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孩子引领改变：风险投资中的性别多样性与业绩AI 解读

Given overall lack of gender diversity in the venture capital and entrepreneurship industry shown in Calder-Wang and Gompers (2017) we ask: What promotes greater gender diversity in hiring? Does diversity lead to better firm performance and higher investment returns? In this paper, using a unique dataset of the gender of venture capital partners’ children, we find strong evidence that when partners have more daughters, the propensity to hire female partners increases.…

定向货币政策与银行贷款行为AI 解读

We exploit an allocation rule set by the ECB for the first series of TLTROs to study the effects of targeted monetary policy on banks’ credit supply to firms. Combining transaction-level data from the Italian credit register and an instrumental variable identification strategy, we find that targeted longer-term central bank liquidity decreased rates and increased loan amounts, also avoiding some unintended consequences of untargeted measures, such as carry-trade strategies…

欧拉方程的非参数识别与估计AI 解读

We consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility functions up to scale, in consumption-based asset pricing Euler equations. Ours is the first paper to prove nonparametric identification of Euler equations under low level conditions (without imposing functional restrictions or just assuming completeness). We also propose a novel nonparametric estimator based on our identification analysis, which combines standard…

利用约束优化计算矩不等式模型AI 解读

Summary Inference for moment inequality models is computationally demanding and often involves time-consuming grid search. By exploiting the equivalent formulations between unconstrained and constrained optimization, we establish new ways to compute the identified set and its confidence set in moment inequality models that overcome some of these computational hurdles. In simulations, using both linear and nonlinear moment inequality models, we show that our method…

处理变量二值化后的工具变量估计：排除限制问题与检验AI 解读

Summary When estimating local average and marginal treatment effects using instrumental variables (IVs), multivalued endogenous treatments are frequently converted to binary measures, supposedly to improve interpretability or policy relevance. Such binarisation introduces a violation of the IV exclusion if (a) the IV affects the multivalued treatment within support areas below and/or above the threshold and (b) such IV-induced changes in the multivalued treatment affect the…

无需均值平稳假设的识别：含内生解释变量动态面板模型的拟极大似然估计AI 解读

Summary Linear generalised method of moments (GMM) estimators for dynamic panel models with predetermined or endogenous regressors suffer from a weak instruments problem when the data are highly persistent. In this paper, we propose new random- and fixed-effects limited-information quasi–maximum likelihood estimators (LIQMLEs) for such models. We also discuss LIQMLEs for models that contain time-varying individual effects. Unlike system GMM estimators, the LIQMLEs do not…

选择有效工具变量的置信区间方法AI 解读

Abstract We propose a new method, the confidence interval (CI) method, to select valid instruments from a larger set of potential instruments for instrumental variable (IV) estimation of the causal effect of an exposure on an outcome. Invalid instruments are such that they fail the exclusion conditions and enter the model as explanatory variables. The CI method is based on the CIs of the per instrument causal effects estimates and selects the largest group with all CIs…

预测目标未知时如何解释点预测AI 解读

Abstract Point forecasts can be interpreted as functionals (i.e., point summaries) of predictive distributions. We extend methodology for the identification of the functional based on time series of point forecasts and associated realizations. Focusing on state‐dependent quantiles and expectiles, we provide a generalized method of moments estimator for the functional, along with tests of optimality under general joint hypotheses of functional relationships and information…

新教是否通过提高人力资本促进繁荣？复现Becker–Woessmann结果AI 解读

Summary This paper shows that the Becker–Woessmann reformulation of the Weber thesis—Protestants were more prosperous in 19th‐century Prussia because they had higher human capital—is untenable. Regional variations in the Prussian institutional framework influenced economic outcomes, but Becker and Woessmann's econometric analysis takes no account of these variables, which suggests that their instrumental variable—distance to Wittenberg, a spatial variable—is invalid. When…

投入市场摩擦下的生产函数估计AI 解读

Abstract Behind many production function estimators lies a crucial assumption that the firm's choice of intermediate inputs depends only on observed choices of other inputs and on unobserved productivity. This assumption fails when market frictions distort the firm's input choices. I derive a test for the assumption, which is rejected in several industries. Using weak identification asymptotics, I show that when the assumption fails, a simplified dynamic panel estimator can…

存在中间混杂变量时的非参数有效因果中介分析AI 解读

Summary Interventional effects for mediation analysis were proposed as a solution to the lack of identifiability of natural (in)direct effects in the presence of a mediator-outcome confounder affected by exposure. We present a theoretical and computational study of the properties of the interventional (in)direct effect estimands based on the efficient influence function in the nonparametric statistical model. We use the efficient influence function to develop two…

刀切经验似然：小带宽、稀疏网络与高维渐近AI 解读

Summary This article aims to shed light on inference problems for statistical models under alternative or nonstandard asymptotic frameworks from the perspective of the jackknife empirical likelihood. Examples include small-bandwidth asymptotics for semiparametric inference and goodness-of-fit testing, sparse-network asymptotics, many-covariates asymptotics for regression models, and many-weak-instruments asymptotics for instrumental variable regression. We first establish…

