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衰退期间的消费动态AI 解读

Are there times when durable spending is less responsive to economic stimulus? We argue that aggregate durable expenditures respond more sluggishly to economic shocks during recessions because microeconomic frictions lead to declines in the frequency of households' durable adjustment. We show this by first using indirect inference to estimate a heterogeneous agent incomplete markets model with fixed costs of durable adjustment to match consumption dynamics in PSID microdata.…

The power of standard panel cointegration statistics may be affected by misspecification errors if structural breaks in the parameters generating the process are not considered. In addition, the presence of cross-section dependence among the panel units can distort the empirical size of the statistics. We therefore design a testing procedure that allows for both structural breaks and cross-section dependence when testing the null hypothesis of no cointegration. The paper…

使用 OLS 估计和检验含内生回归变量模型的结构变化AI 解读

We consider the problem of estimating and testing for multiple breaks in a single-equation framework with regressors that are endogenous, i.e. correlated with the errors. We show that even in the presence of endogenous regressors it is still preferable, in most cases, to simply estimate the break dates and test for structural change using the usual ordinary least squares (OLS) framework. Except for some knife-edge cases, it delivers estimates of the break dates with higher…

贝叶斯 VAR：模型设定选择与预测准确性AI 解读

In this paper we discuss how the point and density forecasting performance of Bayesian vector autoregressions (BVARs) is affected by a number of specification choices. We adopt as a benchmark a common specification in the literature, a BVAR with variables entering in levels and a prior modeled along the lines of Sims and Zha (International Economic Review 1998; 39: 949–968). We then consider optimal choice of the tightness, of the lag length and of both; evaluate the…

广义回归折点设计中的因果效应推断AI 解读

A.1. Proofs of Propositions 1 and 2IN ORDER TO PROVE PROPOSITION 1, we first present and prove the following lemmas.LEMMA 1: Let ϕ(x t) : I × [c d] → R, where I is a compact subset of R m .Suppose ϕ(x t) and its partial derivative, ϕ 2 (x t), are continuous and that ϕ is integrable with respect to the probability measure α for each t.Then f (t) = ϕ(x t) dα(x) is continuously differentiable on [c d].PROOF: By Theorem 5 (p.97) of Roussas (2004), f (t) = ϕ 2 (x t) dα(x) for all…

样本外预测比较与 Wald 统计量的等价性AI 解读

We demonstrate the asymptotic equivalence between commonly used test statistics for out-of-sample forecasting performance and conventional Wald statistics. This equivalence greatly simplifies the computational burden of calculating recursive out-of-sample test statistics and their critical values. For the case with nested models, we show that the limit distribution, which has previously been expressed through stochastic integrals, has a simple representation in terms of…

符号限制、结构向量自回归与有用的先验信息AI 解读

This paper makes the following original contributions to the literature. (i) We develop a simpler analytical characterization and numerical algorithm for Bayesian inference in structural vector autoregressions (VARs) that can be used for models that are overidentified, just-identified, or underidentified. (ii) We analyze the asymptotic properties of Bayesian inference and show that in the underidentified case, the asymptotic posterior distribution of contemporaneous…

工具变量有效性检验AI 解读

This paper develops a specification test for instrument validity in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. The strongest testable implication for instrument validity is given by the condition for nonnegativity of point‐identifiable compliers' outcome densities. Our specification test infers this testable implication using a variance‐weighted Kolmogorov–Smirnov test statistic. The test can be applied to both discrete and…

存在聚集现象的模型中无需工具变量的外生性检验AI 解读

This paper presents a test of the exogeneity of a single explanatory variable in a multivariate model. It does not require the exogeneity of the other regressors or the existence of instrumental variables. The fundamental maintained assumption is that the model must be continuous in the explanatory variable of interest. This test has power when unobservable confounders are discontinuous with respect to the explanatory variable of interest, and it is particularly suitable for…

动态婚姻匹配：一个实证框架AI 解读

The paper proposes a dynamic version of the frictionless Becker-Shapley-Shubik marriage matching model with transferable utility. Its primary objective is to develop a tractable model that rationalizes the marriage distribution of ‘who marries whom’ by age. This behavioral dynamic model rationalizes a new marriage matching function. An empirical methodology that relies on the equilibrium outcomes of the model identies the marital preferences over spouses. This framework also…

高维横截面检验的功效增强AI 解读

= 0 against sparse alternatives where the null hypothesis is violated only by a couple of components. Existing tests based on quadratic forms such as the Wald statistic often suffer from low powers due to the accumulation of errors in estimating high-dimensional parameters. More powerful tests for sparse alternatives such as thresholding and extreme-value tests, on the other hand, require either stringent conditions or bootstrap to derive the null distribution and often…

因子数未知时含交互固定效应的线性面板回归AI 解读

In this paper we study the least squares (LS) estimator in a linear panel regression model with unknown number of factors appearing as interactive fixed effects. Assuming that the number of factors used in estimation is larger than the true number of factors in the data, we establish the limiting distribution of the LS estimator for the regression coefficients as the number of time periods and the number of cross-sectional units jointly go to infinity. The main result of the…

