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含未知函数的序贯矩限制模型的半参数效率界AI 解读

This paper computes the semiparametric efficiency bound for finite dimensional parameters identified by models of sequential moment restrictions containing unknown functions. Our results extend those of Chamberlain (1992b) and Ai and Chen (2003) for semiparametric conditional moment restrictions with identical information sets to the case of nested information sets, and those of Chamberlain (1992a) and Brown and Newey (1998) for models of sequential moment restrictions…

内生解释变量非参数回归模型中线性泛函估计的效率界AI 解读

Let Y=μ∗(X)+ε, where μ∗ is unknown and E[ε|X]≠0 with positive probability but there exist instrumental variables W such that E[ε|W]=0 w.p.1. It is well known that such nonparametric regression models are generally “ill-posed” in the sense that the map from the data to μ∗ is not continuous. In this paper, we derive the efficiency bounds for estimating certain linear functionals of μ∗ without assuming μ∗ itself to be identified.

强或弱工具变量下联立方程模型的近乎无偏估计AI 解读

We propose two simple bias-reduction procedures that apply to estimators in a general static simultaneous equation model and that are valid under relatively weak distributional assumptions for the errors. Standard jackknife estimators, as applied to 2SLS, may not reduce the bias of the exogenous variable coefficient estimators since the estimator biases are not monotonically nonincreasing with sample size (a necessary condition for successful bias reduction) and they have…

不完美工具变量下的识别AI 解读

Dealing with endogenous regressors is a central challenge of applied research. The standard solution is to use instrumental variables that are assumed to be uncorrelated with unobservables. We instead allow the instrumental variable to be correlated with the error term, but we assume the correlation between the instrumental variable and the error term has the same sign as the correlation between the endogenous regressor and the error term and that the instrumental variable…

异方差与多工具变量下的工具变量估计AI 解读

This paper gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data. Such settings are common in microeconometric applications where many instruments are used to improve efficiency and allowance for heteroskedasticity is generally important. The solution is a Fuller (1977) like estimator and standard errors that are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high…

部分线性模型中的工具变量回归AI 解读

We consider the semiparametric regression Xtβ + φ (Z) where β and φ(.) are unknown slope coefficient vector and function, and where the variables (X, Z) are endogeneous. We propose necessary and sufficient conditions for the identification of the parameters in the presence of instrumental variables. We also focus on the estimation of β. An incorrect parametrization of φ generally leads to an inconsistent estimator of β, whereas consistent nonparametric estimators for β have…

非参数工具变量函数估计的一致置信带AI 解读

This paper is concerned with developing uniform confidence bands for functions estimated nonparametrically with instrumental variables. We show that a sieve nonparametric instrumental variables estimator is pointwise asymptotically normally distributed. The asymptotic normality result holds in both mildly and severely ill-posed cases. We present methods to obtain a uniform confidence band and show that the bootstrap can be used to obtain the required critical values. Monte…

广义可加交互非线性波动模型的局部工具变量估计AI 解读

In this article we consider a new separable nonparametric volatility model that includes second-order interaction terms in both mean and conditional variance functions. This is a very flexible nonparametric ARCH model that can potentially explain the behavior of the wide variety of financial assets. The model is estimated using the generalized version of the local instrumental variable estimation method first introduced in Kim and Linton (2004, Econometric Theory 20,…

存在企业层面无效率时的市场势力估计AI 解读

“The quiet life hypothesis” (QLH) by Hicks (1935) argues that, due to management’s subjective cost of reaching optimal profits, firms use their market power to allow inefficient allocation of resources. Increasing competitive pressure is therefore likely to force management to work harder to reach optimal profits. Another hypothesis, which also relates market power to efficiency is “the efficient structure hypothesis” (ESH) by Demsetz (1973). ESH argues that firms with…

经验拍卖模型的有效局部工具变量估计AI 解读

In this paper we examine semiparametric efficiency bounds and efficient estimators for the case of a linear local instrument variable (LIV) model under the assumptions studied in Abadie et al. (2002). We apply the semiparametrically efficient estimation method to analyze the relation between bid dispersion and early bidding in an online auction dataset, which is collected from a natural experiment conducted in Nekipelov (2007). The results confirm the theoretical findings…

空间依赖回归的统计推断AI 解读

Central limit theorems are developed for instrumental variables estimates of linear and semiparametric partly linear regression models for spatial data. General forms of spatial dependence and heterogeneity in explanatory variables and unobservable disturbances are permitted. We discuss estimation of the variance matrix, including estimates that are robust to disturbance heteroscedasticity and/or dependence. A Monte Carlo study of finite-sample performance is included. In an…

相关面板中基于残差的协整检验AI 解读

In the paper, we propose residual based tests for cointegration in general panels with cross-sectional dependency, endogeneity and various heterogeneities. The residuals are obtained from the usual least squares estimation of the postulated cointegrating relationships from each individual unit, and the nonlinear IV panel unit root testing procedure is applied to the panels of the fitted residuals using as instruments the nonlinear transformations of the adaptively fitted…