非参数多元有限混合模型的成分数量估计AI 解读

We propose a novel estimator for the number of mixture components (denoted by M) in a nonparametric finite mixture model. The setting that we consider is one where the analyst has repeated observations of K≥2 variables that are conditionally independent given a finitely supported latent variable with M support points. Under a mild assumption on the joint distribution of the observed and latent variables, we show that an integral operator T that is identified from the data…

两样本汇总数据孟德尔随机化中的去偏逆方差加权估计AI 解读

Mendelian randomization (MR) has become a popular approach to study the effect of a modifiable exposure on an outcome by using genetic variants as instrumental variables. A challenge in MR is that each genetic variant explains a relatively small proportion of variance in the exposure and there are many such variants, a setting known as many weak instruments. To this end, we provide a theoretical characterization of the statistical properties of two popular estimators in MR:…

递增拍卖中的竞价摩擦AI 解读

This paper develops an approach for identifying and estimating the distribution of valuations in ascending auctions where an indeterminate number of bidders have an unknown number of bidding opportunities. To finesse the complications for identification and estimation due to multiple equilibria, our empirical analysis is based on the fact that bidders play undominated strategies in every equilibrium. We apply the model to a monthly financial market in which local banks…

动态离散选择模型的半参数估计AI 解读

We consider the estimation of dynamic binary choice models in a semiparametric setting, in which the per-period utility functions are known up to a finite number of parameters, but the distribution of utility shocks is left unspecified. This semiparametric setup differs from most of the existing identification and estimation literature for dynamic discrete choice models. To show identification we derive and exploit a new recursive representation for the unknown quantile…

结构动态 Logit 模型中未观测异质性的充分统计量AI 解读

We study the identification and estimation of structural parameters in dynamic panel data logit models where decisions are forward-looking and the joint distribution of unobserved heterogeneity and observable state variables is nonparametric, i.e., fixed-effects model. We consider models with two endogenous state variables: the lagged decision variable, and the time duration in the last choice. This class of models includes as particular cases important economic applications…

利用二元工具变量部分识别非可分模型AI 解读

In this study, we explore the partial identification of nonseparable models with continuous endogenous and binary instrumental variables. We show that the structural function is partially identified when it is monotone or concave in the explanatory variable. D’Haultfœuille and Février (2015, Econometrica 83(3), 1199–1210) and Torgovitsky (2015, Econometrica 83(3), 1185–1197) prove the point identification of the structural function under a key assumption that the conditional…

预测回归中基于 IVX 检验的有限样本尺寸控制AI 解读

In predictive regressions with variables of unknown persistence, the use of extended IV (IVX) instruments leads to asymptotically valid inference. Under highly persistent regressors, the standard normal or chi-squared limiting distributions for the usual t and Wald statistics may, however, differ markedly from the actual finite-sample distributions which exhibit in particular noncentrality. Convergence to the limiting distributions is shown to occur at a rate depending on…

所有变量均含测量误差的线性回归识别AI 解读

This paper analyzes the classical linear regression model with measurement errors in all the variables. First, we provide necessary and sufficient conditions for identification of the coefficients. We show that the coefficients are not identified if and only if an independent normally distributed linear combination of regressors can be transferred from the regressors to the errors. Second, we introduce a new estimator for the coefficients using a continuum of moments that…

考虑网络变化的处理效应AI 解读

Abstract Networks may rewire in response to interventions. We propose a measure of the treatment effect when an intervention affects the structure of a social network. We develop a treatment-response model that incorporates dynamic peer effects and provide its identification conditions and the associated instrumental-variable strategy. We illustrate our estimation procedure using a panel data set containing information on a financial network before and after a field…

片段式及相关类型函数型数据的协方差估计AI 解读

Aurore Delaiglea , Peter Halla, Wei Huanga* & Alois Kneipb a ACEMS and School of Mathematics and Statistics, University of Melbourne , Parkville , VIC , Australia;; b Department of Economics and Hausdorff Center for Mathematics, Universität Bonn , Bonn , Germany † This work was initiated with Peter Hall during a visit of Kneip to the University Melbourne. Peter died on January 9, 2016.Color versions of one or more of the figures in the article can be found online at…

稀疏捕获数据的多系统估计：名单不重叠时的推断挑战AI 解读

Multiple systems estimation strategies have recently been applied to quantify hard-to-reach populations, particularly when estimating the number of victims of human trafficking and modern slavery. In such contexts, it is not uncommon to see sparse or even no overlap between some of the lists on which the estimates are based. These create difficulties in model fitting and selection, and we develop inference procedures to address these challenges. The approach is based on…

个体化多方向变量选择AI 解读

In this article, we propose a heterogeneous modeling framework which achieves individual-wise feature selection and heterogeneous covariates’ effects subgrouping simultaneously. In contrast to conventional model selection approaches, the new approach constructs a separation penalty with multidirectional shrinkages, which facilitates individualized modeling to distinguish strong signals from noisy ones and selects different relevant variables for different individuals.…