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函数型响应的函数线性回归AI 解读

In this paper, we develop new estimation results for functional regressions where both the regressor Z(t) and the response Y(t) are functions of Hilbert spaces, indexed by the time or a spatial location. The model can be thought as a generalization of the multivariate regression where the regression coefficient is now an unknown operator Π. We propose to estimate the operator Π by Tikhonov regularization, which amounts to apply a penalty on the L2 norm of Π. We derive the…

直接与间接处理效应：工具变量下的因果链与中介分析AI 解读

Summary The paper discusses the non-parametric identification of causal direct and indirect effects of a binary treatment based on instrumental variables. We identify the indirect effect, which operates through a mediator (i.e. intermediate variable) that is situated on the causal path between the treatment and the outcome, as well as the unmediated direct effect of the treatment by using distinct instruments for the endogenous treatment and the endogenous mediator. We…

暴露测量误差下超额相对风险回归的联合非参数校正估计AI 解读

Summary Observational epidemiological studies often confront the problem of estimating exposure–disease relationships when the exposure is not measured exactly. We investigate exposure measurement error in excess relative risk regression, which is a widely used model in radiation exposure effect research. In the study cohort, a surrogate variable is available for the true unobserved exposure variable. The surrogate variable satisfies a generalized version of the classical…

跨站点迁移鼓励设计干预效应的稳健估计AI 解读

Summary We develop robust targeted maximum likelihood estimators (TMLEs) for transporting intervention effects from one population to another. Specifically, we develop TMLEs for three transported estimands: the intent-to-treat average treatment effect (ATE) and complier ATE, which are relevant for encouragement design interventions and instrumental variable analyses, and the ATE of the exposure on the outcome, which is applicable to any randomized or observational study. We…

随机系数三角模型AI 解读

The triangular model is a very popular way to allow for causal inference in the presence of endogeneity. In this model, an outcome is determined by an endogenous regressor, which in turn is first caused by an instrument. We study the triangular model with random coefficients and additional exogenous regressors in both equations, and establish non-identification of the joint distribution of random coefficients. This implies that counterfactual outcomes are not identified…

动态技能积累、教育政策与 schooling 回报AI 解读

Using a dynamic skill accumulation model of schooling and labor supply with learning-by-doing, we decompose early life-cycle wage growth of U.S. white males into four main sources: education, hours worked, cognitive skills (Armed Forces Qualification Tests scores), and unobserved heterogeneity, and evaluate the effect of compulsory high school graduation and a reduction in the cost of college. About 60 percent of the differences in slopes of early life-cycle wage profiles…

有限总体中心极限定理的一般形式及其因果推断应用AI 解读

Frequentists’ inference often delivers point estimators associated with confidence intervals or sets for parameters of interest. Constructing the confidence intervals or sets requires understanding the sampling distributions of the point estimators, which, in many but not all cases, are related to asymptotic Normal distributions ensured by central limit theorems. Although previous literature has established various forms of central limit theorems for statistical inference in…

含变量测量误差动态模型的模拟最小距离估计AI 解读

Empirical analysis often involves using inexact measures of the predictors suggested by economic theory. The bias created by the correlation between the mismeasured regressors and the error term motivates the need for instrumental variable estimation. This paper considers a class of estimators that can be used in dynamic models with measurement errors when external instruments may not be available or are weak. The idea is to exploit the relation between the parameters of the…

含测量误差动态面板回归的多工具变量估计AI 解读

In this paper, we investigate a dynamic linear panel regression model with measurement error. We consider the panel data estimation whose time dimension (T) is not small and comparable to the cross sectional dimension (N). First, we show that the 2SLS estimator suffers from the bias problem due to many instrumental variables. Using the alternative asymptotics where T3N goes to a constant as N,T→∞, we characterize its asymptotic bias due to many IVs. As a bias reduction…

含测量误差线性面板模型的一致估计AI 解读

Measurement error causes a bias towards zero when estimating a panel data linear regression model. The panel data context offers various opportunities to derive instrumental variables allowing for consistent estimation. We consider three sources of moment conditions: (i) restrictions on the covariance matrix of the errors in the equations, (ii) nonzero third moments of the regressors, and (iii) heteroskedasticity and nonlinearity in the relation between the error-ridden…

利用控制变量估计含非经典测量误差的非线性模型AI 解读

We consider nonlinear parametric models with an independent variable that is measured with error. The measurement error can be correlated with the true value, i.e., the measurement error is allowed to be nonclassical. We propose a control variable estimator for the parameters of interest. The estimator is consistent even if the latent true value is endogenous. We derive the influence function of the semi-parametric estimator that accounts for the estimation of the control…

矩条件模型中 Kleibergen LM 与条件 LR 检验的渐近尺寸AI 解读

An influential paper by Kleibergen (2005, Econometrica 73, 1103–1123) introduces Lagrange multiplier (LM) and conditional likelihood ratio-like (CLR) tests for nonlinear moment condition models. These procedures aim to have good size performance even when the parameters are unidentified or poorly identified. However, the asymptotic size and similarity (in a uniform sense) of these procedures have not been determined in the literature. This paper does so. This paper shows…

