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位置移动下的非参数回归AI 解读

Recent work by Wang and Phillips (2009b, 2011) has shown that ill‐posed inverse problems do not arise in non‐stationary non‐parametric regression and there is no need for non‐parametric instrumental variable estimation. Instead, simple Nadaraya–Watson non‐parametric estimation of a cointegrating regression equation is consistent irrespective of the endogeneity in the regressor. The present paper shows that some closely related results apply in the case of structural…

基于离散观测过程的跳跃检验与定位AI 解读

We propose a new nonparametric test for detecting the presence of jumps in asset prices using discretely observed data. Compared with the test in Aït-Sahalia and Jacod (2009), our new test enjoys the same asymptotic properties but has smaller variance. These results are justified both theoretically and numerically. We also propose a new procedure to locate the jumps. The jump identification problem reduces to a multiple comparison problem. We employ the false discovery rate…

企业套期保值对融资与投资的影响AI 解读

ABSTRACT We study the implications of hedging for corporate financing and investment. We do so using an extensive, hand‐collected data set on corporate hedging activities. Hedging can lower the odds of negative realizations, thereby reducing the expected costs of financial distress. In theory, this should ease a firm's access to credit. Using a tax‐based instrumental variable approach, we show that hedgers pay lower interest spreads and are less likely to have capital…

时间变换无限活动衍生品定价模型的序贯贝叶斯分析AI 解读

This article investigates time-changed infinite activity derivatives pricing models from the sequential Bayesian perspective. It proposes a sequential Monte Carlo method with the proposal density generated by the unscented Kalman filter. This approach overcomes to a large extent the particle impoverishment problem inherent to the conventional particle filter. Simulation study and real applications indicate that (1) using the underlying alone cannot capture the dynamics of…

可能存在趋势断点与非平稳波动时的单位根检验AI 解读

We analyze the impact of nonstationary volatility on the break fraction estimator and associated trend break unit root tests of Harris, Harvey, Leybourne, and Taylor (2009) (HHLT). We show that although HHLT’s break fraction estimator retains the same large-sample properties as demonstrated by HHLT for homoskedastic shocks, the limiting null distributions of unit root statistics based around this estimator are not pivotal under nonstationary volatility. A solution to the…

带固定效应的动态面板分位数回归AI 解读

This paper studies a quantile regression dynamic panel model with fixed effects. Panel data fixed effects estimators are typically biased in the presence of lagged dependent variables as regressors. To reduce the dynamic bias, we suggest the use of the instrumental variables quantile regression method of Chernozhukov and Hansen (2006) along with lagged regressors as instruments. In addition, we describe how to employ the estimated models for prediction. Monte Carlo…

全基因组关联研究中的群体分层校正AI 解读

Genomewide association studies have become the primary tool for discovering the genetic basis of complex human diseases. Such studies are susceptible to the confounding effects of population stratification, in that the combination of allele-frequency heterogeneity with disease-risk heterogeneity among different ancestral subpopulations can induce spurious associations between genetic variants and disease. This article provides a statistically rigorous and computationally…

用非参数趋势检验分析长周期变星AI 解读

In astronomy the study of variable stars—that is, stars characterized by showing significant variation in their brightness over time—has made crucial contributions to our understanding of many phenomena, from stellar birth and evolution to the calibration of the extragalactic distance scale. In this article, we develop a method for analyzing multiple, (pseudo)-periodic time series with the goal of detecting temporal trends in their periods. We allow for nonstationary noise…

In this article, the problem of semi-parametric inference on the parameters of a multidimensional Lévy process Lt with independent components based on the low-frequency observations of the corresponding time-changed Lévy process $L_{\mathcal{T}(t)}$, where $\mathcal{T}$ is a nonnegative, nondecreasing real-valued process independent of Lt, is studied. We show that this problem is closely related to the problem of composite function estimation that has recently gotten much…

横截面数据中二元随机因子的非参数识别AI 解读

Suppose V and U are two independent mean zero random variables, where V has an asymmetric distribution with two mass points and U has some zero odd moments (having a symmetric distribution suffices). We show that the distributions of V and U are nonparametrically identified just from observing the sum V+U, and provide a pointwise rate root n estimator. This can permit point identification of average treatment effects when the econometrician does not observe who was treated.…

单调性假设下分位数的非参数界：意大利教育回报应用AI 解读

Within the inferential context of predicting a distribution of potential outcomes P[y(t)] under a uniform treatment assignment t ∈ T, this paper deals with partial identification of the α-quantile of the distribution of interest Qα[y(t)] under relatively weak and credible monotonicity-type assumptions on the individual response functions and the population selection process. On the theoretical side, the paper adds to the existing results on non-parametric bounds on quantiles…

条件马尔可夫链及其在经济时间序列分析中的应用AI 解读

Motivated by the great moderation in major US macroeconomic time series, we formulate the regime switching problem through a conditional Markov chain. We model the long-run volatility change as a recurrent structure change, while short-run changes in the mean growth rate as regime switches. Both structure and regime are unobserved. The structure is assumed to be Markovian. Conditioning on the structure, the regime is also Markovian, whose transition matrix is…

