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马尔可夫状态切换MIDAS模型AI 解读

This article introduces a new regression model—Markov-switching mixed data sampling (MS-MIDAS)—that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of estimation and inference for MS-MIDAS and a small sample simulation-based evaluation, the MS-MIDAS model is applied to the prediction of the U.S. economic activity, in terms of both quantitative…

条件随机占优检验AI 解读

This article proposes bootstrap-based stochastic dominance tests for nonparametric conditional distributions and their moments. We exploit the fact that a conditional distribution dominates the other if and only if the difference between the marginal joint distributions is monotonic in the explanatory variable at each value of the dependent variable. The proposed test statistic compares restricted and unrestricted estimators of the difference between the joint distributions,…

存在样本选择的动态面板数据模型估计AI 解读

SUMMARY We propose a new method for estimating dynamic panel data models with selection. The method uses backward substitution for the lagged dependent variable, which leads to an estimating equation that requires correcting for contemporaneous selection only. The estimator is valid under relatively weak assumptions about errors and permits avoiding the weak instruments problem associated with differencing. We also propose a simple test for selection bias that is based on…

中国是否实现了外汇储备多元化？AI 解读

SUMMARY This paper takes a novel approach to detect the latent currency portfolio of Chinese foreign exchange reserves and the underlying portfolio management strategies during 2000 and 2007. Based on a portfolio accounting identity and the budget constraint of the Chinese central bank's holding of foreign assets, the monthly growth rate of reserves can be decomposed into monthly rate of return, valuation effects of exchange rates, and monthly net purchase rate. The…

古诺模型的显示偏好检验AI 解读

The aim of this paper is to develop revealed preference tests for Cournot equilibrium. The tests are akin to the widely used revealed preference tests for consumption, but have to take into account the presence of strategic interaction in a game-theoretic setting. The tests take the form of linear programs, the solutions to which also allow us to recover cost information on the firms. To check that these nonparametric tests are sufficiently discriminating to reject real…

共同条件异方差因子的检验AI 解读

This paper proposes a test for common conditionally heteroskedastic (CH) features in asset returns. Following Engle and Kozicki (1993), the common CH features property is expressed in terms of testable overidentifying moment restrictions. However, as we show, these moment conditions have a degenerate Jacobian matrix at the true parameter value and therefore the standard asymptotic results of Hansen (1982) do not apply. We show in this context that Hansen's (1982) J-test…

若干含内生性的非参数模型中识别的可检验性AI 解读

This paper examines three distinct hypothesis testing problems that arise in the context of identification of some nonparametric models with endogeneity. The first hypothesis testing problem we study concerns testing necessary conditions for identification in some nonparametric models with endogeneity involving mean independence restrictions. These conditions are typically referred to as completeness conditions. The second and third hypothesis testing problems we examine…

反事实分布的统计推断AI 解读

Counterfactual distributions are important ingredients for policy analysis and decomposition analysis in empirical economics. In this article, we develop modeling and inference tools for counterfactual distributions based on regression methods. The counterfactual scenarios that we consider consist of ceteris paribus changes in either the distribution of covariates related to the outcome of interest or the conditional distribution of the outcome given covariates. For either…

连通替代关系与需求的可逆性AI 解读

We consider the invertibility (injectivity) of a nonparametric nonseparable demand system. Invertibility of demand is important in several contexts, including identification of demand, estimation of demand, testing of revealed preference, and economic theory exploiting existence of an inverse demand function or (in an exchange economy) uniqueness of Walrasian equilibrium prices. We introduce the notion of “connected substitutes” and show that this structure is sufficient for…

误设模型中贝叶斯推断的风险与三明治协方差矩阵AI 解读

It is well known that, in misspecified parametric models, the maximum likelihood estimator (MLE) is consistent for the pseudo-true value and has an asymptotically normal sampling distribution with “sandwich” covariance matrix. Also, posteriors are asymptotically centered at the MLE, normal, and of asymptotic variance that is, in general, different than the sandwich matrix. It is shown that due to this discrepancy, Bayesian inference about the pseudo-true parameter value is,…

含噪高频数据中跳跃的稳健估计与推断：预平均方法的局部趋于连续理论AI 解读

We develop an asymptotic theory for the pre-averaging estimator when asset price jumps are weakly identified, here modeled as local to zero. The theory unifies the conventional asymptotic theory for continuous and discontinuous semimartingales as two polar cases with a continuum of local asymptotics, and explains the breakdown of the conventional procedures under weak identification. We propose simple bias-corrected estimators for jump power variations, and construct robust…

不完全信息博弈中的稳健预测AI 解读

We analyze games of incomplete information and offer equilibrium predictions that are valid for, and in this sense robust to, all possible private information structures that the agents may have. The set of outcomes that can arise in equilibrium for some information structure is equal to the set of Bayes correlated equilibria. We completely characterize the set of Bayes correlated equilibria in a class of games with quadratic payoffs and normally distributed uncertainty in…