非参数工具变量估计中的设定检验AI 解读

In nonparametric instrumental variable estimation, the function being estimated is the solution to an integral equation. A solution may not exist if, for example, the instrument is not valid. This paper discusses the problem of testing the null hypothesis that a solution exists against the alternative that there is no solution. We give necessary and sufficient conditions for existence of a solution and show that uniformly consistent testing of an unrestricted null hypothesis…

富爸爸，聪明爸爸：收入代际传递的分解AI 解读

We construct a simple model, consistent with Becker and Tomes, that decomposes the intergenerational income elasticity into the causal effect of financial resources, the mechanistic transmission of human capital, and the role that human capital plays in the determination of fathers' permanent incomes. We show how a particular set of instrumental variables could separately identify the money and human capital transmission effects. Using data from a 35 percent sample of…

跨州银行业与跨州贸易：实体一体化是否跟随金融一体化？AI 解读

We conjecture that banks present in two regions charge the appropriate risk premiums for trade-related projects between these markets, whereas higher rates are charged for projects involving shipments to markets where they are absent. These differences affect regional trade flows. US interstate banking deregulation serves as a natural experiment to test our model's implication with the Commodity Flow Survey data. Difference-in-differences estimates suggest that the trade…

董事会结构对企业价值的影响：基于韩国数据的多重识别策略AI 解读

Outside directors and audit committees are widely considered to be central elements of good corporate governance. We use a 1999 Korean law as an exogenous shock to assess whether and how board structure affects firm market value. The law mandates 50% outside directors and an audit committee for large public firms, but not smaller firms. We study this shock using event study, difference-in-differences, and instrumental variable methods, within an overall regression…

使用柯西估计量的异方差面板单位根检验AI 解读

The Cauchy estimator of an autoregressive root uses the sign of the first lag as instrumental variable. The resulting IV t-type statistic follows a standard normal limiting distribution under a unit root case even under unconditional heteroscedasticity, if the series to be tested has no deterministic trends. The standard normality of the Cauchy test is exploited to obtain a standard normal panel unit root test under cross-sectional dependence and time-varying volatility with…

工具变量局部违反外生性时检验的渐近尺寸失真AI 解读

In the linear instrumental variables model with possibly weak instruments we derive the asymptotic size of testing procedures when instruments locally violate the exogeneity assumption. We study the tests by Anderson and Rubin (1949, The Annals of Mathematical Statistics 20, 46–63), Moreira (2003, Econometrica 71, 1027–1048), and Kleibergen (2005, Econometrica 73, 1103–1123) and their generalized empirical likelihood versions. These tests have asymptotic size equal to…

条件异方差扰动下联立方程工具变量估计的改进AI 解读

Abstract In this paper we develop estimation techniques and a specification test for the validity of instrumental variables allowing for conditionally heteroskedastic disturbances. We propose modified two‐stage least squares (2SLS) and modified 3SLS procedures where the conditional heteroskedasticity is taken into account, which are natural extensions of the traditional 2SLS and 3SLS estimators and which achieve a lower variance. We recommend the use of these modified 2SLS…

非参数工具变量估计的 Tikhonov 正则化AI 解读

We study a Tikhonov Regularized (TiR) estimator of a functional parameter identified by conditional moment restrictions in a linear model with both exogenous and endogenous regressors. The nonparametric instrumental variable estimator is based on a minimum distance principle with penalization by the norms of the parameter and its derivatives. After showing its consistency in the Sobolev norm and uniform consistency under an embedding condition, we derive the expression of…

固定效应空间动态面板的估计：空间协整情形AI 解读

Yu et al. (2008) establish asymptotic properties of quasi-maximum likelihood estimators for a stable spatial dynamic panel model with fixed effects when both the number of individuals n and the number of time periods T are large. This paper investigates unstable cases where there are unit roots generated by temporal and spatial correlations. We focus on the spatial cointegration model where some eigenvalues of the data generating process are equal to 1 and the outcomes of…

作为模型设定检验的 Hahn–Hausman 检验AI 解读

This paper develops a modified version of the Sargan [Sargan, J.D., 1958. The estimation of economic relationships using instrumental variables. Econometrica 26 (3), 393–415] restrictions, and shows that it is numerically equivalent to the test statistic of Hahn and Hausman [Hahn, J., Hausman, J., 2002. A new specification test for the validity of instrumental variables. Econometrica 70 (1), 163–189] up to a sign. The modified Sargan test is constructed such that its…

非高斯误差下工具变量回归的最优推断AI 解读

This paper is concerned with inference on the coefficient on the endogenous regressor in a linear instrumental variables model with a single endogenous regressor, nonrandom exogenous regressors and instruments, and i.i.d. errors whose distribution is unknown. It is shown that under mild smoothness conditions on the error distribution it is possible to develop tests which are “nearly” efficient in the sense of Andrews et al. (2006) when identification is weak and consistent…

重新审视工具变量的有效性AI 解读

This paper shows how valid inferences can be made when an instrumental variable does not perfectly satisfy the orthogonality condition. When there is a mild violation of the orthogonality condition, the Anderson and Rubin (1949) test is oversized. In order to correct this problem, the fractionally resampled Anderson–Rubin test is derived by modifying Wu’s (1990) resampling technique. We select half of the sample when resampling and obtain valid but conservative critical…