies in a linear regression model with normally distributed iid errors and strictly exogenous regressors, even when the total number of observations,…

含未知函数的条件矩限制模型的有效估计AI 解读

(iii) the estimator for the asymptotic covariance of the 0 estimator is consistent and easy to compute; and (iv) the optimally weighted minimum distance estimator of 0 attains the semiparametric efficiency bound. We illustrate our results with two examples: a partially linear regression with an endogenous nonparametric part, and a partially additive IV regression with a link function.

循环神经网络的可识别性AI 解读

We examine the identifiability of a nonlinear state space system under general assumptions. The discrete time evolution of the state is generated by a recurrent Elman network. For a large set of Elman networks we determine the class of observationally equivalent minimal systems, i.e., minimal systems that exhibit the same input-output behavior.The authors are grateful for discussions with M. Deistler and D. Bauer. A.A. Al-Falou was funded by the ERNSI network within the…

可能未识别的结构方程中的条件推断AI 解读

The possibility that a structural equation may not be identified casts doubt on measures of estimator precision that are usually used. Using the Fieller–Creasy problem for illustration, we argue that an observed identifiability test statistic is directly relevant to the precision with which the structural parameters can be estimated, and hence we argue that inference in such models should be conditioned on the observed value of that statistic (or statistics).We examine in…

利用渐近枢轴统计量进行有限样本工具变量推断AI 解读

We consider the K-statistic, Kleibergen's (2002, Econometrica 70, 1781–1803) adaptation of the Anderson–Rubin (AR) statistic in instrumental variables regression. Whereas Kleibergen (2002) especially analyzes the asymptotic behavior of the statistic, we focus on finite-sample properties in a Gaussian framework. The AR statistic then has an F-distribution. The finite-sample distribution of the K-statistic is, however, affected by nuisance parameters. We consider two extreme…

可识别性与删失数据AI 解读

It is well known that, without the assumption of independence between two nonnegative random variables X and Y, the survival function of X is not identifiable on the basis of the joint distribution function of Z = min(X, Y) and δ = I(Z = Y). In this paper, we provide a simple condition in the form of conditional distribution of Y given X. We show that our condition is equivalent to the constant‐sum condition proposed by Williams & Lagakos (1977). As a result the survival…

遥远未来有多重要？公众减缓气候生态影响意愿的层级贝叶斯分析AI 解读

How much does the far future matter? This question lies at the heart of many important environmental policy issues, such as global climate change, biodiversity loss, and the disposal of radioactive waste. Although philosophers, experts, and others offer their viewpoints on this deep question, the solution to many environmental problems lies in the willingness of the public to bear significant costs now to make the far future a better place. Short of national plebiscites, the…

利用类星体碳 IV 吸收体估计宇宙大尺度结构AI 解读

Galaxies have long been known to form large clusters, and cosmologists are interested in characterizing this clustering as a way of studying the large-scale structure of the universe. This work is motivated by a data catalog consisting of information on lines of sight from Earth to distant quasi-stellar objects (QSO's) and the carbon IV absorbers that lie on them. The absorbers are believed to be gas clouds near galaxies too far away to be easily observed. Thus, the absorber…

终止事件发生时的复发事件频次AI 解读

Recurrent events arise in many longitudinal medical studies where time to a terminal event or failure is the primary endpoint. With incomplete follow-up data, the analysis of recurrent events is a challenge owing to their association with the failure. One specific quantity of interest rarely addressed in the statistical literature is the recurrence frequency at the failure time; an example is hospitalization frequency, which is often used as a rough measure of lifetime…

混合比例风险模型信息矩阵的奇异性AI 解读

This paper presents new identification conditions for the mixed proportional hazard model. In particular, the baseline hazard is assumed to be bounded away from 0 and ∞ near t = 0. These conditions ensure that the information matrix is nonsingular. The paper also presents an estimator for the mixed proportional hazard model that converges at rate N −1/2.

持续期模型中处理效应的非参数识别AI 解读

This paper analyzes the specification and identification of causal multivariate duration models. We focus on the case in which one duration concerns the point in time a treatment is initiated and we are interested in the effect of this treatment on some outcome duration. We define “no anticipation of treatment” and relate it to a common assumption in biostatistics. We show that (i) no anticipation and (ii) randomized treatment assignment can be imposed without restricting…