作为模糊性的 Alpha：稳健均值—方差投资组合分析AI 解读

We derive the analogue of the classic Arrow-Pratt approximation of the certainty equivalent under model uncertainty as de…ned by the smooth model of decision making under ambiguity of Klibano¤, Marinacci and Mukerji (2005).We study its scope via a portfolio allocation exercise that delivers a tractable mean-variance model adjusted for model uncertainty.In a problem with a risk-free asset, a risky asset, and an ambiguous asset, we …nd that portfolio rebalancing in response to…

因子个数的特征值比率检验AI 解读

This paper proposes two new estimators for determining the number of factors (r) in static approximate factor models. We exploit the well-known fact that the r largest eigenvalues of the variance matrix of N response variables grow unboundedly as N increases, while the other eigenvalues remain bounded. The new estimators are obtained simply by maximizing the ratio of two adjacent eigenvalues. Our simulation results provide promising evidence for the two estimators.

稳健性、无穷小邻域与矩限制AI 解读

This paper is concerned with robust estimation under moment restrictions. A moment restriction model is semiparametric and distribution-free; therefore it imposes mild assumptions. Yet it is reasonable to expect that the probability law of observations may have some deviations from the ideal distribution being modeled, due to various factors such as measurement errors. It is then sensible to seek an estimation procedure that is robust against slight perturbation in the…

财政预见与信息流AI 解读

Fiscal foresight --the phenomenon that legislative and implementation lags ensure that private agents receive clear signals about the tax rates they face in the future --is intrinsic to the tax policy process.This paper develops an analytical framework to study the econometric implications of fiscal foresight.Simple theoretical examples show that foresight produces equilibrium time series with nonfundamental representations, which misalign the agents' and the…

交集界限：估计与推断AI 解读

We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or, equivalently, the value of a linear programming problem with a potentially infinite constraint set. We show that many bounds characterizations in econometrics, for instance bounds on parameters under conditional moment inequalities, can be formulated as intersection bounds. Our approach is…

非可分面板模型中的平均效应与分位数效应AI 解读

Nonseparable panel models are important in a variety of economic settings, including discrete choice. This paper gives identification and estimation results for nonseparable models under time-homogeneity conditions that are like “time is randomly assigned” or “time is an instrument.” Partial-identification results for average and quantile effects are given for discrete regressors, under static or dynamic conditions, in fully nonparametric and in semiparametric models, with…

相关私人价值升价拍卖中的识别与推断AI 解读

We introduce and apply a new nonparametric approach to identification and inference on data from ascending auctions. We exploit variation in the number of bidders across auctions to nonparametrically identify useful bounds on seller profit and bidder surplus using a general model of correlated private values that nests the standard IPV model. We also translate our identified bounds into closed form and asymptotically valid confidence intervals for several economic measures…

基于条件矩不等式的推断AI 解读

In this paper, we propose an instrumental variable approach to constructing confidence sets (CS's) for the true parameter in models defined by conditional moment inequalities/equalities. We show that by properly choosing instrument functions, one can transform conditional moment inequalities/equalities into unconditional ones without losing identification power. Based on the unconditional moment inequalities/equalities, we construct CS's by inverting Cramér–von Mises-type or…

含生成回归量的半参数估计量的渐近方差AI 解读

We study the asymptotic distribution of three-step estimators of a finite-dimensional parameter vector where the second step consists of one or more nonparametric regressions on a regressor that is estimated in the first step. The first-step estimator is either parametric or nonparametric. Using Newey's (1994) path-derivative method, we derive the contribution of the first-step estimator to the influence function. In this derivation, it is important to account for the dual…

固定效应动态面板模型：一种因子分析方法AI 解读

We consider the estimation of dynamic panel data models in the presence of incidental parameters in both dimensions: individual fixed-effects and time fixed-effects, as well as incidental parameters in the variances. We adopt the factor analytical approach by estimating the sample variance of individual effects rather than the effects themselves. In the presence of cross-sectional heteroskedasticity, the factor method estimates the average of the cross-sectional variances…

重抽样多重检验早停规则的统计性质AI 解读

Resampling-based methods for multiple hypothesis testing often lead to long run times when the number of tests is large. This paper presents a simple rule that substantially reduces computation by allowing resampling to terminate early on a subset of tests. We prove that the method has a low probability of obtaining a set of rejected hypotheses different from those rejected without early stopping, and obtain error bounds for multiple hypothesis testing. Simulation shows that…

基因组范围基因—环境交互的独立筛选两阶段检验AI 解读

Several two-stage multiple testing procedures have been proposed to detect gene-environment interaction in genome-wide association studies. In this article, we elucidate general conditions that are required for validity and power of these procedures, and we propose extensions of two-stage procedures using the case-only estimator of gene-treatment interaction in randomized clinical trials. We develop a unified estimating equation approach to proving asymptotic independence…