向量自回归模型中协整关系假设的自助法检验AI 解读

It is well known that the finite-sample properties of tests of hypotheses on the cointegrating vectors in vector autoregressive models can be quite poor, and that current solutions based on Bartlett-type corrections or bootstrap based on unrestricted parameter estimators are unsatisfactory, in particular in those cases where also asymptotic chi^2 tests fail most severely. In this paper, we solve this inference problem by showing \nthe novel result that a bootstrap test where…

原假设下存在干扰参数时的近最优检验AI 解读

This paper considers nonstandard hypothesis testing problems that involve a nuisance parameter. We establish an upper bound on the weighted average power of all valid tests, and develop a numerical algorithm that determines a feasible test with power close to the bound. The approach is illustrated in six applications: inference about a linear regression coefficient when the sign of a control coefficient is known; small sample inference about the difference in means from two…

高维生存数据的删失秩独立筛选AI 解读

In modern statistical applications, the dimension of covariates can be much larger than the sample size. In the context of linear models, correlation screening (Fan and Lv, 2008) has been shown to reduce the dimension of such data effectively while achieving the sure screening property, i.e., all of the active variables can be retained with high probability. However, screening based on the Pearson correlation does not perform well when applied to contaminated covariates…

一类改进的 Hochberg–Hommel 混合型逐步递增多重检验程序AI 解读

In this paper we derive a new p-value based multiple testing procedure that improves upon the Hommel procedure by gaining power as well as having a simpler step-up structure similar to the Hochberg procedure. The key to this improvement is that the Hommel procedure can be improved by a consonant procedure. Exact critical constants of this new procedure can be numerically determined. The zeroth-order approximations to the exact critical constants, albeit slightly…

纳入基线协变量的半参数自然直接效应模型估计AI 解读

Establishing cause-effect relationships is a standard goal of empirical science. Once the presence of a causal relationship is established, the precise causal mechanism involved becomes a topic of interest. A particularly popular type of mechanism analysis concerns questions of mediation, that is to what extent an effect is direct, and to what extent it is mediated by a third variable. A semiparametric theory has recently been proposed which allows multiply robust estimation…

Q-learning 的交互式模型构建AI 解读

Evidence-based rules for optimal treatment allocation are key components in the quest for efficient, effective health care delivery. Q-learning, an approximate dynamic programming algorithm, is a popular method for estimating optimal sequential decision rules from data. Q-learning requires the modeling of nonsmooth, nonmonotone transformations of the data, complicating the search for adequately expressive, yet parsimonious, statistical models. The default Q-learning working…

球对称误差线性模型中的稳健贝叶斯变量选择AI 解读

This paper studies Bayesian variable selection in linear models with general spherically symmetric error distributions. We construct the posterior odds based on a separable prior, which arises as a class of mixtures of Gaussian densities. The posterior odds for comparing among nonnull models are shown to be independent of the error distribution, if this is spherically symmetric. Because of this invariance, we refer to our method as a robust Bayesian variable selection…

不可分解椭圆图模型的稳健估计量AI 解读

Robust estimators of the restricted covariance matrices associated with elliptical graphical models are studied. General asymptotic results, which apply to both decomposable and nondecomposable graphical models, are presented for robust plug-in type estimators. These extend results previously established only for the decomposable case. Furthermore, a class of graphical M-estimators for the restricted covariance matrices is introduced and compared with the corresponding…

利用失败联系记录校正不可忽略无应答的半参数极大似然推断AI 解读

In marketing research, social science and epidemiological studies, call-back of nonrespondents is standard. If respondents and nonrespondents tend to give different answers, the missing data are called nonignorable, and using them alone may produce biased results. To extend earlier work on nonresponse in the presence of call-backs, Alho (1990) proposed modelling the probability of response at each attempt through logistic regression, where outcomes of interest and covariates…

关系数据的非参数贝叶斯动态建模AI 解读

Symmetric binary matrices representing relations are collected in many areas. Our focus is on dynamically evolving binary relational matrices, with interest being on inference on the relationship structure and prediction. We propose a nonparametric Bayesian dynamic model, which reduces dimensionality in characterizing the binary matrix through a lower-dimensional latent space representation, with the latent coordinates evolving in continuous time via Gaussian processes. By…

带置信保障的分类AI 解读

A framework for classification is developed with a notion of confidence. In this framework, a classifier consists of two tolerance regions in the predictor space, with a specified coverage level for each class. The classifier also produces an ambiguous region where the classification needs further investigation. Theoretical analysis reveals interesting structures of the confidence-ambiguity trade-off, and the optimal solution is characterized by extending the Neyman–Pearson…

一般类型—词例分布AI 解读

We consider the problem of estimating the number of types in a corpus using the number of types observed in a sample of tokens from that corpus. We derive exact and asymptotic distributions for the number of observed types, conditioned on the number of tokens and the latent type distribution. We use the asymptotic distributions to derive an estimator of the latent number of types and validate this estimator numerically.