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具有超越对数生产技术的动态潜在因子技能形成模型识别AI 解读

Summary In this paper, we highlight an important property of the translog production function for the identification of treatment effects in a model of latent skill formation. We show that when using a translog specification of the skill technology, properly anchored treatment effect estimates are invariant to any location and scale normalizations of the underlying measures. By contrast, when researchers assume a CES production function and impose standard location and scale…

用随机网络 SIR 模型匹配新冠疫情理论与证据AI 解读

Summary This paper develops an individual‐based stochastic network SIR model for the empirical analysis of the Covid‐19 pandemic. It derives moment conditions for the number of infected and active cases for single as well as multigroup epidemic models. These moment conditions are used to investigate the identification and estimation of the transmission rates. The paper then proposes a method that jointly estimates the transmission rate and the magnitude of under‐reporting of…

异质系数、控制变量与多重处理效应识别AI 解读

Summary Multi-dimensional heterogeneity and endogeneity are important features of models with multiple treatments. We consider a heterogeneous coefficients model where the outcome is a linear combination of dummy treatment variables, with each variable representing a different kind of treatment. We use control variables to give necessary and sufficient conditions for identification of average treatment effects. With mutually exclusive treatments we find that, provided the…

具有共享结构的多层网络潜在空间模型AI 解读

Summary Latent space models are frequently used for modelling single-layer networks and include many popular special cases, such as the stochastic block model and the random dot product graph. However, they are not well developed for more complex network structures, which are becoming increasingly common in practice. In this article we propose a new latent space model for multiplex networks, i.e., multiple heterogeneous networks observed on a shared node set. Multiplex…

动态方差分解的工具变量识别AI 解读

Macroeconomists increasingly use external sources of exogenous variation for causal inference. However, unless such external instruments (proxies) capture the underlying shock without measurement error, existing methods are silent on the importance of that shock for macroeconomic fluctuations. We show that, in a general moving-average model with external instruments, variance decompositions for the instrumented shock are interval-identified, with informative bounds. Various…

最大似然估计鞍点近似的渐近精度AI 解读

The saddlepoint approximation gives an approximation to the density of a random variable in terms of its moment generating function. When the underlying random variable is itself the sum of n unobserved i.i.d. terms, the basic classical result is that the relative error in the density is of order 1/n. If instead the approximation is interpreted as a likelihood and maximised as a function of model parameters, the result is an approximation to the maximum likelihood estimate…

线性 GMM 的双重修正稳健方差估计量AI 解读

We propose a new finite sample corrected variance estimator for the linear generalized method of moments (GMM) including the one-step, two-step, and iterated estimators. Our formula also corrects the over-identification bias in variance estimation on top of the commonly used finite sample correction of Windmeijer (2005), which corrects the bias from estimating the efficient weight matrix, so is doubly corrected. An important feature of the proposed double correction is that…

含非参数内生效应的横截面互动模型之筛工具变量估计AI 解读

In this study, we consider cross-sectional interaction models including spatial autoregressive models and peer effects models as special cases. Our model allows the endogenous effect – the effect of others’ outcomes on one’s own outcome – to be nonlinear and nonparametric. For the model estimation, we propose a sieve instrumental variable estimator and establish both its consistency and asymptotic normality. Furthermore, we propose a nonparametric specification test for the…

股东积极主义的价值创造AI 解读

We measure value creation by activist investors via structural estimation of a model of the choice between passive investment and activism. Our estimates imply that average returns following activist intent announcements consist of 74.8% expected value creation, or treatment, 13.4% stock picking, and 11.8% sample selection effects. Higher treatment values predict improvements in firm performance and lower proxy contest probabilities, whereas abnormal announcements returns do…

线性动态面板矩分析中的识别稳健推断AI 解读

We use identification robust tests to show that difference (Dif), level (Lev), and nonlinear (NL) moment conditions, as proposed by Arellano and Bond (1991, Review of Economic Studies 58, 277–297), Ahn and Schmidt (1995, Journal of Econometrics 68, 5–27), Arellano and Bover (1995, Journal of Econometrics 68, 29–51), and Blundell and Bond (1998, Journal of Econometrics 87, 115–143) for the linear dynamic panel data model, do not separately identify the autoregressive…

相关随机系数变换模型的识别与估计AI 解读

This study examines identification and estimation in a correlated random coefficients (CRC) model with an unknown transformation of the dependent variable, namely $\lambda \left (Y^{*}\right)=B_{0}+X^{\prime }B$ , where the latent outcome $Y^{*}$ may be subject to a certain kind of censoring mechanism, $\lambda (\cdot)$ is an unknown, one-to-one monotone function, and the random coefficients $\left (B_{0},B\right)$ are allowed to be correlated with one or several components…

高维中介分析：筛选连接童年创伤与皮质醇应激反应的 DNA 甲基化位点AI 解读

Childhood trauma tends to influence cortisol stress reactivity through the mediating effects of DNA methylation. Houtepen et al. conducted a study to investigate the role of DNA methylation in cortisol stress reactivity and its relationship with childhood trauma. The study collected a dataset consisting of 385,882 DNA methylation loci, cortisol stress reactivity, one-dimensional score on a childhood trauma questionnaire and several covariates for 85 healthy individuals. Of…