双层动态面板 Tobit 模型的模拟估计：已婚女性劳动供给AI 解读

In this paper a computationally practical simulation estimator is proposed for the two-tiered dynamic panel Tobit model originally developed by Cragg (1971). The log-likelihood function simulated through procedures based on a recursive algorithm formulated by the Geweke–Hajivassiliou–Keane simulator is maximized. The simulation estimators are then applied to study the labor supply of married women. The rich dynamic structure of the labor force participation decision as well…

区间删失持续期数据下混合比例风险模型的非参数识别AI 解读

This note presents identification results for the mixed proportional hazards model when duration data are interval‐censored. Earlier positive results on identification under interval‐censoring require both parametric specification on how covariates enter the hazard functions and assumptions of unbounded support for covariates. New results provided here show how one can dispense with both of these assumptions. The mixed proportional hazards model is non‐parametrically…

动态因子模型中的结构突变检验AI 解读

In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest procedures for testing for structural breaks. It is shown that structural breaks severely inflate the number of factors identified by the usual information criteria. The hypothesis of a structural break is tested by using LR, LM and Wald statistics. The LM test (which performs best in our…

具有分块结构的动态因子分析AI 解读

Macroeconometric data often come under the form of large panels of time series, themselves decomposing into smaller but still quite large subpanels or blocks. We show how the dynamic factor analysis method proposed in Forni et al. (2000), combined with the identification method of Hallin and Liska (2007), allows for identifying and estimating joint and block-specific common factors. This leads to a more sophisticated analysis of the structures of dynamic interrelations…

风险投资分阶段融资的成因与后果AI 解读

This paper examines the causes and consequences of venture capital (VC) stage financing. Using information about the physical location of an entrepreneurial firm and the geographic distance between the VC investor and the firm, I show that VC investors located farther away from an entrepreneurial firm tend to finance the firm using a larger number of financing rounds, shorter durations between successive rounds, and investing a smaller amount in each round. However, VC…

全基因组关联研究中稀疏信号恢复的样本量与功效分析AI 解读

Genome-wide association studies have successfully identified hundreds of novel genetic variants associated with many complex human diseases. However, there is a lack of rigorous work on evaluating the statistical power for identifying these variants. In this paper, we consider sparse signal identification in genome-wide association studies and present two analytical frameworks for detailed analysis of the statistical power for detecting and identifying the disease-associated…

相关随机系数模型的贝叶斯推断：因果效应异质性与教育回报AI 解读

We consider the problem of causal effect heterogeneity from a Bayesian point of view. This is accomplished by introducing a three-equation system, similar in spirit to the work of Heckman and Vytlacil (1998), describing the joint determination of a scalar outcome, an endogenous "treatment" variable, and an individual-specific causal return to that treatment. We describe a Bayesian posterior simulator for fitting this model which recovers far more than the average causal…

基于无穷小生成算子的扩散模型鞅检验方法AI 解读

I develop an omnibus specification test for diffusion models based on the infinitesimal operator. The infinitesimal operator based identification of the diffusion process is equivalent to a "martingale hypothesis" for the processes obtained by a transformation of the original diffusion model. My test procedure is then constructed by checking the "martingale hypothesis" via a multivariate generalized spectral derivative based approach that delivers a N(0,1) asymptotical null…

利用动态分割模型进行宏观金融预测AI 解读

Dynamic partition models are used to predict movements in the term structure of interest rates. This allows one to understand historic cycles in the performance of how interest rates behave, and to offer policy makers guidance regarding future expectations on their evolution. Our approach allows for a random number of possible change points in the term structure of interest rates. We use particle learning to learn about the unobserved state variables in a new class of…

用于疾病暴发检测的广义可加模型异常值稳健拟合AI 解读

We are interested in a class of unsupervised methods to detect possible disease outbreaks, that is, rapid increases in the number of cases of a particular disease that deviate from the pattern observed in the past. The motivating application for this article deals with detecting outbreaks using generalized additive models (GAMs) to model weekly counts of certain infectious diseases. We can use the distance between the predicted and observed counts for a specific week to…

平稳随机过程衍生预测变量的测量误差校正：可卡因治疗数据应用AI 解读

In a cocaine dependence treatment study, we use linear and nonlinear regression models to model posttreatment cocaine craving scores and first cocaine relapse time. A subset of the covariates are summary statistics derived from baseline daily cocaine use trajectories, such as baseline cocaine use frequency and average daily use amount. These summary statistics are subject to estimation error and can therefore cause biased estimators for the regression coefficients. Unlike…

用非凸惩罚回归检测异常值AI 解读

This article studies the outlier detection problem from the standpoint of penalized regression. In the regression model, we add one mean shift parameter for each of the n data points. We then apply a regularization favoring a sparse vector of mean shift parameters. The usual L1 penalty yields a convex criterion, but fails to deliver a robust estimator. The L1 penalty corresponds to soft thresholding. We introduce a thresholding (denoted by Θ) based iterative procedure for…