互补性与识别AI 解读

This paper examines the identification power of assumptions that formalize the notion of complementarity in the context of a nonparametric bounds analysis of treatment response. I extend the literature on partial identification via shape restrictions by exploiting cross-dimensional restrictions on treatment response when treatments are multidimensional; the assumption of supermodularity can strengthen bounds on average treatment effects in studies of policy complementarity.…

死亡截断结局下因果效应的识别与估计AI 解读

It is common in medical studies that the outcome of interest is truncated by death, meaning that a subject has died before the outcome could be measured. In this case, restricted analysis among survivors may be subject to selection bias. Hence, it is of interest to estimate the survivor average causal effect, defined as the average causal effect among the subgroup consisting of subjects who would survive under either exposure. In this paper, we consider the identification…

一类紧支撑核积分算子的单射性AI 解读

Injectivity of integral operators is related to completeness conditions of their corresponding kernel functions. Completeness provides a useful way of obtaining nonparametric identification in various models including nonparametric regression models with instrumental variables, nonclassical measurement error models, and auction models, etc. However, the condition is quite abstract for empirical work and lacks a proper economic interpretation. We rely on known results…

缺失数据、插补与内生性AI 解读

Bassmann (1957, 1959) introduced two-stage least squares (2SLS). In subsequent work, Basmann et al. (1971) investigated its finite sample performance. Here we build on this tradition focusing on the issue of 2SLS estimation of a structural model when data on the endogenous covariate is missing for some observations. Many such imputation techniques have been proposed in the literature. However, there is little guidance available for choosing among existing techniques,…

利用异质性扩展的双层随机前沿估计劳动力进入者与退出者AI 解读

In a seminal paper, Basmann (1985) introduced a serial correlation structure based on an intertemporal adjustment mechanism. Basmann’s 1985 paper of course was built on his previous pioneering work on estimation and identifiability in structural equations leading to 2SLS (Basmann, 1957, 1960). In this paper, we follow a similar path. We derive a non-standard unit root serial correlation formulation for intertemporal adjustments in the labor force participation rate. This…

多工具变量下由约化式进行结构推断AI 解读

This paper develops exact finite sample and asymptotic distributions for structural equation tests based on partially restricted reduced form estimates. Particular attention is given to models with large numbers of instruments, wherein the use of partially restricted reduced form estimates is shown to be especially advantageous in statistical testing even in cases of uniformly weak instruments. Comparisons are made with methods based on unrestricted reduced forms, and…

L²完备与有界完备分布的实例AI 解读

Completeness and bounded-completeness conditions are used increasingly in econometrics to obtain nonparametric identification in a variety of models from nonparametric instrumental variable regression to non-classical measurement error models. However, distributions that are known to be complete or boundedly complete are somewhat scarce. In this paper, we consider an L2-completeness condition that lies between completeness and bounded completeness. We construct broad…

椭圆与回旋镖：两阶段最小二乘结构系数置信区间的可视化AI 解读

In the just-identified model,the exact distribution of the two-stage least squares (2SLS) estimator of the coefficient of the endogenous regressor is a ratio of two normally distributed random variables. Basmann (1960, 1974) used Fieller’s 1932 result to derive the density function of the estimator. In this paper, we present a novel graphical exposition of Fieller’s 1954 technique to approximate the confidence interval for the 2SLS estimator. We use this approach to examine…

非可分工具变量模型的独立性最小距离估计AI 解读

I develop a semiparametric minimum distance from independence estimator for a nonseparable instrumental variables model. An independence condition identifies the model for many types of discrete and continuous instruments. The estimator is taken as the parameter value that most closely satisfies this independence condition. Implementing the estimator requires a quantile regression of the endogenous variables on the instrument, so the procedure is two-step, with a finite or…

金融衍生品的积极作用：期权交易与企业创新AI 解读

Do financial derivatives enhance or impede innovation? We answer this question by examining the relationship between equity options markets and standard measures of firm innovation. We find that firms with more options trading activity generate more patents and patent citations per dollar invested in research and development (R&D), after accounting for other confounding factors. These results are confirmed when we use a propensity score matching procedure and an instrumental…

银行业整合与房价共同波动AI 解读

The correlation in house price growth across US states increased steadily between 1976 and 2000. This paper shows that the contemporaneous geographic integration of the US banking market, via the emergence of large banks, was a primary driver of this phenomenon. To this end, we first theoretically derive an appropriate measure of banking integration across state pairs and show that house price growth correlation is strongly related to this measure of financial integration.…

已知第一阶段符号时的无偏工具变量估计AI 解读

We derive mean-unbiased estimators for the structural parameter in instrumental variables models with a single endogenous regressor where the sign of one or more first-stage coefficients is known. In the case with a single instrument, there is a unique nonrandomized unbiased estimator based on the reduced-form and first-stage regression estimates. For cases with multiple instruments we propose a class of unbiased estimators and show that an estimator within this class is…