脑电脑机接口中神经活动的贝叶斯推断AI 解读

A brain-computer interface (BCI) is a system that translates brain activity into commands to operate technology. A common design for an electroencephalogram (EEG) BCI relies on the classification of the P300 event-related potential (ERP), which is a response elicited by the rare occurrence of target stimuli among common non-target stimuli. Few existing ERP classifiers directly explore the underlying mechanism of the neural activity. To this end, we perform a novel Bayesian…

非参数经验贝叶斯分析的置信区间AI 解读

In an empirical Bayes analysis, we use data from repeated sampling to imitate inferences made by an oracle Bayesian with extensive knowledge of the data-generating distribution. Existing results provide a comprehensive characterization of when and why empirical Bayes point estimates accurately recover oracle Bayes behavior. In this paper, we develop flexible and practical confidence intervals that provide asymptotic frequentist coverage of empirical Bayes estimands, such as…

网络数据的动态随机区块回归模型：国际军事冲突应用AI 解读

The decision to engage in military conflict is shaped by many factors, including state- and dyad-level characteristics as well as the state’s membership in geopolitical coalitions. Supporters of the democratic peace theory, for example, hypothesize that the community of democratic states is less likely to wage war with each other. Such theories explain the ways in which nodal and dyadic characteristics affect the evolution of conflict patterns over time via their effects on…

基于未测量混杂比例的敏感性分析AI 解读

In observational studies, identification of ATEs is generally achieved by assuming that the correct set of confounders has been measured and properly included in the relevant models. Because this assumption is both strong and untestable, a sensitivity analysis should be performed. Common approaches include modeling the bias directly or varying the propensity scores to probe the effects of a potential unmeasured confounder. In this article, we take a novel approach whereby…

无金标准病例定义下的疟疾疫苗效力估计：孟德尔析因设计AI 解读

Accurate estimates of malaria vaccine efficacy require a reliable definition of a malaria case. However, the symptoms of clinical malaria are unspecific, overlapping with other childhood illnesses. Additionally, children in endemic areas tolerate varying levels of parasitemia without symptoms. Together, this makes finding a gold-standard case definition challenging. We present a method to identify and estimate malaria vaccine efficacy that does not require an observable…

非单调非随机缺失数据的半参数推断：无自我删失模型AI 解读

We study the identification and estimation of statistical functionals of multivariate data missing non-monotonically and not-at-random, taking a semiparametric approach. Specifically, we assume that the missingness mechanism satisfies what has been previously called "no self-censoring" or "itemwise conditionally independent nonresponse," which roughly corresponds to the assumption that no partially-observed variable directly determines its own missingness status. We show…

用于高维推断的马尔可夫邻域回归AI 解读

This article proposes an innovative method for constructing confidence intervals and assessing p-values in statistical inference for high-dimensional linear models. The proposed method has successfully broken the high-dimensional inference problem into a series of low-dimensional inference problems: For each regression coefficient βi, the confidence interval and p-value are computed by regressing on a subset of variables selected according to the conditional independence…

用于微聚类任务的随机划分模型AI 解读

Traditional Bayesian random partition models assume that the size of each cluster grows linearly with the number of data points. While this is appealing for some applications, this assumption is not appropriate for other tasks such as entity resolution (ER), modeling of sparse networks, and DNA sequencing tasks. Such applications require models that yield clusters whose sizes grow sublinearly with the total number of data points—the microclustering property. Motivated by…

利用预测误差方差分解的界约束识别结构向量自回归AI 解读

This article identifies structural vector autoregressions (SVARs) through bound restrictions on the forecast error variance decomposition (FEVD). First, the article shows FEVD bounds correspond to quadratic inequality restrictions on the columns of the rotation matrix transforming reduced-form residuals into structural shocks. Second, the article establishes theoretical conditions such that bounds on the FEVD lead to a reduction in the width of the impulse response…

异方差代理变量向量自回归AI 解读

In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroscedasticity is occasionally allowed for in inference, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change in their variances. We develop a test for this implicit assumption and present evidence that the assumption of time-invariant impact effects may be violated in previously used…

弱 VARMA 过程的实用建模：识别、估计、模型设定与宏观应用AI 解读

We consider the problem of developing practical methods for modelling weak VARMA processes. We first propose new identified VARMA representations, the diagonal MA equation form and the final MA equation form, where the MA operator is either diagonal or scalar. Both these representations have the important feature that they constitute relatively simple modifications of a VAR model (in contrast with the echelon representation). Second, for estimating VARMA models, we develop…

检验大量矩不等式的两步方法AI 解读

This article considers the problem of testing a finite number of moment inequalities. For this problem, Romano, Shaikh, and Wolf proposed a two-step testing procedure. In the first step, the procedure incorporates information about the location of moments using a confidence region. In the second step, the procedure accounts for the use of the confidence region in the first step by adjusting the significance level of the test appropriately. Its justification, however, has so…